Freddie Mac · OTC:FMCC

Freddie Mac — Debt Investor Presentation (November 2015)

61 slides from Freddie Mac's debt investor presentation, November 2015

1. Slide 1: Freddie Mac Whole Loan Securities Trust, Series 2015-SC02

   Freddie Mac Whole Loan Securities Trust, Series 2015-SC02 November 2015 PROPRIETARY AND CONFIDENTIAL This overview is not an offer to sell any Freddie Mac securities. Offers for any given security are made only through applicable offering circulars and related supplements, which incorporate Freddie

2. Slide 2: Disclaimer

   Disclaimer Notice to United States Investors: This document is not an offer to sell any Freddie Mac securities. Offers for any given security are made only through applicable offering circulars and any related supplements, which incorporate Freddie Mac's Annual Report on Form 10-K for the year ended

3. Slide 3: A Better Freddie Mac

   A Better Freddie Mac …and a better housing finance system For families ...innovating to improve the liquidity, stability and affordability of mortgage markets For customers ...competing to earn their business For taxpayers ...reducing their exposure to mortgage risks © Freddie Mac 2015 3

4. Slide 4: Agenda

   Agenda 1. Executive Summary 5 2. Key Terms & Structure Overview 12 3. Structural Comparison 20 4. Investor Reporting 23 5. Investor Participation 26 6. Data Stratifications 27 7. Prepayment / Default Sensitivity 35 8. Historical Performance 46 9. Single-Family Business Overview 50 10. Freddie Mac Ke

5. Slide 5: 1. Executive Summary

   1. Executive Summary © Freddie Mac 2015 5

6. Slide 6: Freddie Mac Whole Loan Securities Program Overview

   Freddie Mac Whole Loan Securities Program Overview  Credit Risk Transfer (CRT) has become a fundamental component of Freddie Mac’s operating model.  We are transforming the company as it relates to credit risk from exclusively buy-and-hold to significantly buy-and- distribute. We continue to retai

7. Slide 7: Guiding Principles and Program Development

   Guiding Principles and Program Development  The WLS program is guided by certain principles and critical components: » Securitized collateral must be eligible for delivery under the Guide; i.e. no expansion of credit, underwriting or other criteria. » The loans are purchased through Freddie Mac’s c

8. Slide 8: Guiding Principles and Program Development

   Guiding Principles and Program Development  For the WLS program, Freddie Mac purchases super-conforming collateral in excess of the 10% de minimis rule that sellers are otherwise able to deliver into TBA securities (collateral that would be otherwise eligible for delivery into Freddie Mac T6 or Fan

9. Slide 9: Super-Conforming Loan Program Overview

   Super-Conforming Loan Program Overview  Freddie Mac's super-conforming mortgages are originated using higher maximum loan limits that are permitted in designated high-cost areas.  These higher loan limits are intended to provide lenders with much-needed liquidity in the highest cost areas of the c

10. Slide 10: Indicative WLS Illustration

    Indicative WLS Illustration A WLS securitization can be used by Freddie Mac to fund mortgage loans and transfer credit risk Freddie Mac provides R&W on mortgage loans Freddie Mac guarantees ultimate and provides ongoing servicing oversight principal and timely interest on Senior Certificates  Senio

11. Slide 11: WLS 2015-SC02 Capital Structure

    WLS 2015-SC02 Capital Structure Freddie Mac Whole Loan Securities, Series 2015-SC02 Initial Class Principal Expected Amount or Initial Approximate Principal Final Scheduled Initial Credit Rating Class Notional Initial Class WAL Window Distribution Enhancement Class (Moody’s) Amount ($)(1) Coupon (%)

