2020-DNA4 Single-Family Loan Level Dataset (SFLLD) Historical - - PowerPoint PPT Presentation
STACR REMIC 2020-DNA4 Single-Family Loan Level Dataset (SFLLD) Historical Performance Presentation August 2020 Investors are directed to Disclaimer section at the end of the presentation Index 1. Net Loss Comparison DN/A vs. HQ/A 3-4 2.
Single-Family Loan Level Dataset (SFLLD) Historical Performance Presentation August 2020
Investors are directed to Disclaimer section at the end of the presentation
Freddie Mac | 2020
2
1. Net Loss Comparison DN/A vs. HQ/A 2. DN/A 60.01-80% OLTV Historical Performance 3. HQ/A 80.01-97% OLTV Historical Performance 4. Appendix
3-4 5-14 15-24 25-31
Net Loss
Freddie Mac | 2020
Net Loss Comparison
4 Notes: Data included in tables were derived from Freddie Mac’s Single-Family Loan Level Dataset (SF LLD) as of April 2020 refresh: Originations: 1999-December 31, 2018. Performance data: 1999 – June 30, 2019. STACR DN-DNA Series (issued beginning in 2013) and STACR HQ-HQA Series (issued beginning in 2014) reference 60.01- 80% LTV and 80.01-97% LTV, respectively, and 241 – 360 months fixed rate collateral. STACR reference pools are a subset of the population of loans in the above table. The net loss rates for the HQ/HQA Series above are based on MI recovery, while MI Credit for STACR Investors is based on MI claim amount. *Loan count represents loans that went to loss
80.01-97% LTV (HQ/HQA Series)
Origination Year Loan Count* Default Rate Severity Rate Net Loss Rate Timeline DDLPI to Disposition 1999-2004 89,863 3.60% 24.60% 0.90% 19 2005 24,174 12.00% 33.60% 4.00% 21 2006 23,136 15.80% 34.70% 5.50% 21 2007 34,571 18.40% 32.70% 6.00% 21 2008 21,755 10.90% 28.50% 3.10% 20 2009 2,408 1.70% 18.00% 0.30% 18 2010 766 0.70% 14.60% 0.10% 17 2011 441 0.40% 11.50% 0.00% 16 2012-2018 2,109 0.10% 7.30% 0.00% 15 Grand Total 199,223 3.20% 29.10% 0.90% 20
60.01-80% LTV (DN/DNA Series)
Origination Year Loan Count* Default Rate Severity Rate Net Loss Rate Timeline DDLPI to Disposition 1999-2004 93,869 1.40% 36.50% 0.50% 20 2005 67,971 6.90% 43.90% 3.00% 20 2006 73,780 9.80% 47.60% 4.70% 20 2007 69,894 10.20% 46.80% 4.80% 20 2008 34,621 5.20% 43.50% 2.20% 20 2009 9,859 0.80% 35.80% 0.30% 20 2010 3,176 0.30% 31.60% 0.10% 19 2011 1,148 0.20% 27.70% 0.00% 16 2012-2018 1,938 0.00% 21.40% 0.00% 16 Grand Total 356,256 2.0% 43.5% 0.90% 20 Net Loss Ratio (DNA/HQA) 0.56 0.75 0.85 0.80 0.71 1.00 1.00 1.00 1.00 1.00
Historical Performance
Freddie Mac | 2020
Notes: Current ratings as of August 5, 2020 or immediately prior to the related bond being paid in full, as applicable.
DN/A Historical Performance
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M-1 Bond Series Fitch Moody’s Kroll DBRS/MSTR S&P Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating 13-DN2 BBB- sf AAA sf Baa1 (sf) Aa1 (sf) 14-DN2 A sf AAA sf A (sf) Aa (sf) 14-DN3 A- sf A sf A1 (sf) Aaa (sf) 14-DN4 A- sf A sf A1 (sf) Aaa (sf) 15-DN1 A2 (sf) Aa1 (sf) A (sf) A(high) (sf) 15-DNA1 AA- sf AAA sf A3 (sf) Aa1 (sf) 15-DNA3 A- sf A sf A(high) (sf) AA (sf) 16-DNA1 BBB sf AAA sf Baa2 (sf) Aaa (sf) 16-DNA2 Baa1 (sf) Aa1 (sf) 16-DNA3 BBB sf AA sf A(low) (sf) AA (sf) 16-DNA4 BBB sf AA- sf A- (sf) AA+ (sf) 17-DNA1 BBB- sf AA sf BBB (sf) A+ (sf) 17-DNA2 BBB- sf AA- sf BBB(high) (sf) AA(low) (sf) 17-DNA3 BBB- sf A+ sf BBB(low) (sf) A(high) (sf) 18-DNA1 BBB- sf A sf BBB+ (sf) A+ (sf) 18-DNA2 A- (sf) A (sf) BBB+ (sf) A (sf) 18-DNA3 BBB+ (sf) A (sf) 19-DNA1 BBB (sf) A (sf) BBB+ (sf) A (sf) 19-DNA2 BBB- sf A- sf
Freddie Mac | 2020
Notes: Current ratings as of August 5, 2020 or immediately prior to the related bond being paid in full, as applicable.
DN/A Historical Performance
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M-2 Bond Series Fitch Moody’s Kroll DBRS/MSTR S&P Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating 13-DN2 NR BBB sf 14-DN1 Baa1 (sf) Aaa (sf) BBB (sf) AAA (sf) 14-DN2 BBB- sf AAA sf BBB (sf) AAA (sf) 14-DN3 BBB- sf AAA sf A3 (sf) Aa2 (sf) 14-DN4 BBB- sf AA- sf A3 (sf) Aa2 (sf) 15-DN1 Baa1 (sf) Aaa (sf) BBB (sf) AAA (sf) 15-DNA1 A sf AAA sf Baa3 (sf) Aaa (sf) 15-DNA2 Baa3 (sf) Aa1 (sf) BBB (sf) AAA (sf) 15-DNA3 BBB- sf AAA sf BBB (sf) AA(low) (sf) 16-DNA1 BBB- sf AAA sf Baa3 (sf) Aa1 (sf) NR BBB(high) (sf) 16-DNA2 Baa3 (sf) Aa1 (sf) BBB- (sf) AA- (sf) 16-DNA3 BBB- sf AAA sf BBB (sf) AA (sf) 16-DNA4 BBB- sf AA+ sf BBB+ (sf) A+ (sf) 17-DNA1 B+ sf BBB sf BB (sf) BBB- (sf) 17-DNA2 B+ sf BBB sf BB(high) (sf) BBB(high) (sf) 17-DNA3 B+ sf BBB- sf B(high) (sf) BBB(low) (sf) 18-DNA1 B sf BB sf BB- (sf) BB (sf) 18-DNA2 18-DNA3 BB- (sf) BB (sf) B+ (sf) BB- (sf) 19-DNA1 NR BB (sf) B+ (sf) BB- (sf) 19-DNA2 B+ (sf) BB- (sf)
Freddie Mac | 2020
Notes: Current ratings as of August 5, 2020 or immediately prior to the related bond being paid in full, as applicable.
