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
Single Family Loan Level Dataset (SFLLD) Historical Performance Presentation October 2019
Investors are directed to Disclaimer section at the end of the presentation
Freddie Mac | 2019
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1. DN/A 60-80 OLTV Historical Performance 2. Net Loss Comparison HQ/A vs. DN/A 3. HQ/A 80-97 OLTV Historical Performance 4. Appendix
3-20 21-22 23-39 40-46
Historical Performance
Freddie Mac | 2019
Notes: Current ratings as of September 26, 2019 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 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) 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) 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)
Freddie Mac | 2019
Notes: Current ratings as of September 26, 2019 or immediately prior to the related bond being paid in full, as applicable.
DN/A Historical Performance
5
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) 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 BBB-(sf) AAA(sf) Baa3(sf) Aa3(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(sf) 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)
Freddie Mac | 2019
Notes: Current ratings as of September 26, 2019 or immediately prior to the related bond being paid in full, as applicable.
DN/A Historical Performance
6
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) 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
Freddie Mac | 2019
DN/A Historical Performance
7
Class M-1 takes 100% loss(1) Class M-2 takes 100% loss(1) Class B-1 takes 100% loss(1) Class B-2 takes 100% loss(1)
For Freddie Mac data above:
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
0.04% 0.11% 0.18% 0.32% 0.53% 1.09% 2.94% 4.28% 4.28% 2.00% 0.27% 0.11% 0.05% 0.01% 0.01% 0.00% 0.00% 0.00% 0.00%
0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 4.5% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Cumulative Net Loss
Freddie Mac | 2019
DN/A Historical Performance
8
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
DN/A Historical Performance
9
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
DN/A Historical Performance
10
Sources: Monthly remittance reports available on trustee’s website, IntexCalc as of July, August, and September 2019. CE = Credit Event Series Remit Factor 30 D (%) 60 D (%) 90 D (%) 120 D (%) 180+ D (%) BK/FC/REO
Count
Bal ($M)
(bps) Senior % Sub % Prepay Lockout 1 mo CPR (%) 16-DNA1 19-Jul 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-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 16-DNA2 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 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 19-Sep 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 16-DNA3 19-Jul 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-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 16-DNA4 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 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 17-DNA1 19-Jul 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-Aug 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-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 17-DNA2 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 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 17-DNA3 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 19-Aug 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-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 18-DNA1 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 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 18-DNA2 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 19-Aug 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-Sep 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 18-DNA3 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 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-DNA1 19-Jul 0.92 0.65 0.09 0.03 0.01 0.00 0.04 0.00 0.00 95.45 4.55 No 18.0 19-Aug 0.89 0.48 0.06 0.03 0.03 0.01 0.04 0.00 0.00 95.45 4.55 No 27.1 19-Sep 0.87 0.59 0.08 0.02 0.04 0.01 0.05 0.00 0.00 95.45 4.55 No 29.7 19-DNA2 19-Jul 0.92 0.54 0.05 0.01 0.01 0.01 0.02 0.00 0.00 95.47 4.53 No 19.0 19-Aug 0.89 0.43 0.06 0.02 0.01 0.01 0.03 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 0.00 0.00 95.47 4.53 No 35.4 19-DNA3 19-Aug 0.94 0.33 0.02 0.00 0.00 0.00 0.01 0.00 0.00 95.75 4.25 Yes 50.2 19-Sep 0.90 0.34 0.03 0.01 0.00 0.00 0.01 0.00 0.00 95.48 4.52 No 37.0
Freddie Mac | 2019
DN/A Historical Performance
11
▪ Summary collateral characteristics for the different vintages are seen below ▪ Analysis and stratifications only include loans with OLTV ratios between 60% and 80%
80% has varied by credit score and vintage, as seen in the table on right for loans with credit scores of 780 and greater
Cumulative Credit Events
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,
as of Q12018. Cumulative Losses do not include modification losses. Loans with Repurchase flag = Y have been set to zero loss. Yearly Vintage Population in the table above includes fixed-rate loans with terms of 241-360 months and LTV ratio 60-80%. Non-Zero Weighted Averages and Ranges Data in the graph to the right is weighted in proportion to 2019-DNA4 LTV cohorts.
