Freddie Mac is marketing its fourth offering of securities offloading the credit risk of super-conforming mortgages that it insures.
The $460 million Freddie Mac Whole Loan Securities Trust 2016-SC02 is backed by two pools of fixed-rate, first lien loans that the government sponsored enterprise acquired from multiple sellers between May and September of this year. The trust will issue two tranches representing 94% of the underlying assets that are guaranteed by Freddie Mac and are unrated. There are also two mezzanine tranches that are not guaranteed and so transfer credit risk to their holders. The $18.39 million M1 tranche is rated Baa1 and a $4.6 million M2 tranche is rated Ba2 by Moody’s Investors Service. There is also an unrated $4.59 million tranche that will bea the first 1% of losses.