疫情后不确定经济时期的抵押贷款信用风险转移（CRT）.pdf

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1、Michael C.Schmitz,FCAS,MAAA-Principal and Consulting Actuary,MillimanAlan Tiernan,FIA,FCAS,FSAI-Chief Actuary,Global Mortgage Group Arch Capital Group Ltd.Jonathan Berenbom,FCAS,MAAA-Managing Director,Guy Carpenter2022 CAS Seminar on Reinsurance June 6,2023These slides are for general information/ed

2、ucational purposes only and shall not be considered as specific advice.As such,no action or decision should be taken solely on the basis of the information set out herein without obtaining specific advice from a qualified advisor.Copyright Milliman,Inc.2023.All rights reserved.Mortgage Credit Risk T

3、ransfer(CRT)while emerging from a PandemicMillimanPrivate Mortgage Insurance(PMI)the basicsTracking a changing economic environmentGSE loan performance updateLong-term view of mortgage credit riskReinsurer PML in uncertain times234Poll Key=QSXQJLabel=Mortgage/CRT MarketBasics of Private Mortgage Ins

4、urance(PMI)Front-end risk transferCovers lender/investor for financial loss if borrower defaultsGenerally required if(loan 80%x property value)What makes it different:Long term contracts with pricing set up frontReserves only cover delinquent loans claims vs curesBut ultimate losses have substantial

5、 tail riskMismatch between revenue and expenseTherefore contingency reserves and capital requirementsReserving:short-ish tail Pricing/PDR/Capital Adequacy:long tail!Q/S and XOL but function similarly for PMIERs capital reliefCRT shares these risk characteristics5Milliman M-PIReEnd-to-end CRT and mor

6、tgage reinsurance analytics software solutionKey Product Features1.Contains all required data for complete and thorough CRT analysis including reinsurance and private transactions:Eliminates the requirement for time-consuming data collection,processing,and report generation2.100%Cloud-based product