Fannie Mae has achieved its 10th Credit Insurance Risk Transfer (CIRT) transaction of 2022, a move made by the government-sponsored enterprise (GSE) to reduce taxpayer risk by increasing the role of private capital in the mortgage market.
Under the terms of CIRT 2022-10, $265 million in mortgage credit risk to private insurers and reinsurers was transferred. 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," said Rob Schaefer, Fannie Mae VP of 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.
As of June 30, 2022, approximately $1.02 trillion in outstanding unpaid principal balance (UPB) of loans in our single-family conventional guaranty book of business were included in a reference pool for a credit risk transfer transaction.
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.
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.