0.0% 0.0% 0.1% 0.1% 0.2% 0.5% 1.4% 2.0% 1.9% 0.8% 0.1% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
0.0% 0.5% 1.0% 1.5% 2.0% 2.5% Cumulative Net Loss
Credit Scores Between 780 and Greater (29% of the Reference Pool)
Deal 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 15- DN01 15- DNA1 15- DNA2 15- DNA3 16- DNA1 16- DNA2 16- DNA3 16- DNA4 17- DNA1 17- DNA2 17- DNA3 18- DNA1 18- DNA2 18- DNA3 19- DNA1 19- DNA2 19- DNA3 19- DNA4 Orig UPB ($B) 162 163 197 124 162 139 127 124 213 120 86 121 28 32 32 35 36 30 26 25 34 61 56 35 49 30 25 20 26 21 WA FICO 736 737 739 738 742 744 745 753 766 767 768 770 753 766 752 754 754 752 748 748 751 751 749 747 747 744 747 750 750 748 WA DTI 32 33 32 35 36 37 36 37 33 33 33 32 35 32 35 35 35 35 35 35 35 35 35 36 36 36 37 36 36 36 WA OCLTV 78 78 78 78 78 79 78 78 78 78 78 78 77 76 77 76 76 77 76 76 76 76 76 77 76 76 76 77 76 76 WA OLTV 80 80 80 81 81 83 83 80 79 79 79 78 76 74 76 75 75 76 75 75 75 75 75 76 76 76 76 76 76 76 % Owner Occ. 93 93 94 92 91 90 89 87 92 90 90 91 86 89 86 87 87 86 85 85 87 88 87 83 84 82 83 85 84 84 FICO Score Range % 0 to 679 23 22 19 23 22 22 22 12 3 3 3 2 6 2 6 5 5 6 8 8 7 6 7 9 9 10 9 9 8 7 680 to 719 23 23 22 23 22 22 22 19 11 12 11 10 17 10 18 17 17 18 19 19 18 18 19 19 19 20 18 16 17 19 720 to 759 28 28 29 27 25 24 23 26 26 24 23 23 25 23 25 26 26 26 26 26 26 26 27 26 26 26 27 26 27 29 760 to 779 15 15 17 15 14 14 14 17 22 20 21 21 17 21 17 19 18 17 16 17 17 17 17 16 17 16 17 17 17 17 >= 780 11 12 13 12 17 18 20 26 39 40 42 44 35 44 34 34 34 33 31 30 32 32 30 30 30 28 30 32 31 29 DTI Range % 1 to 30 41 40 44 34 29 26 27 29 42 39 38 43 32 44 32 32 33 31 30 29 32 32 30 28 29 27 26 27 27 27 31 to 40 33 32 30 33 33 32 31 28 29 32 33 33 36 33 36 36 36 34 35 35 35 35 35 34 34 34 33 33 33 34 41 to 45 13 12 11 14 15 16 15 14 12 17 19 17 24 17 24 23 22 23 24 24 23 23 25 26 23 22 22 21 21 22 > 45 13 15 14 19 23 26 27 28 16 13 11 7 7 6 8 9 9 11 11 11 10 10 10 12 14 17 18 19 19 17
Freddie Mac | 2019
DN/A Historical Performance
12
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; Loans with Repurchase flag = Y have been set to zero loss Data is weighted in proportion to 2019-DNA4 LTV ratio cohorts
0.1% 0.5% 0.6% 0.9% 1.4% 2.5% 6.1% 8.7% 8.6% 5.4% 1.3% 0.5% 0.3% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0%
0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% Cumulative Net Loss
Credit Scores less than 680 (7% of the Reference Pool)
0.1% 0.2% 0.3% 0.5% 0.8% 1.6% 4.4% 6.4% 6.5% 3.5% 0.7% 0.3% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% Cumulative Net Loss
Credit Scores Between 680 and 719 (19% of the Reference Pool)
0.0% 0.1% 0.1% 0.3% 0.5% 1.0% 2.9% 4.5% 4.6% 2.3% 0.4% 0.2% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 4.5% 5.0% Cumulative Net Loss
Credit Scores Between 720 and 759 (29% of the Reference Pool)
0.0% 0.0% 0.1% 0.1% 0.3% 0.6% 2.0% 2.9% 3.0% 1.4% 0.2% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% Cumulative Net Loss
