Legal Notice

The information on this webpage is intended to support existing and prospective investors in Structured Agency Credit Risk (STACR®) securities who are (1) regulated in the European Union and are “institutional investors” (“EU institutional investors”) under Regulation (EU) 2017/2402 (as amended, the “EU Securitisation Regulation”) or (2) regulated in the UK and are “institutional investors” (“UK institutional investors,” and together with EU institutional investors, “institutional investors”) under the securitisation sourcebook of the handbook published by the UK’s Financial Conduct Authority, the securitisation part of the rulebook published by the Prudential Regulation Authority of the Bank of England or Securitisation Regulations 2024 (SI 2024/102) (together, the “UK Securitisation Framework,” and together with the EU Securitisation Regulation, the “Securitisation Regulations”).

An institutional investor is required to independently assess and determine whether the information provided by Freddie Mac is sufficient to satisfy the due diligence obligations under the Securitisation Regulations (“Due Diligence Obligations”) or any other legal, regulatory or other requirements. An institutional investor should consult with its own legal and regulatory advisors for assistance in making such assessment and determination. Freddie Mac makes no representation or warranty concerning the accuracy or completeness of the information set forth or referenced herein or that such information and/or any information provided in respect of such STACR securities is sufficient to permit an institutional investor to comply with the Due Diligence Obligations.

Furthermore, the Securitisation Regulations or the interpretation or application thereof may change in the future, and such change may affect the regulatory position of institutional investors in relation to STACR securities. Institutional investors should continue to evaluate any such changes, if applicable, and determine any future course of action, if necessary.

Verification regarding Credit Granting

Freddie Mac does not originate or make mortgage loans directly to borrowers. It purchases loans in the secondary market and securitizes those loans into mortgage-backed securities. Freddie Mac determines and applies various requirements and limitations in respect of the loans which it purchases.

In order to ensure that the loans which it purchases satisfy such requirements and limitations, Freddie Mac conducts internal periodic quality control reviews and engages third-party due diligence providers to conduct additional due diligence reviews on certain of the loans which it acquires prior to a STACR issuance. The results of such reviews are published in the “The Reference Obligations — Results of Freddie Mac Quality Control” section in an appendix to the relevant Private Placement Memorandum or in the “Reference Obligations” section of the relevant Offering Circular, as applicable, available here. Additionally, Freddie Mac publishes comprehensive guidelines and resources for its sellers and servicers of loans which it purchases on topics such as loan products and quality management. Information regarding Freddie Mac’s underwriting and servicing requirements can be accessed through Freddie Mac’s  Single-Family Seller Servicer Guide.

The reference obligations for each STACR transaction are required to satisfy certain eligibility criteria, including certain loan-to-value thresholds, and must have no underwriting or servicing defects. Information regarding Freddie Mac’s credit granting criteria, quality assurance processes and loan servicing standards for any specific STACR transaction is set forth in the “General Mortgage Loan Purchase and Servicing” section in an appendix to the relevant Private Placement Memorandum or in the “Reference Obligations” section of the relevant Offering Circular, as applicable. Such Private Placement Memorandum or Offering Circular, as applicable, is available here.

An overview of the STACR program and information regarding Freddie Mac’s credit risk management framework can be found in the CRT Handbook.

Verification of Risk Retention

For each STACR transaction, Freddie Mac commits, in a risk retention letter entered into for such transaction, to retain, on an going basis for so long as the securities of such STACR transaction are outstanding, a material net economic interest in the form of 5% of every tranche of a STACR transaction. At the closing of each STACR transaction, Freddie Mac executes a risk retention letter stating that it will hold on an ongoing basis at least 5% of every STACR tranche. Please see the risk retention letter available for each STACR transaction here.

Verification of Information Disclosure

On October 10, 2022, the European Commission published a report on the functioning of the EU Securitisation Regulation (the “Commission Report”) in which, among other things, its assessment was that differentiating the scope of the information which is required for an EU institutional investor to satisfy Article 5(1)(e) depending on whether the securitization is issued by an entity established in the EU or an entity in a third country is not in line with the legislative intent of the EU Securitisation Regulation.

The information requirements under Article 7 of the EU Securitisation Regulation that apply in respect of a STACR transaction were it issued by an entity established in the EU are set out at (1) to (5) below together with a summary of what is made available to prospective investors and investors in STACR transactions that goes towards satisfying such requirements. Certain of those information requirements are not applicable in respect of STACR transactions because no STACR securities are listed on a regulated stock exchange or multilateral trading facility and because STACR transactions are not STS securitisations (see further below).

