Freddie Mac · OTC:FMCC

Freddie Mac — Debt Investor Presentation (November 2019)

38 slides from Freddie Mac's debt investor presentation, November 2019

  1. Slide 1: Seasoned Loans Structured Transaction Trust, Series 2019-3

    Seasoned Loans Structured Transaction Trust, Series 2019-3 (“SLST” 2019-3) November 2019 Guaranteed Certificate Presentation Information contained in this presentation is current as of November 2019. For further information on this transaction see the SLST 19-3 Offering Circular on FreddieMac.com C

  2. Slide 2: Disclaimer

    Disclaimer Notice to all Investors: The information contained in the attached materials has been prepared solely for informational purposes and is preliminary and subject to final structural, accounting, tax and legal review as well as final changes to the composition of the underlying mortgage loan

  3. Slide 3: Agenda

    Agenda 1. Program Summary 2. Transaction Timeline 3. Collateral and Structure 4. Key Transaction Features 5. Historical Deal Performance 6. Historical Cohort Performance 7. Data Stratifications 8. SLST Transaction Comparison 9. Freddie Mac Key Contacts C O N F I D E N T I AL © Freddie Mac 2

  4. Slide 4: 1. Program Summary

    1. Program Summary C O N F I D E N T I AL © Freddie Mac 3

  5. Slide 5: Program Summary

    Program Summary  Freddie Mac’s $1.4 billion SLST 2019-3 securitization is the company’s eighth transaction backed by re-performing and moderately delinquent single-family mortgage loans (“RPLs”). » The underlying mortgage loans (“Mortgage Loans”) were either previously securitized in Freddie Mac Pa

  6. Slide 6: Retained Portfolio and Less Liquid Assets

    Retained Portfolio and Less Liquid Assets  As of September 30, 2019, Freddie Mac’s total retained portfolio balance was $221.6 billion, a large share of which is comprised of Less Liquid Assets(1)  A significant portion of Less Liquid Assets are single-family residential mortgage loans, which are

  7. Slide 7: Freddie Mac Seasoned and Legacy Loan Activity

    Freddie Mac Seasoned and Legacy Loan Activity Approximately $65 Billion from 2011 through October 2019 PCs - Fully Guaranteed Securitizations SCRT - RPL Senior/Sub R, M and H Pools Guaranteed Seniors / Non-guaranteed Subs $28.7 billion settled since 2011 $22.5 billion settled since Q4 2016 Primarily

  8. Slide 8: 2. Transaction Timeline

    2. Transaction Timeline C O N F I D E N T I AL © Freddie Mac 7

  9. Slide 9: Transaction Timeline

    Transaction Timeline September 2019 October 2019 November 2019 S M T W T F S S M T W T F S S M T W T F S 1 2 3 4 5 6 7 1 2 3 4 5 1 2 8 9 10 11 12 13 14 6 7 8 9 10 11 12 3 4 5 6 7 8 9 15 16 17 18 19 20 21 13 14 15 16 17 18 19 10 11 12 13 14 15 16 22 23 24 25 26 27 28 20 21 22 23 24 25 26 17 18 19 20

  10. Slide 10: 3. Collateral and Structure

    3. Collateral and Structure C O N F I D E N T I AL © Freddie Mac 9

  11. Slide 11: Collateral Characteristics Comparison

    Collateral Characteristics Comparison SLST 2019-3(2) Description SLST 2018-2(1) SLST 2019-1(1) SLST 2019-2(1) SCRT 2019-3 (Expected) As of Date October 31, 2018 April 30, 2019 August 31, 2019 September 30, 2019 June 30, 2019 % Modified 100% 100% 100% 100% 100% Loan Count 7,921 7,604 7,073 8,337 13,0

  12. Slide 12: Indicative SLST 2019-3 Transaction Structure

    Indicative SLST 2019-3 Transaction Structure Freddie Mac provides certain representations and warranties on the Mortgage Loans Trust issues classes of Class A-1* Guaranteed Class A-2* Mortgage Certificates Loans Class AF(1) transferred Class A-IO (“Guaranteed Certificates”) Securitization Trust Mort

  13. Slide 13: Indicative SLST 2019-3 Structure

    Indicative SLST 2019-3 Structure Indicative Structure Overview(1) Initial Approximate Principal Mandatory Guarantor Initial Class WAL Base Offered Credit Initial Class Window Repurchase Principal/Notional % UPB (years) Coupon Type Class Type Class Class Enhancement Coupon (2) (months) Date/Stated Fi

