Freddie Mac has priced two bonds that offload the risk of a reference portfolio of mortgages insured by the agency.

The difference in their average loan-to-value ratios may account for at least part of the reason that comparable tranches priced at different spreads.

The Structured Agency Credit Risk Debt Notes, Series 2014 HQ3 has a weighted average combined loan-to-value ratio of 92, higher than 2014 DN4’s figure of 76.7.

HQ3's M-1 $133 million tranche matures in 10 years and priced at 175 basis points over one-month Libor. DN4's M-1 $130 million tranche matures in 10 years and priced at 150 basis points over one-month Libor.

HQ3's 10-year, $125 million M-2 tranche priced at 275 basis points over one-month Libor, while DN4's 10-year, $130 million M-2 tranche priced at 250 basis points over.

Both HQ3 and DN4's M-1 notes were rated A1/A- by Moody's Investors Service and Fitch Ratings. But for the M-2 tranche Moody's gave a higher grade to the DN4 deal, an A3, as opposed to the Baa1 it gave those notes in HQ3. Fitch gave the M-2 notes BBB- in both deals.

The reference pools for each deal were also sized differently. HQ3's is $8 billion, whereas DN4's is $15.7 billion.

In other metrics, the two deals differed only marginally.

The WA debt-to-income ratio in HQ3 is 35, only a hair above the 34.9 for DN4. The WA Fico for the former is 749, while for the latter it is 753.

Both deals are cushioned by geographic diversity. In HQ3 the largest metropolitan statistical area accounts for 3.5% of the reference pool. In DN4, the comparable figure is 5.9%.

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