The equivalent information requirements under the UK Securitisation Framework require that sufficient information is made available to enable the institutional investor independently to assess the risks of holding the securitisation position, and that there is a commitment to make such information available on an ongoing basis. Where none of the originator, sponsor and issuer are established in the UK, the UK Securitisation Framework provides that adequacy of information is based on sufficiency to enable independent assessment rather than prescribed templates.

(1) Information on the underlying exposures on a quarterly basis in accordance with technical standards specifying the information to be provided and the format thereof. Such technical standards set out forms of reporting templates to be used for providing such information, including a reporting template for residential real estate exposures.

To support investors with this requirement, starting in the February 2023 reporting period, Freddie Mac began providing loan level data on the reference pool at the time of issuance as well as monthly for all existing and new STACR transactions in the form of the template set out in Annex II (Underlying Exposures Information – Residential Real Estate) to Commission Delegated Regulation (EU) 2020/1224 for reporting asset-level information for loans to private households secured by residential real estate. Please refer to the download instructions and field mapping and explanations to the existing reference pool disclosures available here. 

Institutional investors should obtain their own legal and regulatory advice to ensure the information Freddie Mac and the Trustee or Global Agents provide is sufficient.

(2) All underlying documentation that is essential for the understanding of the transaction

For each STACR transaction, the Preliminary Private Placement Memorandum or Preliminary Offering Circular, as applicable, is made available to prospective investors by the dealer syndicate prior to pricing.

In addition, with the intention of assisting institutional investors to comply with this requirement, there is set forth under “Redacted Transaction Documents” in the “Additional Resources” section, templates of STACR transaction documents. Although Freddie Mac expects that terms will be similar in future STACR deals, terms may vary in each transaction. Investors should review the relevant Preliminary Private Placement Memorandum, Preliminary Offering Circular, Final Private Placement Memorandum, and Final Offering Circular, as applicable, and transaction-specific agreements for a specific STACR transaction, in particular, because certain terms which are redacted in the transaction documents shall, for a specific STACR transaction, have the meanings given to them in the Preliminary Private Placement Memorandum, Preliminary Offering Circular, Final Private Placement Memorandum and Final Offering Circular, as applicable, and transaction documents for such transaction.1

Following closing, the Final Private Placement Memorandum, Final Offering Circular, Indenture, trust agreement, capital contribution agreement, securitization regulation agreement/risk retention letter, collateral administration agreement, debt agreement, global agency agreement and exchange administrator agreement, as applicable, are available here.

(3) A transaction summary or overview of the main features of the securitization, including certain specified details.

For each STACR transaction, the Preliminary Private Placement Memorandum or Preliminary Offering Circular, as applicable, made available to prospective investors by the dealer syndicate prior to pricing, is intended to provide all information needed to fully understand the transaction and make a fully informed investment decision. This includes deal structure diagrams, information related to risks of the investment, roles performed by the transaction parties, credit enhancement, cash flows, loss waterfall, deal triggers, deal termination events, investor voting rights and descriptions of the underlying collateral. In addition, during marketing and prior to pricing, an Investor Presentation is available for viewing through  Deal Roadshow. Please contact your dealer for relevant access credentials.

General information about the program and deal structures can be found in our CRT Handbook.

(4) Quarterly investor reports containing: (i) all materially relevant data on the credit quality and performance of underlying exposures; (ii) information on events which trigger changes in the priority of payments or the replacement of any counterparties, and data on the cash flows generated by the underlying exposures and by the liabilities of the securitisation; and (iii) information about the risk retained.

To support investors with this requirement, starting in the July 2023 reporting period, Freddie Mac began providing the reporting in the form of the template set out in Annex XII (Investor Report Information — Non-Asset Backed Commercial Paper Securitisation) to Commission Delegated Regulation (EU) 2020/1224. Please refer to the download instructions and field mapping and explanations to the existing reference pool disclosures here. For additional information, please refer to the relevant monthly payment date statement on the respective Indenture Trustee or Global Agent’s websites (U.S. Bank and  Citi).

Institutional investors should obtain their own legal and regulatory advice to ensure the information Freddie Mac and the Trustee or Global Agents provide is sufficient.