12. Slide 12: 2. Key Terms & Structure Overview

    2. Key Terms & Structure Overview © Freddie Mac 2015 12

13. Slide 13: Significant Structural Changes

    Significant Structural Changes  Freddie Mac has issued one WLS transaction to date: WLS 2015-SC01 WLS 2015-SC02 Total Credit Enhancement 7.50% 6.50% to Guaranteed Certificates Non-Guaranteed Classes M-1, M-2, B M-1, M-2, M-3, B Rated Classes None M-1, M-2, M-3 Expenses and rate modifications result

14. Slide 14: Principal Available to Cover Interest Shortfalls

    Principal Available to Cover Interest Shortfalls  As long as the Class B Certificates remain outstanding, certain principal payments will be made available to cover interest shortfalls on the certificates (other than the Class B Certificates) due to modifications and expenses.  Available principal

15. Slide 15: Key Terms & Structure Overview

    Key Terms & Structure Overview Trust Freddie Mac Whole Loan Securities Trust, Series 2015-SC02 Seller, Guarantor, Master Servicer, Freddie Mac Master Document Custodian, and Trustee Mortgage Loans On the Closing Date, the assets of the Trust will include Mortgage Loans with an aggregate Stated Princ

16. Slide 16: Key Terms & Structure Overview

    Key Terms & Structure Overview Senior Percentage For Pool 1, the Class Principal Amount of the Class 1-A Certificates divided by the aggregate Stated Principal Balance of the Pool 1 Mortgage Loans (not to exceed 100%), each as of the preceding Distribution date. For Pool 2, the Class Principal Amoun

17. Slide 17: Key Terms & Structure Overview

    Key Terms & Structure Overview Realized Loss With respect to any Distribution Date, an amount (without duplication) equal to the sum of: (a) with respect to a Liquidated Mortgage Loan, an amount equal to (i) Stated Principal Balance plus (ii) interest due but not remitted to the Trust minus (iii) th

18. Slide 18: Key Terms & Structure Overview

    Key Terms & Structure Overview Advances The Master Servicer will make principal and interest advances for Mortgage Loans that are not Stop Advance Loans. The Master Servicer and/or Underlying Servicer is required to pay certain expenses to maintain, preserve, acquire and liquidate the Trust’s intere

19. Slide 19: Reporting Period Example

    Reporting Period Example The following sets forth an example of various reporting periods and dates related to the Distribution Date in December 2015. Due Period The Master Servicer will report scheduled principal and interest payments due on the Mortgage Loans during the related Due Nov 16 through

20. Slide 20: 3. Structural Comparison

    3. Structural Comparison © Freddie Mac 2015 20

21. Slide 21: Structural Comparison – Seniors

    Structural Comparison – Seniors WLS Senior Certificates are substantially similar to Freddie Mac T6 PC securities: Structural Comparison WLS - Seniors Freddie T6 Pool Freddie Mac Guarantee Timely interest and ultimate principal Timely interest and timely scheduled principal Maturity Guaranteed Guara

22. Slide 22: Structural Comparison – Subordinate Certificates

    Structural Comparison – Subordinate Certificates WLS Subordinate Certificates are substantially similar to Freddie Mac’s STACR debt notes, though certain differences exist: Structural Comparison WLS - Subs STACR – DNA2 Guaranteed No No Coupon Net WAC Floating Typical Secondary Trade Settle T+3 T+3 F

23. Slide 23: 4. Investor Reporting

    4. Investor Reporting © Freddie Mac 2015 23

24. Slide 24: Disclosed at Issuance Loan-Level Fields

    Disclosed at Issuance Loan-Level Fields(1)(2) # Field Name # Field Name 1 Loan Identifier 21 Loan Purpose 2 Loan Group 22 Channel 3 Product Type 23 Property Type 4 Lien Position 24 Number of Units 5 Initial Interest Flag 25 Occupancy Status 6 HELOC Indicator 26 Number of Borrowers 7 Escrow Indicator