  14. Slide 14: Preliminary Guaranteed Senior Offerings

    Preliminary Guaranteed Senior Offerings Indicative Preliminary Guaranteed Senior Offerings(1) Maximum Initial Class Base Offered Approximate Initial WAL Principal Window Principal/Notional Class Type Class Class Class Coupon % (years)(2) (months)(2) Amount A-1(3) $824,122,229 3.50% 5.22 1-120 Sequen

  15. Slide 15: SLST 2019-3 A-1: Projected Bond Cashflow Comparison

    SLST 2019-3 A-1: Projected Bond Cashflow Comparison Pricing Speed Bond Comparison Principal Window Class Coupon WAL (years)(1) Pricing Spread(2) (months)(1) SLST 2019-3 A-1 Certificates 3.50% 5.22 1 – 120 N/A SLST 2019-2 A-1C Certificates 2.75% 5.15 1 – 120 82 bps SCRT 2019-3 MA Certificates 3.50% 4

  16. Slide 16: SLST 2019-3 A-2: Projected Bond Cashflow Comparison

    SLST 2019-3 A-2: Projected Bond Cashflow Comparison Pricing Speed Bond Comparison Principal Window Class Coupon WAL (years)(1) Pricing Spread(2) (months)(1) SLST 2019-3 A-2 Certificates 3.50% 9.99 120 – 120 N/A SLST 2019-2 A-2C Certificates 2.75% 9.99 120 – 120 84 bps SCRT 2019-3 HV Certificates 3.0

  17. Slide 17: 4. Key Transaction Features

    4. Key Transaction Features C O N F I D E N T I AL © Freddie Mac 16

  18. Slide 18: Performance Triggers and Structural Features

    Performance Triggers and Structural Features Terms/Structural Description Features Non-Current Mortgage Loan For any Distribution Date if the Non-Current Mortgage Loan Percentage exceeds 75% of the current Credit Enhancement, the trigger is breached Percentage Trigger The Subordinate Certificates wi

  19. Slide 19: SLST Program Support

    SLST Program Support  Financing » Freddie Mac will offer repo financing for SLST pass-through and front and back pay sequential tranches to approved counterparties » Contact: Carmino Santomaro at 571-382-5701 » Bank of New York has re-classified SLST guaranteed senior certificates as “Agency MBS”,

  20. Slide 20: SLST Investor Types – Guaranteed Certificates

    SLST Investor Types – Guaranteed Certificates(1) Guaranteed Certificates REIT, 1.5% Bank/Credit Union, Money Manager, 41.2% 45.3% Insurance Company, 9.8% Other, 0.2% FHLB, 2.0% (1) As determined by market value and reflected as of issuance for all SLST transactions from SLST 2018-1 to SLST 2019-2 (2

  21. Slide 21: Majority Representative and Retention Requirements

    Majority Representative and Retention Requirements  The Retained Certificateholder will at all times be the “Majority Representative” unless: » The Retained Certificateholder sells more than 50% of the Class Principal Amount of any outstanding class of Retained Certificates; » the Class Principal A

  22. Slide 22: Servicing and Collateral Oversight

    Servicing and Collateral Oversight The Collateral Administrator and Guarantor each have responsibilities for management of the collateral and servicing. COLLATERAL ADMINISTRATOR  General oversight of the Securitization Servicer  Consent, withhold consent or waive the right to consent to the Securi

  23. Slide 23: Servicing Loss Mitigation Framework

    Servicing Loss Mitigation Framework Modification and Loss Mitigation Third Party Servicer Eligibility  Securitization Servicer can’t acquire lender placed insurance from affiliate  To be eligible, borrower must (1) be 60+ days delinquent or (2) have provided sufficient information on loss mitigati

  24. Slide 24: 5. Historical Deal Performance

    5. Historical Deal Performance C O N F I D E N T I AL © Freddie Mac 23

  25. Slide 25: SLST 2019-3 Projected Model Speeds

    SLST 2019-3 Projected Model Speeds VPR 15.0% 10.0% Rate % 5.0% 0.0% CDR(1) 5.0% Rate % 2.5% 0.0% CPR CDR Severity Ramp from 0% Pricing Assumptions Ramp from 3% to 6% Yield Book Model Bloomberg Model SLST Pricing Speed to 2% over 36 30% over 36 months months (1) Excludes scheduled cashflow from HAMP

