Freddie Mac announced today it will expand its leading single-family credit risk transfer initiatives by enhancing disclosures. The mortgage re-seller announced its intent to sell its next offering of Structured Agency Credit Risk (STACR) debt notes, STACR 2016-HQA1, pending market conditions. This is the company’s second STACR offering this year. The program transfers a portion of its credit risk on certain single-family loans to private capital market investors.
The enhanced disclosures for all single-family credit risk transfer initiatives will include:
- Updated credit scores for outstanding loans in all transactions provided quarterly.
- Updated mark-to-market LTVs that leverage the estimated property value from Freddie Mac’s proprietary Home Value Explorer Automated Valuation Model tool provided quarterly.
- Loan-level mortgage insurance details, identifying lender-paid versus borrower-paid mortgage insurance.
- Additional details for loan modifications, such as modification program, type and step-rate information.
“By providing more ongoing information, investors can better analyze our seasoned credit risk transfer securities,” Kevin Palmer, senior vice president of Freddie Mac Credit Risk Transfer wrote in a press release. “Improved analytics reduces the uncertainty for internal valuation and secondary trading activities.”
Freddie Mac holds the senior loss risk in the capital structure and a portion of the risk in the class M-1, M-2 and M-3 tranches and the first loss class B tranche. The STACR 2016-HQA1 offering of loans has LTVs ranging from 80 to 95 percent. The loans have a reference pool of single-family mortgages with an unpaid principal balance of more than $17.5 billion. The reference pool consists of a subset of 30-year fixed-rate single-family mortgages acquired by Freddie Mac between April 1, 2015 and June 30, 2015.
Barclays and Wells Fargo Securities will serve as co-lead managers and joint bookrunners. Cantor Fitzgerald, Deutsche Bank Securities, J.P. Morgan and Nomura are co-managers. Ramirez and Co. Inc. is the selling group member.
Freddie Mac has a STACR issuance calendar to help investors plan their allocations posted online here.
