Freddie Mac’s $245 million class M-1 notes from its second risk sharing bonds issuance have been rated ‘BBB-’ by Fitch Ratings.
The deal, Structured Agency Credit Risk Debt Notes 2013-2N2, is the second risk transfer transaction for Freddie Mac but the first to obtain a rating.
Fitch assigned the same ratings to the class M-1 notes issued by Fannie Mae’s risk –sharing bonds earlier this month and as a result priced its deal at much narrower spreads than Freddie Mac’s first deal issued in July.
Fannie's M1 tranche, which was rated BBB- by Fitch Ratings, priced at 200 basis points over one-month LIBOR; and its M-2 tranche priced at one month LIBOR plus 525 basis points.
By comparison, Freddie's M1 tranche, which was unrated, priced at Libor plus 340 basis points and its M2 tranche priced at Libor plus 715 basis points.
Both Fannie's Connecticut Avenue Securities Series 2013-C01 and Freddie's two Structured Agency Credit Risk (STACR) deals are unsecured obligations whose performance is linked to the credit risk of a reference pool of mortgages insured by the respective GSEs.
All three deals are structured with mezzanine tranches that stand to lose principal if enough of the loans in the reference mortgage pools become delinquent.