Market updates and sector developments

Fannie Mae has completed its fourth CIRT deal of 2024, transferring US$284.8m of mortgage risk to 25 insurers and reinsurers.

The loan pool for CIRT 2024-H2 comprises around 34,000 single family mortgages with an unpaid principal balance of approximately US$12.1bn. The high LTV loans were acquired between May and September last year.

Fannie retains the first 185bp of loss. If this retention layer, worth US$224.2m, is broken then the 25 insurers and reinsurers cover the next 235bp to a maximum of coverage of US$284.8m.