On May 7, 2019, Freddie Mac opened the exchange offer broadly to the market and the first exchanges settled on May 17, 2019. The exchange process offers holders of eligible 45-day, TBA-eligible and non-TBA-eligible PCs and Giants the option to exchange their 45-day securities for 55-day Freddie Mac Mirror securities.
For exchanges of TBA-eligible securities, the corresponding 55-day security is a Freddie Mac UMBS or Supers. For exchanges of non-TBA eligible securities, the corresponding 55-day security is a Freddie Mac MBS or Giant MBS. Only securities not 100% committed to a resecuritization are eligible to be exchanged.
Most security characteristics of the new 55-day securities mirror their corresponding 45-day securities, except for four characteristics. The 55-day security receives a new prefix, pool number, CUSIP, and issuance date. The issuance date reflects the date the Mirror Security was created and placed in Freddie Mac’s account.
Most importantly, the cash flows of the UMBS, Supers, MBS or Giant MBS are ultimately backed by the same loans as the original PC or Giant PC, and thus the factor of the 55-day security matches the current factor of the corresponding eligible 45-day security at the time of exchange.
To find more information, please refer to the Exchange Offer Circular on our Legal Documentation website.
Gold PC and Giant holders can choose between two exchange paths: one facilitated by a dealer using Freddie Mac’s Dealer Direct® portal, and one that is Direct-to-Freddie Mac via Tradeweb. View the Exchange Options document to learn more.
For more information on getting set up with the Direct-to-Freddie Mac via Tradeweb path, access the Tradeweb Exchange Setup Guide.
To facilitate exchanges, Freddie Mac created 55-day Mirror Securities on a one-for-one basis for all exchange-eligible 45-day PCs and Giants. If investors create a 45-day Giant PC using 45-day exchange-eligible collateral, a Mirror security will be issued for the Giant PC and the Mirror securities for the underlying collateral will be retired.
Freddie Mac provides compensation for the additional 10 days in payment delay when an investor exchanges 45-day PCs for 55-day securities through a one-time cash payment. Freddie Mac offers a schedule of payment rates, with at least one payment rate for every term and coupon combination. Payment rates are expressed in ticks, with the cash payment calculated as the payment rate multiplied by the UPB of exchanged securities.
Investors can calculate the float compensation that they can expect to receive upon exchange by using a calculator tool published by Freddie Mac. An investor can enter the pool numbers or CUSIPs of the securities that the investor wishes to exchange, along with the original UPB of the securities, into the calculator and the calculator will return the total float compensation payment that the investor could expect to receive, along with a pool-by-pool breakdown of the float compensation value.
To access the latest Exchange Float Compensation Price Grids and Calculator, access our Float Compensation Tools website.
In August 2018 Freddie Mac began to issue Mirror securities. Most security characteristics of these securities mirror the 45-day Gold PCs eligible for exchange to 55-day securities. The Mirror securities are disclosed on our Daily New Issue File. The Mirror has a new prefix, pool number, CUSIP and issue date but the other information matches the data as of the 45-day Gold PC issuance except for the factor which is less than 1. The new pool numbers begin with the letter ‘Z’.
Freddie Mac also publishes several new exchange-related disclosures. The Cumulative Exchange Activity Report, Daily Exchange Activity Report, and Aggregate Level 1 Collateral Exchange Activity Report are published daily. The Outstanding Supply Report is published monthly.
|Cumulative 45-Day to 55-Day Exchange Activity||Provides information on each Mirror Security as it is issued. This report provides the mapping of the 45-day PC or Giant to the corresponding 55-day Mirror Security. This is a daily file. For more detail on understanding this report, access the File Description.|
|Daily 45-Day to 55-Day Exchange Activity||This file provides information on the exchange transactions settled on the preceding business day, including the original par amount exchanged, pool numbers and CUSIPs of the 45-day and 55-day securities. This is a daily file. For more detail on understanding this report, access the File Description.|
|Aggregate Level 1 Collateral Exchange Activity||This file contains one row for every Freddie Mac fixed-rate 45-day payment delay Level 1 PC, even if the PC is not eligible to be exchanged. This file shows the issuance UPB, the issuance UPB that has been exchanged and is still available for exchange at Level 1, the issuance UPB that has been resecuritized, and the issuance UPB that has been resecuritized and exchanged, for all outstanding fixed-rate Gold PCs. This report is designed to help the market with prepayment analysis and is a daily file. For more detail on understanding this report, access the Security Lookup Description and File Description.|
|Outstanding Supply Report||This report shows the current UPB, by term and coupon, for Level 1, TBA-eligible Freddie Mac-issued securities. This report includes: unexchanged exchange-eligible Gold PCs, exchanged Freddie Mac-issued UMBS, and UMBS newly issued by Freddie Mac on or after June 3rd, 2019. Cohorts with current UPB less than $50,000,000 are not listed on this report. This is a monthly file, published after factors are released.|
This is not an offer to buy or 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 most recent Annual Report on Form 10-K filed with the Securities and Exchange Commission (SEC); all other reports Freddie Mac files with the SEC pursuant to Section 13(a) of the Securities Exchange Act of 1934 (Exchange Act), 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.
The financial and other information contained on this page and 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.
These materials may 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 most recent Annual Report on Form10-K, 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 page.