Freddie Mac · OTC:FMCC
Freddie Mac — Debt Investor Presentation (October 2024)
41 slides from Freddie Mac's debt investor presentation, October 2024
Slide 1: Seasoned Loans Structured Transaction Trust, Series 2024-2 Investor Presentation
Seasoned Loans Structured Transaction Trust, Series 2024-2 (“SLST 2024-2”) Investor Presentation October 2024 Information contained in this presentation is current as of October 2024. For further information on this transaction see the SLST 2024-2 Offering Circular on FreddieMac.com Prepared by Inve
Slide 2: Disclaimer
Disclaimer Notice to all Investors: This presentation (the “Presentation”) is not an offer to sell any Freddie Mac securities. Offers for any given security are made only through applicable offering circulars, private placement memoranda and related supplements, which incorporate Freddie Mac’s Annua
Slide 3: Disclaimer
Disclaimer Notice to all Investors: The investment described in this Presentation is a complex financial product. These Certificates are complex instruments intended for sale only to sophisticated investors who understand and assume the risks involved with the purchase thereof. The risks associated
Slide 4: Table of Contents
Table of Contents 1. Program Summary 7. Servicing and Program Support 2. Transaction Timeline 8. Data Stratifications 3. Collateral and Structure 9. Freddie Mac Key Contacts 4. Key Transaction Features 5. SLST Transaction Comparison 6. Model Data and Historical Deal Performance 4 Prepared by Investm
Slide 5: Program Summary
Program Summary Prepared by Investments and Capital CONFIDENTIAL SLST 2024-2 © Freddie Mac Markets
Slide 6: Program Summary
Program Summary • Freddie Mac’s $272 million SLST 2024-2 securitization is the eighteenth transaction backed by re-performing and non-performing single-family mortgage loans (“RPLs”) o Freddie Mac will simultaneously market the non-guaranteed subordinate certificates (the “Subordinate Certificates”)
Slide 7: Summary of Changes
Summary of Changes 2024-2 • No later than 30 days after closing, the Servicer will inspect all properties in areas with a Presidential disaster declaration and FEMA individual assistance related to Hurricane Helene and Hurricane Milton. In certain instances, Freddie Mac will cure, indemnify or repur
Slide 8: Indicative SLST 2024-2 Transaction Structure
Indicative SLST 2024-2 Transaction Structure SLST Investors Principal and interest distributions from the Trust and certain payments from the REO Trust Liquidating distribution Seasoned Loans Structured Transaction Trust, Series 2024-2 from REO Trust at termination of REO Trust Collections of Paymen
Slide 9: Retained Portfolio and Less Liquid Assets
Retained Portfolio and Less Liquid Assets • As of June 30, 2024, Freddie Mac’s total retained portfolio balance was $110.4 billion, which is comprised in part of Less Liquid Assets(1) • A significant portion of Less Liquid Assets are single-family residential mortgage loans, which are the focus of b
Slide 10: Freddie Mac Seasoned and Legacy Loan Activity
Freddie Mac Seasoned and Legacy Loan Activity Approximately $90 Billion from 2011 through September 2024 MBS - Fully Guaranteed Securitizations SCRT - RPL Senior/Sub(1) Re-Performing and Modified Pools Guaranteed Seniors / Non-guaranteed Subs $30.4 billion settled since 2011 $36.2 billion settled si
Slide 11: Transaction Timeline
Transaction Timeline Prepared by Investments and Capital CONFIDENTIAL SLST 2024-2 © Freddie Mac Markets
Slide 12: Key Dates
Key Dates September 2024 October 2024 S M T W T F S S M T W T F S • September 30th: Cut-Off Date 1 2 3 4 5 6 7 1 2 3 4 5 • October 15th: Data Tape Available 8 9 10 11 12 13 14 6 7 8 9 10 11 12 • October 17th: Pre-marketing Begins 15 16 17 18 19 20 21 13 14 15 16 17 18 19 • October 21st – 22nd: ABS E
Slide 13: Collateral and Structure
Collateral and Structure Prepared by Investments and Capital CONFIDENTIAL SLST 2024-2 © Freddie Mac Markets
Slide 14: Collateral – 2020-2024 Deals
