OVERVIEW Product Summary

Developed in 2013, Structured Agency Credit Risk (STACR®) Debt was the first GSE credit risk transfer program. STACR reduces taxpayer credit exposure through the issuance of unsecured and non-guaranteed notes whose principal payments are determined by the delinquency and principal payment performance of a reference pool consisting of recently acquired single-family mortgages from a specified period. In STACR debt, Freddie Mac makes payments of principal and interest on the notes to investors. Principal is reduced to the extent there are losses on the mortgages in the related reference pool.

Freddie Mac introduced STACR Trust in the second quarter of 2018 as an enhancement to STACR debt. Under this structure, Freddie Mac pays a credit premium payment to the Trust and benefits from the credit risk transfer through a reduction in note balances for defined credit events on the reference pool. The trust makes periodic payments of principal and interest on the notes to investors, and Freddie Mac receives payments from the Trust that otherwise would have been made to the noteholders to the extent there are certain defined credit events on the mortgages in the related reference pool.

The key difference between STACR Trust and STACR Debt is that STACR Trust transactions are issued out of a third-party, bankruptcy-remote trust.

Characteristics

  • Large diversified reference pools
  • Notes are highly liquid—approximately $2 billion of buy/sell trades per month
  • Losses based on credit events in the reference pool are allocated to the STACR notes in reverse order of seniority and reduce the balance of such notes
  • STACR notes have been issued under the following series:
    • 1. DNA (actual loss) and DN (fixed severity) - Collateral with LTVs 61 - 80;
    • 2. HQA (actual loss) and HQ (fixed severity) - Collateral with LTVs 81 - 97;
    • 3. HRP (actual loss) - HARP and Relief Refi collateral
  • Junior mezzanine notes are not guaranteed by Freddie Mac and are sold to investors
  • Principal is allocated to the notes sequentially on a monthly basis, similar to a senior/subordinate private label residential mortgage backed securities structure
  • Freddie Mac holds the senior risk, which is unfunded and not issued
  • Freddie Mac may retain all or a portion of the first-loss piece
  • STACR notes have a 10-year final maturity for fixed severity transactions and 12.5-year final for actual loss transactions. STACR HRP deals have extended maturities up to the original life of the loans in the reference pool.

Pricing

STACR�
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STACR Legal Documents

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