Tag Archives: Credit Risk Transfer

The latest ACIS transaction transfers much of the remaining credit risk associated with the first actual loss STACR offering from April 2015 (STACR Series 2015 DNA1), and it transfers combined maximum limit of up to about $132.5 million in losses on single-family mortgage loans acquired by Freddie Mac in Q4 2012.

This transaction is the fourth in Fannie Mae's Credit Insurance Risk Transfer (CIRT) series, and third since the start of 2015. In the CIRT series, credit risk for a pool of loans is transferred to a panel of reinsurers.

Freddie Mac announced its intention on Monday to sell its first actual loss offering of loans with high loan-to-value (LTV) ratios, further expanding the GSE's Structured Agency Credit Risk (STACR) debt notes program.

FHFA said that going forward it will set specific goals in the annual conservatorship scorecard and work closely with staff members at Fannie Mae and Freddie Mac to help the GSEs develop and evaluate their credit risk transfer structures. FHFA is encouraging the GSEs to continue engaging in large volumes of meaningful credit risk transfer.

The latest transaction, CIRT-2015-2, became effective on July 1, 2015, with Fannie Mae retaining the risk for the first 50 basis points of loss on an $8.1 billion pool of loans.

Features of the enhanced dataset include information on credit performance up to, and including, property disposition. The credit information the new dataset provides includes event dates, the costs incurred by the credit event, and recovery proceeds that Fannie Mae receives.

Fannie Mae took two major steps this week in achieving its goal of increasing the role of private capital in the mortgage market through credit risk transfers in order to reduce taxpayer risk, as set forth by its conservator, the Federal Housing Finance Agency (FHFA).

Freddie Mac obtained insurance policies through these ACIS transactions that move much of the remaining credit risk associated with two Structured Agency Credit Risk (STACR) debt notes executed earlier this year to a panel of insurers and reinsurers.

Freddie Mac has laid off a portion of credit risk on more than $281 billion in unpaid principal balance for single-family mortgages through 13 STACR offerings and seven Agency Credit Insurance Structure (ACIS) transactions. More than one million loans have been represented in those transactions.

U.S. Senators Mark R. Warner (D-Virginia), Bob Corker (R-Tennessee), Heidi Heitkamp (D-North Dakota), Mike Crapo (R-Idaho), Jon Tester (D-Montana), and Dean Heller (R-Nevada) sent a letter to the FHFA Director Mel Watt, requesting for clarity in risk sharing transactions to help drive competition in the secondary mortgage market.