(5) Any significant event such as: (i) a material breach of the obligations provided for in the transaction documents, including any remedy, waiver or consent subsequently provided in relation to such a breach; (ii) a change in the structural features that can materially impact the performance of the securitisation; (iii) a change in the risk characteristics of the securitisation or of the underlying exposures that can materially impact the performance of the securitisation; (iv) any material amendment to transaction documents.

As stated in the relevant Private Placement Memorandum or Offering Circular, as applicable, available here, Freddie Mac will provide notice about specific events such as material breaches and certain amendments to transaction documents, and events potentially impacting the performance of the securities will be communicated to investors. Freddie Mac provides such information in the relevant payment date statement and/or on the  CRT website.

Due Diligence Assessment

The risk factors associated with STACR securities are disclosed in the “Risk Factors” section of the relevant Private Placement Memorandum or Offering Circular, as applicable, for such STACR securities, which is available here.

Information exhibiting the sensitivity of yields and other variables to different pre-payment simulations, credit events, or write-down amounts are disclosed in the “Prepayment and Yield Considerations” section of the Private Placement Memorandum or Offering Circular, as applicable, for the relevant STACR securities, which is available here.

The ongoing performance of STACR reference pools can be accessed by downloading the loan level disclosures or via Freddie Mac's CRT data intelligence portal, Clarity. Risk characteristics and stratifications of the underlying reference pools are available in advance of each STACR issuance through transaction-specific presentations distributed to potential investors.

The detailed structure of each STACR issuance, including deal characteristics such as payment priority, credit support and delinquency triggers, definition of loss, credit events and issuer support obligations is set forth in the “Description of Notes” section of the relevant Private Placement Memorandum or Offering Circular, as applicable, available here.

Monitoring and Stress Testing

Freddie Mac provides loan level data on the reference pool at the time of issuance as well as monthly performance data which is available for download via Clarity. Relevant information includes, but is not limited to, credit characteristics (i.e., loan-to-value ratio, credit score, debt-to-income ratio, etc.) and performance data (current balances, delinquency status, modification status, credit event, etc.). Investors can also analyze this data through various dashboards in Clarity.

Freddie Mac does not provide analytical tools to directly perform stress testing on cash flows and collateral values; however, it makes transaction- and loan-level data publicly available so that vendors and other third-parties can provide analytics on the transactions. Cash flow engines or credit and prepayment models are available from vendors including, but not limited to, Bloomberg, Intex, Yield Book, Andrew Davidson & Co., CoreLogic RiskModel and Milliman.** A number of brokers/dealers are able to assist investors with any analytical and modeling requirements. Many such broker/dealers also release periodic research on the performance of STACR securities.

Information exhibiting the sensitivity of yields and other variables to different pre-payment simulations, credit events, or write-down amounts are presented in the “Prepayment and Yield Considerations” section of the Private Placement Memorandum or Offering Circular, as applicable, for the relevant STACR securities and can be found here.

Simple Transparent Standardized (STS)

A securitization is eligible for designation as an STS securitisation under the EU Securitisation Regulation only if each of the originator, sponsor and SSPE of such securitization is established in the European Union. A securitization is eligible for designation as an STS securitisation under the UK Securitisation Framework only if the originator and sponsor of such securitization is established in the United Kingdom. Freddie Mac and the SSPE for each STACR transaction are established in the United States. Therefore, STACR securitizations are not eligible for designation as STS securitisations under the Securitisation Regulations.

Not Resecuritizations

The underlying reference pools for STACR transactions do not include any reference obligations that are themselves securitization positions. Therefore, STACR transactions are not resecuritizations.

**PLEASE NOTE: References to third-parties, including vendors, are provided for information only; Freddie Mac does not specifically endorse any third-parties or their products/services. Freddie Mac is not responsible for the content or accuracy of external third-party websites.

1 Under United States federal securities law and practice, the Preliminary Private Placement Memorandum or Preliminary Offering Circular, as applicable, made available to prospective investors by the underwriting syndicate prior to pricing, is intended to provide all information needed to fully understand a STACR transaction and assist investors in making a fully informed investment decision. This includes deal structure diagrams; information related to risks of the investment, roles performed by the transaction parties, credit enhancement, cash flows, loss waterfall, deal triggers, deal termination events, and investor voting rights; and descriptions of the underlying collateral. The Final Private Placement Memorandum or Final Offering Circular, as applicable, and the transaction-specific agreements, are made available shortly after a transaction prices. These documents are available through the Deal Documents page.