25. Slide 25: Disclosed Monthly Loan-Level Fields

    Disclosed Monthly Loan-Level Fields(1)(2) # Field Name # Field Name # Field Name 1 Distribution Period 22 Temporary Forbearance Status 43 Fifth Step Rate Adjustment Date 2 Servicer Name 23 Modification Flag 44 Fifth Step Rate 3 Servicing Fee 24 Number of Modifications 45 Property Inspection Conditio

26. Slide 26: Investor Participation

    Investor Participation WLS 2015-SC01: ALL WLS 2015-SC01: Seniors WLS 2015-SC01: Subordinates WLS 2015-SC01: Senior IO Retained Retained 100.0% 7.7% 8.4% 0.4% 5.0% 7.2% 27.4% 12.6% 20.9% 19.1% 63.5% 60.2% 67.6% 20 unique investors 14 unique investors 6 unique investors 2 unique investors Money Manage

27. Slide 27: 5. Data Stratifications

    5. Data Stratifications Note: All numbers referenced are rounded. All Stated Principal Balances used in the collateral tables have been rolled to November 1, 2015. © Freddie Mac 2015 27

28. Slide 28: Comparison of FWLS 2015-SC02 and 2015-SC01

    Comparison of FWLS 2015-SC02 and 2015-SC01 WLS 2015-SC01 WLS 2015-SC02 Pool 1 Pool 2 Aggregate Pool 1 Pool 2 Aggregate Number of Loans 490 84 574 729 457 1,186 Stated Principal Balance $256,223,103 $44,051,735 $300,274,838 $389,166,624 $245,473,957 $634,640,581 Acquisition Period Nov 2014 – Mar 2015

29. Slide 29: Aggregate - Data Stratifications

    Aggregate - Data Stratifications Range of Stated Principal Balances ($) Range of Original Interest Rates (%) Number of Aggregate Stated Number of Aggregate Stated Aggregate Stated Aggregate Stated Mortgage Principal Balance Mortgage Principal Balance Principal Balance ($) Principal Balance ($) Loans

30. Slide 30: Aggregate - Data Stratifications

    Aggregate - Data Stratifications Range of Original Loan-to-Value Ratios (%) Range of Original Combined Loan-to-Value Ratios (%) Number of Aggregate Stated Number of Aggregate Stated Aggregate Stated Aggregate Stated Mortgage Principal Balance Mortgage Principal Balance Principal Balance ($) Principa

31. Slide 31: Pool 1 - Data Stratifications

    Pool 1 - Data Stratifications Range of Stated Principal Balances ($) Range of Original Interest Rates (%) Number of Aggregate Stated Number of Aggregate Stated Aggregate Stated Aggregate Stated Mortgage Principal Balance Mortgage Principal Balance Principal Balance ($) Principal Balance ($) Loans (%

32. Slide 32: Pool 1 - Data Stratifications

    Pool 1 - Data Stratifications Range of Original Loan-to-Value Ratios (%) Range of Original Combined Loan-to-Value Ratios (%) Number of Aggregate Stated Number of Aggregate Stated Aggregate Stated Aggregate Stated Mortgage Principal Balance Mortgage Principal Balance Principal Balance ($) Principal B

33. Slide 33: Pool 2 - Data Stratifications

    Pool 2 - Data Stratifications Range of Stated Principal Balances ($) Range of Original Interest Rates (%) Number of Aggregate Stated Number of Aggregate Stated Aggregate Stated Aggregate Stated Mortgage Principal Balance Mortgage Principal Balance Principal Balance ($) Principal Balance ($) Loans (%

34. Slide 34: Pool 2 - Data Stratifications

    Pool 2 - Data Stratifications Range of Original Loan-to-Value Ratios (%) Range of Original Combined Loan-to-Value Ratios (%) Number of Aggregate Stated Number of Aggregate Stated Aggregate Stated Aggregate Stated Mortgage Principal Balance Mortgage Principal Balance Principal Balance ($) Principal B

