Freddie Mac has expanded the amount of loan-level data it discloses about mortgages it insures in an effort to boost appetite for reinsurance.
The government-sponsored enterprise also announced its second offering of the year of Structured Agency Credit Risk notes, which transfer a portion of the risk of default on loans it has securitized.
The STACR program, launched in 2013, initially gave investors exposure to estimated losses; once borrowers fell 180 days behind of payments, Freddie applied a fixed rate of severity to determine how much interest or principal to withhold from STACR investors. But last year the company started offering exposure to actual credit losses. As a result, it has been providing investors with more information about the loans.
The additional disclosures announced Monday include quarterly updates on credit scores and loan-to-value ratios; loan-level details on mortgage insurance; identifying whether this insurance is paid by the lender or the borrower; additional details about loan modifications, such as modification program, type and step-rate information.
"By providing more ongoing information, investors can better analyze our seasoned Credit Risk Transfer securities," Kevin Palmer, senior vice president of credit risk transfer, said in a press release. "Improved analytics reduces the uncertainty for internal valuation and secondary trading activities."
The latest offering, STACR 2016-HQA1, totals $475 million and offers exposure to loans with LTVs ranging from 80% to 95%. Freddie Mac holds the senior loss risk in the capital structure and a portion of the risk in the Class M-1, M-2 and M-3 tranches, and the first loss Class B tranche.
Barclays and Wells Fargo Securities will serve as co-lead managers and joint bookrunners. Cantor Fitzgerald, Deutsche Bank Securities, J.P. Morgan and Nomura are co-managers. Ramirez and Co., Inc. is the selling group member.
STACR 2016-HQA1 has a reference pool of single-family mortgages with an unpaid principal balance of more than $17.5 billion. The reference pool consists of a subset of 30-year fixed-rate single-family mortgages acquired by Freddie Mac between April 1, 2015 and June 30, 2015.
