Fannie Mae is preparing to follow its counterpart,
Freddie Mac, and issue an actual loss absorbing risk transfer
product. The deal could come as early as the fourth quarter of
this year as demand for the new risk sharing bond takes off.
The government sponsored entity (GSE) is preparing
to release loan level data as a first step to the sale.
To date, Freddie has done two of these synthetic
transactions, in April and June of this year. The Structured
Agency Credit Risk (STACR) notes are unsecured and
unguaranteed. Returns are based on the collection of mortgage
payments from newly acquired, single family home mortgages.
The structure allows the issuer to offset some of the risk