Freddie Mac Prices $1 Billion Multifamily K-Deal

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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.

K-F90 Pricing

Class Principal/Notional
Amount (mm)
Weighted
Average Life
(Years)
Discount
Margin
Coupon Dollar Price
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
X Non-Offered

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