Freddie Mac · OTC:FMCC
Freddie Mac — Debt Investor Presentation (September 2024)
63 slides from Freddie Mac's debt investor presentation, September 2024
Slide 1: Seasoned Credit Risk Transfer Trust, Series 2024-2 Investor Presentation
Seasoned Credit Risk Transfer Trust, Series 2024-2 Investor Presentation September 2024 Information contained in this presentation is current as of September 2024. For further information on this transaction see the SCRT 2024-2 Offering Circular on FreddieMac.com Prepared by Investments and Capital
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. Collateral History by Group 2. Expected Transaction Timeline 8. Data Stratifications 3. Collateral Comparison and Structure 9. Freddie Mac Key Contacts 4. Historical Deal Performance 5. Servicing, Credit and Program Support 6. SCRT Transactions Re-cap 4 Prepar
Slide 5: Program Summary
Program Summary Prepared by Investments and Capital CONFIDENTIAL SCRT 2024-2 © Freddie Mac Markets
Slide 6: Program Summary
Program Summary • The $658 mm SCRT 2024-2 securitization is our 24th SCRT securitization and is backed by seasoned, re-performing single-family mortgage loans (“RPLs”). Since 2016, we’ve issued approximately $31.8 bn of guaranteed and approximately $3.7 bn of non-guaranteed SCRT certificates • The u
Slide 7: What's New in SCRT 2024-2
What’s New in SCRT 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 Debby. In certain instances, Freddie Mac will cure, indemnify or repurchase the Mortgage Loa
Slide 8: What's New in SCRT 2024-2 (continued)
What’s New in SCRT 2024-2 (continued) • Addition of Guaranteed High Coupon MACR Certificates o High Coupon MACRs of the Class MA, Class MB and Class MT Certificates will receive cash flows from a) the related MA/MB/MT Class, and b) a Guarantor Contribution Payment paid by Freddie Mac. For each Class
Slide 9: What's New in 2024
What’s New in 2024 • All-or-none auction on each of the Class M and Class BXS Certificates o Bidders may submit individual bids for the Class M and/or Class BXS Certificates. Bids for portions of the classes will not be accepted • Additional front-sequentials from the Class MA Certificates o Class M
Slide 10: 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 11: Freddie Mac Seasoned and Legacy Loan Activity
Freddie Mac Seasoned and Legacy Loan Activity • Approximately $89 Billion from 2011 through August 2024 SCRT - RPL Senior/Sub(1) MBS - Fully Guaranteed Securitizations Guaranteed Seniors / Non-guaranteed Subs Re-Performing and Modified Pools $35.5 billion settled since Q4 2016 $30.4 billion settled
Slide 12: Expected Transaction Timeline
Expected Transaction Timeline Prepared by Investments and Capital CONFIDENTIAL SCRT 2024-2 © Freddie Mac Markets
Slide 13: Key Dates
Key Dates August 2024 September 2024 • August 27th: Investor Tape Available S M T W T F S S M T W T F S • September 3rd: Pre-marketing 1 2 3 1 2 3 4 5 6 7 4 5 6 7 8 9 10 8 9 10 11 12 13 14 • September 4th: Begin Investor Meetings/Calls 11 12 13 14 15 16 17 15 16 17 18 19 20 21 18 19 20 21 22 23 24 2
Slide 14: Collateral Comparison and Structure
Collateral Comparison and Structure Prepared by Investments and Capital CONFIDENTIAL SCRT 2024-2 © Freddie Mac Markets
Slide 15: SCRT 2024-2 Overview
SCRT 2024-2 Overview • The assets of the Trust are seasoned, re-performing, first lien, adjustable, fixed and step-rate mortgage loans, including both modified and non-modified mortgage loans. The structure consists of two groups of senior certificates, each backed primarily by its respective loan g
