Freddie Mac's next STACR offering will offer investors exposure to actual losses on residential mortgages, something the mortgage giant says investors have been asking for.

Structured agency credit risk notes act as a kind of reinsurance: they are general obligations of the Freddie Mac, but the mortgage giant can hold on to interest or principal if losses on a reference pool of mortgages reach a predetermined level. All previous offerings measured these losses using a "fixed severity" approach. Essentially, investors took a hit once loans were delinquent for more than 180 days. (There are exceptions for delinquencies related to a natural disaster or certain other events.)

A database that Freddie publishes on approximately 17 million, 30-year, fixed-rate single-family mortgages originated between Jan. 1, 1999 and June 30, 2013 was recently updated to provide certain data points on actual losses.

Freddie Mac will continue to sell tranches taking the first loss when borrowers miss payments as well as the mezzanine tranches, while retaining a vertical slice of each tranche sold.

"We think the market of the future, where increasing amounts of credit risk will be transferred to private investors, will be actual loss based and we are excited to begin that transition with the next STACR offering," Mike Reynolds, Freddie's vice president of credit risk transfer, said in a press release.

Credit Suisse will act as the structuring lead manager, with Citigroup as a co-lead manager and joint bookrunner.

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