Credit Scores Between 760 and 779 (17% of the Reference Pool)
Freddie Mac | 2019
DN/A Historical Performance
13
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
DN/A Historical Performance
14
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
DN/A Historical Performance
15
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
DN/A Historical Performance
16 2000 Vintage Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0% 30 49% 37% 14% 0% 0% 0% 0% 0% 60 23% 18% 27% 31% 0% 0% 0% 0% 90 13% 6% 10% 18% 53% 0% 0% 1% 120 11% 2% 2% 5% 13% 65% 0% 2% 150 11% 1% 1% 1% 5% 13% 66% 2% 180 9% 1% 0% 1% 1% 4% 13% 71% 180+ 5% 0% 0% 0% 0% 0% 1% 93% 2003 Vintage Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 43% 41% 15% 0% 0% 0% 0% 0% 60 14% 16% 36% 34% 0% 0% 0% 0% 90 8% 4% 10% 24% 54% 0% 0% 1% 120 8% 1% 2% 5% 17% 66% 0% 2% 150 8% 1% 1% 1% 4% 15% 68% 2% 180 7% 0% 0% 0% 1% 3% 14% 74% 180+ 4% 0% 0% 0% 0% 0% 0% 95% 2001 Vintage Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0% 30 49% 38% 13% 0% 0% 0% 0% 0% 60 19% 19% 30% 31% 0% 0% 0% 0% 90 11% 5% 10% 21% 52% 0% 0% 1% 120 11% 2% 2% 6% 15% 63% 0% 3% 150 10% 1% 1% 2% 5% 15% 64% 3% 180 9% 1% 0% 0% 1% 5% 14% 70% 180+ 5% 0% 0% 0% 0% 0% 1% 94% 2004 Vintage Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0% 30 40% 43% 17% 0% 0% 0% 0% 0% 60 12% 15% 36% 36% 0% 0% 0% 0% 90 7% 3% 9% 23% 56% 0% 0% 1% 120 7% 1% 2% 4% 17% 67% 0% 2% 150 7% 1% 1% 1% 3% 15% 70% 2% 180 6% 0% 0% 0% 1% 3% 14% 75% 180+ 3% 0% 0% 0% 0% 0% 0% 96% 2002 Vintage Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0%
30 46% 40% 14% 0% 0% 0% 0% 0% 60 17% 17% 34% 32% 0% 0% 0% 0% 90 9% 4% 10% 23% 53% 0% 0% 1% 120 9% 1% 2% 5% 15% 65% 0% 3% 150 9% 1% 1% 1% 4% 14% 68% 3% 180 7% 0% 0% 0% 1% 4% 14% 73% 180+ 4% 0% 0% 0% 0% 0% 1% 95% 2005 Vintage Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0% 30 34% 45% 20% 0% 0% 0% 0% 0% 60 10% 13% 36% 41% 0% 0% 0% 0% 90 6% 2% 7% 22% 61% 0% 0% 1% 120 6% 1% 1% 4% 16% 70% 0% 2% 150 6% 0% 0% 1% 3% 14% 72% 3% 180 5% 0% 0% 0% 1% 2% 13% 78% 180+ 3% 0% 0% 0% 0% 0% 0% 97%
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. Loans with LTV ratio 60% > and <= 80%. Values represent the monthly average proportion UPB with beginning delinquency status (indicated by row heading) that transitions into the ending delinquency status (as indicated by column heading). Data is weighted in proportion to 2019-DNA4 FICO and LTV ratio cohorts. Current loans also include voluntary prepayments and repurchases. 180+ also includes liquidations.
Freddie Mac | 2019
DN/A Historical Performance
17
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. Loans with LTV ratio 60% > and <= 80%. Values represent the monthly average proportion UPB with beginning delinquency status (indicated by row heading) that transitions into the ending delinquency status (as indicated by column heading). Data is weighted in proportion to 2019-DNA4 FICO and LTV ratio cohorts. Current loans also include voluntary prepayments and repurchases. 180+ also includes liquidations.
