Fannie Mae has executed its eleventh and ultimate Credit score Insurance coverage Danger Switch (CIRT) transaction of 2022. As a part of Fannie Mae’s ongoing effort to cut back taxpayer danger by rising the function of personal capital within the mortgage market, CIRT 2022-11 transferred $343 million of mortgage credit score danger to non-public insurers and reinsurers. Since inception to this point, Fannie Mae has acquired roughly $22 billion of insurance coverage protection on $749 billion of single-family loans by way of the CIRT program, measured on the time of issuance for each post-acquisition (bulk) and front-end transactions.
“We admire our continued partnership with the 21 insurers and reinsurers which have dedicated to put in writing protection for this deal, and to all 28 reinsurer companions that wrote single-family CIRT all through 2022,” says Rob Schaefer, Fannie Mae’s vp for capital markets. “The report quantity of protection that Fannie Mae acquired by way of CIRT this 12 months additional demonstrated the resiliency of this credit score danger switch automobile. The eleven transactions lined $213 billion of single-family loans and secured $7.2 billion of protection, which was greater than 2.7 occasions the earlier single-family CIRT report for protection acquired in any single 12 months.”
The lined mortgage pool for CIRT 2022-11 consists of roughly 34,000 single-family mortgage loans with an impressive unpaid principal steadiness (UPB) of roughly $10.1 billion. The lined pool contains collateral with loan-to-value (LTV) ratios of 60.01% to 80% p.c acquired from November to December 2021. The loans included on this transaction are fixed-rate, usually 30-year time period, absolutely amortizing mortgages and have been underwritten utilizing rigorous credit score requirements and enhanced danger controls.
With CIRT 2022-11, which turned efficient October 1, 2022, Fannie Mae will retain danger for the primary 65 foundation factors of loss on the $10.1 billion lined mortgage pool. If the $65.5 million retention layer is exhausted, 21 reinsurers will cowl the subsequent 340 foundation factors of loss on the pool, as much as a most protection of $342.5 million.
Protection for this deal is supplied based mostly upon precise losses for a time period of 12.5 years. Relying on the paydown of the insured pool and the principal quantity of insured loans that change into severely delinquent, the combination protection quantity could also be lowered on the one-year anniversary and every month thereafter. The protection on this deal could also be canceled by Fannie Mae at any time on or after the five-year anniversary of the efficient date by paying a cancellation charge.
As of September 30, 2022, roughly $1.1 trillion in excellent UPB of loans in Fannie Mae’s single-family standard warranty ebook of enterprise have been included in a reference pool for a credit score danger switch transaction.