Last week, we analyzed Freddie’s latest risk-share structure, noting its strategic importance as the first one comprised solely of HLTV loans.  One key question this raises is the value of loan and pool–level MI.  Here, we put this structure into the context of market pricing of this issuance and prior risk-shares, noting the vulnerability of any of these structures – and, thus, those Treasury may bless – to market-pricing phenomena that have nothing to do with mortgage credit-risk transfer and the risks attendant thereto.

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