Slide 16: Collateral Characteristics - SCRT 2024-2
Collateral Characteristics - SCRT 2024-2 By Group (as of 7/31/2024) By Clean Pay (as of 7/31/2024) SCRT 2024-2 SCRT 2024-1 1 to 5 Aggregate (as of Aggregate (as 6 to 11 12 to 23 24 to 35 Month 36+ Months 7/31/2024) of 1/31/2024) Group M Group T Months Months Months Clean Clean Pay Clean Pay Clean Pa
Slide 17: Indicative SCRT 2024-2 Structure
Indicative SCRT 2024-2 Structure Freddie Mac provides certain representations and warranties on the Mortgage Loans Class MA-1, MA-2, Class Trust issues MA-3, MA-4, TA, TB, TA-IO Securitization classes of MA-5 and TB-IO Trust Guaranteed and MB Certificates* Mortgage Certificates Certificates* Loans t
Slide 18: Preliminary SCRT 2024-2 Capital Structure
Preliminary SCRT 2024-2 Capital Structure Transaction Structure Maximum Initial Class Approximate Stated Final Principal Loan Principal or Initial Credit WAL Guaranteed / Class Initial Class Distribution Window Group Initial Class Enhancement (years)(2) Non-Guaranteed Coupon(1) Date (months)(2) Noti
Slide 19: Guaranteed Senior Certificates
Guaranteed Senior Certificates Loan Maximum Initial Class Principal or Approximate Initial Initial Credit WAL Stated Final Principal Window Class Class Type Group Initial Class Notional Amount Class Coupon Enhancement (years)(1) Distribution Date (months)(1) M MT $532,535,000 3.500% 5.00% 8.55 May 2
Slide 20: Guaranteed Senior Certificates – Group M
Guaranteed Senior Certificates – Group M Maximum Initial Class Principal Loan Approximate Initial Initial Credit WAL Stated Final Principal Window Class or Class Type Group Class Coupon Enhancement (years)(1) Distribution Date (months)(1) Initial Class Notional Amount M MT $532,535,000 3.500% 5.00%
Slide 21: Guaranteed High Coupon Certificates – Group M
Guaranteed High Coupon Certificates – Group M Maximum Initial Class Principal Loan Approximate Initial Initial Credit WAL Stated Final Principal Window Class or Class Type Group Class Coupon Enhancement (years)(1) Distribution Date (months)(1) Initial Class Notional Amount M 40MT $532,535,000 4.000%
Slide 22: SCRT 2024-2 Guaranteed Certificates
SCRT 2024-2 Guaranteed Certificates Group M Certificates(1) MT 3.500% Pass-Through (2) MA MB 3.500% 3.500% Front-Pay Back-Pay (2) (2) (2) (2) (2) MA-1 MA-2 MA-3 MA-4 MA-5 3.500% 3.500% 3.500% 3.500% 3.500% Sequential Sequential Sequential Sequential Sequential (1) Further Group M MACRs available, in
Slide 23: SCRT 2024-2 Guaranteed Certificates
SCRT 2024-2 Guaranteed Certificates Group T Certificates Group T IO Certificates TT TTU TTW TT-IO 3.500% 4.000% 4.250% 5.000% Pass-Through Pass-Through Pass-Through IO (1) TA-IO 5.000% IO (1) (1) (1) TA TB TAW TBW TB-IO 3.500% 3.500% 4.250% 4.250% 5.000% Front-Pay Back-Pay Front-Pay Back-Pay IO TAU
Slide 24: SCRT 2024-2 Non-Guaranteed Certificates
SCRT 2024-2 Non-Guaranteed Certificates BXS Certificates (1) (1) (1) B-IO B A-IO (2) (2) 2.217% 0.000% 0.105% PO BBIO (2) 3.167% (1) BX XS-IO 6.036% (2) 0.050%(2) Excess Servicing (3) BXS 7.465%(2) (1) Exchangeable Certificates (2) Approximate class coupon for first distribution date (3) Only Class
Slide 25: SCRT Deal Triggers and Initial Credit Enhancement
SCRT Deal Triggers and Initial Credit Enhancement Item Description 2020-2 2020-3 2021-1 2021-2 2021-3 2022-1 2022-2 2023-1 2024-1 2024-2 Initial Credit Initial Subordination Percentage 13.00% 10.00% 6.90% 6.50% 7.50% 8.25% 8.30% 5.85% 5.25% 5.00% Enhancement Class M Subordination percentage 7.65% 6.
