Freddie Mac · OTC:FMCC
Freddie Mac — Debt Investor Presentation (May 2024)
46 slides from Freddie Mac's debt investor presentation, May 2024
Slide 1: Seasoned Loans Structured Transaction Trust, Series 2024-1 Investor Presentation
Seasoned Loans Structured Transaction Trust, Series 2024-1 (“SLST 2024-1”) Investor Presentation May 2024 Information contained in this presentation is current as of May 2024. For further information on this transaction see the SLST 2024-1 Offering Circular on FreddieMac.com Prepared by Investments
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. Model Data and Historical Deal Performance 2. Transaction Timeline 8. Historical Cohort Performance 3. Collateral and Structure 9. Data Stratifications 4. Key Transaction Features 10.Freddie Mac Key Contacts 5. SLST Transaction Comparison 6. Servicing and Prog
Slide 5: Program Summary
Program Summary Prepared by Investments and Capital CONFIDENTIAL SLST 2024-1 © Freddie Mac Markets
Slide 6: Program Summary
Program Summary • Freddie Mac’s $298 million SLST 2024-1 securitization is the seventeenth transaction backed by re-performing and non- performing single-family mortgage loans (“RPLs”) o Freddie Mac will auction the non-guaranteed subordinate certificates (the “Subordinate Certificates”) issued by t
Slide 7: Summary of Changes
Summary of Changes SLST 2024-1 Changes • Prospective bidders are no longer required to submit an NDA or qualification package to submit a bid • Servicing advances will be reimbursed from related sales proceeds or recovered from the borrower vs. reimbursed from the Trust monthly • Revised compliance
Slide 8: Indicative SLST 2024-1 Transaction Structure
Indicative SLST 2024-1 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 2024-1 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 March 31, 2024, Freddie Mac’s total retained portfolio balance was $107.8 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
Slide 10: Freddie Mac Seasoned and Legacy Loan Activity
Freddie Mac Seasoned and Legacy Loan Activity Approximately $89 Billion from 2011 through April 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 $35.5 billion settled since
Slide 11: Transaction Timeline
Transaction Timeline Prepared by Investments and Capital CONFIDENTIAL SLST 2024-1 © Freddie Mac Markets
Slide 12: Key Dates
Key Dates April 2024 May 2024 S M T W T F S S M T W T F S • April 30th: Cut-off Date 1 2 3 4 5 6 1 2 3 4 • May 13th: Data Tape and CDI Available 7 8 9 10 11 12 13 5 6 7 8 9 10 11 • May 16th: Begin Pre-marketing 14 15 16 17 18 19 20 12 13 14 15 16 17 18 • May 20th: SUB Bids Due (by 11:00am 21 22 23 2
Slide 13: Collateral and Structure
Collateral and Structure Prepared by Investments and Capital CONFIDENTIAL SLST 2024-1 © Freddie Mac Markets
Slide 14: Collateral – 2020-2024 Deals
SLST Collateral – 2020-2024 Deals Description SLST 2020-2 SLST 2020-3 SLST 2021-1 SLST 2021-2 SLST 2022-1 SLST 2022-2 SLST 2023-1 SLST 2024-1 As of Date 8/31/2020 10/31/2020 4/30/2021 6/30/2021 4/30/2022 9/30/2022 9/30/2023 4/30/2024 % Modified 89% 89% 66% 88% 86% 94% 89% 94% % Freddie Mac PDP Only(
Slide 15: Preliminary SLST 2024-1 Structure
Preliminary SLST 2024-1 Structure Overview(1) Mandatory Initial Class Initial Approximate Principal Guarantor Base Offered WAL Principal/Notional % UPB Credit Initial Class (2) Window Coupon Type Repurchase Class Type Class Class (years) Amount Enhancement % Coupon % (months)(2) Date/Stated Final Di
