2020-DNA1 Single-Family Loan Level Dataset (SFLLD) Historical - - PowerPoint PPT Presentation
STACR REMIC 2020-DNA1 Single-Family Loan Level Dataset (SFLLD) Historical Performance Presentation January 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 January 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 61%-80% OLTV Historical Performance 3. HQ/A 81%-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 November 2019 refresh: Originations: 1999-September 30,
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.
80.01-97% LTV (HQ/HQA Series)
Origination Year Loan Count Default Rate Severity Rate Net Loss Rate Timeline DDLPI to Disposition 1999-2004 88,598 3.5% 24.9% 0.9% 19 2005 23,701 12.7% 33.8% 4.3% 22 2006 22,758 16.1% 34.8% 5.6% 21 2007 33,985 18.4% 32.9% 6.1% 21 2008 21,384 11.1% 28.5% 3.2% 20 2009 2,373 1.8% 17.9% 0.3% 18 2010 748 0.8% 14.3% 0.1% 17 2011 421 0.5% 11.2% 0.0% 16 2012-2018 1,872 0.1% 6.8% 0.0% 15 Grand Total 195,840 3.3% 29.2% 1.0% 20
60-80% LTV (DN/DNA Series)
Origination Year Loan Count Default Rate Severity Rate Net Loss Rate Timeline DDLPI to Disposition 1999-2004 92,138 1.4% 37.0% 0.5% 20 2005 66,570 7.5% 44.7% 3.3% 20 2006 72,304 10.2% 48.4% 5.0% 20 2007 68,322 10.5% 47.7% 5.0% 20 2008 33,748 5.5% 44.3% 2.4% 21 2009 9,616 0.9% 36.3% 0.3% 20 2010 3,056 0.4% 32.6% 0.1% 20 2011 1,088 0.2% 28.6% 0.1% 17 2012-2018 1,741 0.0% 22.6% 0.0% 16 Grand Total 348,583 2.3% 44.3% 1.0% 20 Net Loss Ratio (DNA/HQA) 0.58 0.78 0.88 0.82 0.77 0.99 1.19 1.16 1.20 1.06
Historical Performance
Freddie Mac | 2020
Notes: Current ratings as of December 31, 2019 or immediately prior to the related bond being paid in full, as applicable.
DN/A Historical Performance
6
M-1 Bond Series Fitch Moody’s Kroll DBRS 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- AAA(sf) Baa1 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) 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) A-(sf) A-(sf) AA+(sf) 17-DNA1 BBB-(sf) A+(sf) BBB(sf) A+(sf) 17-DNA2 BBB-(sf) A(sf) 17-DNA3 BBB-(sf) A-(sf) BBB(low)(sf) BBB(sf) 18-DNA1 BBB-(sf) A-(sf) BBB+(sf) A+(sf)
Freddie Mac | 2020
Notes: Current ratings as of December 31, 2019 or immediately prior to the related bond being paid in full, as applicable.
DN/A Historical Performance
7
M-2 Bond Series Fitch Moody’s Kroll DBRS 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) AA+(sf) BBB(sf) AA(sf) 16-DNA4 BBB-(sf) AA(sf) BBB+(sf) A 17-DNA1 B+(sf) BBB-(sf) BB(sf) BBB-(sf) 17-DNA2 B+(sf) BBB-(sf) NR B(high)(sf) 17-DNA3 B+(sf) BB(sf) B(high)(sf) BB(low)(sf) 18-DNA1 B(sf) BB-(sf) BB-(sf) BB(sf) 18-DNA2 B+(sf) B+(sf) 18-DNA3 BB(sf) BB(sf) B+(sf) B+(sf) 19-DNA1 NR B(high)(sf) B+(sf) B+(sf)
Freddie Mac | 2020
Notes: Current ratings as of December 31, 2019 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 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 BB+(sf) 14-DN3 NR BBB(sf) 14-DN4 NR BBB+(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 BB(high)(sf) 16-DNA1 B(sf) A-(sf) B1(sf) Baa1(sf) 16-DNA2 B1(sf) Baa1(sf) B(sf) BB+(sf) 16-DNA3 B(sf) BBB(sf) NR BB(sf) 16-DNA4 B(sf) BBB-(sf) BB-(sf) BBB-(sf)
✓ 0 bonds have been downgraded ✓ 82 upgrades from original to current rating ✓ 28 M-1, 35 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 November 2019 refresh: Originations: 1999-September 30, 2018. Performance data: 1999 – March 31, 2019, Losses reported for loans liquidated.