DN/A Historical Performance
8
M-3 Bond Series Fitch Moody’s Kroll DBRS/MSTR S&P Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating 14-DN2 NR BBB sf 14-DN3 NR A- sf 14-DN4 NR A sf 15-DN1 Ba1 (sf) Aaa (sf) NR AA(low) (sf) 15-DNA1 BB+ sf AAA sf B1 (sf) Aa3 (sf) 15-DNA2 B1 (sf) A1 (sf) BB+ (sf) A- (sf) 15-DNA3 B sf A+ sf NR A (sf) 16-DNA1 B sf A+ sf B1 (sf) Baa1 (sf) 16-DNA2 B1 (sf) Baa1 (sf) B (sf) BBB (sf) 16-DNA3 B sf BBB+ sf NR BBB (sf) 16-DNA4 B sf BBB+ sf BB- (sf) BBB- (sf)
✓ 0 bonds have been downgraded ✓ 93 upgrades from original to current rating ✓ 35 M-1, 39 M-2, & 19 M-3 upgrades
Freddie Mac | 2020
DN/A Historical Performance
9
Notes: Cumulative Losses do not include modification losses; Loans with 60.00 < LTV ≤ 80.00% Source: Data included in tables were derived from Freddie Mac’s Single-Family Loan Level Dataset (SF LLD) as of April 2020 refresh: Originations: 1999-December 31, 2018. Performance data: 1999 – June 30, 2019.
Freddie Mac | 2020
DN/A Historical Performance
10
Notes: Cumulative Losses do not include modification losses; Loans with 60.00 < LTV ≤ 80.00% Source: Data included in tables were derived from Freddie Mac’s Single-Family Loan Level Dataset (SF LLD) as of April 2020 refresh: Originations: 1999-December 31, 2018. Performance data: 1999 – June 30, 2019.
Freddie Mac | 2020
DN/A Historical Performance
11
Sources: Monthly remittance reports available on trustee’s website, IntexCalc as of May 2020, June 2020 and July 2020. CE = Credit Event Series Remit Factor 30 D (%) 60 D (%) 90 D (%) 120 D (%) 180+ D (%) BK/FC/REO Cumulative CE Count Cumulative CE Bal ($M) Cumulative Loss (bps) Senior % Sub % Prepay Lockout 1 mo CPR (%) 16-DNA4 20-May 0.56 4.24 0.34 0.08 0.07 0.08 0.29 44 6.46 0.60 94.50 5.50 No 32.7 20-Jun 0.54 2.83 3.21 0.26 0.10 0.11 0.29 47 7.00 0.65 94.50 5.50 No 33.9 20-Jul 0.51 1.42 2.09 2.74 0.29 0.12 0.28 49 7.26 0.60 94.31 5.69 No 39.2 17-DNA1 20-May 0.63 3.86 0.31 0.06 0.08 0.06 0.22 40 5.82 0.35 95.70 4.30 No 31.6 20-Jun 0.61 2.71 3.01 0.22 0.09 0.10 0.23 40 5.82 0.32 95.70 4.30 No 32.1 20-Jul 0.58 1.31 1.98 2.56 0.25 0.11 0.24 40 5.82 0.35 95.70 4.30 No 38.3 17-DNA2 20-May 0.67 3.89 0.28 0.07 0.05 0.06 0.20 74 11.84 0.38 96.00 4.00 No 26.9 20-Jun 0.65 2.66 3.01 0.22 0.08 0.07 0.20 74 11.84 0.38 96.00 4.00 No 27.6 20-Jul 0.63 1.29 1.98 2.53 0.24 0.08 0.21 76 12.12 0.39 96.00 4.00 No 33.8 17-DNA3 20-May 0.68 4.42 0.32 0.08 0.06 0.07 0.19 53 7.75 0.29 95.97 4.03 No 29.7 20-Jun 0.66 3.00 3.45 0.24 0.08 0.09 0.19 57 8.59 0.34 95.97 4.03 No 30.7 20-Jul 0.64 1.35 2.23 2.89 0.26 0.09 0.21 60 9.20 0.38 95.97 4.03 Yes 35.6 18-DNA1 20-May 0.66 4.89 0.37 0.11 0.11 0.08 0.21 25 4.10 0.22 95.49 4.51 No 41.0 20-Jun 0.63 3.18 3.88 0.32 0.15 0.09 0.22 26 4.15 0.23 95.49 4.51 No 43.1 20-Jul 0.60 1.51 2.33 3.38 0.36 0.13 0.23 26 4.15 0.23 95.49 4.51 Yes 46.9 18-DNA2 20-May 0.72 4.53 0.32 0.07 0.08 0.09 0.18 27 5.25 0.26 96.24 3.76 No 35.5 20-Jun 0.69 3.04 3.53 0.24 0.10 0.09 0.19 28 5.43 0.27 96.24 3.76 No 36.3 20-Jul 0.66 1.40 2.30 3.02 0.26 0.12 0.20 29 5.47 0.27 96.24 3.76 Yes 41.9 18-DNA3 20-May 0.73 5.19 0.43 0.08 0.08 0.06 0.18 26 4.24 0.28 95.72 4.28 No 36.7 20-Jun 0.70 3.35 4.05 0.32 0.11 0.08 0.18 26 4.24 0.28 95.72 4.28 No 37.0 20-Jul 0.67 1.54 2.51 3.51 0.36 0.11 0.19 28 4.64 0.34 95.72 4.28 Yes 41.6 19-DNA1 20-May 0.65 5.00 0.39 0.07 0.08 0.08 0.16 8 1.58 0.13 95.45 4.55 No 48.5 20-Jun 0.61 3.50 3.94 0.29 