35. Slide 35: 6. Prepayment / Default Sensitivity

    6. Prepayment / Default Sensitivity © Freddie Mac 2015 35

36. Slide 36: Declining Balances Tables

    Declining Balances Tables Class 1-A and 1-A-IO Class 2-A and 2-A-IO CPR Prepayment Assumption CPR Prepayment Assumption Date 5% CPR 10% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 5% CPR 10% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR Closing Date 100 100 100 100 100 100 100 100 100

37. Slide 37: Declining Balances Tables

    Declining Balances Tables Class M-1 Class M-2 CPR Prepayment Assumption CPR Prepayment Assumption Date 5% CPR 10% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 5% CPR 10% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR Closing Date 100 100 100 100 100 100 100 100 100 100 100 100 100 100 10

38. Slide 38: Declining Balances Tables

    Declining Balances Tables Class M-3 Class B CPR Prepayment Assumption CPR Prepayment Assumption Date 5% CPR 10% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 5% CPR 10% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR Closing Date 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100

39. Slide 39: Cumulative Realized Loss Table

    Cumulative Realized Loss Table Cumulative Realized Loss (as % of the Mortgage Pool Cut-Off Date Balance) (1) CDR 5% CPR 10% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 0.10%.................................. 0.27% 0.18% 0.13% 0.10% 0.08% 0.07% 0.06% 0.05% 0.25%...............................

40. Slide 40: Senior Classes - Yield Tables

    Senior Classes - Yield Tables Class 1-A Pre-Tax Yield to Maturity Prices 5% CPR 10% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 99.00% ............... 3.11% 3.15% 3.20% 3.24% 3.30% 3.35% 3.41% 3.47% 99.25% ............... 3.08% 3.11% 3.14% 3.17% 3.21% 3.25% 3.29% 3.33% 99.50% ...............

41. Slide 41: Senior Classes - Yield Tables

    Senior Classes - Yield Tables Class 2-A Pre-Tax Yield to Maturity Prices 5% CPR 10% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 101.00% ............. 3.38% 3.32% 3.25% 3.18% 3.10% 3.02% 2.93% 2.83% 101.25% ............. 3.35% 3.28% 3.20% 3.11% 3.02% 2.92% 2.81% 2.69% 101.50% ............. 3.

42. Slide 42: Class M-1 Certificates

    Class M-1 Certificates Class M-1 Cumulative Certificate Realized Loss(1) (as % of initial Class Principal Amount) CDR 5% CPR 10% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 0.10%.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.25%.................. 0.00% 0.00% 0.00% 0.00%

43. Slide 43: Class M-2 Certificates

    Class M-2 Certificates Class M-2 Cumulative Certificate Realized Loss(1) (as % of initial Class Principal Amount) CDR 5% CPR 10% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 0.10%.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.25%.................. 0.00% 0.00% 0.00% 0.00%

44. Slide 44: Class M-3 Certificates

    Class M-3 Certificates Class M-3 Cumulative Certificate Realized Loss(1) (as % of initial Class Principal Amount) CDR 5% CPR 10% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 0.10%.................. 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.25%.................. 0.00% 0.00% 0.00% 0.00%

45. Slide 45: Class B Certificates

    Class B Certificates Class B Cumulative Certificate Realized Loss(1) (as % of initial Class Principal Amount) CDR 5% CPR 10% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 0.10%.................. 26.92% 18.21% 13.26% 10.19% 8.15% 6.71% 5.63% 4.81% 0.25%.................. 66.52% 45.13% 32.92% 25

46. Slide 46: 7. Historical Performance

    7. Historical Performance © Freddie Mac 2015 46

47. Slide 47: Static Pool Disclosure

    Static Pool Disclosure(1)  Vintage-based static pools have been constructed using newly originated, fixed rate, super conforming loans that Freddie Mac purchased between 2010 and 2014. Vintage: 2010 2011 2012 2013 2014 Collateral Overview: Number of Pool Assets 28,936 30,645 46,976 34,164 29,985 Or