Slide 26: Historical SCRT Collateral
Historical SCRT Collateral SCRT Pool Comparison 2020-3 2021-1 2021-2 2021-3 2022-1 2022-2 2023-1 2024-1 2024-2 As of Date 9/30/2020 2/28/2021 4/30/2021 8/31/2021 2/28/2022 7/31/2022 6/30/2023 1/31/2024 7/31/2024 % Modified and/or PDP(1) 91% 51% 60% 86% 90% 94% 93% 93% 90% % Freddie Mac PDP only(1) 2
Slide 27: SCRT 2024-2 Voluntary Prepayment Rate Modeled by Group
SCRT 2024-2 Voluntary Prepayment Rate (“VPR”) Modeled by Group Group M Group T 10 20 15 Rate % Rate % 5 10 5 0 0 Yield Book Model Bloomberg Model SCRT Pricing Speed Pricing Assumptions CPR CDR Severity Ramp from 5% to 8% Ramp from 0% to Group M CPR over 24 months 1% over 36 25% Group T 15% CPR month
Slide 28: Historical Deal Performance
Historical Deal Performance Prepared by Investments and Capital CONFIDENTIAL SCRT 2024-2 © Freddie Mac Markets
Slide 29: SCRT Historical Performance by Group
SCRT Historical Performance by Group 1 Month VPR(¹) 25 20 15 Rate % 10 5 0 Group H > SCRT 2017-3 Group M > SCRT 2017-3 Group M55 Group T Jan-22 Feb-22 Mar-22 Apr-22 May-22 Jun-22 Jul-22 Aug-22 Sep-22 Oct-22 Nov-22 Dec-22 Jan-23 Feb-23 Mar-23 Apr-23 May-23 Jun-23 Jul-23 Aug-23 Sep-23 Oct-23 Nov-23 De
Slide 30: SCRT Historical Performance
SCRT Historical Performance Historical DQ90+(¹) 18 16 14 12 10 Rate % 8 6 4 2 0 SCRT 2017-4 SCRT 2018-1 - SCRT 2018-4 SCRT 2019-1 - SCRT 2019-4 SCRT 2020-1 SCRT 2020-2 SCRT 2020-3 SCRT 2021-1 SCRT 2021-2 SCRT 2021-3 SCRT 2022-1 SCRT 2022-2 SCRT 2023-1 SCRT 2024-1 (1) The DQ90+ rate is calculated as
Slide 31: Servicing, Credit and Program Support
Servicing, Credit and Program Support Prepared by Investments and Capital CONFIDENTIAL SCRT 2024-2 © Freddie Mac Markets
Slide 32: Post-Securitization Servicing Requirements
Post-Securitization Servicing Requirements Modification and Loss Mitigation Eligibility • Borrower must be 60+ days delinquent or in imminent default as determined by the Servicer Limits • Servicer must evaluate eligible borrower first for a Payment Deferral, and then a Modification, subject to the
Slide 33: Post-Securitization Servicing Requirements (continued)
Post-Securitization Servicing Requirements (continued) Third Party Servicer • 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 comp
Slide 34: SCRT Credit Features
SCRT Credit Features Credit Rating Actions as of August 2024 Transaction Class Rating Agency Initial or Prior Rating New Rating Effective Date As Guarantor we may: M-2 Moody's Ba3 (sf) Ba1 (sf) 3/9/2022 2016-1 M-2 DBRS BBB low (sf) A (sf) 5/23/2024 • Oversee and audit the servicing of the Mortgage L
Slide 35: SCRT Program Support
SCRT Program Support Financing for Guaranteed Classes • Freddie Mac can offer repo financing for SCRT Guaranteed Certificates (other than IOs) to approved counterparties • SCRT Guaranteed Certificates are (i) eligible for financing under the BNY Mellon MBS Tri-party Repo, and (ii) acceptable collate
Slide 36: SCRT Transactions Recap
SCRT Transactions Recap Prepared by Investments and Capital CONFIDENTIAL SCRT 2024-2 © Freddie Mac Markets
Slide 37: SCRT Transaction Issuance History
SCRT Transaction Issuance History SCRT 2024-1 Priced Classes (Pricing Date: 3/5/2024) Maximum Initial Printed % of Approximate Initial Credit WAL(1) Class Class Printed Maximum Initial Class Initial Class Spread or Proceeds(2) Yield(2) Price(2) Ratings Enhancement (years) Principal Amount Principal
Slide 38: SCRT Credit Tranches at Pricing
