Freddie Mac has priced its $1 billion structured agency credit risk 2018-HQA2 notes.

Pricing for the notes was one-month London Interbank Offered Rate plus a spread of 75 basis points for the M-1 class; one-month LIBOR plus a spread of 230 basis points for the M-2 class; one-month LIBOR plus a spread of 425 basis points for the B-1 class; and one-month LIBOR plus a spread of 1,100 basis points for the B-2 class.

The structured agency credit risk 2018-HQA2 notes have a reference pool of single-family mortgages with an unpaid principal balance of about $36.2 billion, consisting of a subset of fixed-rate, single-family mortgages with an original term of 241 to 360 months. The reference pool includes loans with loan-to-value ratios between 80% and 97%.

A hypothetical structure of classes of reference tranches was established, backed by the mortgage loans in the reference pool. Freddie Mac holds in its entirety the senior loss risk A-H reference tranche and the first loss B-3H reference tranche in the capital structure. The company also retains a portion of the risk in the class M-1, M-2, B-1 and B-2 reference tranches.

With the pricing, Freddie Mac said it has transferred a portion of its mortgage credit risk to private investors on approximately $1.1 trillion in single-family mortgages through its credit-risk transfer program.

Nomura Securities International Inc. and Bank of America Merrill Lynch are co-lead managers and joint book runners in the offering.