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
    • 4. FTR (actual loss)- Off-the-run Non-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 issued through June 2018. Subsequent actual loss transaction have transitioned to term.

STACR Trust Diagram

STACR Trust Diagram

Pricing

STACR�
Closing Date
Aggregation Period
Total Bond Issuance
Bond Issuance
Spread
Initial Credit Enhancement
Rating

STACR 2019-FTR1

May 21, 2019
November 2016 - November 2017

$140,000,000

B2: $140,000,000

B2: 8.35%

B2: 0.10%

N/A

B2: NR/NR

STACR 2019-HQA2

May 7, 2019
July 2018 - September 2018

$615,000,000

M1: $140,000,000

M2: $280,000,000

B1: $125,000,000

B2: $70,000,000

M1: 0.70%

M2: 2.05%

B1: 4.10%

B2: 11.25%

M1: 3.50%

M2: 1.50%

B1: 0.60%

B2: 0.10%

KBRA/S&P

M1: BBB/BBB

M2: BB-/B+

B1: NR/NR

B2: NR/NR

STACR 2019-DNA2

March 26, 2019
July 2018 - September 2018

$608,000,000

M1: $110,000,000

M2: $352,000,000

B1: $73,000,000

B2: $73,000,000

M1: 0.80%

M2: 2.450%

B1: 4.35%

B2: 10.50%

M1: 3.50%

M2: 1.10%

B1: 0.60%

B2: 0.10%

S&P/FTCH

M1: A-/BBB-

M2: B+/B

B1: B-/NR

B2: NR/NR

STACR 2019-HQA1

February 26, 2019
April 2018 - June 2018

$640,000,000

M1: $131,000,000

M2: $305,000,000

B1: $131,000,000

B2: $73,000,000

M1: 0.900%

M2: 2.350%

B1: 4.400%

B2: 12.250%

M1: 3.600%

M2: 1.500%

B1: 0.600%

B2: 0.100%

S&P/FTCH

M1: BBB(sf)/BBB-

M2: B+/B+

B1: NR/NR

B2: NR/NR

STACR 2019-DNA1

January 30, 2019
April 2018 - June 2018

$714,000,000

M1: $215,000,000

M2: $327,000,000

B1: $86,000,000

B2: $86,000,000

M1: 0.900%

M2: 2.650%

B1: 4.650%

B2: 10.750%

M1: 3.000%

M2: 1.100%

B1: 0.600%

B2: 0.100%

S&P/DBRS

M1: BBB+/BBB

M2: B+/B (high)

B1: B-/B (low)

B2: NR/NR

STACR 2018-HRP2

November 20, 2018
April 2013 - December 2016

$1,300,000,000

M1: $170,000,000

M2: $226,000,000

M3: $452,000,000

B1: $226,000,000

B2: $226,000,000

M1: 0.850%

M2: 1.250%

M3: 2.400%

B1: 4.200%

B2: 10.500%

M1: 5.250%

M2: 4.250%

M3: 2.250%

B1: 1.250%

B2: 0.250%

S&P/MSTR

M1: A+/A

M2: A/A-

M3: BBB-/BB+

B1: BB-/B+

B2: NR/NR

STACR 2018-HQA2

October 24, 2018
October 2017 - March 2018

$1,000,000,000

M1: $256,000,000

M2: $476,000,000

B1: $128,000,000

B2: $140,000,000

M1: 0.750%

M2: 2.300%

B1: 4.250%

B2: 11.000%

M1: 3.000%

M2: 1.150%

B1: 0.650%

B2: 0.100%

S&P/MSTR

M1: BBB-/A-

M2: B+/BB+

B1: NR/NR

B2: NR/NR

STACR 2018-DNA3

September 21, 2018
December 2017 - March 2018

$820,000,000

M1: $210,000,000

M2: $400,000,000

B1: $105,000,000

B2: $105,000,000

M1: 0.750%

M2: 2.100%

B1: 3.900%

B2: 7.750%

M1: 3.000%

M2: 1.100%

B1: 0.600%

B2: 0.100%

S&P/KBRA

M1: BBB+/BBB+

M2: B+/BB

B1: B-/B

B2: NR/NR

STACR 2018-DNA2

June 20, 2018
November 2016 - November 2017

$1,050,000,000

M1: $350,000,000

M2: $525,000,000

B1: $175,000,000

B2: Retained

M1: 0.800%

M2: 2.150%

B1: 3.700%

B2: 10.500% (Indicative)