SCRT Credit Tranches at Pricing Mezz First Loss Collateral Per Deal Cumulative Per Deal Cumulative Cumulative Net Loss Rate $ MV Deal Format Spread(3) $ PX(3) Unique Tranche $ PX*(3) Yield % Unique Investors New (mm)(3) Investors New 100 PPS BTM(1) YB(2) Investors Investors 19-2 Syndicated 330 93.8
Slide 39: SCRT Investor Types
SCRT Investor Types(1) Guaranteed Certificates Non-Guaranteed Certificates Dealer, 0.5% Dealer, 16.7% Private Equity, Bank/Credit REIT, 2.6% 20.6% Union, 24.4% Money Insurance Manager, 38.1% Company, 7.2% Hedge Fund, 24.5% Money Manager, 49.1% REIT, 14.0% Insurance Company, 2.3% (1) As determined by
Slide 40: SCRT Investor Participation
SCRT Investor Participation SCRT Program Participation - Guaranteed Certificates 100 88 89 89 91 93 79 83 84 72 73 76 80 65 66 59 60 51 43 31 36 40 20 32 20 24 30 28 28 28 24 30 26 24 20 14 18 19 12 3 0 9 SCRT SCRT SCRT SCRT SCRT SCRT SCRT SCRT SCRT SCRT SCRT SCRT SCRT SCRT SCRT SCRT SCRT SCRT 2018-
Slide 41: Collateral History by Group
Collateral History by Group Prepared by Investments and Capital CONFIDENTIAL SCRT 2024-2 © Freddie Mac Markets
Slide 42: Collateral Characteristics Comparison - Group M and Group M55
Collateral Characteristics Comparison - Group M and Group M55 Group M Group M55 Group M Group M55 Group M Group M55 Group M Group M55 Group M(6) Description 2022-1 2022-1 2022-2 2022-2 2023-1 2023-1 2024-1 2024-1 2024-2 As of Date 2/28/2022 2/28/2022 7/31/2022 7/31/2022 6/30/2023 6/30/2023 1/31/2024
Slide 43: Collateral Characteristics Comparison - Group T
Collateral Characteristics Comparison - Group T SPSS SCRT Group T 2021-1 2021-2 2021-3 2022-1 2022-2 2023-1 2024-1 2024-2 As of Date 2/28/2021 4/30/2021 8/31/2021 2/28/2022 7/31/2022 6/30/2023 1/31/2024 7/31/2024 % Freddie Mac PDP only(1) 3% 24% 15% 45% 45% 33% 53% 32% % ARM 14% 23% 23% 11% 18% 3% 4
Slide 44: Data Stratifications
Data Stratifications Prepared by Investments and Capital CONFIDENTIAL SCRT 2024-2 © Freddie Mac Markets
Slide 45: Data Stratifications (as of July 31, 2024)
Data Stratifications (as of July 31, 2024) Aggregate Product Type(1) Current Mortgage Rate (%) Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortgage Loans Balance ($) Balance (%) Balance ($) Balance (%)
Slide 46: Data Stratifications (as of July 31, 2024)
Data Stratifications (as of July 31, 2024) Aggregate Loan Age from Modification (months)(1) Current Credit Score Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) Loans Balan
Slide 47: Data Stratifications (as of July 31, 2024)
Data Stratifications (as of July 31, 2024) Aggregate Remaining Term (months) Loan Purpose at Origination Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Loans Balance ($) Balance (%) Balance ($) B
Slide 48: Data Stratifications (as of July 31, 2024)
Data Stratifications (as of July 31, 2024) Aggregate Number of Remaining Steps Clean Pay History (months) Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) Loans Balance ($)
Slide 49: Data Stratifications – Group M
Data Stratifications (as of July 31, 2024) Group M Product Type(1) Current Mortgage Rate (%) Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortgage Loans Balance ($) Balance (%) Balance ($) Balance (%) F
Slide 50: Data Stratifications – Group M
Data Stratifications (as of July 31, 2024) Group M Loan Age from Modification (months)(1) Current Credit Score Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Loans Balance ($) Balance (%) Balance
