Freddie Mac reports that its Single-Family Credit Risk Transfer (CRT) Program has closed its 100th ACIS (Agency Credit Insurance Structure) transaction.
Since the first transaction in 2013, Freddie Mac has credit-protected more than $2.5 trillion in unpaid principal balance (UPB) of mortgage loans via $35 billion of ACIS coverage with reinsurers.
“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,” says Christian Valencia, vice president of single-family CRT for Freddie Mac, in a release. “Whether as stand-alone transactions or paired with our pioneering 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.”
The 100th transaction, ACIS 2024-SPH2, transfers risk on an initial reference pool of fully amortizing 20-year to 30-year fixed rate first lien mortgages with original LTVs greater than 80 percent and less than or equal to 97 percent. The total limit of liability is $376 million. The transaction executed in the third quarter.
“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,” adds Jeff Shue, head of the ACIS program. “The commitment of our (re)insurance counterparties has contributed much to making ACIS the innovative and respected credit risk transfer vehicle it is today.”
Total CRT issuance from Freddie Mac’s flagship STACR and ACIS transactions in the first half of 2024 approached $3.2 billion, protecting more than $99 billion UPB of mortgage loans. Issuance included three STACR and four ACIS transactions.
Additionally in the first half, the company executed two tender offers for approximately $2.2 billion aggregate unpaid principal balance of STACR notes and executed call options on six ACIS transactions with a risk in force of approximately $525 million.
Most of the tendered and redeemed STACR notes and called ACIS tranches in these transactions had substantially deleveraged and therefore no longer provided Freddie Mac with capital relief.
As of June 30, approximately 62% of the Freddie Mac Single-Family mortgage portfolio was covered by credit enhancement including private mortgage insurance.
Photo: Ante Hamersmit