Freddie Mac recently announced its intent to sell another Structured Agency Credit Risk (STACR) debt notes offering, according to a report from the GSE. This is reportedly the seventh one from Freddie Mac this year. The report states that through STACR, Freddie Mac transfers a significant portion of its mortgage credit risk on certain groups of loans to private investors.
STACR 2016-DNA4 has a reference pool of single-family mortgages with an unpaid principal balance of more than $24.8 billion, consisting of a subset of 30-year fixed-rate single-family mortgages recently acquired by Freddie Mac. The report states that 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.
J.P. Morgan and Wells Fargo Securities will serve as co-lead managers and joint bookrunners, according to the report.
The report states that Freddie Mac has led the market in introducing new credit risk-sharing initiatives with STACR, Agency Credit Insurance Structure (ACIS) and Whole Loan Securities (WLS(SM)), and was the first agency to market these types of credit risk transfer transactions. The company states that it has since grown its investor base to more than 200 unique investors, including insurers and reinsurers. Additionally, since 2013, the company has transferred a significant portion of credit risk on nearly $530 billion of UPB on single-family mortgages.
The report states that this announcement is not an offer to sell any Freddie Mac securities. Instead, offers for any given security are made only through applicable offering circulars and related supplements, which incorporate Freddie Mac's Annual Report on Form 10-K for the year ended December 31, 2015, filed with the Securities and Exchange Commission (SEC) on February 18, 2016. The report also states that all other reports Freddie Mac filed with the SEC pursuant to Section 13(a) of the Securities Exchange Act of 1934 (Exchange Act) since December 31, 2015, excluding any information furnished to the SEC on Form 8-K; and all documents that Freddie Mac files with the SEC pursuant to Sections 13(a), 13(c) or 14 of the Exchange Act, excluding any information furnished to the SEC on Form 8-K.