0.09 0.11 0.17 8 1.63 0.14 95.45 4.55 No 49.2 20-Jul 0.57 1.54 2.61 3.42 0.32 0.12 0.20 8 1.63 0.14 95.45 4.55 Yes 52.1 19-DNA2 20-May 0.61 5.03 0.37 0.08 0.08 0.05 0.12 2 0.24 0.01 95.47 4.53 No 51.3 20-Jun 0.58 3.41 4.06 0.31 0.10 0.07 0.13 2 0.24 0.01 95.47 4.53 No 52.0 20-Jul 0.54 1.69 2.53 3.51 0.37 0.09 0.14 3 0.68 0.00 95.47 4.53 No 55.3 19-DNA3 20-May 0.63 4.60 0.36 0.09 0.06 0.03 0.08 2 0.10 0.01 95.48 4.52 No 50.7 20-Jun 0.59 3.14 3.72 0.29 0.11 0.04 0.08 2 0.10 0.01 95.48 4.52 No 52.4 20-Jul 0.55 1.47 2.40 3.24 0.34 0.07 0.09 2 0.10 0.01 95.48 4.52 No 55.2 19-DNA4 20-May 0.69 4.62 0.31 0.04 0.04 0.01 0.04 0.00 0.00 95.58 4.42 No 51.9 20-Jun 0.65 3.23 3.66 0.26 0.06 0.02 0.06 0.00 0.00 95.58 4.42 No 52.7 20-Jul 0.61 1.53 2.52 3.19 0.29 0.04 0.06 0.00 0.00 95.58 4.42 No 54.6 20-DNA1 20-May 0.81 3.78 0.17 0.02 0.02 0.01 0.01 0.00 0.00 95.89 4.11 No 53.5 20-Jun 0.76 2.81 3.07 0.14 0.03 0.01 0.01 0.00 0.00 95.89 4.11 No 52.2 20-Jul 0.71 1.28 2.09 2.65 0.14 0.02 0.02 0.00 0.00 95.89 4.11 No 54.2 20-DNA2 20-May 0.88 3.29 0.15 0.01 0.01 0.00 0.01 0.00 0.00 95.95 4.05 No 43.8 20-Jun 0.84 2.45 2.62 0.10 0.01 0.00 0.01 0.00 0.00 95.95 4.05 No 40.1 20-Jul 0.80 1.13 1.86 2.26 0.10 0.00 0.02 0.00 0.00 95.95 4.05 No 45.0 20-DNA3 20-Jul 0.96 0.74 0.00 0.00 0.00 0.00 0.00 0.00 0.00 96.00 4.00 Yes 34.7
Freddie Mac | 2020
DN/A Historical Performance
12
Notes: Cumulative Losses do not include modification losses; Loans with 60.00 < LTV ≤ 80.00% St=State J=Judicial NJ=Non-Judicial Source: Data included in tables were derived from Freddie Mac’s Single-Family Loan Level Dataset (SF LLD) as of April 2020 refresh: Originations: 1999-December 31, 2018. Performance data: 1999 – June 30, 2019.
Freddie Mac | 2020
DN/A Historical Performance
13
Notes: Cumulative Losses do not include modification losses; Loans with 60.00 < LTV ≤ 80.00% Source: Data included in tables were derived from Freddie Mac’s Single-Family Loan Level Dataset (SF LLD) as of April 2020 refresh: Originations: 1999-December 31, 2018. Performance data: 1999 – June 30, 2019.
Freddie Mac | 2020
DN/A Historical Performance
14
Notes: Cumulative Losses do not include modification losses; Loans with 60.00 < LTV ≤ 80.00% Source: Data included in tables were derived from Freddie Mac’s Single-Family Loan Level Dataset (SF LLD) as of April 2020 refresh: Originations: 1999-December 31, 2018. Performance data: 1999 – June 30, 2019.
Historical Performance
Freddie Mac | 2020
HQ/A Historical Performance
16
M-1 Bond Series Fitch Moody’s Kroll DBRS/MSTR S&P Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating 14-HQ1 A- sf AA sf A2 (sf) Aaa (sf) 14-HQ2 A- sf AAA sf A2 (sf) Aaa (sf) 14-HQ3 A1 (sf) Aa3 (sf) 15-HQ1 A1 (sf) Aa1 (sf) A- (sf) AAA (sf) 15-HQ2 A sf AAA sf A2 (sf) Aaa (sf) 15-HQA2 A- sf AA sf A (sf) AA (sf) 16-HQA1 BBB sf AA sf A (sf) AAA (sf) 16-HQA2 A3 (sf) Aaa (sf) 16-HQA3 BBB sf A+ sf BBB+ (sf) AAA (sf) 16-HQA4 BBB sf AA- sf A(low) (sf) AA(high) (sf) 17-HQA1 BBB- sf AA+ sf Baa3 (sf) Aa3 (sf) 17-HQA2 BBB- sf A+ sf BBB (sf) A+ (sf) 17-HQA3 Baa3 (sf) Aaa (sf) 18-HQA1 BBB- sf AA sf 18-HQA2 19-HQA1 BBB- sf BBB sf
Notes: Current ratings as of August 5, 2020 or immediately prior to the related bond being paid in full, as applicable.
Freddie Mac | 2020
HQ/A Historical Performance
17
Notes: Current ratings as of August 5, 2020 or immediately prior to the related bond being paid in full, as applicable.
