Freddie Mac Prices $317 Million in Multifamily Structured Credit Risk Notes

Rhea-AI Summary

Freddie Mac (OTCQB: FMCC) has priced approximately $317 million in Multifamily Structured Credit Risk (MSCR) Notes, Series 2021-MN3, to mitigate mortgage credit risk and support affordable rental housing. The offering, priced on November 18, 2021, involves transferring a portion of credit risk on eligible multifamily mortgage loans to private investors. The MSCR Notes are backed by a pool of 270 multifamily loans worth around $5.5 billion, with Freddie Mac retaining significant risk in the capital structure. The offering aims to stabilize the multifamily housing market.

Positive

• Freddie Mac priced $317 million in MSCR Notes to reduce mortgage credit risk.
• The offering supports Freddie Mac's mission of affordable rental housing.
• The MSCR Notes are backed by a robust pool of 270 multifamily loans totaling approximately $5.5 billion.

Negative

• None.

MCLEAN, Va., Nov. 22, 2021 (GLOBE NEWSWIRE) -- Freddie Mac (OTCQB: FMCC) recently priced a new offering of Multifamily Structured Credit Risk (MSCR) Notes, Series 2021-MN3. The MSCR (pronounced M-SCORE) program is designed to reduce Freddie Mac’s exposure to mortgage credit risk and bolster the company’s mission of supporting affordable and quality rental housing. MSCR transactions transfer to private investors a portion of the credit risk on eligible multifamily mortgage loans backing certain fully guaranteed securities issued by Freddie Mac through its Participation Certificates program. The approximately $317 million in MSCR Notes were priced on November 18, 2021.

The MSCR Notes are unsecured and unguaranteed mezzanine classes issued by a trust. Freddie Mac holds in its entirety the senior loss risk A-H class and the first loss B-2H class in the capital structure, along with retaining a portion of the risk in the class M-1, M-2 and B-1 tranches.

MSCR Notes Series 2021-MN3 Pricing:

Class	Principal/Notional Amount ($mm)		Initial Credit Enhancement		Weighted Average Life (Years)	Benchmark	Spread (bps)	Price
M-1	$79.332		5.25	%	4.49	30-day SOFR Average	230	$100.00
M-1H*	$4.176		5.25	%	Non-offered Vertical Reference Tranche
M-2	$171.886		2.00	%	8.86	30-day SOFR Average	400	$100.00
M-2H*	$9.048		2.00	%	Non-offered Vertical Reference Tranche
B-1	$66.110		0.75	%	12.38	30-day SOFR Average	685	$100.00
B-1H*	$3.480		0.75	%	Non-offered Vertical Reference Tranche
B-2H*	$41.754		0	%	Non-offered Reference Tranche

*Each reference tranche represents risk retained by Freddie Mac.

The amount of periodic principal and ultimate principal paid by the trust is determined by the performance of the MSCR 2021-MN3 reference pool, which consists of 270 multifamily loans backing Multifamily PCs issued between December 2020 and October 2021 with an approximate unpaid principal balance of $5.5 billion.  The loans adhere to Freddie Mac's multifamily underwriting, internal fraud prevention and quality control standards.

Details:

Co-Lead Managers and Joint Bookrunners: BofA Securities, Inc. and Goldman Sachs & Co. LLC

Co-Managers: Morgan Stanley & Co. LLC, Samuel A. Ramirez & Company, Inc. and Wells Fargo Securities, LLC

This announcement is not an offer to sell any Freddie Mac securities. Offers for any given security are made only through applicable offering circulars and related supplements, which incorporate Freddie Mac’s Annual Report on Form 10-K for the year ended December 31, 2020, filed with the Securities and Exchange Commission (SEC) on February 11, 2021; all other reports Freddie Mac filed with the SEC pursuant to Section 13(a) of the Securities Exchange Act of 1934 (Exchange Act) since December 31, 2020, excluding any information "furnished" to the SEC on Form 8-K; and all documents that Freddie Mac files with the SEC pursuant to Sections 13(a), 13(c) or 14 of the Exchange Act, excluding any information “furnished” to the SEC on Form 8-K.

Freddie Mac’s press releases sometimes contain forward-looking statements. Forward-looking statements involve known and unknown risks and uncertainties, some of which are beyond the company’s control. Management’s expectations for the company’s future necessarily involve a number of assumptions, judgments and estimates, and various factors could cause actual results to differ materially from the expectations expressed in these and other forward-looking statements. These assumptions, judgments, estimates and factors are discussed in the company’s Annual Report on Form 10-K for the year ended December 31, 2020, and its reports on Form 10-Q and Form 8-K, which are available on the Investor Relations page of the company’s Web site at www.FreddieMac.com/investors and the SEC’s website at www.sec.gov. The company undertakes no obligation to update forward-looking statements it makes to reflect events or circumstances occurring after the date of this press release. The multifamily investors section of the company’s Web site at https://mf.freddiemac.com/investors/ will also be updated, from time to time, with any information on material developments or other events that may be important to investors, and we encourage investors to access this website on a regular basis for such updated information.

The financial and other information contained in the documents that may be accessed on this page speaks only as of the date of those documents. The information could be out of date and no longer accurate. Freddie Mac undertakes no obligation, and disclaims any duty, to update any of the information in those documents.

Freddie Mac makes home possible for millions of families and individuals by providing mortgage capital to lenders. Since our creation by Congress in 1970, we've made housing more accessible and affordable for homebuyers and renters in communities nationwide. We are building a better housing finance system for homebuyers, renters, lenders, and taxpayers. Learn more at FreddieMac.com, Twitter @FreddieMac and Freddie Mac's blog FreddieMac.com/blog.

MEDIA CONTACT: Michael Morosi
(703) 918-5851
Michael_Morosi@FreddieMac.com
INVESTOR CONTACTS: Robert Koontz
571-382-4082
Luba Kim-Reynolds
212-418-8879

FAQ

What are the Multifamily Structured Credit Risk Notes Series 2021-MN3?

The MSCR Notes Series 2021-MN3 are financial instruments priced at approximately $317 million to transfer credit risk from Freddie Mac to private investors.

When was the MSCR Notes Series 2021-MN3 priced?

The MSCR Notes Series 2021-MN3 were priced on November 18, 2021.

How much credit risk is Freddie Mac transferring with the MSCR Notes?

Freddie Mac is transferring a portion of the credit risk on eligible multifamily mortgage loans backing the MSCR Notes.

What is the total balance of loans backing the MSCR Notes?

The MSCR Notes are backed by a pool of 270 multifamily loans with an approximate unpaid principal balance of $5.5 billion.

What is the purpose of the MSCR program?

The MSCR program is designed to reduce Freddie Mac's exposure to mortgage credit risk and support the goal of providing affordable rental housing.