  26. Slide 26: SLST Historical Speeds

    SLST Historical Speeds 1-Month CPR By Months After Issuance(1) 8.0% 7.0% 6.0% 5.0% CPR % 4.0% 3.0% 2.0% 1.0% 0.0% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 SLST 2018-1 SLST 2018-2 SLST 2019-1 SLST 2019-3 (100% PPS) SLST 2019-3 WAL Table(2)

  27. Slide 27: SLST Historical Cashflow

    SLST Historical Cashflow 90% of Scheduled Payments Made % Scheduled Payments Made By Calendar Month (1)(2) 110% 105% 100% 95% 90% 85% 80% 75% 70% 65% 60% SLST 2017-1 SLST 2017-2 SLST 2018-1 SLST 2018-2 SLST 2019-1 (1) Weighted by ending total UPB as of September 2019 remittance data (2) It is assume

  28. Slide 28: 6. Historical Cohort Performance

    6. Historical Cohort Performance C O N F I D E N T I AL © Freddie Mac 27

  29. Slide 29: Cohort Stratifications

    Cohort Stratifications Fixed-Rate Modified Step-Rate Modified Description Aggregate Loans Loan Cohorts(1) Loan Cohorts(1) % Modified 100% 100% 100% Count 55,793 16,442 72,235 General Total UPB (including forborne UPB) in millions of USD 9,494 3,124 12,619 Forborne UPB in millions 343 204 547 % UPB F

  30. Slide 30: Cohort Historical Performance by Rate Type

    Cohort Historical Performance by Rate Type Liquidation Rate(1) Payoff Rate 5 10 4 8 Rate % Rate % 3 6 2 4 1 2 0 0 Fixed Step Fixed Step Portfolio Cashflowing Rate Assuming Loss Severity(2) 40% Initial DQ(3) 40 110 35 105 30 100 Rate % Rate % 25 20 95 15 90 10 85 5 80 0 (1) Cohort excludes repurchase

  31. Slide 31: 7. Data Stratifications

    7. Data Stratifications C O N F I D E N T I AL © Freddie Mac 30

  32. Slide 32: SLST 2019-3 Stratifications (as of September 30, 2019)

    SLST 2019-3 Stratifications (as of September 30, 2019) Product Type Current Mortgage Rate (%) Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($) Principal Balance (%) Mortgage Loans Principal Balance ($) Principal Balance (%)

  33. Slide 33: SLST 2019-3 Stratifications (as of September 30, 2019)

    SLST 2019-3 Stratifications (as of September 30, 2019) AVM Current Loan-to-Value (%) Remaining Term (months) Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($) Principal Balance (%) Mortgage Loans Principal Balance ($) Princip

  34. Slide 34: SLST 2019-3 Stratifications (as of September 30, 2019)

    SLST 2019-3 Stratifications (as of September 30, 2019) Geographic Concentration of the Mortgaged Properties (State) Clean Pay History (months)* Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($) Principal Balance (%) Mortgage

  35. Slide 35: 8. SLST Transaction Comparison

    8. SLST Transaction Comparison C O N F I D E N T I AL © Freddie Mac 34

  36. Slide 36: SLST Transaction Comparison

    SLST Transaction Comparison Terms/Structural SLST 2018-1 SLST 2018-2 SLST 2019-1 SLST 2019-2 SLST 2019-3 Features June 2018 November 2018 May 2019 September 2019 (as of September 2019) $482 million $1,317 million $1,217 million $1,220 million $1,363 million(3) A-1 – Fixed (front A-1(1) – Fixed (fron

  37. Slide 37: 9. Freddie Mac Key Contacts

    9. Freddie Mac Key Contacts C O N F I D E N T I AL © Freddie Mac 36

  38. Slide 38: Freddie Mac Key Contacts

    Freddie Mac Key Contacts Team Member Email Address Business Phone Mike Hutchins Executive Vice President mike_hutchins@freddiemac.com 571-382-3660 Head of Investments and Capital Markets John Glessner Senior Vice President john_glessner@freddiemac.com 571 382-5915 Asset & Liability Management & Trea

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