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 November 2019 refresh: Originations: 1999-September 30, 2018. Performance data: 1999 – March 31, 2019, Losses reported for loans liquidated.
Freddie Mac | 2020
DN/A Historical Performance
11
Sources: Monthly remittance reports available on trustee’s website, IntexCalc as of October, November, and December 2019. 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-DNA1 19-Oct 0.59 0.53 0.10 0.05 0.05 0.05 0.19 76 10.95 0.86 94.41 5.59 No 16.3 19-Nov 0.58 0.50 0.11 0.04 0.05 0.06 0.19 76 10.95 0.86 94.41 5.59 No 16.9 19-Dec 0.57 0.61 0.12 0.05 0.04 0.06 0.21 79 11.48 0.87 94.41 5.59 No 14.5 16-DNA2 19-Oct 0.58 0.65 0.16 0.05 0.08 0.07 0.25 57 9.74 0.78 94.47 5.53 No 17.3 19-Nov 0.57 0.61 0.14 0.05 0.07 0.08 0.25 60 10.38 0.81 94.47 5.53 No 20.0 19-Dec 0.56 0.78 0.15 0.07 0.07 0.07 0.27 62 10.58 0.86 94.47 5.53 No 17.3 16-DNA3 19-Oct 0.60 0.78 0.17 0.06 0.07 0.06 0.28 59 9.32 0.68 94.47 5.53 No 17.2 19-Nov 0.58 0.70 0.16 0.09 0.06 0.07 0.27 60 9.37 0.69 94.47 5.53 No 19.7 19-Dec 0.57 0.84 0.16 0.07 0.08 0.08 0.28 61 9.76 0.62 94.47 5.53 No 17.5 16-DNA4 19-Oct 0.65 0.71 0.14 0.06 0.06 0.06 0.22 31 4.37 0.36 94.50 5.50 No 17.9 19-Nov 0.63 0.58 0.17 0.05 0.09 0.06 0.22 31 4.49 0.38 94.50 5.50 No 20.0 19-Dec 0.62 0.65 0.14 0.06 0.07 0.07 0.25 31 4.49 0.37 94.50 5.50 No 16.8 17-DNA1 19-Oct 0.72 0.58 0.10 0.05 0.06 0.05 0.17 30 4.21 0.19 95.69 4.31 No 16.5 19-Nov 0.71 0.50 0.12 0.04 0.06 0.04 0.17 30 4.21 0.19 95.69 4.31 No 18.1 19-Dec 0.70 0.59 0.12 0.04 0.05 0.04 0.20 31 4.37 0.19 95.69 4.31 No 14.0 17-DNA2 19-Oct 0.75 0.54 0.10 0.04 0.05 0.04 0.18 44 6.75 0.21 96.00 4.00 No 15.1 19-Nov 0.74 0.49 0.11 0.04 0.05 0.06 0.18 51 7.95 0.23 96.00 4.00 No 16.8 19-Dec 0.73 0.57 0.10 0.04 0.05 0.05 0.19 54 8.27 0.24 96.00 4.00 No 12.8 17-DNA3 19-Oct 0.78 0.58 0.12 0.04 0.04 0.03 0.15 29 4.04 0.15 95.97 4.03 No 17.7 19-Nov 0.76 0.55 0.10 0.05 0.04 0.05 0.16 31 4.23 0.16 95.97 4.03 No 18.9 19-Dec 0.75 0.63 0.11 0.05 0.05 0.04 0.18 32 4.40 0.17 95.97 4.03 No 16.1 18-DNA1 19-Oct 0.80 0.73 0.14 0.05 0.05 0.03 0.13 14 2.63 0.11 95.49 4.51 No 24.0 19-Nov 0.78 0.64 0.14 0.05 0.06 0.04 0.14 16 2.94 0.12 95.49 4.51 No 26.4 19-Dec 0.76 0.71 0.17 0.06 0.06 0.05 0.16 17 3.05 0.15 95.49 4.51 No 21.1 18-DNA2 19-Oct 0.85 0.62 0.11 0.04 0.06 0.03 0.13 12 2.61 0.11 96.24 3.76 No 20.3 19-Nov 0.83 0.56 0.12 0.06 0.05 0.04 0.13 13 2.67 0.12 96.24 3.76 No 21.6 19-Dec 0.81 0.64 0.13 0.05 0.05 0.04 0.16 13 2.67 0.13 96.24 3.76 No 18.1 18-DNA3 19-Oct 0.86 0.64 0.09 0.04 0.06 0.04 0.10 9 0.77 0.07 95.72 4.28 No 20.5 19-Nov 0.84 0.61 0.11 0.04 