Freddie Mac · OTC:FMCC
Freddie Mac — Debt Investor Presentation (May 2025)
32 slides from Freddie Mac's debt investor presentation, May 2025
Slide 1: Seasoned Loans Structured Transaction Trust, Series 2025-1 Investor Presentation
Seasoned Loans Structured Transaction Trust, Series 2025-1 (“SLST 2025-1”) Investor Presentation May 2025 Information contained in this presentation is current as of May 2025. For further information on this transaction see the SLST 2025-1 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: SLST 2025-1
SLST 2025-1 • Freddie Mac’s $284 million SLST 2025-1 securitization is the nineteenth SLST 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 5: Summary of Changes
Summary of Changes 2025-1 • Third-Party Due Diligence Changes • Full tax and title review completed on a targeted sample of 30% • Limited tax and title review completed on the remaining 70% o Confirmed recordation and that no other mortgage/security instrument has lien priority o Statistically signi
Slide 6: Key Dates
Key Dates April 2025 May 2025 S M T W T F S S M T W T F S • April 30th: Cut-Off Date 1 2 3 4 5 1 2 3 • May 13th: Data Tape Available 6 7 8 9 10 11 12 4 5 6 7 8 9 10 • May 15th: Pre-marketing Begins 13 14 15 16 17 18 19 11 12 13 14 15 16 17 • May 19th: SUB Bids Due (1:00pm Eastern 20 21 22 23 24 25 2
Slide 7: Indicative SLST 2025-1 Transaction Structure
Indicative SLST 2025-1 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 2025-1 from REO Trust at termination of REO Trust Collections of Paymen
Slide 8: Retained Portfolio and Less Liquid Assets
Retained Portfolio and Less Liquid Assets • As of March 31, 2025, Freddie Mac’s total retained portfolio balance was $114.4 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
Slide 9: Freddie Mac Seasoned and Legacy Loan Activity
Freddie Mac Seasoned and Legacy Loan Activity Approximately $91 Billion from 2011 through April 2025 MBS - Fully Guaranteed Securitizations SCRT - RPL Senior/Sub Re-Performing and Modified Pools Guaranteed Seniors / Non-guaranteed Subs $30.4 billion settled since 2011 $36.9 billion settled since Q4
Slide 10: Collateral – 2021-2025 Deals
SLST Collateral – 2021-2025 Deals Description SLST 2021-1 SLST 2021-2 SLST 2022-1 SLST 2022-2 SLST 2023-1 SLST 2024-1 SLST 2024-2 SLST 2025-1 As of Date 4/30/2021 6/30/2021 4/30/2022 9/30/2022 9/30/2023 4/30/2024 9/30/2024 4/30/2025 % Modified 66% 88% 86% 94% 89% 94% 91% 92% % Freddie Mac PDP Only(1
Slide 11: Preliminary SLST 2025-1 Structure
Preliminary SLST 2025-1 Structure Overview(1) Mandatory Guarantor Initial Class Initial Approximate Principal Base Offered WAL Repurchase Principal/Notional % UPB Credit Initial Class (2) Window Coupon Type Class Type Class Class (years) Date/Stated Final Amount Enhancement % Coupon % (months)(2) Di
Slide 12: 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 3.000% 1.05 1-24 Sequential/Excha
Slide 13: SLST 2025-1 A-1: Projected Cashflow Comparison
SLST 2025-1 A-1: Projected Cashflow Comparison Pricing Speed Bond Comparison Principal Window Pricing Class Coupon WAL (years)(1) Pricing Date (months)(1) Spread SLST 2025-1 A-1 3.000% 5.32 1-120 N/A 5/19/2025 (Expected) SCRT 2025-1 MA 3.250% 5.03 1-146 I + 165 bps(2) 3/5/2025 Attributes of SLST 202
Slide 14: SLST 2025-1 A-2: Projected Cashflow Comparison
SLST 2025-1 A-2: Projected Cashflow Comparison Pricing Speed Bond Comparison Principal Window Pricing Class Coupon WAL (years)(1) Pricing Date (months)(1) Spread(2) SLST 2025-1 A-2 3.000% 9.99 120-120 N/A 5/19/2025 (Expected) K170 A-2 5.000% 9.60 106-118 J + 46 bps 5/7/2025 Attributes of SLST 2025-1
Slide 15: 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 – (3.00%-[ ]bps) 0% Floor Mortgage Loan 3.00% Fixed No Cap Participation Class A-1-2 Class A-1 Interests Certificates Certificates Inve
Slide 16: 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
Slide 17: 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 18: SLST Transaction Comparison
SLST Transaction Comparison 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 Terms/ SLST 2025-1 May September November July September November May July May October October May October Structura
Slide 19: SLST 2025-1 Projected Model Speeds
SLST 2025-1 Projected Model Speeds VPR(1) 10 8 Rate % 6 4 2 0 Yieldbook Model Bloomberg Model SLST Pricing Speed CDR(1) 2.5 2 Rate % 1.5 1 0.5 0 Yieldbook Model Bloomberg Model SLST Pricing Speed VPR CDR Severity Pricing Assumptions Ramp from 3% to 6% over 36 months Ramp from 0% to 2% over 36 months
Slide 20: SLST 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 2025-1 – WAL Table(3) Class 50% PPS 100% PPS 150% PPS 200% PPS 250% PPS SLST 2025-1 A-1 Certificates 6.40 5.32 4.40 3.67 3.16 SLST 2025-1 A-2 C
Slide 21: SLST 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 April 25, 2025 remittance. Data source: 1010data (2) It is assumed that: (a) if a loan is modifi
Slide 22: SLST 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 77 79 81 SLST 2018-1 SLST 2018-2 SLST 2019-1 SLST 2019-2 SLST 2019-3 SLST 2020-1
Slide 23: 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 24: 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 25: 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 26: SLST 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 27: Investor Types
SLST Investor Types(1) Guaranteed Certificates Non-Guaranteed Certificates 77 cumulative investors to date 7 cumulative investors to date (1) As determined by market value and reflected as of issuance for all SLST transactions from 2018-1 to 2024-2 (2) “Other” is comprised of Dealers and Hedge Funds
Slide 28: SLST 2025-1 Stratifications (as of April 30, 2025)
SLST 2025-1 Stratifications (as of April 30, 2025) 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 ($) Principal Balance
Slide 29: SLST 2025-1 Stratifications (as of April 30, 2025)
SLST 2025-1 Stratifications (as of April 30, 2025) Range of AVM Current Loan-to-Value (%) Range of Loan Age from Modification or PDP(1)(2)(months) Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($) Principal Balance (%) Mortga
Slide 30: SLST 2025-1 Stratifications (as of April 30, 2025)
SLST 2025-1 Stratifications (as of April 30, 2025) 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 31: SLST 2025-1 Stratifications (as of April 30, 2025)
SLST 2025-1 Stratifications (as of April 30, 2025) Index (Adjustable–Rate Mortgage Loans Only) 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 ($) Pri
Slide 32: SLST 2025-1 Stratifications (as of April 30, 2025)
SLST 2025-1 Stratifications (as of April 30, 2025) 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