48. Slide 48: WLS 2015-SC01 Comparable Cohort Prepayment Speeds

    WLS 2015-SC01 Comparable Cohort Prepayment Speeds  Comparable cohorts were constructed using Bloomberg MBSS <Go> function specifying FNMA CK or FRE T6 pools with January – March 2015 origination dates, with specified security coupons.  Prepay performance was calculated using Bloomberg historical d

49. Slide 49: WLS 2015-SC02 Comparable Cohort Prepayment Speeds

    WLS 2015-SC02 Comparable Cohort Prepayment Speeds  Comparable cohorts were constructed using Bloomberg MBSS <Go> function specifying FNMA CK or FRE T6 pools with May - Aug 2015 origination dates, with specified security coupons.  Prepay performance was calculated using Bloomberg historical data (1

50. Slide 50: 8. Single Family Business Overview

    8. Single Family Business Overview* *The Single Family Business Overview section herein provides a general summary of underwriting standards, quality control processes, and servicing oversight policies and procedures that Freddie Mac employs in its overall business operations. While the mortgage loa

51. Slide 51: Approved Sellers and Servicers

    Approved Sellers and Servicers  Freddie Mac approves sellers and servicers of mortgage loans based on a number of factors, including their financial condition, operational capability and origination and servicing experience.  In approving sellers and servicers, Freddie Mac verifies references and

52. Slide 52: Underwriting and Quality Control

    Underwriting and Quality Control © Freddie Mac 2015 52

53. Slide 53: Underwriting Standards

    Underwriting Standards  Delegated Underwriting » Freddie Mac uses a process of delegated underwriting whereby loans are purchased from Seller/Servicers that make representations and warranties that the loans meet the standards and requirements of their contracts with Freddie Mac. » Approximately 50

54. Slide 54: Quality Control Overview

    Quality Control Overview  Representations and Warranties » Freddie Mac relies on representations and warranties of each seller covering such matters as, but not limited to: – The accuracy of the information provided by the Mortgagor and Seller, – The validity of each mortgage loan as a first lien,

55. Slide 55: Quality Control Review Process

    Quality Control Review Process  Credit Review » For mortgage loans selected to be reviewed, files are sent to vendors to re-verify factual information and then the files are placed in a queue for review. » All mortgage loans reviewed are compared against the underwriting standards set forth in the

56. Slide 56: Quality Control Review Process (cont.)

    Quality Control Review Process (cont.)  Underwriting Defects » In its sole discretion, Freddie Mac determines that a loan has an underwriting defect, through the identification of one of the following: – a material violation of the underwriting guidelines and other requirements in the Guide and may

57. Slide 57: Single Family Servicing Oversight and Control

    Single Family Servicing Oversight and Control © Freddie Mac 2015 57

58. Slide 58: Servicing Standards

    Servicing Standards  Servicing Overview » Servicers are required to perform customary mortgage loan servicing functions, including: – collection of payments from mortgagors and remitting payments to Freddie Mac; – maintenance of primary mortgage loan and property insurance and filing and settlement

59. Slide 59: Servicing Monitoring

    Servicing Monitoring Freddie Mac monitors servicers to ensure they are properly implementing servicing standards  Freddie Mac requires servicers to report regularly on their servicing activities, including adverse matters, charge-offs, reporting to credit repositories, foreclosures, monthly delinqu

60. Slide 60: 9. Freddie Mac Key Contacts

    9. Freddie Mac Key Contacts © Freddie Mac 2015 60

61. Slide 61: Freddie Mac Key Contacts

    Freddie Mac Key Contacts Team Member Email Address Business Phone Kevin Palmer kevin_palmer@freddiemac.com 571.382.4313 Vice President, Strategic Credit Costing & Structuring Bradley Brunts bradley_brunts@freddiemac.com 571.382.4566 Risk Transfer Sally W. Baker sally_baker@freddiemac.com 571.382.566

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