0.05 0.05 0.10 9 0.77 0.07 95.72 4.28 No 22.5 19-Dec 0.83 0.75 0.12 0.05 0.05 0.05 0.13 12 0.93 0.13 95.72 4.28 No 18.7 19-DNA1 19-Oct 0.83 0.63 0.10 0.04 0.05 0.01 0.05 1 0.06 0.05 95.45 4.55 No 35.6 19-Nov 0.80 0.56 0.11 0.05 0.04 0.03 0.06 1 0.06 0.06 95.45 4.55 No 36.0 19-Dec 0.79 0.68 0.12 0.06 0.06 0.02 0.08 1 0.06 0.06 95.45 4.55 No 28.2 19-DNA2 19-Oct 0.82 0.60 0.08 0.04 0.03 0.01 0.05 0.00 0.00 95.47 4.53 No 42.1 19-Nov 0.78 0.51 0.10 0.04 0.06 0.01 0.05 0.00 0.00 95.47 4.53 No 43.2 19-Dec 0.75 0.65 0.10 0.03 0.06 0.02 0.06 0.00 0.00 95.47 4.53 No 33.5 19-DNA3 19-Oct 0.86 0.44 0.04 0.01 0.00 0.00 0.02 0.00 0.00 95.48 4.52 No 44.9 19-Nov 0.82 0.39 0.07 0.02 0.01 0.00 0.02 0.00 0.00 95.48 4.52 No 45.3 19-Dec 0.79 0.52 0.07 0.02 0.02 0.00 0.05 0.00 0.00 95.48 4.52 No 35.8 19-DNA4 19-Nov 0.90 0.28 0.02 0.00 0.00 0.00 0.00 0.00 0.00 96.00 4.00 Yes 69.0 19-Dec 0.87 0.40 0.03 0.00 0.00 0.00 0.02 0.00 0.00 95.58 4.42 No 36.0
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 November 2019 refresh: Originations: 1999-September 30, 2018. Performance data: 1999 – March 31, 2019, Losses reported for loans liquidated.
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 November 2019 refresh: Originations: 1999-September 30, 2018. Performance data: 1999 – March 31, 2019, Losses reported for loans liquidated.
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 November 2019 refresh: Originations: 1999-September 30, 2018. Performance data: 1999 – March 31, 2019, Losses reported for loans liquidated.
Historical Performance
Freddie Mac | 2020
HQ/A Historical Performance
16
M-1 Bond Series Fitch Moody’s Kroll DBRS 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) A(sf) 16-HQA2 A3 (sf) Aaa (sf) A-(sf) A-(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 A 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 BBB+ sf
Notes: Current ratings as of December 31, 2019 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 December 31, 2019 or immediately prior to the related bond being paid in full, as applicable.
M-2 Bond Series Fitch Moody’s Kroll DBRS 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 AA+ sf BBB- (sf) AA (sf) 15-HQA2 BBB- sf AA+ sf BBB (sf) AA- (sf) 16-HQA1 BBB- sf AA+ sf BBB(high)(sf) AA(sf) 16-HQA2 Baa3 (sf) Aa1 (sf) BBB (sf) A+ (sf) 16-HQA3 BBB- sf A+ sf BBB (sf) A- (sf) 16-HQA4 BBB- sf A+ sf BBB(low)(sf) A(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 B+ sf
Freddie Mac | 2020
HQ/A Historical Performance
18
Notes: Current ratings as of December 31, 2019 or immediately prior to the related bond being paid in full, as applicable.
