Structured Agency Credit Risk (STACR) Single Family Loan Level - PowerPoint PPT Presentation

Structured Agency Credit Risk (STACR) Single Family Loan Level Dataset (SFLLD) Historical Performance Presentation October 2019 Investors are directed to Disclaimer section at the end of the presentation

Index 1. DN/A 60-80 OLTV Historical Performance 3-20 2. Net Loss Comparison HQ/A vs. DN/A 21-22 3. HQ/A 80-97 OLTV Historical Performance 23-39 4. Appendix 40-46 Freddie Mac | 2019 2

Historical Performance DN/A (60-80% OLTV) Historical Performance

DN/A Historical Performance STACR DN/A M1 Ratings Upgrade History M-1 Bond Moody’s Fitch Kroll DBRS Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating Series 13-DN2 BBB- AAA(sf) Baa1 Aa1(sf) 14-DN2 A(sf) AAA(sf) A(sf) AAsf 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) AA-(sf) A-(sf) AA+(sf) BBB(sf) A-(sf) 17-DNA1 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) Notes: Current ratings as of September 26, 2019 or immediately prior to the related bond being paid in full, as applicable. Freddie Mac | 2019 4

DN/A Historical Performance STACR DN/A M2 Ratings Upgrade History M-2 Bond Moody’s Fitch Kroll DBRS S&P Original Current Original Current Original Current Original Current Original Current Series Rating Rating Rating Rating Rating Rating Rating Rating Rating Rating 13-DN2 NR BBB(sf) 14-DN1 Baa1(sf) Aa1(sf) A-(sf) AA+ (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) Aa1(sf) 15-DNA2 Baa3(sf) Aa1(sf) BBB(sf) AA-(sf) 15-DNA3 BBB-(sf) AAA(sf) BBB(sf) AA(low)(sf) 16-DNA1 NR BBB(high)(sf) BBB-(sf) AAA(sf) Baa3(sf) Aa3(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(sf) 17-DNA1 B+(sf) BBB-(sf) BB(sf) BBB-(sf) 17-DNA2 NR B(high)(sf) B+(sf) BBB-(sf) 17-DNA3 B+(sf) BB(sf) B(high)(sf) BB(low)(sf) 18-DNA1 B(sf) BB-(sf) Notes: Current ratings as of September 26, 2019 or immediately prior to the related bond being paid in full, as applicable. Freddie Mac | 2019 5

DN/A Historical Performance STACR DN/A M3 Ratings Upgrade History M-3 Bond Moody’s Fitch Kroll DBRS S&P Original Current Original Current Original Current Original Current Original Current Series Rating Rating Rating Rating Rating Rating Rating Rating Rating Rating 14-DN2 NR BB+(sf) 14-DN3 NR BBB(sf) 14-DN4 NR BBB+(sf) 15-DN1 Ba1(sf) Aa2(sf) NR AA(low)(sf) 15-DNA1 BB+(sf) AAA(sf) B1(sf) Aa3(sf) 15-DNA2 B1(sf) A1(sf) BB+(sf) BBB+(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) Baa2(sf) B(sf) BB+(sf) 16-DNA3 B(sf) BBB(sf) NR BB(sf) 16-DNA4 B(sf) BBB-(sf) BB-(sf) BB+(sf) ✓ 0 bonds have been downgraded ✓ 79 upgrades from original to current rating ✓ 27 M-1, 33 M-2, & 19 M-3 upgrades Notes: Current ratings as of September 26, 2019 or immediately prior to the related bond being paid in full, as applicable. Freddie Mac | 2019 6