M-2 Bond Series Fitch Moody’s Kroll DBRS/MSTR S&P Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating 14-HQ1 BBB- sf AAA sf Baa2 (sf) Aaa (sf) 14-HQ2 BBB- sf AAA sf Baa2 (sf) Aaa (sf) 14-HQ3 BBB- sf AAA sf Baa1 (sf) Aaa (sf) 15-HQ1 Baa1 (sf) Aaa (sf) BBB- (sf) AAA (sf) 15-HQ2 BBB sf AAA sf Baa2 (sf) Aaa (sf) 15-HQA1 BBB- sf AAA sf BBB- (sf) AA (sf) 15-HQA2 BBB- sf AA+ sf BBB (sf) AA- (sf) 16-HQA1 BBB- sf AAA sf BBB(high) (sf) AA (sf) 16-HQA2 Baa3 (sf) Aa1 (sf) BBB (sf) A+ (sf) 16-HQA3 BBB- sf AA sf BBB (sf) A- (sf) 16-HQA4 BBB- sf AA- sf BBB(low) (sf) AA (sf) 17-HQA1 B sf BB+ sf B2 (sf) Baa3 (sf) 17-HQA2 B sf BB sf B+ (sf) BB- (sf) 17-HQA3 B2 (sf) Baa3 (sf) 18-HQA1 B sf BB- sf 18-HQA2 19-HQA1 B+ sf BB- sf
Freddie Mac | 2020
HQ/A Historical Performance
18
Notes: Current ratings as of August 5, 2020 or immediately prior to the related bond being paid in full, as applicable.
M-3 Bond Series Fitch Moody’s Kroll DBRS/MSTR S&P Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating 14-HQ1 NR AA+ sf 14-HQ2 NR AA sf 14-HQ3 NR AA+ sf 15-HQ1 Ba1 (sf) Aaa (sf) B+ (sf) A (sf) 15-HQ2 BB sf AAA sf Ba2 (sf) Aaa (sf) 15-HQA1 B+ sf A- sf B+ (sf) BBB- (sf) 15-HQA2 B sf A- sf B+ (sf) BBB- (sf) 16-HQA1 B sf BBB+ sf NR BBB (sf) 16-HQA2 B1 (sf) A3 (sf) B+ (sf) BB+ (sf) 16-HQA3 B+ sf BBB sf B+ (sf) BB (sf) 16-HQA4 B sf BBB- sf
✓ 0 bonds have been downgraded ✓ 72 upgrades from original to current rating ✓ 25 M-1, 29 M-2, & 18 M-3 upgrades
Freddie Mac | 2020
HQ/A Historical Performance
19
Notes: Cumulative Losses do not include modification losses; Loans with 80.00 < LTV ≤ 97.00% Source: Data included in tables were derived from Freddie Mac’s Single-Family Loan Level Dataset (SF LLD) as of April 2020 refresh: Originations: 1999-December 31, 2018. Performance data: 1999 – June 30, 2019.
Freddie Mac | 2020
HQ/A Historical Performance
20
Notes: Cumulative Losses do not include modification losses; Loans with 80.00 < LTV ≤ 97.00% Source: Data included in tables were derived from Freddie Mac’s Single-Family Loan Level Dataset (SF LLD) as of April 2020 refresh: Originations: 1999-December 31, 2018. Performance data: 1999 – June 30, 2019.
Freddie Mac | 2020
HQ/A Historical Performance
21
Sources: Monthly remittance reports available on trustee’s website, IntexCalc as of May 2020, June 2020 and July 2020. CE = Credit Event Series Remit Factor 30 D (%) 60 D (%) 90 D (%) 120 D (%) 180+ D (%) BK/FC/REO Cumulative CE Count Cumulative CE Bal ($M) Cumulative Loss (bps) Senior % Sub % Prepay Lockout 1 mo CPR (%) 16-HQA2 20-May 0.50 3.90 0.44 0.07 0.11 0.08 0.27 91 18.59 0.41 93.98 6.02 No 38.1 20-Jun 0.48 2.81 3.09 0.32 0.12 0.11 0.38 92 18.67 0.37 93.98 6.02 No 40.5 20-Jul 0.46 1.35 2.14 2.63 0.31 0.16 0.39 93 18.76 0.31 93.98 6.02 No 42.6 16-HQA3 20-May 0.54 4.10 0.47 0.09 0.09 0.13 0.47 79 16.72 0.51 93.97 6.03 No 35.5 20-Jun 0.52 2.85 3.26 0.36 0.11 0.14 0.49 81 16.88 0.52 93.97 6.03 No 37.8 20-Jul 0.49 1.45 2.04 2.79 0.39 0.15 0.51 84 17.23 0.51 93.97 6.03 No 43.3 16-HQA4 20-May 0.56 4.36 0.51 0.15 0.09 0.17 0.51 85 17.21 0.58 93.99 6.01 No 36.1 20-Jun 0.53 3.19 3.38 0.35 0.15 0.20 0.51 85 17.21 0.50 93.99 6.01 No 38.7 20-Jul 0.51 1.68 2.35 2.90 0.37 0.21 0.53 89 18.14 0.53 93.99 6.01 No 42.6 17-HQA1 20-May 0.64 4.39 0.46 0.12 0.10 0.08 0.41 129 22.88 0.44 95.22 4.78 No 34.8 20-Jun 0.62 3.15 3.48 0.32 0.16 0.10 0.42 131 23.19 0.44 95.22 4.78 No 33.9 20-Jul 0.59 1.46 2.34 2.95 0.37 0.13 0.44 131 23.02 0.45 95.22 4.78 Yes 40.4 17-HQA2 20-May 0.70 4.80 0.46 0.10 0.12 0.13 0.40 113 22.70 0.32 95.73 4.27 No 22.7 20-Jun 0.68 3.05 3.86 0.35 0.14 0.17 0.41 119 23.74 0.36 95.73 4.27 No 28.2 20-Jul 0.65 1.57 2.33 3.29 0.39 0.19 0.41 123 24.42 0.35 95.73 4.27 Yes 34.7 17-HQA3 20-May 0.66 4.95 0.55 0.12 0.11 0.11 0.36 53 10.38 0.21 95.23 4.77 No 38.5 20-Jun 0.63 3.26 3.89 0.39 0.15 0.14 0.36 57 10.99 0.25 95.23 4.77 No 38.4 20-Jul 0.60 1.65 2.44 3.32 0.42 0.18 0.39 57 10.99 0.20 95.23 4.77 Yes 42.1 18-HQA1 20-May 0.68 5.00 0.48 0.13 0.12 0.13 0.37 90 18.33 0.22 95.72 4.28 No 44.8 20-Jun 0.65 3.32 4.04 0.38 0.18 0.15 0.38 97 19.24 0.20 95.72 4.28 No 47.4 20-Jul 0.61 1.69 2.54 3.48 0.44 0.18 0.40 104 21.16 0.27 95.72 4.28 Yes 51.2 18-HQA2 20-May 0.75 5.25 0.48 0.11 0.08 0.15 0.29 21 0.61 0.13 95.72 4.28 No 39.97 20-Jun 0.73 3.46 4.26 0.36 0.09 0.17 0.29 24 0.73 0.16 95.72 4.28 No 40.42 20-Jul 0.68 1.68 2.77 3.70 0.42 0.21 0.31 26 0.73 0.16 95.72 4.28 Yes 44.9 19-HQA1 20-May 0.67 5.35 0.47 0.12 0.18 0.12 0.28 9 0.27 0.08 95.21 4.79 No 51.2 20-Jun 0.63 3.68 4.34 0.40 0.20 0.16 0.29 11 0.28 0.08 95.21 4.79 No 53.8 20-Jul 0.59 1.90 2.89 3.86 0.48 0.22 0.31 14 0.43 0.13 95.21 4.79 Yes 54.5 19-HQA2 