2006 Vintage Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0% 30 31% 45% 23% 0% 0% 0% 0% 0% 60 9% 12% 35% 44% 0% 0% 0% 0% 90 5% 2% 6% 20% 65% 0% 0% 1% 120 6% 1% 1% 3% 15% 72% 0% 2% 150 5% 0% 0% 1% 2% 13% 75% 3% 180 5% 0% 0% 0% 0% 2% 11% 81% 180+ 3% 0% 0% 0% 0% 0% 0% 97% 2009 Vintage Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 42% 43% 15% 0% 0% 0% 0% 0% 60 14% 15% 34% 37% 0% 0% 0% 0% 90 8% 3% 8% 20% 59% 0% 0% 1% 120 8% 1% 1% 4% 14% 70% 0% 2% 150 9% 0% 0% 1% 3% 14% 71% 2% 180 7% 0% 0% 0% 0% 2% 11% 79% 180+ 4% 0% 0% 0% 0% 0% 0% 95% 2007 Vintage Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0% 30 30% 47% 23% 0% 0% 0% 0% 0% 60 9% 12% 35% 44% 0% 0% 0% 0% 90 5% 2% 6% 20% 65% 0% 0% 1% 120 5% 1% 1% 3% 15% 73% 0% 2% 150 6% 0% 0% 1% 2% 13% 74% 3% 180 5% 0% 0% 0% 0% 2% 12% 80% 180+ 3% 0% 0% 0% 0% 0% 0% 96% 2010 Vintage Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 49% 37% 14% 0% 0% 0% 0% 0% 60 16% 16% 34% 34% 0% 0% 0% 0% 90 10% 4% 9% 21% 56% 0% 0% 0% 120 9% 1% 1% 4% 16% 68% 0% 1% 150 10% 0% 0% 1% 3% 16% 67% 2% 180 9% 0% 0% 0% 1% 2% 13% 74% 180+ 5% 0% 0% 0% 0% 0% 0% 95% 2008 Vintage Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0% 30 32% 46% 21% 0% 0% 0% 0% 0% 60 10% 12% 36% 41% 0% 0% 0% 0% 90 6% 2% 7% 21% 63% 0% 0% 1% 120 6% 1% 1% 3% 16% 72% 0% 1% 150 6% 0% 0% 1% 2% 14% 74% 2% 180 6% 0% 0% 0% 1% 2% 12% 79% 180+ 4% 0% 0% 0% 0% 0% 0% 96% 2011 Vintage Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 52% 35% 13% 0% 0% 0% 0% 0% 60 17% 16% 33% 33% 0% 0% 0% 0% 90 12% 4% 10% 22% 52% 0% 0% 0% 120 11% 1% 2% 4% 19% 63% 0% 1% 150 12% 0% 1% 0% 3% 19% 64% 1% 180 10% 0% 0% 0% 0% 3% 14% 72% 180+ 7% 0% 0% 0% 0% 0% 0% 93%
Freddie Mac | 2019
DN/A Historical Performance
18
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. Loans with LTV ratio 60% > and <= 80%. Values represent the monthly average proportion UPB with beginning delinquency status (indicated by row heading) that transitions into the ending delinquency status (as indicated by column heading). Data is weighted in proportion to 2019-DNA4 FICO and LTV ratio cohorts. Current loans also include voluntary prepayments and repurchases. 180+ also includes liquidations.
