OVERVIEW Product Summary

STACR SPI transfers credit risk via a cash securitization. Mortgages funded by Freddie Mac’s cash window are deposited into a participation interest (PI) trust, in exchange for a participation interest (96%) and credit participation interest (4%) for each loan. The credit participation interests are deposited into the STACR SPI trust, which then issues non-guaranteed SPI certificates to investors.

Freddie Mac repurchases PIs from their respective trusts as permitted by a master trust agreement, generally when the related mortgage becomes 120 days delinquent. Repurchased PIs are deposited into the related SPI trust, which will then hold a 100% beneficial interest in the related mortgage. Any losses will be applied upon final disposition.

Interest and principal payments on underlying mortgages, whether received from borrowers or advanced by Freddie Mac, provide the funds for payment of certain expenses of SPI trust and for monthly distributions of interest and principal to investors. Payments are made sequentially within the SPI trust and losses are allocated in reverse sequential order. 


  • Cash securitization, fully collateralized by participation interests in mortgages purchased through Freddie Mac's cash window and eligible for delivery to Freddie Mac under the Guide
  • Freddie Mac sells 95% of the non-guaranteed SPI securities to investors, including first-loss bonds, while retaining a 5% vertical slice of the SPI securities and 100% of Class X, which meets EU risk retention criteria
  • SPI securities pay a net WAC coupon, based on the coupons of the related mortgage loans
  • SPI certificates have a maturity date tied to the collateral (30 years) and non-par pricing
  • Structure includes a constructive default mechanism, which allows for the buy-out of collateral from PI trusts (in accordance with the master trust agreement) while preserving credit risk protection afforded by the sale of the non-guaranteed SPI securities
  • SPI securities are REMIC regular interests and meet the REIT income and asset tests
  • Monthly interest and principal payments are paid sequentially
  • Losses from liquidated mortgages are allocated in reverse sequential order

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