Freddie Mac, in conjunction with J.P. Morgan and BNP Paribas as co-lead managers and bookrunners, recently announced the price of its fourth Structured Agency Credit Risk (STACR) debt note offering at $787.5 million. STACR is an ongoing effort to transfer a portion of its mortgage credit risk to private investors.
STACR 2017-HQA2, the fourth STACR of 2017, is comprised of fixed-rate, single family mortgages with an original term between 20 to 30 years and a total unpaid principle balance of $31.6 billion. All mortgages in the pool were acquired by Freddie Mac between August 1, 2016 and November 30, 2016.
Pricing for the STACR Series 2017-HQA2 is as follows:
M-1 class had a LIBOR of one month plus a spread of 80 basis points.
M-2 class had a LIBOR of one month plus a spread of 265 basis points.
B-1 class had a LIBOR of one month plus a spread of 475 basis points.
All loans in the pool have a loan-to-value range of 80 percent to 97 percent, and Freddie Mac retains of all the risk for class M-1, M-2, and B-1. Freddie Mac also holds the senior risk, which remains unfunded, and may retain all or a portion of the first loss piece. Notes are paid on monthly principle, much like mortgage-backed private securities.
Freddie Mac also seeks to keep their reference pools diversified as to encourage more predictable performance and stability.