20-May 0.68 5.53 0.50 0.11 0.13 0.09 0.15 7 1.93 0.04 95.17 4.83 No 51.7 20-Jun 0.63 3.67 4.59 0.37 0.19 0.11 0.17 9 2.19 0.05 95.17 4.83 No 53.5 20-Jul 0.58 1.87 2.85 4.08 0.45 0.15 0.18 9 2.19 0.04 95.17 4.83 Yes 54.3 19-HQA3 20-May 0.69 5.58 0.44 0.06 0.13 0.03 0.15 2 0.41 0.00 95.12 4.88 No 53.1 20-Jun 0.64 3.78 4.49 0.37 0.13 0.07 0.15 3 0.64 0.02 95.12 4.88 No 53.8 20-Jul 0.60 1.93 2.94 3.99 0.42 0.10 0.17 4 1.01 0.02 95.12 4.88 No 57.2 19-HQA4 20-May 0.74 5.59 0.38 0.08 0.06 0.01 0.07 2 0.77 0.07 95.13 4.87 No 55.5 20-Jun 0.69 3.66 4.62 0.32 0.11 0.04 0.07 2 0.77 0.02 95.13 4.87 No 54.8 20-Jul 0.64 1.84 2.80 4.17 0.39 0.05 0.09 2 0.77 0.00 95.13 4.87 No 56.8 20-HQA1 20-May 0.84 4.54 0.16 0.02 0.02 0.01 0.03 0.00 0.00 95.48 4.52 No 53.7 20-Jun 0.79 3.16 3.75 0.13 0.03 0.01 0.01 0.00 0.00 95.48 4.52 No 51.7 20-Jul 0.74 1.56 2.55 3.30 0.16 0.02 0.04 0.00 0.00 95.48 4.52 No 52.4 20-HQA2 20-May 0.93 4.07 0.15 0.02 0.00 0.00 0.01 0.00 0.00 95.84 4.16 Yes 33.8 20-Jun 0.89 2.95 3.24 0.11 0.01 0.00 0.02 0.00 0.00 95.68 4.32 No 33.0 20-Jul 0.86 1.43 2.26 2.81 0.12 0.00 0.02 0.00 0.00 95.68 4.32 No 36.8
Freddie Mac | 2020
HQ/A Historical Performance
22
Notes: Cumulative Losses do not include modification losses; Loans with 80.00 < LTV ≤ 97.00% Source: Data included in tables were derived from Freddie Mac’s Single-Family Loan Level Dataset (SF LLD) as of April 2020 refresh: Originations: 1999-December 31, 2018. Performance data: 1999 – June 30, 2019.
Freddie Mac | 2020
HQ/A Historical Performance
23
Notes: Cumulative Losses do not include modification losses; Loans with 80.00 < LTV ≤ 97.00% Source: Data included in tables were derived from Freddie Mac’s Single-Family Loan Level Dataset (SF LLD) as of April 2020 refresh: Originations: 1999-December 31, 2018. Performance data: 1999 – June 30, 2019.
Freddie Mac | 2020
HQ/A Historical Performance
24
Notes: Cumulative Losses do not include modification losses; Loans with 80.00 < LTV ≤ 97.00% Source: Data included in tables were derived from Freddie Mac’s Single-Family Loan Level Dataset (SF LLD) as of April 2020 refresh: Originations: 1999-December 31, 2018. Performance data: 1999 – June 30, 2019.
Historical Performance
Freddie Mac | 2020
Appendix
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Assumptions for Summary Severity / Timelines / Loss Components ▪ To assist investors with their understanding of Freddie Mac’s historical loss experience, we provide loss severity and liquidation timelines by origination year and judicial/non-judicial states ▪ Additionally, we have summarized the contributions from each of the components of net loss » Net loss calculated as follows: Collateral Deficiency + Delinquent Interest + Expenses – MI Recoveries – Non MI Recoveries ▪ Data included in tables were derived from Freddie Mac’s Single-Family Loan Level Dataset (SF LLD) as of April 2020 refresh: Originations: 1999-December 31, 2018. Performance data: 1999 – June 30, 2019. ▪ Assumptions/Calculations: » Population includes only disposed loans with original LTV ratios between 60.01-97% » Populations for this analysis = Fixed 30 loans (identified by loans with original loan term between 301 and 419 months) » Loans with Repurchase flag = Y have been set to zero loss » “FA” references liquidations through foreclosure alternatives » “J” indicates judicial states; “NJ” indicates non-judicial states » Timelines are in months weighted by default UPB » If default UPB on last record is zero, the prior period default UPB was used » Calculation for Collateral Deficiency: default UPB – net sales proceeds » Calculation for Delinquent Interest is = default UPB * (current interest rate – 0.35%) * days delinquent / 360 /100) » For Net Sales proceeds = “C”; set loss = zero » For Net Sales proceeds = “U”; removed from population if applicable » Severity is net loss/default UPB » Judicial states: CT, DE, FL, HI, IA, IL, IN, KS, KY, LA, ME, ND, NJ, NM, NY, OH, OK, PA, PR, SC, SD, VI, VT, WI
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For more information on file layout and field definition, please refer to the STACR Reference Pool Disclosure Guide
