At this time, we expect that beginning in May 2019 – just prior to the implementation of the Single Security Initiative – Freddie Mac will begin offering holders of then 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 will be a Freddie Mac UMBS or Supers. For exchanges of non-TBA eligible securities, the corresponding 55-day security will be 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 will mirror their corresponding 45-day securities, except for four characteristics. The 55-day security will receive a new prefix, pool number, CUSIP, and issuance date. The issuance date will reflect the date the Mirror Security is created and placed in Freddie Mac’s account.
Most importantly, the cash flows of the UMBS, Supers, MBS or Giant MBS will ultimately be backed by the same loans as the original PC or Giant PC, and thus the factor of the 55-day security will match 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 will be able to choose between two exchange paths: one facilitated by a dealer using Freddie Mac’s Dealer DirectSM portal, and one that is direct with 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. Customer set-up with Tradeweb will begin in January to ensure your firm is prepared for the opening of Exchange on May 7.
To facilitate exchanges, Freddie Mac will create 55-day Mirror Securities on a one-for-one basis for all exchange-eligible 45-day PCs and Giants. Mirror security issuance began in August 2018 to Freddie Mac’s own account at the Federal Reserve, and is visible on our Daily New Issue File, denoted as Mirror securities. We believe the early issuance of Mirror securities enables market participants to analyze their holdings, build in pricing and disclosure in advance of the exchange offer. Freddie Mac mirror test files are available on our Technical Resources page.
Freddie Mac will provide 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 expects to offer a schedule of payment rates, with at least one payment rate for every term and coupon combination. Payment rates will be 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.
Until May 2019 when Freddie Mac expects to commence its exchange offer, the float compensation prices available through this webpage are indicative and presented for informational purposes only. The float compensation prices offered after the exchange offer commences could differ, perhaps substantially, from the indicative float compensation prices available through this webpage. Once the exchange offer commences, we will provide actual float compensation amounts. The float compensation payable in any individual exchange transaction will be set forth in the exchange confirmation for that transaction.
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 once Freddie began in August. 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 will publish several new exchange-related disclosures. The Cumulative Exchange Activity report is published daily as the Mirror securities are issued. The other three reports will be published when exchange transactions begin in 2019.
|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||Beginning with Exchange Transactions in 2019, 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||Freddie Mac is now publishing the Aggregate Level 1 Collateral Exchange Activity file. 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 published on a daily basis. For more detail on understanding this report, access the Security Lookup Description and File Description.|
|Outstanding Supply Report||Freddie Mac is now publishing a new monthly 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. The Outstanding Supply Report is published monthly 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.