DN/A Historical Performance STACR 2019-DNA4 Reference Pool Proxy 4.5% 4.28% 4.28% Class M-1 takes 100% loss (1) 4.0% 3.5% 2.94% Class M-2 takes 100% loss (1) Cumulative Net Loss 3.0% 2.5% 2.00% 2.0% 1.5% Class B-1 takes 100% loss (1) 1.09% 1.0% Class B-2 takes 100% loss (1) 0.53% 0.5% 0.32% 0.27% 0.04% 0.11% 0.18% 0.11% 0.05% 0.01% 0.01% 0.00% 0.00% 0.00% 0.00% 0.0% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 For Freddie Mac data above : -Net Losses are calculated as: Collateral Deficiency + Delinquent Interest +Expenses – MI Recoveries – Non MI Recoveries -Freddie Mac data does not include bulk settlements -Assumes 35bps g-fee to calculate delinquent interest -Collateral Deficiency: Defaulted UPB – Net Sales Proceeds -Loans with Repurchase flag = Y have been set to zero loss Notes: Data included in tables were derived from Freddie Mac’s Single Family Loan Level Dataset (SF LLD) as of February 2019 refresh : Originations 1999-December 31, 2017. Performance data: 1999- June 30, 2018 losses reported for loans liquidated as of Q12018. Cumulative Losses do not include modification losses. Population is fixed-rate loans with terms of 241-360 months (excluding loans with a FICO that is Not Available) that have (a) not paid off or (b) not had any delinquencies, during the first 6 months since funding. Losses are weighted in proportion to 2019-DNA4 FICO and LTV cohorts. (1) Assuming no principal payments Freddie Mac | 2019 7

DN/A Historical Performance Loss Components by Disposition Year Notes: Performance data: 1999-2Q2018, losses reported for loans liquidated as of 1Q2018; Cumulative Losses do not include modification losses; Loans with 60.00 < LTV ≤ 80.00% Freddie Mac | 2019 8

DN/A Historical Performance Loss Components by Origination Year Notes: Performance data: 1999-2Q2018, losses reported for loans liquidated as of 1Q2018; Cumulative Losses do not include modification losses; Loans with 60.00 < LTV ≤ 80.00% Freddie Mac | 2019 9

