This will not affect AM Best’s net capital charge calculation, as the calculation assumes stress scenarios with trigger events in place for each transaction. For this Best’s Special Report, “Updated Net Capital Charge Tables for ACIS/CIRT Reinsurance Transactions,” the sixth one on net capital charges, AM Best has selected approximately half the 127 CRT transactions effective through December 2021 to calculate the net capital charges associated with individual layers of the CRT transactions.Īccording to the report, some of these transactions remain under trigger events caused by the elevated delinquency rates brought on by the COVID-19 pandemic, resulting in no principal being allocated to junior tranches.
It is based on unexpected losses and premiums associated with the transactions and is represented as a fraction of the original exposures. The net capital charge of CRT transactions is represented as B5 m - mortgage-related net loss and LAE reserves risk - in the net required capital formula that is part of BCAR. These tables also highlight some of the key components of the factor-based method used to calculate net capital charges in the Best’s Capital Adequacy Ratio (BCAR) model. OLDWICK, N.J.-(BUSINESS WIRE)-Feb 4, 2022-ĪM Best has updated tables of net capital charges associated with a representative sample of mortgage-related transactions from Fannie Mae and Freddie Mac’s credit risk transfer (CRT) programs, Freddie Mac’s Agency Credit Insurance Structure (ACIS) and Fannie Mae’s Credit Insurance Risk Transfer (CIRT).