M1: 2.500%

M2: 1.000%

B1: 0.500%

B2: 0.000%

S&P/MSTR

M1: BBB+/A-

M2: B+/BB+

B1: BB-/B-

B2: NR/NR

STACR 2018-HRP1

May 21, 2018
January 2012 - March 2013

$880,000,000

M1: Retained

M2: $362,000,000

B1: $259,000,000

B2: $259,000,000

M1: 0.800% (Indicative)

M2: 1.650%

B1: 3.750%

B2: 11.750%

M1: 4.250%

M2: 2.500%

B1: 1.250%

B2: 0.000%

FTCH/MSTR

M1: NR/NR

M2: BB-/BBB-

B1: NR/NR

B2: NR/NR

STACR 2018-HQA1

March 28, 2018
April 2017 - September 2017

$985,000,000

M1: $225,000,000

M2: $620,000,000

B1: $140,000,000

B2: Retained

M1: 0.700%

M2: 2.300%

B1: 4.350%

B2: 11.000% (Indicative)

M1: 3.200%

M2: 2.100%

B1: 0.500%

B2: 0.000%

FTCH/MSTR

M1: BBB-/A

M2: B/BB

B1: NR/NR

B2: NR/NR

STACR 2018-DNA1

January 30, 2018
April 2017 - July 2017

$900,000,000

M1: $230,000,000

M2: $540,000,000

B1: $130,000,000

B2: Retained

M1: 0.450%

M2: 1.800%

B1: 3.150%

B2: 9.500% (Indicative)

M1: 3.100%

M2: 1.000%

B1: 0.500%

B2: 0.000%

FTCH/KBRA

M1: BBB-/BBB+

M2: B/BB-

B1: NR/NR

B2: NR/NR

STACR 2017-HRP1

December 13, 2017
April 2009 - December 2011

$200,000,000

Par/Disc./IO

M1: Retained

M2: $80,000,000 / $20,000,000/–

B1: $50,000,000 / $25,000,000 / $25,000,000

B2: –/$25,000,000/–

M1: 0.800% (Indicative)

M2: 2.450%/1.250%/–

B1: 4.600%/2.500%/6.07 Mult

B2: –/3.000%/–

M1: 3.750%

M2: 1.500%

B1: 0.750%

B2: 0.000%

FTCH/MSTR

M1: NR/NR

M2: B/BB-

B1: NR/NR

B2: NR/NR

STACR 2017-HQA3

October 18, 2017
December 2016 - March 2017

$600,000,000

M1: $120,000,000

M2: $405,000,000

B1: $75,000,000

B2: Retained

M1: 0.550%

M2: 2.350%

B1: 4.450%

B2: 13.000% (Indicative)

M1: 3.700%

M2: 1.000%

B1: 0.500%

B2: 0.000%

MDYS/MSTR

M1: Baa3/A+

M2: B2/BB+

B1: NR/NR

B2: NR/NR

STACR 2017-DNA3

October 4, 2017
November 2016 - March 2017

$1,200,000,000

M1: $400,000,000

M2: $600,000,000

B1: $200,000,000

B2: Retained

M1: 0.750%

M2: 2.500%

B1: 4.450%

B2: 11.000% (Indicative)

M1: 2.500%

M2: 1.000%

B1: 0.500%

B2: 0.000%

DBRS/FTCH

M1: BBB (Low)/BBB-

M2: B (High)/B+

B1: NR/NR

B2: NR/NR

STACR 2017-HQA2

June 20, 2017
August 2016 - November 2016

$787,500,000

M1: $225,000,000

M2: $450,000,000

B1: $112,500,000

B2: Retained

M1: 0.800%

M2: 2.650%

B1: 4.750%

B2: 12.000% (Indicative)