M-3 Bond Series Fitch Moody’s Kroll DBRS Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating 14-HQ1 NR AA sf 14-HQ2 NR A+ sf 14-HQ3 NR AA sf 15-HQ1 Ba1 (sf) Aaa (sf) B+ (sf) A (sf) 15-HQ2 BB sf AA+ sf Ba2 (sf) Aaa (sf) 15-HQA1 B+ sf BBB+ sf B+ (sf) BBB- (sf) 15-HQA2 B sf BBB sf B+ (sf) BBB- (sf) 16-HQA1 B sf BBB sf NR BB(sf) 16-HQA2 B1 (sf) A3 (sf) B+ (sf) BB+ (sf) 16-HQA3 B+ sf BB+ sf B+ (sf) BB (sf) 16-HQA4 B sf BB sf
✓ 0 bonds have been downgraded ✓ 68 upgrades from original to current rating ✓ 22 M-1, 28 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 November 2019 refresh: Originations: 1999-September 30, 2018. Performance data: 1999 – March 31, 2019, Losses reported for loans liquidated.
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 November 2019 refresh: Originations: 1999-September 30, 2018. Performance data: 1999 – March 31, 2019, Losses reported for loans liquidated.
Freddie Mac | 2020
HQ/A Historical Performance
21
Sources: Monthly remittance reports available on trustee’s website, IntexCalc as of October, November, and December 2019. CE = Credit Event Series Remit Factor 30D (%) 60D (%) 90D (%) 120D (%) 180+D (%) FC/BK/REO Cumulative CE Count Cumulative CE Bal ($M) Cumulative Loss (bps) Senior % Sub % Prepay Lockout 1mo CPR (%) 15-HQA1 19-Oct 0.45 1.00 0.24 0.07 0.09 0.10 0.59 130 25.76 0.87 93.45 6.55 No 21.2 19-Nov 0.44 1.04 0.24 0.11 0.08 0.12 0.58 137 26.86 0.80 93.45 6.55 No 25.0 19-Dec 0.43 1.04 0.28 0.08 0.12 0.12 0.57 142 27.83 0.87 93.45 6.55 No 21.1 15-HQA2 19-Oct 0.50 0.94 0.23 0.09 0.08 0.08 0.41 103 20.28 0.41 93.04 6.96 No 20.8 19-Nov 0.49 0.91 0.20 0.09 0.09 0.08 0.39 107 20.99 0.41 93.04 6.96 No 21.7 19-Dec 0.48 0.95 0.23 0.08 0.12 0.07 0.43 110 21.24 0.38 93.04 6.96 No 18.50 16-HQA1 19-Oct 0.58 0.72 0.19 0.08 0.09 0.05 0.37 78 15.84 0.27 93.96 6.04 No 19.6 19-Nov 0.56 0.66 0.21 0.08 0.08 0.08 0.37 80 16.29 0.29 93.96 6.04 No 19.9 19-Dec 0.55 0.81 0.20 0.10 0.07 0.08 0.44 82 16.50 0.29 93.96 6.04 No 17.6 16-HQA2 19-Oct 0.59 0.83 0.20 0.07 0.08 0.06 0.41 64 12.73 0.16 93.98 6.02 No 20.4 19-Nov 0.57 0.82 0.17 0.09 0.10 0.05 0.39 69 14.01 0.19 93.98 6.02 No 23.0 19-Dec 0.56 0.93 0.21 0.07 0.10 0.05 0.41 70 14.16 0.18 93.98 6.02 No 17.2 16-HQA3 19-Oct 0.63 0.73 0.20 0.08 0.07 0.11 0.39 62 13.30 0.31 93.97 6.03 No 20.0 19-Nov 0.62 0.75 0.18 0.08 0.09 0.09 0.40 62 13.30 0.27 93.97 6.03 No 22.4 19-Dec 0.61 0.85 0.22 0.06 0.10 0.08 0.39 66 14.10 0.43 93.97 6.03 No 18.3 16-HQA4 19-Oct 0.66 0.90 0.24 0.10 0.10 0.12 0.45 58 11.74 0.33 93.99 6.01 No 21.6 19-Nov 0.64 0.90 0.23 0.10 0.11 0.13 0.43 61 12.61 