STACR SPI is a form of credit risk transfer (CRT) in which loans funded by Freddie Mac’s cash window are deposited into a Participation Interest (PI) Trust, in exchange for a Participation Interest (96%) and a Credit Participation Interest (4%) for each loan. The Credit Participation Interests are deposited into the STACR SPI Trust, which then issues fully-collateralized, non-guaranteed SPI certificates to investors. The last STACR SPI security was issued prior to UMBS (Uniform Mortgage Back Securities), but past offerings are still active.

Freddie Mac repurchases PIs from their respective trusts as permitted by a Master Trust Agreement, generally when the related loan becomes 120 days delinquent. Repurchased PIs are deposited into the related SPI Trust, which then holds a 100% beneficial interest in the related loan. Any losses will be applied upon final disposition of the related loan.

Interest and principal payments on underlying loans, whether received from borrowers or advanced by Freddie Mac pursuant to the terms of the operative agreements, provide the funds for payment of certain expenses of the SPI Trust and for monthly distributions of interest and principal to investors. Payments are made sequentially within the SPI Trust and losses are allocated in reverse sequential order. 


  • Freddie Mac sells 95% of the non-guaranteed SPI securities to investors, including first-loss bonds, while retaining a 5% vertical slice of the SPI securities and 100% of Class X.
  • SPI securities pay a net weighted average coupon (WAC), based on the coupons of the related loans.
  • SPI certificates have a maturity date tied to the collateral (30 years) and non-par pricing.
  • Structure includes a constructive default mechanism, which allows for the buy-out of collateral from PI trusts (in accordance with the master trust agreement) while preserving credit risk protection afforded by the sale of the non-guaranteed SPI securities.
  • SPI securities are REMIC regular interests and meet the REIT income and asset tests.