Freddie Mac announced its intention on Monday to sell its first actual loss offering of loans with high loan-to-value (LTV) ratios, further expanding the GSE's Structured Agency Credit Risk (STACR) debt notes program.
The offering, STACR HQA series, includes loans with LTVs ranging from 80 to 95 percent. The STACR 2015-HQA1 offering is Freddie Mac's sixth STACR offering of 2015 and 15th overall since the program began in 2013. The first 14 STACR transactions have resulted in the transfer of credit risk on $235.5 billion in unpaid principal balance (UPB), according to a report released by Freddie Mac's conservator, the FHFA, in August.
In addition to Monday's announcement of the STACR HQA series, Freddie Mac also announced it will provide STACR preliminary payment disclosure on the fourth business day of every month following the release of Participation Certificate (PC) disclosures instead of the 25th.
"The STACR market is becoming more sensitive to prepayment speeds, and these changes provide investors with access to the information as soon as possible," said Mike Reynolds, Freddie Mac VP of Credit Risk Transfer. "Our goal is to be attuned to what the market is looking for and to adjust our disclosures accordingly."
"Our goal is to be attuned to what the market is looking for and to adjust our disclosures accordingly."
The STACR 2015-HQA1 offering, $872 million, will be the third STACR transaction for Freddie Mac in which in which losses are allocated based on actual losses realized on the related reference obligations instead of using a fixed severity approach to allocate losses, according to Freddie Mac. The transaction includes a reference pool of single-family residential mortgages with a UPB of more than $19 million. The loans in the reference pool are 30-year fixed rate loans acquired by Freddie Mac between August, 1, 2014, and November 30, 2015, and all have LTVs ranging from 80 to 95 percent, Freddie Mac reported.
The co-lead managers and joint bookrunners for the STACR 2015-HQA1 offering are Bank of America Merrill Lynch and Nomura, while Deutsche Bank and BNP Paribas are co-managers for the deal. Williams Capital will be a selling group member, according to Freddie Mac.