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Freddie Mac launches second risk-sharing cash securitization

Twice the size of first offering

Freddie Mac announced Thursday that it is bringing another credit risk-sharing cash securitization to market.

Freddie Mac issued its first cash securitization in July. The first Freddie Mac Whole Loan Security was an offering of approximately $300 million of guaranteed senior and unguaranteed subordinate actual loss securities.

Freddie Mac’s second Whole Loan Security is more than twice the size of the first such offering. The second offering is approximately $634.5 million of guaranteed senior and unguaranteed subordinate actual loss securities.

According to Freddie Mac, the second Whole Loan Security is the first to be rated.

Freddie Mac Whole Loan Securities Trust, Series 2015-SC02, a Freddie Mac trust, will issue approximately $593 million in guaranteed senior certificates and approximately $41 million in unguaranteed subordinate certificates, Freddie Mac said.

According to Freddie Mac, the collateral backing the certificates are 1,186 fixed-rate super conforming loans.

Freddie Mac said that the Whole Loan Security series “preserves many of the features found in Freddie Mac Gold PC's while leveraging traditional private label characteristics.”

According to Freddie Mac, key features of the deal include:

  • The underlying loans were originated, and will be serviced, in accordance with the Freddie Mac Single Family Seller/Servicer Guide
  • The certificates are backed by newly-originated super-conforming fixed-rate loans that, while eligible, were not delivered into TBA loan pools
  • Senior certificates guaranteed by Freddie Mac as to timely interest and ultimate principal
  • Principal payments on loans are allocated to senior and subordinate certificates on a pro-rata basis, subject to certain collateral performance and credit enhancement tests
  • The senior certificates, other than the interest-only certificates, have fixed coupons
  • The interest-only certificates and subordinate certificates have net weighted average coupons

Bank of America Merrill Lynch and Credit Suisse are co-lead managers and joint bookrunners; Barclays and Nomura are co-managers; and Loop Capital is a selling group member.

WLS 2015-SC02 is expected to settle later this month, Freddie Mac said.

Kevin Palmer, senior vice president of Freddie Mac credit risk transfer, said that deals like this will become more commonplace next year.

"This is our first rated senior/subordinate RMBS securitization," Palmer said. "We continue to grow WLS and expect to have quarterly issuances in 2016."

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