# Attribute Name Actual Loss Fixed Severity Historical # Attribute Name Actual Loss Fixed Severity Historical 1 Reference Pool Number X X 16 Property Type X X X 2 Loan Identifier X X X 17 Number of Units X X X 3 Amortization Type X X X 18 Occupancy Status X X X 4 Seller Name X X X 19 Number of Borrowers X X X 5 Property State X X X 20 First Time Homebuyer Indicator X X X 6 Postal Code X X X 21 Prepayment Penalty Indicator X X X 7 Metropolitan Statistical Area (MSA) X X X 22 Credit Score X X X 8 First Payment Date X X X 23 Original Loan-To-Value (LTV) X X X 9 Maturity Date X X X 24 Original Combined Loan-To-Value (CLTV) X X X 10 Original Loan Term X X X 25 Original Debt-To-Income (DTI) X X X 11 Original Interest Rate X X X 26 Mortgage Insurance Percent (MI %) X X X 12 Original UPB X X X 27 Updated Credit Score at Issuance X X 13 UPB at Issuance X X X 28 Program Indicator X X 14 Loan Purpose X X X 29 Mortgage Insurance Type X 15 Channel X X X 30 Filler
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# Attribute Name Actual Loss Fixed Severity Historical # Attribute Name Actual Loss Fixed Severity Historical 31 Disaster Forbearance Status X 46 Loan in Eligible Disaster Area X 32 Servicer Name X X X 47 Due Date of Last Paid Installment (DDLPI) X X 33 Loan Age X X X 48 Bankruptcy Flag X 34 Remaining Months to Legal Maturity X X X 49 Date Referred to Foreclosure X 35 Adjusted Remaining Months to Maturity (RMM) X X 50 Net Sales Proceeds X X 36 Current Loan Delinquency Status X X X 51 MI Credit X 37 Loan Payment History X X 52 Taxes and Insurance X X 38 Current Interest Rate X X X 53 Legal Costs X X 39 Current Actual UPB X X X 54 Maintenance and Preservation Costs X X 40 Current Interest Bearing UPB X X 55 Bankruptcy Cramdown Costs X 41 UPB at Time of Removal from the Reference Pool X X 56 Miscellaneous Expenses X X 42 Zero Balance Code X X X 57 Miscellaneous Credits X X 43 Zero Balance Effective Date X X X 58 Mortgage Insurance Cancellation Indicator X 44 Underwriting Defect and Major Servicing Defect Settlement Date X X 59 Estimated Loan-To-Value (ELTV) - Quarterly X X 45 Modification Flag X X 60 Forecast Standard Deviation (FSD) X X
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# Attribute Name Actual Loss Fixed Severity Historical # Attribute Name Actual Loss Fixed Severity Historical 61 Updated Credit Score #1 - Quarterly X X 76 Fourth Step Rate Adjustment Date X X 62 Updated Credit Score #2 - Quarterly X X 77 Fourth Step Rate X X 63 Number of Modifications X X 78 Fifth Step Rate Adjustment Date X X 64 Modification Program X X 79 Fifth Step Rate X X 65 Modification Type X X 80 Delinquent Accrued Interest X 66 Modification First Payment Date X X 81 Modification Costs X X 67 Modification Debt-to-Income (DTI) X X 82 Updated Credit Score #3 - Quarterly X X 68 Total Capitalized Amount X X 83 Alternative Appraisal Type X X 69 Interest Rate Step Indicator X X 84 Group Number X X X 70 First Step Rate Adjustment Date X X 85 Enhanced Relief Refi Indicator X 71 First Step Rate X X 86 Borrower Assistance Plan X X 72 Second Step Rate Adjustment Date X X 87 Payment Deferral Flag X X 73 Second Step Rate X X 74 Third Step Rate Adjustment Date X X 75 Third Step Rate X X
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Michael S. Reynolds
Vice President, CRT Michael_S_Reynolds@freddiemac.com (571) 382-4852
Christian Valencia
Vice President, CRT Christian_Valencia@freddiemac.com (571) 382-3727
Charlotte Gladwin
Director, CRT Charlotte_Gladwin@freddiemac.com (571) 382-3732
Hemachandra Mantrala
Manager, Costing and Analytics Hemachandra_Mantrala@freddiemac.com (571) 382-5029
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Notice to all Investors: This presentation (“Presentation”) is not an offer to sell any Freddie Mac securities. Offers for any given security are made only through applicable private placement memoranda and any related supplements, which incorporate Freddie Mac's Annual Report on Form 10-K for the year ended December 31, 2019, filed with the SEC on February 13, 2020, and all documents that Freddie Mac files with the SEC pursuant to Section 13(a), 13(c) or 14 of the Exchange Act, excluding any information "furnished" to the SEC on Form 8-K. Content in this Presentation is not reflective of current markets/spreads and is not indicative of any future Freddie Mac offerings. Please use this Presentation for informational purposes only. Notice to Investors in the European Economic Area and the United Kingdom: THIS PRESENTATION IS NOT A PROSPECTUS FOR THE PURPOSES OF THE PROSPECTUS REGULATION (AS DEFINED BELOW). THE NOTES ARE NOT INTENDED TO BE OFFERED, SOLD OR OTHERWISE MADE AVAILABLE TO AND SHOULD NOT BE OFFERED, SOLD OR OTHERWISE MADE AVAILABLE TO ANY RETAIL INVESTOR IN THE EUROPEAN ECONOMIC AREA (THE “EEA”) OR IN THE UNITED KINGDOM (THE “UK”). FOR THESE PURPOSES, A RETAIL INVESTOR MEANS A PERSON WHO IS ONE (OR MORE) OF THE FOLLOWING: (I) A RETAIL CLIENT AS DEFINED IN POINT (11) OF ARTICLE 4(1) OF DIRECTIVE 2014/65/EU (AS AMENDED, “MIFID II”); OR (II) A CUSTOMER WITHIN THE MEANING OF DIRECTIVE (EU) 2016/97 (AS AMENDED