Freddie Mac is preparing its fourth offering of bonds offloading exposure to actual losses on mortgages that it insures, according to Fitch Ratings.

Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, are unsecured obligations of Freddie Mac but are subject to the credit and repayment risk of a $34.7 billion pool of residential mortgages held in various Freddie Mac-guaranteed mortgage-backed securities. As these loans liquidate or other credit events occur, the outstanding balance of the notes will be reduced by any lost principal or interest.

However, current-month credit events will be reduced by reversals of prior months' credit events.

The mortgages in the reference pool were acquired by Freddie Mac between Dec. 1, 2014 and March 31, 2015 and have original loan-to-value ratios of between 60% and 80%, a weighted average debt-to-income ratio of 34.7% and credit score of 754.

Fitch expects to assign an A- rating to $200 million of class M-1 notes, a BBB- rating to $440 million of class M-2 notes and a B rating to $330 million of class M-3 notes. All of the notes have a legal final maturity of 12.5 years. According to Fitch, this more closely aligns the risk of loss to that of 10-year STACRs that offer exposure to losses based on an estimate made once the loans become 180 days delinquent.

Freddie Mac will retain credit risk in the transaction by holding the senior reference tranche A-H, which has 5.85% of loss protection, as well as a minimum of 50% of the first-loss B tranche, sized at 100 basis points. Initially, Freddie Mac will retain a 42% vertical slice/interest in the M-1, M-2 and M-3 tranches.

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