Freddie Mac has priced a $1.32 billion Structured Agency Credit Risk debt notes offering.
The STACR 2017-DNA2 has a reference pool of single-family mortgages with an unpaid principal balance of about $60.7 billion. This pool consists of a subset of fixed-rate, single-family mortgages with an original term of 241 to 360 months acquired by the government-sponsored enterprise between July 1, 2016, and Oct. 31, 2016. The pool includes loans with loan-to-values of 60% to 80%. Freddie Mac holds the senior loss risk in the capital structure and part of the risk in the class M-1, M-2 and B-1 tranches and a significant part of the first loss risk in the B-2 tranche.
The M-1 class was priced at one-month LIBOR plus a spread of 120 basis points. The M-2 class was priced at one-month LIBOR plus a spread of 345 basis points. Pricing was one-month LIBOR plus a spread of 515 basis points for the B-1 class and one-month LIBOR plus a spread of 1,125 basis points for the B-2 class.
Bank of America Merrill Lynch and Wells Fargo Securities are co-lead managers and joint book runners.