Fannie Mae Wraps Up Latest Credit Insurance Risk Transfer Transaction


Fannie Mae has executed its tenth Credit Insurance Risk Transfer (CIRT) transaction of 2022. CIRT 2022-10 transferred $265 million of mortgage credit risk to private insurers and reinsurers. Since inception to date, Fannie Mae has acquired approximately $22 billion of insurance coverage on $740 billion of single-family loans through the CIRT program, measured at the time of issuance for both post-acquisition (bulk) and front-end transactions.

“We appreciate our continued partnership with the 18 insurers and reinsurers that have committed to write coverage for this deal,” says Rob Schaefer, Fannie Mae’s vice president for capital markets.

The covered loan pool for CIRT 2022-10 consists of approximately 31,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $9.6 billion. The covered pool includes collateral with loan-to-value (LTV) ratios of 80.01% to 97% acquired from September to December 2021. The loans included in this transaction are fixed-rate, generally 30-year term, fully amortizing mortgages and were underwritten using rigorous credit standards and enhanced risk controls.

With CIRT 2022-10, which became effective September 1, 2022, Fannie Mae will retain risk for the first 75 basis points of loss on the $9.6 billion covered loan pool. If the $72 million retention layer is exhausted, 18 insurers and reinsurers will cover the next 275 basis points of loss on the pool, up to a maximum coverage of $265 million.

Coverage for this deal is provided based upon actual losses for a term of 12.5 years. Depending on the paydown of the insured pool and the principal amount of insured loans that become seriously delinquent, the aggregate coverage amount may be reduced at the one-year anniversary and each month thereafter. The coverage on this deal may be canceled by Fannie Mae at any time on or after the five-year anniversary of the effective date by paying a cancellation fee.

As of June 30, 2022, approximately $1.02 trillion in outstanding UPB of loans in our single-family conventional guaranty book of business were included in a reference pool for a credit risk transfer transaction.

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