Freddie Mac priced another residential mortgage securitization that includes a mix of guaranteed and nonguaranteed notes.
Freddie Mac Whole Loan Securities Trust, Series 2015-SC02, is twice as big as Freddie's inaugural transaction, completed in July, and is also rated by Moody's Investors Service.
Whole Loan Securities are one of several programs the mortgage giant uses to shift credit risk on loans that it insures to private investors. In a press release Thursday, Kevin Palmer, senior vice president of Freddie Mac Credit Risk Transfer, said the firm expects to issue on a quarterly basis in 2016.
The Series 2015-SC02 will issue $593 million in senior certificates guaranteed by Freddie as to timely interest and ultimate principal. These securities are unrated.
It will also issue $41 million in unguaranteed subordinate certificates. There are three tranches: the $22.2 million A2 tranche is rated A2, the $6.3 million M-2 tranche is rated Baa2 and the $6.3 million M-2 tranche is rated B1. At the bottom of the capital stack is a $6.3 million B tranche, which is unrated.
The collateral backing the certificates are 1,186 fixed-rate super-conforming loans that were eligible for, but not delivered to, a TBA pool.
The underlying loans were originated, and will be serviced, in accordance with the Freddie Mac Single Family Seller/Servicer Guide.
Principal payments on loans are allocated to senior and subordinate certificates on a pro-rata basis, subject to certain collateral performance and credit enhancement tests.
B of A Merrill Lynch and Credit Suisse are co-lead managers and joint bookrunners, Barclays and Nomura are co-managers, and Loop Capital is a selling group member.
The deal is expected to settle later this month.