Freddie Mac’s CRT program records record performance

freddie mac It recorded a record credit risk transfer (CRT) issuance of nearly $15 billion in the first half of the year and protected $358 billion in single-family mortgages.

In the second quarter alone, Freddie Mac posted a record $6.5 billion in CRT issuance and protected $151 billion in single-family home loans.

Total offerings combined the agency’s flagship Structured Agency Credit Risk (STACR) and Agency Credit Insurance Structure (ACIS) programs, as well as other risk-sharing deals.

Agency flagship products alone generated $14.6 billion in issuance in the first half of 2022 through six STACR and eight ACIS transactions. This includes his $1.9 billion issuance called STACR 2022-DNA2, the agency’s largest ever CRT issuance.

Freddie Mac also introduced a new ACIS trading structure this year. This includes his ACIS 2022-COR1, the first offering to consist solely of cash-out refinancing loans as collateral. ACIS 2022-AFH1 reduces credit risk for government agencies by providing insurance protection when purchasing loans.

“ACIS 2022-AFH1, which took effect in June, accelerated the placement of loans into ACIS transactions by allowing underwriters to evaluate trade collateral through proxy pools of previously securitized loans. did,” said Freddie Mac’s description of the deal.

Through the ACIS transaction, a portion of the credit risk on the mortgages insured by Fanny and Freddie will be transferred to a private sector insurer. The agency pays a monthly premium in exchange for insurance for a portion of the designated reference loan pool.

Through Freddie Mac’s STACR transaction, a private investor participates in sharing with the agency a portion of the mortgage credit risk of the reference loan pool held by the agency. The investor receives principal and interest payments on his STACR notes purchased, but if credit losses exceed a pre-defined threshold for each security issued, the investor may mark Responsible for absorbing excess losses.

On the other side, in the first half of 2022, Freddie Mac’s Single Family CRT program will make two tender offers for certain STACR bonds, resulting in more than $4.5 billion ) was tendered and accepted. For example, issue prices for bonds issued in the second issue, STACR 2022-TO2, ranged from $1,000.63 to $1,017.81 per $1,000 principal amount outstanding, depending on the vintage of the series. This note is linked to five credit risk transfer (CRT) securitization transactions completed in 2019 and three completed in 2018.

“The purpose of the STACR tender offer is to buy back the STACR notes that have been significantly deleveraged (by reducing the credit risk of the associated reference pool and increasing the credit “It’s about controlling Mac’s costs and no longer providing Freddie Mac with an economically sensible means of transferring credit risk,” Freddie Mac said of the tender transaction. “Following the tender offer transaction, all bills tendered and accepted in the tender offer will be repealed and cancelled.”

Since launching its first CRT transaction in 2013, Freddie Mac has transferred approximately $100 billion of credit risk on more than $3 trillion of single-family mortgages through its STACR and ACIS programs. The institution’s single-family mortgage portfolio was covered by some form of credit enhancement.

Mike Reynolds, Freddie Mac’s Vice President of Single Family CRTs, said: “New in the second quarter he added 17 investors/(re)insurers, demonstrating continued market demand for our services and the largest average investor in the history of the program. It shows that we have established a base.”

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