SLST Collateral – 2020-2024 Deals Description SLST 2020-3 SLST 2021-1 SLST 2021-2 SLST 2022-1 SLST 2022-2 SLST 2023-1 SLST 2024-1 SLST 2024-2 As of Date 10/31/2020 4/30/2021 6/30/2021 4/30/2022 9/30/2022 9/30/2023 4/30/2024 9/30/2024 % Modified 89% 66% 88% 86% 94% 89% 94% 91% % Freddie Mac PDP Only(
Slide 15: Preliminary SLST 2024-2 Structure
Preliminary SLST 2024-2 Structure Overview(1) Mandatory Initial Class Initial Approximate Principal Guarantor Base Offered WAL Principal/Notional % UPB Credit Initial Class Window Coupon Type Repurchase Class Type Class Class (years)(2) Amount Enhancement % Coupon % (months)(2) Date/Stated Final Dis
Slide 16: Preliminary Guaranteed Senior Certificates
Preliminary Guaranteed Senior Certificates Preliminary Guaranteed Senior Offerings(1) Base Offered Maximum Initial Class Approximate Initial WAL Principal Window Class Type Class Class Principal/Notional Amount Class Coupon % (years)(2) (months)(2) A-1-1 $30,000,000 3.250% 0.99 1-22 Sequential/Excha
Slide 17: SLST 2024-2 A-1: Projected Cashflow Comparison
SLST 2024-2 A-1: Projected Cashflow Comparison Pricing Speed Bond Comparison Principal Window Pricing Class Coupon WAL (years)(1) Pricing Date (months)(1) Spread SLST 2024-2 A-1 3.250% 5.34 1-120 N/A 10/24/2024 (Expected) SCRT 2024-2 MA 3.500% 5.18 1-151 I + 145 bps(2) N/A Attributes of SLST 2024-2
Slide 18: SLST 2024-2 A-2: Projected Cashflow Comparison
SLST 2024-2 A-2: Projected Cashflow Comparison Pricing Speed Bond Comparison Principal Window Pricing Class Coupon WAL (years)(1) Pricing Date (months)(1) Spread(2) SLST 2024-2 A-2 3.250% 9.99 120-120 N/A 10/24/2024 (Expected) K164 A-2 5.000% 9.72 103-118 J + 48 bps 7/10/2024 Attributes of SLST 2024
Slide 19: Indicative Uncapped / High-Capped Floaters Diagram
Indicative Uncapped / High-Capped Floaters Diagram Exchangeable MACR MACR MACR(1) Class A-1-1 Uncapped Floater Guarantor Cap Payment Certificates SOFR + [ ]bps SOFR – (3.25%-[ ]bps) 0% Floor Mortgage Loan 3.25% Fixed No Cap Participation Class A-1-2 Class A-1 Interests Certificates Certificates Inve
Slide 20: Key Transaction Features
Key Transaction Features Prepared by Investments and Capital CONFIDENTIAL SLST 2024-2 © Freddie Mac Markets
Slide 21: Performance Triggers and Structural Features
Performance Triggers and Structural Features Terms/Structural Description Features Non-Current For any Distribution Date if the Non-Current Mortgage Loan Percentage exceeds 300% of the current Credit Enhancement, the trigger Mortgage Loan is breached Percentage Trigger The Subordinate Certificates w
Slide 22: Retention Requirements
Retention Requirements • Purchaser is required to hold 100% of the Class M, Class B and Class XS Certificates for at least 2 years after closing • After Year 2 through Year 5 post-closing, the Purchaser or the Retained Certificateholder, as applicable, has the right to sell 100% of the Class M, Clas
Slide 23: SLST Transaction Comparison
SLST Transaction Comparison Prepared by Investments and Capital CONFIDENTIAL SLST 2024-2 © Freddie Mac Markets
Slide 24: SLST Transaction Comparison
SLST Transaction Comparison Terms/ SLST 2019-1 SLST 2019-2 SLST 2019-3 SLST 2020-1 SLST 2020-2 SLST 2020-3 SLST 2021-1 SLST 2021-2 SLST 2022-1 SLST 2022-2 SLST 2023-1 SLST 2024-1 SLST 2024-2 May September November July September November May July May October October May October Structural 2019 2019
Slide 25: Model Data and Historical Deal Performance
Model Data and Historical Deal Performance Prepared by Investments and Capital CONFIDENTIAL SLST 2024-2 © Freddie Mac Markets
Slide 26: 2024-2 Projected Model Speeds
SLST 2024-2 Projected Model Speeds VPR(1) 12 10 8 Rate % 6 4 2 0 Yield Book Model Bloomberg Model SLST Pricing Assumption CDR(1) 4 3 Rate % 2 1 0 Yield Book Model Bloomberg Model SLST Pricing Assumption VPR CDR Severity Pricing Assumptions Ramp from 3% to 6% over 36 months Ramp from 0% to 2% over 36
Slide 27: Historical Speeds
SLST Historical Speeds Historical 1-Month VPR Grouped by Issuance Year(1)(2) 16 14 12 10 8 6 4 2 0 SLST Deals Settled in: 2019 2020 2021 2022 2023 2024 SLST 2024-2 – WAL Table(3) Class 50% PPS 100% PPS 150% PPS 200% PPS 250% PPS SLST 2024-2 A-1 Certificates 6.46 5.34 4.42 3.68 3.16 SLST 2024-2 A-2 C
