Freddie Mac’s Single-Family CRT Program completes its 100th transaction

Freddie Mac’s Single-Family Credit Risk Transfer (CRT) Program has successfully closed its 100th Agency Credit Insurance Structure (ACIS) transaction.

This ACIS 2024-SPH2 transaction executed in Q3 transfers risk on an initial reference pool of fully amortising, 20-30 year fixed-rate first lien mortgages with original LTVs greater than 80% and less than or equal to 97%, with a total limit of liability of $376 million.

Since the first transaction in 2013, Freddie Mac has credit-protected more than $2.5 trillion unpaid principal balance (UPB) of mortgage loans via $35 billion of ACIS coverage with re/insurers.

The company has also cumulatively transferred approximately $111 billion of credit risk on over $3.5 trillion of single-family mortgages through more than 190 STACR, and ACIS transactions and other risk-sharing transactions.

Christian Valencia, Vice President of Single-Family CRT, Freddie Mac, commented: “For over a decade, the ACIS program has helped reduce Freddie Mac’s credit risk while offering (re)insurers worldwide an opportunity to invest in and support the U.S. single-family residential credit market.

“Whether as stand-alone transactions or paired with our pioneering STACR® (Structured Agency Credit Risk) offerings, every ACIS contract features large, well-diversified loan reference pools managed according to Freddie Mac’s end-to-end risk mitigation protocols.”

Freddie Mac Single-Family CRT in Q1 2024 has a total CRT issuance from its flagship STACR and ACIS transactions of approximately $3.2 billion, protecting more than $99 billion UPB of mortgage loans. Issuance also included three STACR and four ACIS transactions.

Additionally, the firm also executed two tender offers for approximately $2.2 billion aggregate in unpaid principal balance of STACR notes and executed call options on six ACIS transactions with a risk in force of about $525 million.

Most of the tendered and redeemed STACR notes and called ACIS tranches had substantially deleveraged and no longer provided Freddie Mac with capital relief.

As of June 30th, 2024, approximately 62% of the Freddie Mac Single-Family mortgage portfolio was covered by credit enhancement including private mortgage insurance.

Jeff Shue, Head of the ACIS program and Senior Director, Freddie Mac concluded: “We’re proud to have worked with nearly 60 (re)insurers from the very first ACIS transaction to the 100th and we’re grateful for their years of support.

“The commitment of our (re)insurance counterparties has contributed much to making ACIS the innovative and respected credit risk transfer vehicle it is today.”

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