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 $35,000,000 3.250% 1.05 1-23 Sequential/Excha
Slide 17: SLST 2024-1 A-1: Projected Cashflow Comparison
SLST 2024-1 A-1: Projected Cashflow Comparison Pricing Speed Bond Comparison Principal Window Pricing Class Coupon WAL (years)(1) Pricing/As Of Date (months)(1) Spread(2) SLST 2024-1 A-1 3.250% 5.38 1-120 N/A 5/21/2024 (Expected) SCRT 2024-1 MA 3.000% 5.05 1-150 I + 87 bps(3) 5/15/2024 Attributes of
Slide 18: SLST 2024-1 A-2: Projected Cashflow Comparison
SLST 2024-1 A-2: Projected Cashflow Comparison Pricing Speed Bond Comparison Principal Window Pricing Class Coupon WAL (years)(1) Pricing Date (months)(1) Spread(2) SLST 2024-1 A-2 3.250% 9.99 120-120 N/A 5/21/2024 (Expected) K163 A-2 5.000% 9.68 110-118 J + 48 bps 5/1/2024 Guaranteed Senior Back-Pa
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 Loans 3.25% Fixed No Cap Participation Class A-1-2 Class A-1 Interests Certificates Certificates Inv
Slide 20: Key Transaction Features
Key Transaction Features Prepared by Investments and Capital CONFIDENTIAL SLST 2024-1 © 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 • Beginning after Year 2 through Year 5 post-closing, the Purchaser or the Retained Certificateholder, as applicable, has the right to sell 100% of the Cla
Slide 23: SLST Transaction Comparison
SLST Transaction Comparison Prepared by Investments and Capital CONFIDENTIAL SLST 2024-1 © Freddie Mac Markets
Slide 24: SLST Transaction Comparison
SLST Transaction Comparison SLST 2019-1 SLST 2019-2 SLST 2019-3 SLST 2020-2 SLST 2020-1 SLST 2020-3 SLST 2021-1 SLST 2021-2 SLST 2022-1 SLST 2022-2 SLST 2023-1 SLST 2024-1 Terms/ May September November September July November May July May October October May Structural 2019 2019 2019 2020 2020 2020
Slide 25: Servicing and Program Support
Servicing and Program Support Prepared by Investments and Capital CONFIDENTIAL SLST 2024-1 © Freddie Mac Markets
Slide 26: 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 27: 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 evaluate eligible borrower first for a Payment Deferral, and then a Modif
Slide 28: 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 29: Program Support
SLST Program Support • Financing for SLST Guaranteed Classes o Freddie Mac offers repo financing for certain SLST guaranteed tranches (except IOs) to approved counterparties o Eligible for financing under the BNY Mellon MBS Tri-party Repo o Acceptable collateral to pledge to all FHLBs • Models & Dat
Slide 30: Investor Types
SLST Investor Types(1) Guaranteed Certificates Non-Guaranteed Certificates (1) As determined by market value and reflected as of issuance for all SLST transactions from SLST 2018-1 to SLST 2023-1 30 (2) “Other” is comprised of Dealers and Hedge Funds Prepared by Investments and Capital CONFIDENTIAL
Slide 31: Model Data and Historical Deal Performance
Model Data and Historical Deal Performance Prepared by Investments and Capital CONFIDENTIAL SLST 2024-1 © Freddie Mac Markets
Slide 32: 2024-1 Projected Model Speeds
SLST 2024-1 Projected Model Speeds VPR(1) 10.00 8.00 Rate % 6.00 4.00 2.00 0.00 Yieldbook Model Bloomberg Model SLST Pricing Speed CDR(1) 3.00 2.50 2.00 Rate % 1.50 1.00 0.50 0.00 Yieldbook Model Bloomberg Model SLST Pricing Speed VPR CDR Severity Pricing Assumptions Ramp from 3% to 6% over 36 month
Slide 33: Historical Cashflow
