Forward-looking risk-free rate aimed at US mortgage market could have broader applications
BBB yield-to-worst spirals as highly-rated bonds recover after central bank and government intervention
Risk Awards 2020: Hedge accounting solution helps Freddie Mac tackle P&L swings from loan hedges
Income Fund grows securitised allocations from 36.1% to 39.7%
Health of huge bank funder rests on home loans and money market funds
Parallels drawn with Fannie and Freddie as commercial bank borrowing from FHLBs nears $500bn
Risk Awards 2017: Mortgage giant refines risk-sharing deals as political landscape shifts
Dynamic credit score modeling with short-term and long-term memories: the case of Freddie Mac’s database
This paper investigates the two mechanisms of memory, short-term memory and long-term memory, in the context of credit risk assessment.
Swap spread inversion contributed to derivatives losses of $2.7 billion in 2015
Hedge funds have been keen buyers of the new mortgage risk-sharing deals issued by Fannie Mae and Freddie Mac, but as spreads have tightened, worries about leverage have grown. Some now argue mortgage finance requires a more stable source of capital. By…
UBSGAM settles SEC mispricing charges for $300,000
Williams to leave agency once replacement is found
Securities fraud charges brought against former top executives seen by one legal expert as attempt by regulator to improve image
US mortgage giant says segregating variation margin will hurt FHFA- and FCA-regulated entities, and create new funding obligations for swap dealers
Home grown: a domestic US covered bond market
All bases covered?
Fixing too-big-to-fail is the single lesson of the financial crisis, says Fed chairman
Fed data show official-sector holdings of US agency securities rose for a 12th straight week; auction for seven-year US Treasury bills displayed growing demand for dollar denominated assets
With concerns hanging over the US securitisation market, some industry participants are pushing the case of covered bonds as an alternative. The US Covered Bonds Act introduced in March represents a step forward, but can investors accept the quirks of…
New York-based credit derivatives product company (CDPC) Primus Financial Products has restructured $1.2 billion of credit derivatives protection the firm had written referencing a monoline insurer.