0.34 93.99 6.01 No 23.6 19-Dec 0.63 1.01 0.27 0.11 0.11 0.13 0.46 64 13.08 0.36 93.99 6.01 No 20.0 17-HQA1 19-Oct 0.74 0.80 0.20 0.08 0.08 0.10 0.33 89 15.61 0.27 95.22 4.78 No 17.7 19-Nov 0.72 0.76 0.20 0.08 0.08 0.10 0.33 91 15.96 0.25 95.22 4.78 No 19.9 19-Dec 0.71 0.86 0.22 0.09 0.08 0.10 0.36 99 17.38 0.30 95.22 4.78 No 15.8 17-HQA2 19-Oct 0.78 0.78 0.19 0.07 0.08 0.10 0.34 74 15.78 0.30 95.73 4.27 No 14.7 19-Nov 0.77 0.80 0.17 0.09 0.10 0.09 0.34 79 16.58 0.32 95.73 4.27 No 16.5 19-Dec 0.76 0.92 0.21 0.07 0.11 0.08 0.36 86 17.96 0.36 95.73 4.27 No 13.3 17-HQA3 19-Oct 0.78 0.87 0.21 0.08 0.07 0.08 0.26 30 0.54 0.08 95.23 4.77 No 22.9 19-Nov 0.76 0.80 0.24 0.08 0.08 0.06 0.28 33 0.62 0.11 95.23 4.77 No 23.5 19-Dec 0.75 0.98 0.21 0.10 0.09 0.07 0.30 36 0.66 0.13 95.23 4.77 No 18.7 18-HQA1 19-Oct 0.83 0.84 0.18 0.09 0.09 0.08 0.19 41 0.90 0.09 95.72 4.28 No 26.6 19-Nov 0.81 0.82 0.20 0.08 0.11 0.09 0.25 46 0.98 0.09 95.72 4.28 No 27.8 19-Dec 0.79 0.91 0.23 0.09 0.11 0.09 0.28 52 1.12 0.10 95.72 4.28 No 22.2 18-HQA2 19-Oct 0.89 0.73 0.17 0.07 0.10 0.06 0.17 8 0.18 0.01 95.72 4.28 No 20.4 19-Nov 0.87 0.73 0.18 0.09 0.09 0.07 0.17 9 0.22 0.02 95.72 4.28 No 22.6 19-Dec 0.85 0.83 0.18 0.08 0.11 0.09 0.20 9 0.22 0.02 95.72 4.28 No 17.7 19-HQA1 19-Oct 0.86 0.73 0.12 0.05 0.07 0.03 0.11 0.00 0.00 95.21 4.79 No 33.5 19-Nov 0.83 0.66 0.15 0.05 0.07 0.03 0.12 0.00 0.00 95.21 4.79 No 34.6 19-Dec 0.81 0.76 0.20 0.07 0.08 0.04 0.16 0.00 0.00 95.21 4.79 No 27.3 19-HQA2 19-Oct 0.87 0.69 0.10 0.04 0.03 0.01 0.06 0.00 0.00 95.17 4.83 No 37.4 19-Nov 0.83 0.65 0.14 0.04 0.05 0.01 0.06 1 0.31 0.00 95.17 4.83 No 39.5 19-Dec 0.81 0.73 0.13 0.07 0.07 0.02 0.08 2 0.37 0.00 95.17 4.83 No 29.2 19-HQA3 19-Oct 0.92 0.41 0.03 0.00 0.00 0.00 0.03 0.00 0.00 95.50 4.50 Yes 37.6 19-Nov 0.88 0.43 0.05 0.01 0.00 0.00 0.03 0.00 0.00 95.12 4.88 No 43.0 19-Dec 0.85 0.55 0.09 0.03 0.01 0.00 0.05 0.00 0.00 95.12 4.88 No 34.7 19-HQA4 19-Dec 0.92 0.44 0.03 0.00 0.00 0.00 0.01 0.00 0.00 95.50 4.50 Yes 60.3
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 November 2019 refresh: Originations: 1999-September 30, 2018. Performance data: 1999 – March 31, 2019, Losses reported for loans liquidated.
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 November 2019 refresh: Originations: 1999-September 30, 2018. Performance data: 1999 – March 31, 2019, Losses reported for loans liquidated.
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 November 2019 refresh: Originations: 1999-September 30, 2018. Performance data: 1999 – March 31, 2019, Losses reported for loans liquidated.
