On Wednesday, Freddie Mac [1] priced a $1.32 billion Structured Agency Credit Risk (STACR), its largest STACR to date. Freddie Mac transfers a large portion of its mortgage credit risk on some groups of loans to private investors through STACR.
Pricing for STACR Series 2017-DNA2:
- M-1 class was one-month LIBOR plus a spread of 120 basis points.
- M-2 class was one month LIBOR plus a spread of 345 basis points.
- B-1 class was one month LIBOR plus a spread of 515 basis points.
- B-2 class was one month LIBOR plus a spread of 1,125 basis points.
STACR 2017-DNA2 pools single-family mortgages with an unpaid principal balance (UPB) of approximately $60.7 billion, consisting of a subset of fixed-rate, single-family mortgages with an original term of 241 to 360 months acquired by Freddie Mac between July 1 and Oct. 31 of 2016. The reference pool includes loans with LTVs ranging from 60 to 80 percent, 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 B-1 tranches, and also a significant portion of the first loss risk in the B-2 tranche.
Bank of America, Merrill Lynch, and Wells Fargo Securities are co-lead managers and joint bookrunners.
Freddie Mac notes that this is not an offer to sell and Freddie Mac securities. Instead, offers for any given security are made only through applicable offering circulars and related supplements, incorporating Freddie Mac’s Annual Report on Form 10-k for 2016, filed with the Securities and Exchange Commission (SEC) on February 16.
Freddie Mac has transferred a large portion of credit risk on around $727 billion of UPB on single-family mortgages since 2013. The GSE notes that since the introduction of STACR, as well as Agency Credit Insurance Structure and Whole Loan Securities, the company has since grown its investor base to more than 220 unique investors, including insurers and reinsurers.