Sector developments and company hires

SSRT trio revealed
S&P has published its ratings and research on three previously privately-rated risk transfer RMBS issued by Freddie Mac, at the issuer's request. The trio of deals are STACR Single-Seller Risk Transfer (SSRT) Series 2019-CS02 (sized at US$245.2m and closed in March 2019), 2020-CS01 (US$578.36m; April) and 2020-CS02 (US$190.78m; July). The transactions transfer a portion of the risk in Freddie Mac’s mortgage asset portfolio to private investors, as mandated by the FHFA.

Reference obligations in Freddie Mac's credit risk transfer transactions that were refinanced under the Enhanced Relief Refinance (ERR) programme have historically been treated as prepayments. As such, they were removed from the reference pool and the notes were paid down accordingly.

Uniquely, in the SSRT deals, a reference obligation that refinances under the ERR programme may be replaced with the new reference obligation created under the ERR programme. Since the reference obligation would be replaced with the ERR reference obligation instead of being considered a prepayment, there would be no associated amortisation or pay-down of the CRT notes.