MBA Chart of the Week: Cumulative STACR Debt Note and ACIS Transactions Year-End 2015
Freddie Mac’s 2015 10-K filing provides this week’s chart. It demonstrates the degree to which new forms of back-end single family credit risk transfers, begun in 2013, have distributed credit risk.
Freddie Mac has issued corporate debt securities which transfer a portion of the risk on a reference pool of mortgages, branded as Structured Agency Credit Risk securities and has negotiated reinsurance coverage, branded as Agency Credit Insurance Structures.
As of December on a reference pool of $384.6 billion, Freddie Mac cumulatively laid off about 4.2 percent of the first-loss and mezzanine risk ($16.3 billion) using these methods. It retained $2.8 billion of the non-senior tranches and have counterparty exposure to reinsurers on $3.6 billion.
The costs of placing credit risk with investors has varied with market conditions, with the recent widening of credit spreads leading to less favorable pricing.
To view the Chart of the Week, click https://www.mba.org/news-research-and-resources/forecasts-data-and-reports/forecasts-and-commentary/chart-of-the-week.
(Michael Fratantoni is chief economist and senior vice president of research and economics with the Mortgage Bankers Association. He can be reached at mfratantoni@mortgagebankers.org. Lynn Fisher is vice president of research and economics with MBA; she can be reached at lfisher@mba.org. Joel Kan associate vice president of economic forecasting with MBA; he can be reached at jkan@mortgagebankers.org).