Slide 28: Historical Cashflow
SLST Historical Cashflow % Scheduled Payments Made Grouped by Issuance Year(1)(2) 110% 100% 90% 80% 70% 60% SLST Deals Settled in: 2019 2020 2021 2022 2023 2024 (1) Weighted by ending total UPB as of the September 25, 2024 remittance. Data source: 1010data (2) It is assumed that: (a) if a loan is mo
Slide 29: Historical Performance
SLST Historical Performance % 90+ Days Delinquent (by Months After Issuance)(1) 35% 30% 25% 20% 15% 10% 5% 0% 1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 49 51 53 55 57 59 61 63 65 67 69 71 73 75 SLST 2018-1 SLST 2018-2 SLST 2019-1 SLST 2019-2 SLST 2019-3 SLST 2020-1 SLST 2020
Slide 30: Servicing and Program Support
Servicing and Program Support Prepared by Investments and Capital CONFIDENTIAL SLST 2024-2 © Freddie Mac Markets
Slide 31: Servicing and Collateral Oversight
Servicing and Collateral Oversight The Collateral Administrator, if any, and Guarantor each have responsibilities for management of the collateral and servicing. COLLATERAL ADMINISTRATOR • General oversight of the Servicer(s) • Consent, withhold consent or waive the right to consent to the Servicers
Slide 32: Post-Securitization Servicing Requirements
Post-Securitization Servicing Requirements Modification, Payment Deferral and Other Loss Mitigation Eligibility • Borrower must be 60+ days delinquent or in imminent default as determined by the Servicer Limits • Servicer must first evaluate eligible borrowers for a Payment Deferral, and then a Modi
Slide 33: Post-Securitization Servicing Requirements (continued)
Post-Securitization Servicing Requirements (continued) Servicer Affiliate • The Servicer can’t acquire lender placed insurance from any affiliate • If the Servicer obtains property valuation, preservation, or disposition services from an affiliate, the Servicer may not receive incentive-based compen
Slide 34: Program Support
SLST Program Support Financing for SLST Guaranteed Classes • Freddie Mac offers repo financing for certain SLST guaranteed tranches (except IOs) to approved counterparties • Eligible for financing under the BNY Mellon MBS Tri-party Repo • Acceptable collateral to pledge to all FHLBs Models & Data Ve
Slide 35: Investor Types
SLST Investor Types(1) Guaranteed Certificates Non-Guaranteed Certificates FHLB, 1.8% Money REIT, 2.0% Other(2), 1.1% Insurance Manager, 4.6% Company, 8.2% Bank/Credit Union, 49.2% REIT, 38.4% Private Equity, Money 57.0% Manager, 37.8% 75 cumulative investors to date 7 cumulative investors to date (
Slide 36: Data Stratifications
Data Stratifications Prepared by Investments and Capital CONFIDENTIAL SLST 2024-2 © Freddie Mac Markets
Slide 37: 2024-2 Stratifications (as of September 30, 2024)
SLST 2024-2 Stratifications (as of September 30, 2024) Product Type Range of 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 ($) Principal Bal
Slide 38: 2024-2 Stratifications (as of September 30, 2024)
SLST 2024-2 Stratifications (as of September 30, 2024) Range of AVM Current Loan-to-Value (%) Range of Loan Age from Modification or PDP(1)(2)(months) Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($) Principal Balance (%) Mo
Slide 39: 2024-2 Stratifications (as of September 30, 2024)
SLST 2024-2 Stratifications (as of September 30, 2024) Property Type at Origination Range of Clean Pay History (months)* Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($) Principal Balance (%) Mortgage Loans Principal Balance
Slide 40: 2024-2 Stratifications (as of September 30, 2024)
SLST 2024-2 Stratifications (as of September 30, 2024) Temporary Forbearance Plan Months to Next Rate Adjustment Date (Adjustable–Rate Mortgage Loans Only)(1) Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($) Principal Balanc
Slide 41: 2024-2 Stratifications (as of September 30, 2024)
SLST 2024-2 Stratifications (as of September 30, 2024) Range of Lifetime Minimum Rate % (Adjustable–Rate Mortgage Loans Only) Range of Lifetime Maximum Rate % (Adjustable–Rate Mortgage Loans Only) Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans
Freddie Mac — Debt Investor Presentation (October 2024) on 6ix