Spreads tighten further on new issuance of Freddie Mac credit risk notes

Freddie Mac priced $263.5m of STACT 2018-SPI2 notes on Wednesday, its largest deal to date in its newest category of unsecured credit risk transfers (CRTs). CRTs are a form of credit insurance on the mortgages held by Freddie Mac.

  • By Alexander Saeedy
  • 07 Jun 2018

A $92.2m ‘M1’ tranche priced at 100bp above Eurodollar spot forwards, and a $105.4m ‘M2’ piece was priced at 270bp over swaps. Kroll and S&P rated the bonds at BBB+ and BB, respectively.

Called a securitized participation interest (SPI), the newly engineered form of credit risk transfer is ...

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3 Citi 9,751 23 10.76
4 Lloyds Bank 7,329 24 8.09
5 JP Morgan 6,580 10 7.26

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