Freddie Mac is preparing its third offering of notes linked to the credit risk on mortgages that it insures.
The deal, Structured Agency Credit Risk, Series 2014-DN1, will issue two tranches with preliminary ratings from Kroll Bond Rating Agency. The $240 million M1 tranche is rated A’ and the $360 million M2 tranche is rated BBB.’ The trust will also issue an unrated, $408 million M3 tranche.
The notes are general unsecure obligations of Freddie Mac but amounts due will be calculated based on the performance of a reference pool of mortgages that were acquired and securitized into agency mortgage-backed securities by September 30, 2013.
The $31 billion reference pool consist of 139,513 30-year, fixed-rate loans with average balance of $232,000, a weighted average loan-to-value ratio of 74.8% and a weighted average FICO score of 761.
Credit Suisse Securities and Merrill Lynch, Pierce, Fenner & Smith are co-lead managers, according to Kroll’s presale report.