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 | |||||
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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