M1: 3.000%

M2: 1.000%

B1: 0.500%

B2: 0.000%

FTCH/KBRA

M1: BBB-/BBB

M2: B/B+

B1: NR/NR

B2: NR/NR

STACR 2017-DNA2

April 11, 2017
July 2016 - October 2016

$1,320,000,000

M1: $516,000,000

M2: $559,000,000

B1: $215,500,000

B2: $30,000,000

M1: 1.200%

M2: 3.450%

B1: 5.150%

B2: 11.250%

M1: 2.300%

M2: 1.000%

B1: 0.500%

B2: 0.000%

FTCH/MSTR

M1: BBB-/BBB+

M2: B+/BB+

B1: NR/NR

B2: NR/NR

STACR 2017-HQA1

February 22, 2017
April 2016 - July 2016

$752,000,000

M1: $210,000,000

M2: $472,500,000

B1: $55,000,000

B2: $15,000,000

M1: 1.200%

M2: 3.550%

B1: 5.000%

B2: 12.750%

M1: 3.250%

M2: 1.000%

B1: 0.500%

B2: 0.000%

FTCH/MDYS

M1: BBB-/Baa3

M2: B/B2

B1: NR/NR

B2: NR/NR

STACR 2017-DNA1

February 7, 2017
April 2016 - July 2016

$802,000,000

M1: $290,000,000

M2: $375,500,000

B1: $120,000,000

B2: $17,000,000

M1: 1.200%

M2: 3.250%

B1: 4.950%

B2: 10.000%

M1: 2.550%

M2: 1.000%

B1: 0.500%

B2: 0.000%

FTCH/KBRA

M1: BBB-/BBB

M2: B+/BB

B1: NR/NR

B2: NR/NR

STACR 2016-HQA4

October 25, 2016
January 2016 - March 2016

$478,000,000

M1: $125,000,000

M2: $125,000,000

M3: $210,000,000

B: $18,000,000

M1: 0.800%

M2: 1.300%

M3: 3.900%

B: 8.750%

M1: 4.275%

M2: 3.050%

M3: 1.000%

B: 0.000%

FTCH/DBRS

M1: BBB/A (Low)

M2: BBB-/BBB (Low)

M3: B/NR

B: NR/NR

STACR 2016-DNA4

September 30, 2016
January 2016 - March 2016

$739,000,000

M1: $177,000,000

M2: $177,000,000

M3: $354,000,000

B: $31,000,000

M1: 0.800%

M2: 1.300%

M3: 3.800%

B: 8.600%

M1: 4.000%

M2: 3.000%

M3: 1.000%

B: 0.000%

FTCH/KBRA

M1: BBB/A-

M2: BBB-/BBB+

M3: B/BB-

B: NR/NR

STACR 2016-HQA3

September 16, 2016
October 2015 - December 2015

$515,000,000

M1: $143,000,000

M2: $148,000,000

M3: $203,000,000

B: $20,000,000

M1: 0.800%

M2: 1.350%

M3: 3.850%

B: 9.000%

M1: 4.200%

M2: 2.850%

M3: 1.000%

B: 0.000%

FTCH/KBRA

M1: BBB/BBB+

M2: BBB-/BBB

M3: B+/B+

B: NR/NR

STACR 2016-DNA3

June 14, 2016
October 2015 - December 2015

$795,000,000

M1: $190,000,000

M2: $180,500,000

M3: $389,500,000

B: $35,000,000

M1: 1.100%

M2: 2.000%

M3: 5.000%

B: 11.250%

M1: 4.000%

M2: 3.050%

M3: 1.000%

B: 0.000%

FTCH/DBRS

M1: BBB/A (Low)

M2: BBB-/BBB

M3: B/NR

B: NR/NR

STACR 2016-HQA2

June 1, 2016
July 2015 - September 2015

$627,000,000

M1: $134,000,000

M2: $201,000,000

M3: $268,000,000

B: $24,000,000

M1: 1.200%

M2: 2.250%

M3: 5.150%

B: 11.500%

M1: 4.500%

M2: 3.000%

M3: 1.000%

B: 0.000%

KBRA/MDYS

M1: A-/A3

M2: BBB/Baa3

M3: B+/B1

B: NR/NR

STACR 2016-DNA2

May 10, 2016
July 2015 - September 2015

$916,000,000

M1: $187,000,000

M2: $198,500,000

M3: $495,500,000

B: $36,000,000

M1: 1.250%

M2: 2.200%

M3: 4.650%

B: 10.500%

M1: 4.150%

M2: 3.250%

M3: 1.000%

B: 0.000%

MDYS/S&P

M1: Baa1/BBB

M2: Baa3/BBB-

M3: B1/B

B: NR/NR

STACR 2016-HQA1

March 15, 2016
April 2015 - June 2015

$475,000,000

M1: $110,000,000

M2: $120,000,000

M3: $220,000,000

B: $25,000,000

M1: 1.750%

M2: 2.750%

M3: 6.350%

B: 12.750%

M1: 4.400%

M2: 3.200%

M3: 1.000%

B: 0.000%

FTCH/DBRS

M1: BBB/A

M2: BBB-/BBB (High)

