The FINANCIAL — Freddie Mac (OTCQB: FMCC) has priced a new offering of Structured Pass-Through Certificates (K Certificates), which includes a class of floating rate bonds indexed to the Secured Overnight Financing Rate (SOFR). The approximately $1 billion in K Certificates (K-F90 Certificates) are expected to settle on or about November 5, 2020. The K-F90 Certificates are backed by floating-rate multifamily mortgages with 10-year terms, which are currently LIBOR-based.
K-F90 includes one class (Class AL) of senior bonds indexed to LIBOR and another class (Class AS) of senior bonds indexed to SOFR. Freddie Mac will provide a basis risk guarantee on Class AS that covers any floating interest rate basis risk if the value of SOFR exceeds the value of LIBOR.
|AL||$564.255||9.61||33||1 mo LIBOR + 33||100.000|
|AS||$450.000||9.61||38||30-day SOFR avg + 38||100.000|