Investments

Freddie Mac announces fourth actual loss risk-sharing deal

New STACR deal offers actual-loss position on reference pool of $34.7 billion

Freddie Mac announced Thursday that it plans to offer its fourth Structured Agency Credit Risk series offering featuring actual-loss positions.

The deal, STACR Series 2015-DNA3, will be Freddie Mac’s seventh STACR deal of 2015 that features more than $1 billion worth of debt notes.

This STACR Series 2015-DNA3 offering is Freddie Mac’s fourth transaction where losses will be allocated based on the actual losses realized on the related reference obligations instead of allocating losses using a fixed severity approach.

Freddie Mac’s most recent actual loss STACR offering featured the actual-loss position on loans with loan-to-value ratios ranging from 80% to 95%.

That offering was part of Freddie Mac’s HQA series, which features higher LTV loans, while the new offering, STACR Series 2015-DNA3, is part of the DNA series, which features loans with lower LTVs.

STACR Series 2015-DNA3 has a reference pool of single-family mortgages acquired from December 2014 through March 2015 with an unpaid principal balance of more than $34.7 billion.

Under the terms of the transaction, Freddie Mac holds the senior loss risk in the reference pool, and a portion of the risk in the Class M-1, M-2, M-3, and the first loss Class B tranche.

J.P. Morgan and Morgan Stanley will serve as co-lead managers and joint bookrunners for STACR Series 2015-DNA3. Barclays and Credit Suisse are co-managers and Loop Capital is a selling group member. The offering is scheduled to settle on or around Nov. 9, 2015.

STACR Series 2015-DNA3 is Freddie Mac’s 15th STACR offering, as the government-sponsored enterprise pushes to offload some of its credit risk onto the private market.

In combination with 10 offerings from its Agency Credit Insurance Structure, which is intended to attract private capital from non-mortgage guaranty insurers and reinsurers, Freddie Mac has laid off a substantial portion of credit risk on more than $330 billion of unpaid principal balance in single-family mortgages in the last several years.

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