M3: B/NR

B: NR/NR

STACR 2016-DNA1

January 21, 2016
April 2015 - June 2015

$996,000,000

M1: $252,000,000

M2: $240,000,000

M3: $468,000,000

B: $36,000,000

M1: 1.450%

M2: 2.900%

M3: 5.550%

B: 10.000%

M1: 3.950%

M2: 2.950%

M3: 1.000%

B: 0.000%

FTCH/MDYS

M1: BBB/Baa2

M2: BBB-/Baa3

M3: B/B1

B: NR/NR

STACR 2015-HQA2

December 8, 2015
December 2014 - March 2015

$590,000,000

M1: $100,000,000

M2: $245,000,000

M3: $195,000,000

B: $50,000,000

M1: 1.150%

M2: 2.800%

M3: 4.800%

B: 10.500%

M1: 5.400%

M2: 2.950%

M3: 1.000%

B: 0.000%

KBRA/FTCH

M1: A/A-

M2: BBB/BBB-

M3: B+/B

B: NR/NR

STACR 2015-DNA3

November 9, 2015
December 2014 - March 2015

$1,070,000,000

M1: $200,000,000

M2: $440,000,000

M3: $330,000,000

B: $100,000,000

M1: 1.350%

M2: 2.850%

M3: 4.700%

B: 9.350%

M1: 4.850%

M2: 2.650%

M3: 1.000%

B: 0.000%

DBRS/FTCH

M1: A (High)/A-

M2: BBB/BBB-

M3: NR/B

B: NR/NR

STACR 2015-HQA1

September 28, 2015
August 2014 - November 2014

$872,000,000

M1: $160,000,000

M2: $360,000,000

M3: $272,000,000

B: $80,000,000

M1: 1.250%

M2: 2.650%

M3: 4.700%

B: 8.800%

M1: 4.950%

M2: 2.700%

M3: 1.000%

B: 0.000%

FTCH/KBRA

M1: A-/A-

M2: BBB-/BBB-

M3: B+/B+

B: NR/NR

STACR 2015-DNA1

September 28, 2015
October 2012 - December 2012

$1,010,000,000

M1: $280,000,000

M2: $280,000,000

M3: $350,000,000

B: $100,000,000

M1: 0.900%

M2: 1.850%

M3: 3.300%

B: 9.200%

M1: 3.250%

M2: 2.250%

M3: 1.000%

B: 0.000%

FTCH/MDYS

M1: AA-/A3

M2: A/Baa3

M3: BB+/B1

B: NR/NR

STACR 2015-DNA2

June 29, 2015
August 2014 - November 2014

$950,000,000

M1: $200,000,000

M2: $400,000,000

M3: $200,000,000

B: $150,000,000

M1: 1.150%

M2: 2.600%

M3: 3.900%

B: 7.550%

M1: 4.500%

M2: 2.500%

M3: 1.500%

B: 0.000%

KBRA/MDYS

M1: A/A3

M2: BBB/Baa3

M3: BB+/B1

B: NR/NR

STACR 2015-HQ2

June 9, 2015
January 2013 - September 2013

$425,600,000

M1: $114,000,000

M2: $140,600,000

M3: $95,000,000

B: $76,000,000

M1: 1.100%

M2: 1.950%

M3: 3.250%

B: 7.950%

M1: 4.100%

M2: 2.250%

M3: 1.000%

B: 0.000%

FTCH/MDYS

M1: A/A2

M2: BBB/Baa2

M3: BB/Ba2

B: NR/NR

STACR 2015-HQ1

March 31, 2015
April 2014 - July 2014

$860,000,000

M1: $266,000,000

M2: $266,000,000

M3: $228,000,000

B: $100,000,000

M1: 1.050%

M2: 2.200%

M3: 3.800%

B: 10.750%

M1: 4.750%

M2: 3.000%

M3: 1.500%

B: 0.000%

KBRA/MDYS

M1: A-/A1

M2: BBB-/Baa1

M3: B+/Ba1

B: NR/NR

STACR 2015-DN1

February 3, 2015
April 2014 - July 2014

$880,000,000

M1: $230,000,000

M2: $230,000,000

M3: $345,000,000

