Freddie Mac announced
that it is continuing its efforts to limit the taxpayers’ liability by
obtaining a number of insurance policies designed to cover much of the
remaining credit risk associated with several of its Structured Agency Credit
Risk transactions from earlier this year.
The policies were obtained under the Agency Credit Insurance
Structure, which is intended to attract private capital from non-mortgage
guaranty insurers and reinsurers. According to Freddie Mac, and Backstops
STACR, the transactions are the first two ACIS deals that provide coverage
based on both first loss and actual losses realized on a reference pool of
residential mortgages.
The ACIS deal covers two STACR transactions, STACR
Series 2015-HQ1 and STACR Series 2015-DN1.
STACR Series 2015-HQ1 features a reference pool of 75,508
recently originated single-family mortgages with an unpaid principal balance of
more than $16.5 billion.
STACR Series 2015-DN1 was Freddie’s first deal to offer
investors the opportunity to secure actual loss positions. STACR Series 2015-DN1 was
upsized from $720 million to $1.01 billion due to market demand. It had a
reference pool of seasoned single-family mortgages originated in the fourth
quarter of 2012 with an unpaid principal balance of more than $31.9 billion.
Freddie Mac holds the senior loss risk in the reference pool, and a portion of
the risk in the Class M-1, M-2, M-3 and the first loss Class B tranche.
These two policies cover up to a combined maximum limit of
approximately $223 million of losses that Freddie Mac incurs when homeowners
default, Freddie said in a release.
These transactions take the total number of ACIS deals to
nine. Coupled with the 14 STACR deals, Freddie Mac has laid off a substantial
portion of credit risk on more than $313 billion of unpaid principal balance in
single-family mortgages.
“The reinsurance market’s response was very good for ACIS
coverage expanding to both first loss and actual losses,” Freddie Mac Vice
President of Single-Family Strategic Credit Costing and Structuring Kevin
Palmer said in a release. ”We continue to improve our innovative products while
supporting the nation’s housing markets.”