Market updates and sector developments

Seventh heaven

Fannie Mae has executed its sixth and seventh reinsurance deals of the year, designated CIRT 2023-6 and CIRT 2023-7, for a total of US$786bn of mortgage risk. Both trades were brokered by Aon, and the risk was shared by 21 insurance and reinsurance companies.

The two loan pools referenced through this brace of deals have an unpaid principal balance of approximately US$26.6bn. The largest, CIRT 2023-7, refers to a loan pool of US$16.9bn and has around 51,000 single family loans.

Meanwhile, CRT 2023-6 refers to a loan pool of US$9.65bn and around 30,000 single family loans.

Fannie Mae retains risk on the first 130bp of loss on CIRT 2023-6. If this retention layer, equivalent to US$125m is exhausted, then 20 insurers step in to cover the next 405bp up to a maximum of US$391m.

In CIRT 2023-7, meanwhile, Fannie retains risk on the first 155bp of loss. If the US$262m retention layer is exhausted, then 20 insurers step in to cover the next 235bp to a maximum of US$398m.

Fannie Mae has issued four CAS deals this year, covering unpaid principal of around US$101.8bn and for a total face value of US$2.1bn.

The seven CIRT deals, meanwhile, cover an almost identical amount – US$102.2bn – revealing that the reinsurance market takes 50% of GSE CRT risk and is now an equal partner alongside the capital markets programme.

In other news…

EMEA investor-placed issuance soars in May

Investor-placed securitisation issuance rose to €9.5bn in the EMEA region in May, an increase of more than 100% on the same period in 2022, according to figures released by S&P Global. The figure brings the total amount issued in the region to €36bn since the start of the year, a decrease of 21% compared with last year.