SLST Historical Cashflow % Scheduled Payments Made By Calendar Month (1)(2) 120% 110% 100% 90% 80% 70% 60% SLST2019-1 SLST2019-2 SLST2019-3 SLST2020-1 SLST2020-2 SLST2020-3 SLST2021-1 SLST2021-2 SLST2022-1 SLST2022-2 SLST2023-1 (1) Weighted by ending total UPB as of the April 25, 2024 remittance. Da
Slide 34: Historical Delinquencies
SLST Historical Delinquencies(1) % Current (By Months After Issuance) 85% 80% 75% 70% 65% 60% 55% 50% 45% 40% 35% 30% 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 SLST 2018-1 SLST 2018-2 SLST 2019-1 SLST 2019-2 SLST 2019-3 SLST 2020-1 SLST 2020-2 SLST 20
Slide 35: Historical Delinquencies
SLST Historical Delinquencies(1) % 30 and 60 Days Delinquent (By Months After Issuance) 60% 50% 40% 30% 20% 10% 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 SLST 2018-1 SLST 2018-2 SLST 2019-1 SLST 2019-2 SLST 2019-3 SLST 2020-1 SLST 2020-2 SLST 2020-
Slide 36: 2024-1 Historical Speeds
SLST 2024-1 Historical Speeds 1-Month VPR By Months After Issuance(1) 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 SLST 2018-1 SLST 2018-2 SLST 2019-1 SLST 2019-2 SLST 2019-3 SLST 2020-1 SLST 2020-2 SLST 2020-3 SLST 2021-1 SLST 2
Slide 37: Historical Cohort Performance
Historical Cohort Performance Prepared by Investments and Capital CONFIDENTIAL SLST 2024-1 © Freddie Mac Markets
Slide 38: Cohort Stratifications
Cohort Stratifications(1)(4) C1-5 D30-D60 D90-D150 Data as of Date 6/30/2017 6/30/2017 6/30/2017 Loan Count 11,477 10,925 3,080 % of Loans Modified 91% 92% 75% % of Loans on a Forbearance Plan 0% 0% 1% Total UPB (including forborne UPB) in millions 1,932 1,839 523 Forborne UPB in millions 159 161 37
Slide 39: Cohort Historical Performance by Delinquency Status
Cohort Historical Performance by Delinquency Status Liquidation Rate(1) Payoff Rate 10 20 8 15 6 10 4 5 2 0 0 201707 201710 201801 201804 201807 201810 201901 201904 201907 201910 202001 202004 202007 202010 202101 202104 202107 202110 202201 202204 202207 202210 202301 202304 202307 201707 201710 2
Slide 40: Cohort Historical Performance by LTV
Cohort Historical Performance by LTV Liquidation Rate(1) Payoff Rate 10 20 8 15 6 10 4 5 2 0 0 201707 201710 201801 201804 201807 201810 201901 201904 201907 201910 202001 202004 202007 202010 202101 202104 202107 202110 202201 202204 202207 202210 202301 202304 202307 201707 201710 201801 201804 20
Slide 41: Data Stratifications
Data Stratifications Prepared by Investments and Capital CONFIDENTIAL SLST 2024-1 © Freddie Mac Markets
Slide 42: SLST 2024-1 Stratifications (as of April 30, 2024)
SLST 2024-1 Stratifications (as of April 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 ($) Principal Balance
Slide 43: SLST 2024-1 Stratifications (as of April 30, 2024)
SLST 2024-1 Stratifications (as of April 30, 2024) Range of AVM Current Loan-to-Value (%) Range of Loan Age from Modification or PDP(1)(2)(months) Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($) Principal Balance (%) Mortga
Slide 44: SLST 2024-1 Stratifications (as of April 30, 2024)
SLST 2024-1 Stratifications (as of April 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 45: SLST 2024-1 Stratifications (as of April 30, 2024)
SLST 2024-1 Stratifications (as of April 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 Balance (%
Slide 46: SLST 2024-1 Stratifications (as of April 30, 2024)
SLST 2024-1 Stratifications (as of April 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 Prin