Freddie Mac Completes First Single-Family Credit Risk Transfer Offering Indexed to SOFR – GlobeNewswire
McLEAN, Va., Oct. 16, 2020 (GLOBE NEWSWIRE) — Freddie Mac (OTCQB: FMCC) announced today that it has priced its $1.086 billion STACR REMIC 2020-DNA5 offering, its first Single-Family credit risk transfer (CRT) offering tied to the Secured Overnight Financing Rate (SOFR).
“As a member of the Alternative Reference Rates Committee (ARRC) Freddie Mac has been a leader in the shift from LIBOR to SOFR,” said Freddie Mac’s Mike Reynolds, Vice President, Single-Family CRT. “SOFR has multiple benefits to our CRT investors and Freddie Mac. The transaction volumes underlying SOFR are increasing across different fixed income products, and now CRT is in that category.”
STACR REMIC 2020-DNA5 is structured to use 30-day average SOFR published daily by the Federal Reserve Bank of New York as the reference rate, with a determination date of two business days prior to the beginning of the accrual period for the STACR notes.
It is Freddie Mac’s intention to transition this transaction, as well as future CRT transactions, to an International Organization of Securities Commissions compliant one-month term SOFR, if the appropriate regulatory authority approves such a rate. Once term SOFR is ready and administratively feasible, Freddie Mac expects to cease new issuance using a compound average of SOFR and to solely use term SOFR. However, at this point there is no estimate when or if such a rate will be endorsed by the ARRC and approved for use.
STACR REMIC 2020–DNA5