B: $75,000,000

M1: 1.250%

M2: 2.400%

M3: 4.150%

B: 11.500%

M1: 3.500%

M2: 2.500%

M3: 1.000%

B: 0.000%

DBRS/MDYS

M1: A/A2

M2: BBB/Baa1

M3: NR/Ba1

B: NR/NR

STACR 2014-HQ3

October 28, 2014
January 2014 - March 2014

$429,400,000

M1: $133,000,000

M2: $125,400,000

M3: $171,000,000

B: —

M1: 1.650%

M2: 2.650%

M3: 4.750%

B: –

M1: 4.750%

M2: 3.100%

M3: 0.850%

B: —

FTCH/MDYS

M1: A-/A1

M2: BBB-/Baa1

M3: NR/NR

B: –/–

STACR 2014-DN4

October 28, 2014
January 2014 - March 2014

$611,000,000

M1: $130,000,000

M2: $169,000,000

M3: $312,000,000

B: —

M1: 1.400%

M2: 2.400%

M3: 4.550%

B: –

M1: 4.200%

M2: 2.900%

M3: 0.500%

B: —

FTCH/MDYS

M1: A-/A1

M2: BBB-/A3

M3: NR/NR

B: –/–

STACR 2014-HQ2

September 15, 2014
January 2013 - September 2013

$770,000,000

M1: $280,000,000

M2: $259,000,000

M3: $231,000,000

M1: 1.450%

M2: 2.200%

M3: 3.750%

M1: 4.100%

M2: 2.250%

M3: 0.600%

FTCH/MDYS

M1: A-/A2

M2: BBB-/Baa2

M3: NR/NR

STACR 2014-HQ1

August 11, 2014
October 2013 - December 2013

$460,000,000

M1: $192,000,000

M2: $124,000,000

M3: $144,000,000

M1: 1.650%

M2: 2.500%

M3: 4.100%

M1: 4.100%

M2: 2.550%

M3: 0.750%

FTCH/MDYS

M1: A-/A2

M2: BBB-/Baa2

M3: NR/NR

STACR 2014-DN3

August 11, 2014
October 2013 - December 2013

$672,000,000

M1: $160,000,000

M2: $192,000,000

M3: $320,000,000

M1: 1.350%

M2: 2.400%

M3: 4.000%

M1: 3.600%

M2: 2.400%

M3: 0.400%

FTCH/MDYS

M1: A-/A1

M2: BBB-/A3

M3: NR/NR

STACR 2014-DN2

April 9, 2014
July 2013 - September 2013

$966,000,000

M1: $230,000,000

M2: $345,000,000

M3: $391,000,000

M1: 0.850%

M2: 1.650%

M3: 3.600%

M1: 3.500%

M2: 2.000%

M3: 0.300%

FTCH/KBRA

M1: A/A

M2: BBB-/BBB

M3: NR/NR

STACR 2014-DN1

February 12, 2014
April 2013 - June 2013

$1,008,000,000

M1: $240,000,000

M2: $360,000,000

M3: $408,000,000

M1: 1.000%

M2: 2.200%

M3: 4.500%

M1: 3.500%

M2: 2.000%

M3: 0.300%

KBRA/MDYS

M1: A/A1

M2: BBB/Baa1

M3: NR/NR

STACR 2013-DN2

November 12, 2013
January 2013 - March 2013

$630,000,000

M1: $245,000,000

M2: $385,000,000

M1: 1.450%

M2: 4.250%

M1: 1.650%

M2: 0.300%

FTCH/MDYS

M1: BBB-/Baa1

M2: NR/NR

STACR 2013-DN1

July 26, 2013
July 2012 - September 2012

$500,000,000

M1: $250,000,000

M2: $250,000,000

M1: 3.400%

M2: 7.150%

M1: 1.950%

M2: 0.300%

MDYS

M1: Baa1

M2: NR/NR

*All deals prior to March 2019 were based on acquisition funding period, after March 2019 aggregation period is based on PC settlement date.

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