52
FREDDIE MAC
SINGLE-FAMILY
CRT EXPECTS
TO RAMP UP
VOLUME IN 2022
Freddie Mac has announced that its
single-family credit risk transfer (CRT)
program expects issuance volume of at least
$25 billion in 2022. e issuances are expected
to include primarily STACR (Structured
Agency Credit Risk) and ACIS (Agency
Credit Insurance Structure) transactions.
"Freddie Mac is responding to the capital
requirements established by the Enterprise
Regulatory Capital Framework (ERCF)
with plans to optimize our CRT offerings in
2022. We expect a record year for STACR
and ACIS issuance," said Freddie Mac's Mike
Reynolds, VP of Single-Family CRT.
e ERCF, which establishes risk-
based and leverage capital requirements for
Freddie Mac, requires Freddie Mac to hold
significantly more capital than it did under the
Conservatorship Capital Framework (CCF).
In addition to anticipated greater issuance
volume, the company expects to introduce new
slices of the M-1 tranche to its STACR on-
the-run offerings in 2022.
"We anticipate a market for M-1A and
M-1B, as well as the M-2 tranche among
sophisticated buyers seeking investment-grade
opportunities in agency risk," Reynolds said.
"at may be of special interest to investors
who expect to take advantage of any STACR
buybacks in 2022 and who are looking for a
way to redeploy their capital. We believe the
M-1A tranche could bring new capital into
the program."
Overall, the company expects to partly
offset 2022 issuances by $15 billion through
paydowns, repurchases, and call options. e
company conducted its first-ever tender offer
for STACR notes in 2021, retiring $1.6 billion
original principal balance of notes that had
substantially deleveraged (due to decreases
in credit risk of related reference pools and
increases in credit enhancement to STACR
securities), and that no longer provided
Freddie Mac with an economically sensible
means of transferring credit risk.
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