Freddie May Need New Capital

"There is a lot of market-to-market noise and disconnect between what market value is and what the perception is the underlying risk," Fitch's Arscott noted.

Although an unlikely prospect, given their implicit government backing, the shaky markets have Fannie and Freddie trading as if they might falter in the face of the market dislocation -- a prospect that Syron attempted to address.

"This is a very, very difficult time, this is not happy news," he said. "... We will work through this."