Due to COVID-related forbearances, Freddie faced a $2.2 billion increase in its provisions for losses in 2020. However, that expense was more than offset by an across the board increase in revenues.
The latest transaction is an actual loss deal issued through a trust; previous Multifamily Structured Credit Risk deals were structured as fixed-severity deals issued as corporate debt.
The FHFA’s capital requirements include relatively harsh treatment of credit-risk transfer transactions from Fannie and Freddie but that view could change under the Biden administration.
Fannie’s new REMIC election for its multifamily MBS will not change their basic structure. The asset will remain as a single-class pass-through security is-sued through a trust agreement.
The FHFA went from allowing 18.0% capital reduction for CRT under the re-proposed rule to less than 17.1% under the final version. That means the answer may be “ no.”
The two GSEs agree that a proposed capital rule would diminish the benefit of credit-risk transfers, but Freddie plans to stay in the market under the current regime. (Includes data chart.)
Freddie has issued several securities backed by re-performing loans during the pandemic. However: Are these loans still protected by the FHFA’s moratorium on foreclosures?
The nation’s two largest MBS-investing REITs reported higher-than-expected earnings per share for the third quarter. Annaly even declared a quarterly common dividend of $0.22 per unit.
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