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 the November 2019 refresh: Originations January 1, 1999 - September 30, 2018. Performance data: 1999 - March 31, 2019, losses reported for loans liquidated. ▪ 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 (https://crt.freddiemac.com/_assets/docs/offerings/reference-pool-disclosure-file-layouts-v2.2-(24october2018).pdf )
# 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 Super Conforming Flag X 69 Interest Rate Step Indicator X X 84 Pre-HARP Loan Sequence Number X 70 First Step Rate Adjustment Date X X 85 Repurchase Flag X 71 First Step Rate X X 86 Current Deferred UPB X 72 Second Step Rate Adjustment Date X X 87 MI Recoveries X 73 Second Step Rate X X 88 Non MI Recoveries X 74 Third Step Rate Adjustment Date X X 89 Expenses X 75 Third Step Rate X X 90 Actual Loss Calculation X
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Michael S. Reynolds
Vice President, CRT Michael_S_Reynolds@freddiemac.com (571) 382-4852
Christian Valencia
Director, 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, 2018, filed with the SEC on February 14, 2019, 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 United Kingdom Investors: This Presentation is only being distributed to and is directed at: (a) investment professionals falling within Article 19 of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (the "FPO"); (b) high net worth entities falling within Article 49 of the FPO; and (c) other persons in respect of whom exemptions under the FPO are available. The investments to which this Presentation relates are available only to, and any agreement to acquire such investments, will be made only with, such persons. Any other person should not act or rely on this Presentation or any of its contents. This Presentation is not intended to be an offer of transferable securities to the public in the United Kingdom or any European Union jurisdiction, in accordance with the Prospectus Directive (2003/71/EC, as amended) and any securities are not intended to be offered, sold or otherwise made available to any retail investor in the European Economic Area. For such purposes, a “retail investor” means a person who is one (or more) of the following: (a) a retail client as defined in point (11) of article 4(1) of Directive 2014/65/EU (MiFID II, as amended); or (b) a customer within the meaning of Directive 2002/92/EC, where that customer would not qualify as a professional client as defined in point (10) of article 4(1) of MiFID II; or (c) not a ‘qualified investor’ as defined in the Prospectus Directive. In any event, this Presentation is made available only in circumstances in which a prospectus requirement under the Prospectus Directive does not apply, including but not limited to the distribution of this Presentation to qualified investors only. Notice to Canadian Investors: This Presentation is confidential and may not be reproduced or transferred, in whole or in part, to any other party that is not an employee, officer, director, or authorized agent of the recipient without the express written consent of Freddie Mac. Each person accepting these materials agrees to return them promptly upon request. The material provided herein is for informational purposes only and delivered solely as reference material with respect to Freddie Mac. The Presentation does not constitute an offer to sell or a solicitation
placement memoranda”). Investors are strongly urged to carefully review the private placement memoranda (including the risk factors described therein) and to discuss any prospective investment in Freddie Mac with their legal and tax advisers in order to make an independent determination of the suitability and consequences of an investment. No person has been authorized to give any information or to make any representation, warranty, statement or assurance not contained in the private placement memoranda and, if given or made, such
Prospective investors should inform themselves and take appropriate advice as to any applicable legal requirements and any applicable taxation and exchange control regulations in the countries of their citizenship, residence or domicile which might be relevant to the subscription, purchase, holding, exchange, redemption or disposal of any securities of Freddie Mac. Targets shown in this Presentation are objectives and should not be construed as providing any assurance or guarantee as to the results that may be realized in the future from investment in any asset or asset class described in the Presentation. Please be advised that any targets shown in the Presentation are subject to change at any time and are current as of the date of this Presentation only. In addition, the information contained herein includes observations and/or assumptions and involves significant elements of subjective judgment and analysis. No representations are made as to the accuracy
prove to be true, results are likely to vary substantially from those discussed therein. Notice to Spain Investors: No action has been or will be taken by Freddie Mac that would permit a public offering of the STACR securities in Spain. Neither the STACR securities nor the offering have been or will be registered or approved by the Spanish Securities Market Commission (Comisión Nacional del Mercado de Valores) and, therefore, no prospectus has been or will be registered or approved by the CNMV for the purposes of this offering. 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.