Slide 51: Data Stratifications – Group M
Data Stratifications (as of July 31, 2024) Group M Remaining Term (months) Loan Purpose at Origination Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Loans Balance ($) Balance (%) Balance ($) Bal
Slide 52: Data Stratifications – Group M
Data Stratifications (as of July 31, 2024) Group M Number of Remaining Steps Clean Pay History (months) Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) Loans Balance ($) Ba
Slide 53: Data Stratifications – Group T
Data Stratifications (as of July 31, 2024) Group T Product Type(1) Current Mortgage Rate (%) Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortgage Loans Balance ($) Balance (%) Balance ($) Balance (%) F
Slide 54: Data Stratifications – Group T
Data Stratifications (as of July 31, 2024) Group T Loan Age from Modification (months)(1) Current Credit Score Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) Loans Balance
Slide 55: Data Stratifications – Group T
Data Stratifications (as of July 31, 2024) Group T Geographic Concentration of the Mortgaged Properties (state) Judicial Foreclosure State Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortgage Loans Bal
Slide 56: Data Stratifications – Group T Fixed Rate
Data Stratifications (as of July 31, 2024) Group T- Fixed Rate Product Type(1) Current Mortgage Rate (%) Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortgage Loans Balance ($) Balance (%) Balance ($) B
Slide 57: Data Stratifications – Group T Fixed Rate
Data Stratifications (as of July 31, 2024) Group T- Fixed Rate Loan Age from Modification (months)(1) Current Credit Score Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) L
Slide 58: Data Stratifications – Group T Fixed Rate
Data Stratifications (as of July 31, 2024) Group T- Fixed Rate Geographic Concentration of the Mortgaged Properties (state) Judicial Foreclosure State Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortga
Slide 59: Data Stratifications – Group T Adjustable Rate
Data Stratifications (as of July 31, 2024) Group T- Adjustable Rate Product Type(1) Current Mortgage Rate (%) Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortgage Loans Balance ($) Balance (%) Balance
Slide 60: Data Stratifications – Group T Adjustable Rate
Data Stratifications (as of July 31, 2024) Group T- Adjustable Rate Loan Age from Modification (months)(1) Current Credit Score Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance
Slide 61: Data Stratifications – Group T Adjustable Rate
Data Stratifications (as of July 31, 2024) Group T- Adjustable Rate Geographic Concentration of Mortgaged Properties (State or District) Judicial Foreclosure State Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Num
Slide 62: Data Stratifications – Group T Adjustable Rate
Data Stratifications (as of July 31, 2024) Group T- Adjustable Rate Index Months to Next Rate Adjustment Date Number of Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Aggregate Unpaid Principal Aggregate Unpaid Principal Mortgage Loans Balance ($) Balance (%) Mortgage Loans Balance
Slide 63: Data Stratifications – Group T Adjustable Rate
Data Stratifications (as of July 31, 2024) Group T- Adjustable Rate Lifetime Minimum Rate Lifetime Maximum Rate Number of Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Balance ($) Balance (%) Mortgage Loans Principal Balance ($) Prin
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