Investments Lending

Freddie Mac makes more loan information available to risk-sharing deal investors

Also announces second STACR offering of 2016

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Aiming to increase confidence in its credit risk-sharing deals by providing more information to investors, Freddie Mac announced this week that it intends to increase the disclosures for all of its single-family credit-risk transfer initiatives moving forward.

Freddie Mac announced in December that it was going to begin making single-family loan-level data available for all of its fixed-rate mortgages. Previously, Freddie Mac provided loan-level and actual loss data for only its 30-year, fixed-rate single-family mortgage loans.

Now, Freddie Mac is enhancing its available loan data again.

"By providing more ongoing information, investors can better analyze our seasoned Credit Risk Transfer securities," said Kevin Palmer, senior vice president of Freddie Mac credit risk transfer. "Improved analytics reduces the uncertainty for internal valuation and secondary trading activities."

According to the government-sponsored enterprise, it will now make the following information available to its risk-sharing investors:

  • Updated credit scores for outstanding loans in all transactions provided quarterly
  • Updated mark-to-market loan-to-value ratios 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

Additionally, Freddie Mac announced that it is offering its second Structured Agency Credit Risk Series credit risk-sharing deal of 2016.

The deal, STACR 2016-HQA1, features debt notes of $475 million based on loans with LTVs between 80% and 95%.

STACR 2016-HQA1 has a reference pool of single-family mortgages with an unpaid principal balance of more than $17.5 billion, Freddie Mac said. The reference pool is a group of 30-year fixed-rate single-family mortgages acquired by Freddie Mac between April 1, 2015 and June 30, 2015.

With STACR 2016-HQA1, Freddie Mac will hold 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.

According to Freddie Mac, 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.


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