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Freddie Mac Credit Risk Transfers Deliver Record First Half

Sarah Wolak
Aug 31, 2022
Freddie Mac Single-Family

The GSE's single-family business reported a second quarter 2022 CRT issuance of approximately $6.5 billion.

KEY TAKEAWAYS
  • Record first-half 2022 issuances totaled nearly $15 billion, protecting $358 billion UPB of single-family mortgages. 
  • Freddie Mac issued approximately $14.6 billion across 6 STACR and 8 ACIS transactions in the first half of 2022.

Freddie Mac’s Single-Family business today announced that its Credit Risk Transfer (CRT) program reported second-quarter 2022 CRT issuance of approximately $6.5 billion, protecting approximately $151 billion in unpaid principal balance (UPB) of single-family mortgages. 

This total marked a record for a second quarter, Freddie Mac said. Additionally, record first-half 2022 issuances totaled nearly $15 billion, protecting $358 billion UPB of single-family mortgages, it said. 

The issuances included Freddie Mac’s flagship STACR (Structured Agency Credit Risk) and ACIS (Agency Credit Insurance Structure) transactions, as well as other risk-sharing transactions.

Freddie Mac issued approximately $14.6 billion across 6 STACR and 8 ACIS transactions in the first half of 2022. Among the notable transactions in the first half was STACR 2022-DNA2, which was Freddie Mac’s largest-ever CRT securities transaction, at a staggering $1.9 billion.

“Freddie Mac’s Single-Family CRT program delivered record performance, introduced a new ACIS structure, and reduced our costs via two STACR tender offers in the first half,” said Mike Reynolds, Freddie Mac's vice president of single-family CRT. “We added 17 new investors/(re)insurers in the second quarter, demonstrating continued market demand for our offerings and establishing the largest average investor base in program history.”

The first half of 2022 was the largest in program history for ACIS transactions, the government-sponsored enterprise (GSE) said, and included a new ACIS structure — ACIS 2022-COR1, the first with collateral comprised solely of cash-out refinance loans. The program also launched ACIS 2022-AFH1 in the second quarter, a structure that reduces Freddie Mac’s credit risk by protecting loans as they are purchased..

Additionally, in the first half, the GSE executed two tender offers for certain STACR Notes. More than $4.5 billion original principal balance of notes were tendered and accepted. The tendered notes had substantially deleveraged and no longer provided Freddie Mac with capital relief.

Since the first CRT transaction in 2013, Freddie Mac’s Single-Family CRT program has cumulatively transferred approximately $99.9 billion in credit risk on more than $3 trillion in mortgages through STACR and ACIS. As of June 30, 2022, approximately 59% of the Single-Family mortgage portfolio was covered by credit enhancement.

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