First CIRT of 2024 for Fannie

Fannie Mae has completed its first CIRT deal of 2024, the GSE announced today (March 1).

The deal, designated CIRT 2024-L1, transferred US$355.6m of single-family mortgage risk to 24 reinsurance firms.

There are about 28,000 LTV loans in the reference pool, totalling nearly US$9bn, acquired between January and February of last year.

The GSE will retain risk for the first 150bp of loss. If the $135.1m retention layer is exhausted, the 24 reinsurers will cover the next 395bp of loss, up to a maximum coverage of $355.6m.

Fannie Mae said this week that it will do US$6bn-US$6.5bn in the credit risk transfer market in 2024, around two-thirds of which will be in the CAS market.

Simon Boughey