Fannie Mae Executes Two Credit Insurance Risk Transfer Transactions on $33 Billion in Single-Family Loans – InsuranceNewsNet

WASHINGTON, July 23Fannie Mae issued the following press release on July 22, 2022:

Fannie Mae (FNMA/OTC) today announced that it has executed its seventh and eighth Credit Insurance Risk Transfer(TM) (CIRT(TM)) transactions of 2022. As part of At Fannie Mae’s continued effort to reduce taxpayer risk by increasing the role of private capital in the mortgage market, CIRT 2022-7 and CIRT 2022-8 transferred $1 billion of mortgage credit risk to private insurers and reinsurers. Since its inception to date, Fannie Mae acquired approximately $21 billion insurance coverage on $709 billion of single-family loans through the CIRT program, measured at the time of origination for post-acquisition (block) and initial transactions.

“We appreciate our continued partnership with the 24 insurers and reinsurers who have committed to underwriting coverage for these agreements,” said Rob Schaefer, Fannie Mae Vice President for Capital Markets.

The covered loan pool for CIRT 2022-7 consists of approximately 64,000 single-family mortgages with an outstanding principal balance of approximately $19.8 billion. The covered pool includes collateral with loan-to-value (LTV) ratios of 60.01% to 80.00% acquired in September 2021. The loans included in this transaction are fixed rate mortgages, generally with a term of 30 years, fully amortizing and were underwritten under rigorous credit standards and enhanced risk controls.

With CIRT 2022-7, entered into force June 1, 2022, Fannie Mae will retain the risk for the first 55 basis points of loss on $19.8 billion covered loan pool. If the $109 million retention layer is exhausted, 24 insurers and reinsurers will cover the next 335 basis points of loss on the pool, up to a maximum coverage of $664 million.

The covered loan pool for CIRT 2022-8 consists of approximately 43,000 single-family mortgages with an outstanding principal balance of approximately $12.9 billion. The hedged portfolio includes collateral with LTV ratios of 80.01% to 97.00% acquired between August 2021 and September 2021. The loans included in this transaction are fixed rate mortgages, generally with a term of 30 years, fully amortizing and were underwritten under rigorous credit standards and enhanced risk controls.

With CIRT 2022-8, entered into force June 1, 2022, Fannie Mae will retain the risk for the first 65 basis points of loss on the $12.9 billion covered loan pool. If the $84 million retention layer is exhausted, 19 insurers and reinsurers will cover the next 275 basis points of loss on the pool, up to a maximum coverage of $354 million.

Coverage for these transactions is based on actual losses for a term of 12.5 years. Depending on the repayment of insured pools and the principal amount of insured loans that become seriously delinquent, aggregate coverage amounts may be reduced on the one-year anniversary and monthly thereafter. Coverage for these offers may be voided by Fannie Mae at any time after the fifth anniversary of the effective date by paying a cancellation fee.

From March 31, 2022approximately $906 billion of outstanding UPB loans from our conventional single-family guarantee portfolio have been integrated into a reference pool for a credit risk transfer operation.

To promote transparency and help insurers and reinsurers evaluate the CIRT program, Fannie Mae provides robust and ongoing disclosure data, as well as access to news, resources and analysis through its Credit Risk Transfer web pages. This includes At Fannie Mae’s innovative Data Dynamics(R) tool that allows market participants to interact with and analyze both CIRT transactions currently in the market and At Fannie Mae’s set of historical loan data.

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Original text here: https://www.fanniemae.com/newsroom/fannie-mae-news/seventh-eighth-credit-insurance-risk-transfer-transactions-2022

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