OR SUPERSEDED, THE "INSURANCE DISTRIBUTION DIRECTIVE), WHERE THAT CUSTOMER WOULD NOT QUALIFY AS A PROFESSIONAL CLIENT AS DEFINED IN POINT (10) OF ARTICLE 4(1) OF MIFID II; OR (III) NOT A QUALIFIED INVESTOR AS DEFINED IN REGULATION (EU) 2017/1129 (AS AMENDED, THE “PROSPECTUS REGULATION”). CONSEQUENTLY, NO KEY INFORMATION DOCUMENT REQUIRED BY REGULATION (EU) NO 1286/2014 (AS AMENDED, THE “PRIIPS REGULATION”) FOR OFFERING OR SELLING THE NOTES OR OTHERWISE MAKING THEM AVAILABLE TO RETAIL INVESTORS IN THE EEA OR IN THE UK HAS BEEN PREPARED AND THEREFORE OFFERING OR SELLING THE NOTES OR OTHERWISE MAKING THEM AVAILABLE TO ANY RETAIL INVESTOR IN THE EEA OR IN THE UK MAY BE UNLAWFUL UNDER THE PRIIPS REGULATION. MIFID II PRODUCT GOVERNANCE ANY DISTRIBUTOR SUBJECT TO MIFID II THAT IS OFFERING, SELLING OR RECOMMENDING THE NOTES IS RESPONSIBLE FOR UNDERTAKING ITS OWN TARGET MARKET ASSESSMENT IN RESPECT OF THE NOTES AND DETERMINING ITS OWN DISTRIBUTION CHANNELS FOR THE PURPOSES OF THE MIFID II PRODUCT GOVERNANCE RULES UNDER COMMISSION DELEGATED DIRECTIVE (EU) 2017/593 (AS AMENDED, THE “DELEGATED DIRECTIVE”). NONE OF THE TRUST, THE SPONSOR OR ANY OF THE INITIAL PURCHASERS MAKES ANY REPRESENTATIONS OR WARRANTIES AS TO A DISTRIBUTOR’S COMPLIANCE WITH THE DELEGATED DIRECTIVE. NOTICE TO UNITED KINGDOM INVESTORS THE TRUST MAY CONSTITUTE A “COLLECTIVE INVESTMENT SCHEME” AS DEFINED BY SECTION 235 OF THE FSMA THAT IS NOT A “RECOGNIZED COLLECTIVE INVESTMENT SCHEME” FOR THE PURPOSES OF THE FSMA AND THAT HAS NOT BEEN AUTHORIZED, REGULATED OR OTHERWISE RECOGNIZED OR APPROVED. AS AN UNREGULATED SCHEME, THE NOTES CANNOT BE MARKETED IN THE UNITED KINGDOM TO THE GENERAL PUBLIC, EXCEPT IN ACCORDANCE WITH THE FSMA. THE DISTRIBUTION OF THIS PRESENTATION (A) IF MADE BY A PERSON WHO IS NOT AN AUTHORIZED PERSON UNDER THE FSMA, IS BEING MADE ONLY TO, OR DIRECTED ONLY AT, PERSONS WHO (I) ARE OUTSIDE THE UNITED KINGDOM, OR (II) HAVE PROFESSIONAL EXPERIENCE IN MATTERS RELATING TO INVESTMENTS AND QUALIFY AS INVESTMENT PROFESSIONALS IN ACCORDANCE WITH ARTICLE 19(5) OF THE FINANCIAL SERVICES AND MARKETS ACT 2000 (FINANCIAL PROMOTION) ORDER 2005 (THE “FINANCIAL PROMOTION ORDER”), OR (III) ARE PERSONS FALLING WITHIN ARTICLE 49(2)(A) THROUGH (D) (HIGH NET WORTH COMPANIES, UNINCORPORATED ASSOCIATIONS, ETC.) OF THE FINANCIAL PROMOTION ORDER (ALL SUCH PERSONS TOGETHER BEING REFERRED TO AS “FPO PERSONS”); AND (B) IF MADE BY A PERSON WHO IS AN AUTHORIZED PERSON UNDER THE FSMA, IS BEING MADE ONLY TO, OR DIRECTED ONLY AT, PERSONS WHO (I) ARE OUTSIDE THE UNITED KINGDOM, OR (II) HAVE PROFESSIONAL EXPERIENCE IN MATTERS RELATING TO INVESTMENTS AND QUALIFY AS INVESTMENT PROFESSIONALS IN ACCORDANCE WITH ARTICLE 14(5) OF THE FINANCIAL SERVICES AND MARKETS ACT 2000 (PROMOTION OF COLLECTIVE INVESTMENT SCHEMES) (EXEMPTIONS) ORDER 2001 (AS AMENDED) (THE “PROMOTION OF COLLECTIVE INVESTMENT SCHEMES EXEMPTIONS ORDER”), OR (III) ARE PERSONS FALLING WITHIN ARTICLE 22(2)(A) THROUGH (D) (“HIGH NET WORTH COMPANIES, UNINCORPORATED ASSOCIATIONS, ETC.”) OF THE PROMOTION OF COLLECTIVE INVESTMENT SCHEMES EXEMPTIONS ORDER, OR (IV) ARE PERSONS TO WHOM THE TRUST MAY LAWFULLY BE PROMOTED IN ACCORDANCE WITH CHAPTER 4.12 OF THE U.K. FINANCIAL CONDUCT AUTHORITY’S CONDUCT OF BUSINESS SOURCEBOOK (ALL SUCH PERSONS TOGETHER BEING REFERRED TO AS “PCIS PERSONS” AND, TOGETHER WITH THE FPO PERSONS, THE “RELEVANT PERSONS”). THIS PRESENTATION MUST NOT BE ACTED ON OR RELIED ON BY PERSONS WHO ARE NOT RELEVANT PERSONS. ANY INVESTMENT OR INVESTMENT ACTIVITY TO WHICH THIS PRESENTATION RELATES, INCLUDING THE NOTES, IS AVAILABLE ONLY TO RELEVANT PERSONS AND WILL BE ENGAGED IN ONLY WITH RELEVANT PERSONS. ANY PERSONS OTHER THAN RELEVANT PERSONS SHOULD NOT ACT OR RELY ON THIS PRESENTATION. POTENTIAL INVESTORS IN THE UNITED KINGDOM ARE ADVISED THAT ALL, OR MOST, OF THE PROTECTIONS AFFORDED BY THE UNITED KINGDOM REGULATORY SYSTEM WILL NOT APPLY TO AN INVESTMENT IN THE NOTES AND THAT COMPENSATION WILL NOT BE AVAILABLE UNDER THE UNITED KINGDOM FINANCIAL SERVICES COMPENSATION SCHEME. Notice to Canadian Investors: The Notes may be sold only to purchasers purchasing, or deemed to be purchasing, as principal that are accredited investors, as defined in National Instrument 45-106 Prospectus Exemptions or subsection 73.3(1) of the Securities Act (Ontario), and are permitted clients, as defined in National Instrument 31-103 Registration Requirements, Exemptions and Ongoing Registrant Obligations. Any resale of the Notes must be made in accordance with an exemption from, or in a transaction not subject to, the prospectus requirements of applicable securities laws.
