Freddie Mac priced two credit risk transfer offerings as part of its Structured Agency Credit Risk series.
Pricing for the $985 million STACR Series 2018-HQA1 was one-month London Interbank Offered Rate for all three classes plus a spread of 70 basis points for the M-1 class, a spread of 230 basis points for the M-2 class and a spread of 435 basis points for the B-1 class.
STACR Series 2018-HQA1 has a reference pool of single-family mortgages with an unpaid principal balance of approximately $40.1 billion, consisting of a subset of fixed-rate, single-family mortgages with an original term of 241 to 360 months acquired by Freddie Mac between April 1, 2017, and Sept. 30, 2017. The reference pool includes loans with loan-to-value ratios ranging from 80% to 97%. Freddie Mac holds in its entirety the senior loss risk A-H bond and the first loss B-2H bond in the capital structure. Freddie Mac also retains a portion of the risk in the class M-1, M-2 and B-1 tranches.
Wells Fargo Securities LLC and Credit Suisse Securities (USA) LLC are co-lead managers and joint book runners.
Freddie Mac also priced a $139.9 million securitized participation interests transaction for investors who prefer a securitization backed by mortgage-related assets.
Pricing for STACR Series 2018-SPI1 was swaps plus a spread of 100 basis points for the M-1 class and a spread of 310 basis points for the M-2 class. The pricing for the B class is $55.
The securities are backed by participation interests in 25- to 30-year fixed-rate mortgage loans with an aggregate principal balance of about $3.5 billion. The $139.9 million in STACR SPI securities priced are distributed across three classes of certificates. Freddie Mac will initially retain a 5% interest in each class, maintaining alignment of interests with credit investors.
Bank of America Merrill Lynch and Citigroup Global Markets Inc. are co-lead managers and joint book runners.