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Fannie Mae has announced that it has executed its eighth Credit Insurance Risk Transfer (CIRT) transaction of 2023, CIRT 2023-8, which transferred $344.3 million of mortgage credit risk to private insurers and reinsurers.
CIRT transactions transfer credit risk on a pool of loans to an insurance provider, which may then transfer that risk to one or more reinsurers, complementing Fannie Mae's other current risk transfer offerings that leverage the capital markets.
"We appreciate the continued support of the 24 insurers and reinsurers that have committed to write coverage for this deal," said Rob Schaefer, Fannie Mae’s VP of Capital Markets.
The covered loan pool for CIRT 2023-8 consists of approximately 27,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $8.4 billion. The covered pool includes collateral with loan-to-value (LTV) ratios of 60.01% to 80% acquired between September 2022 and December 2022. 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 2023-8, which became effective August 1, 2023, Fannie Mae will retain risk for the first 140 basis points of loss on the $8.4 billion covered loan pool. If the $117.6 million retention layer is exhausted, 24 reinsurers will cover the next 410 basis points of loss on the pool, up to a maximum coverage of $344.3 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 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.
Since inception to date, Fannie Mae has acquired approximately $25.6 billion of insurance coverage on $858.7 billion of single-family loans through the CIRT program, measured at the time of issuance for both post-acquisition (bulk) and front-end transactions. As of June 30, 2023, approximately $1.27 trillion in outstanding unpaid principal balance of loans in our single-family conventional guaranty book of business were included in a reference pool for a credit risk transfer transaction.
To promote transparency and to help insurers and reinsurers evaluate the CIRT program, Fannie Mae provides ongoing, robust disclosure data, as well as access to news, resources, and analytics through its credit risk transfer webpages.
This includes Fannie Mae's Data Dynamics tool that enables market participants to interact with and analyze both CIRT deals that are currently outstanding in the market and Fannie Mae's historical loan dataset.
Back in June, Fannie Mae executed its sixth and seventh CIRT transactions of 2023, as CIRT 2023-6 and CIRT 2023-7, in aggregate, transferred $789 million of mortgage credit risk to private insurers and reinsurers. These transactions were brokered by Aon plc and sub-brokered by certified minority business enterprise (MBE) Protecdiv.