DN/A Historical Performance Remittance Report Summary Cum. CE Cum. CE Cum. Loss Prepay 1 mo CPR Series Remit Factor 30 D (%) 60 D (%) 90 D (%) 120 D (%) 180+ D (%) BK/FC/REO Senior % Sub % Count Bal ($M) (bps) Lockout (%) 0.61 0.79 0.15 0.05 0.04 0.05 0.18 64 9.56 0.71 94.41 5.59 No 11.7 19-Jul 16-DNA1 19-Aug 0.60 0.52 0.09 0.05 0.04 0.06 0.18 69 9.87 0.73 94.41 5.59 No 13.6 19-Sep 0.59 0.53 0.10 0.04 0.05 0.05 0.19 73 10.32 0.81 94.41 5.59 No 15.7 19-Jul 0.61 0.86 0.16 0.04 0.07 0.06 0.23 48 7.77 0.59 94.46 5.54 No 13.1 16-DNA2 19-Aug 0.60 0.74 0.17 0.06 0.06 0.07 0.22 53 8.98 0.70 94.46 5.54 No 15.5 0.59 0.68 0.14 0.07 0.07 0.06 0.24 55 9.20 0.71 94.47 5.53 No 16.4 19-Sep 0.63 0.88 0.17 0.07 0.05 0.05 0.26 50 8.14 0.55 94.47 5.53 No 12.0 19-Jul 16-DNA3 19-Aug 0.62 0.68 0.14 0.05 0.08 0.06 0.27 51 8.19 0.56 94.47 5.53 No 14.5 19-Sep 0.61 0.74 0.15 0.05 0.07 0.06 0.26 58 9.27 0.65 94.47 5.53 No 17.0 19-Jul 0.68 0.80 0.15 0.06 0.07 0.06 0.22 23 3.17 0.22 94.50 5.50 No 12.4 16-DNA4 19-Aug 0.67 0.59 0.14 0.05 0.07 0.05 0.21 28 3.89 0.29 94.50 5.50 No 14.1 19-Sep 0.66 0.64 0.11 0.06 0.06 0.06 0.22 30 4.20 0.35 94.50 5.50 No 15.1 0.76 0.68 0.13 0.04 0.04 0.03 0.15 26 3.22 0.14 95.75 4.25 No 12.1 19-Jul 17-DNA1 0.74 0.53 0.10 0.04 0.04 0.02 0.15 29 4.10 0.17 95.75 4.25 Yes 14.7 19-Aug 19-Sep 0.73 0.57 0.09 0.05 0.04 0.03 0.16 30 4.21 0.18 95.69 4.31 No 14.6 19-Jul 0.79 0.61 0.13 0.04 0.04 0.05 0.16 30 4.70 0.13 96.00 4.00 No 11.6 17-DNA2 19-Aug 0.78 0.49 0.10 0.05 0.04 0.05 0.16 34 5.41 0.14 96.00 4.00 No 13.4 19-Sep 0.77 0.52 0.09 0.03 0.04 0.06 0.17 39 6.20 0.18 96.00 4.00 No 13.4 19-Jul 0.82 0.68 0.12 0.04 0.04 0.03 0.12 21 2.84 0.10 95.97 4.03 No 12.0 17-DNA3 0.81 0.55 0.08 0.04 0.05 0.03 0.12 24 3.22 0.11 95.97 4.03 No 15.3 19-Aug 19-Sep 0.79 0.55 0.10 0.03 0.05 0.04 0.13 26 3.37 0.13 95.97 4.03 No 16.2 19-Jul 0.85 0.77 0.12 0.05 0.03 0.01 0.11 6 0.92 0.04 95.49 4.51 No 13.5 18-DNA1 19-Aug 0.84 0.61 0.11 0.04 0.05 0.01 0.12 8 1.43 0.06 95.49 4.51 No 18.5 19-Sep 0.82 0.59 0.12 0.04 0.05 0.03 0.12 11 1.99 0.07 95.49 4.51 No 19.4 19-Jul 0.89 0.73 0.09 0.04 0.05 0.02 0.09 4 0.91 0.03 96.24 3.76 No 11.7 18-DNA2 0.88 0.52 0.10 0.04 0.05 0.04 0.10 6 1.58 0.05 96.24 3.76 No 15.3 19-Aug 0.86 0.53 0.10 0.04 0.06 0.03 0.12 10 2.23 0.09 96.24 3.76 No 16.4 19-Sep 19-Jul 0.91 0.79 0.10 0.04 0.05 0.02 0.06 5 0.75 0.06 95.71 4.29 No 12.1 18-DNA3 19-Aug 0.89 0.56 0.10 0.05 0.05 0.02 0.07 5 0.75 0.06 95.72 4.28 No 16.9 19-Sep 0.88 0.56 0.10 0.03 0.06 0.03 0.09 9 0.77 0.07 95.72 4.28 No 17.2 19-Jul 0.92 0.65 0.09 0.03 0.01 0.00 0.04 0 0.00 0.00 95.45 4.55 No 18.0 19-DNA1 19-Aug 0.89 0.48 0.06 0.03 0.03 0.01 0.04 0 0.00 0.00 95.45 4.55 No 27.1 0.87 0.59 0.08 0.02 0.04 0.01 0.05 0 0.00 0.00 95.45 4.55 No 29.7 19-Sep 19-Jul 0.92 0.54 0.05 0.01 0.01 0.01 0.02 0 0.00 0.00 95.47 4.53 No 19.0 19-DNA2 19-Aug 0.89 0.43 0.06 0.02 0.01 0.01 0.03 0 0.00 0.00 95.47 4.53 No 30.8 19-Sep 0.86 0.56 0.07 0.02 0.02 0.01 0.03 0 0.00 0.00 95.47 4.53 No 35.4 19-Aug 0.94 0.33 0.02 0.00 0.00 0.00 0.01 0 0.00 0.00 95.75 4.25 Yes 50.2 19-DNA3 19-Sep 0.90 0.34 0.03 0.01 0.00 0.00 0.01 0 0.00 0.00 95.48 4.52 No 37.0 Sources: Monthly remittance reports available on trustee’s website, IntexCalc as of July, August, and September 2019. CE = Credit Event Freddie Mac | 2019 10