Freddie Mac | 2020
Appendix
Notice to Spanish Investors: No action has been or will be taken by Freddie Mac that would permit a public offering of the Notes in Spain non-exempted from the prospectus requirement. Neither the Notes nor the offering have been or will be registered or approved by the Spanish Securities Market Commission (Comisión Nacional del Mercado de Valores) ("CNMV") and, therefore, no prospectus has been or will be registered or approved by the CNMV for the purposes of this
Notice to Japanese Investors: The Notes have not been and will not be registered under FIEA and, accordingly, each Initial Purchaser undertakes that it will not offer or sell any Notes directly or indirectly, in Japan or to, or for the benefit of, any resident of Japan or to others for re-offering or resale, directly or indirectly, in Japan or to any resident of Japan except pursuant to an exemption from the registration requirements of, and otherwise in compliance with the FIEA and other relevant laws and regulations of Japan. As used in this paragraph, “resident of Japan” means any person resident in Japan, including any corporation or other entity organized under the laws of Japan. Notice to Korean Investors: The Trust is not making any representation with respect to eligibility of any recipients of this Presentation to acquire the Notes referred to herein under the laws of Korea. The Notes offered under this Presentation have not been and will not be registered with the Financial Services Commission of Korea for public offering in Korea under FSCMA and are therefore subject to certain transfer restrictions. The Notes may not be offered, sold or delivered, directly or indirectly, or offered or sold to any person for re-offering or resale, directly or indirectly, in Korea or to any resident of Korea (as defined in the Foreign Exchange Transaction Law of Korea) except pursuant to the applicable laws and regulations of Korea, including the FSCMA and the Foreign Exchange Transaction Law and the decrees and regulations thereunder. Notice to Investors in the People's Republic of China ("PRC", for the sole purpose herein, excluding Hong Kong, Macau and Taiwan): The Notes may not be offered or sold directly or indirectly within the PRC. The offering material or information contained herein relating to the Notes, which has not been and will not be submitted to or approved/verified by or registered with any relevant governmental authorities in the PRC (including but not limited to the China Securities Regulatory Commission ("CSRC")), may not be supplied to the public in the PRC or used in connection with any
The Notes may only be invested by PRC investors that are authorized to engage in the purchase of notes of the type being offered or sold, including but not limited to those that are authorized to engage in the purchase and sale
than stocks. PRC investors are responsible for informing themselves about and observing all legal and regulatory restrictions, obtaining all relevant approvals/licenses, verification and/or registrations themselves from relevant governmental authorities (including but not limited to the People's Bank of China, CSRC, the State Administration of Foreign Exchange, the China Banking and Insurance Regulatory Commission and other relevant regulatory bodies), and complying with all relevant PRC regulations, including, but not limited to, all relevant foreign exchange regulations and/or foreign investment regulations. Notice to Singaporean Investors: SECTION 309B(1)(C) NOTIFICATION UNDER THE SECURITIES AND FUTURES ACT, CHAPTER 289 OF SINGAPORE: THE NOTES ARE CAPITAL MARKETS PRODUCTS OTHER THAN PRESCRIBED CAPITAL MARKETS PRODUCTS (AS DEFINED IN THE SECURITIES AND FUTURES (CAPITAL MARKETS PRODUCTS) REGULATIONS 2018 OF SINGAPORE) AND SPECIFIED INVESTMENT PRODUCTS (AS DEFINED IN MAS NOTICE SFA 04-N12: NOTICE ON THE SALE OF INVESTMENT PRODUCTS AND MAS NOTICE FAA-N16: NOTICE ON RECOMMENDATIONS ON INVESTMENT PRODUCTS). This Presentation has not been, and will not be, registered as a prospectus with the Monetary Authority of Singapore, and the Notes will be offered pursuant to exemptions under the Securities and Futures Act (Chapter 289 of Singapore) (the “SFA”). Accordingly, this Presentation or any document or material in connection with the offer or sale, or invitation for subscription or purchase, of the Notes may not be circulated or distributed, nor may the Notes be offered or sold, or be made the subject of an invitation for subscription or purchase, whether directly or indirectly, to any persons in Singapore other than (i) to an institutional investor (as defined in Section 4A of the SFA) pursuant to Section 274 of the SFA, (ii) to a relevant person (as defined in Section 275(2) of the SFA) pursuant to Section 275(1) of the SFA, or any person pursuant to Section 275(1A) of the SFA, and in accordance with the conditions specified in Section 275 of the SFA and (where applicable) Regulation 3 of the Securities and Futures (Classes of Investors) Regulations 2018 of Singapore or (iii) otherwise pursuant to, and in accordance with the conditions of, any other applicable provision
Notice to Taiwanese Investors: The Notes have not been and will not be registered with the Financial Supervisory Commission of Taiwan, the Republic of China pursuant to relevant securities laws and regulations and may not be offered or sold in Taiwan, the Republic of China through a public offering or in circumstance which constitutes an offer within the meaning of the Securities and Exchange Act of Taiwan, the Republic of China that requires a registration or approval of the Financial Supervisory Commission of Taiwan, the Republic of China. No person or entity in Taiwan, the Republic of China has been authorized to offer or sell the Notes in Taiwan, the Republic of China. A prospective investor in securities of Freddie Mac must conduct its own independent review and due diligence to make its own assessment of the merits and risks of making an investment in, perform its own legal, accounting and tax analysis and conclude that the investment in the securities of Freddie Mac (i) is fully consistent with the investor’s financial requirements and financial condition, investment objectives and risk tolerance; (ii) complies and is fully consistent with all investment policies, guidelines and restrictions applicable to the investor; and (iii) is a fit, proper and suitable investment for the investor.
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