2012 Vintage Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 59% 31% 10% 0% 0% 0% 0% 0% 60 22% 16% 31% 31% 0% 0% 0% 0% 90 13% 5% 9% 20% 53% 0% 0% 0% 120 11% 1% 2% 3% 18% 64% 0% 1% 150 13% 1% 0% 0% 3% 20% 63% 1% 180 12% 1% 0% 1% 0% 2% 15% 69% 180+ 7% 0% 0% 0% 0% 0% 0% 92% 2015 Vintage Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 63% 26% 11% 0% 0% 0% 0% 0% 60 23% 13% 26% 38% 0% 0% 0% 0% 90 14% 3% 7% 26% 50% 0% 0% 0% 120 10% 1% 1% 4% 24% 60% 0% 0% 150 12% 1% 0% 0% 4% 27% 56% 1% 180 12% 1% 0% 0% 1% 2% 21% 62% 180+ 9% 0% 0% 0% 0% 0% 1% 90% 2013 Vintage Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 59% 31% 10% 0% 0% 0% 0% 0% 60 22% 15% 30% 33% 0% 0% 0% 0% 90 13% 4% 8% 23% 52% 0% 0% 0% 120 11% 1% 2% 5% 21% 60% 0% 0% 150 15% 0% 1% 1% 2% 23% 57% 1% 180 12% 1% 0% 0% 1% 3% 17% 66% 180+ 7% 0% 0% 0% 0% 0% 0% 92% 2016 Vintage Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 66% 23% 12% 0% 0% 0% 0% 0% 60 21% 10% 27% 42% 0% 0% 0% 0% 90 14% 1% 6% 38% 41% 0% 0% 0% 120 11% 1% 0% 4% 35% 48% 1% 0% 150 14% 0% 0% 1% 4% 30% 51% 0% 180 9% 0% 0% 0% 1% 3% 28% 59% 180+ 9% 0% 0% 0% 0% 1% 1% 89% 2014 Vintage Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 58% 31% 12% 0% 0% 0% 0% 0% 60 21% 15% 30% 33% 0% 0% 0% 0% 90 13% 4% 8% 26% 49% 0% 0% 0% 120 10% 1% 1% 4% 22% 60% 0% 0% 150 13% 1% 1% 1% 3% 24% 56% 1% 180 11% 0% 0% 1% 1% 3% 20% 64% 180+ 8% 0% 0% 0% 0% 0% 1% 90% 2017 Vintage Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 69% 17% 13% 0% 0% 0% 0% 0% 60 24% 8% 23% 45% 0% 0% 0% 0% 90 13% 1% 6% 42% 37% 0% 0% 0% 120 12% 0% 1% 4% 41% 42% 0% 0% 150 10% 0% 0% 0% 3% 33% 53% 1% 180 6% 0% 0% 0% 1% 5% 39% 48% 180+ 5% 1% 0% 0% 0% 1% 0% 92%
Freddie Mac | 2019
DN/A Historical Performance
19 Vintage Cum D180 (A) Liquidated (B) Severity (C)
2000 0.6% 0.3% 33% 0.1% 2001 0.7% 0.5% 38% 0.2% 2002 1.2% 0.8% 41% 0.3% 2003 2.3% 1.4% 37% 0.5% 2004 4.0% 2.7% 41% 1.1% 2005 8.3% 6.3% 47% 2.9% 2006 10.9% 8.6% 50% 4.3% 2007 11.8% 8.8% 49% 4.3% 2008 6.7% 4.4% 45% 2.0% 2009 1.2% 0.8% 36% 0.3% 2010 0.7% 0.3% 35% 0.1% 2011 0.4% 0.1% 32% 0.0% 2012 0.2% 0.1% 27% 0.0% 2013 0.2% 0.0% 23% 0.0% 2014 0.2% 0.0% 18% 0.0% 2015 0.2% 0.0% 24% 0.0% 2016 0.1% 0.0% 9% 0.0% 2017 0.0% 0.0% 0% 0.0% 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,
Cumulative Losses do not include modification losses; Data is weighted in proportion to 2019-DNA4 FICO and LTV ratio cohorts 0% 10% 20% 30% 40% 50% 60% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0%
Severity Liquidated
2005 2006 2007 2008
Freddie Mac | 2019
DN/A Historical Performance
20
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; Loans with Repurchase flag = Y have been set to zero loss; Cumulative Losses do not include modification losses Data is weighted in proportion to 2019-DNA4 FICO and LTV ratio cohorts (1) Cumulative losses attributable to interest rate and forbearance modifications using same methodology as 2019-DNA4 transaction.
Proxy Cohort Stats as of March 31, 2018 Vintage Current Pool Factor Cumulative Principal Loss Cumulative Modification Loss(1) Modification Loss as % of Principal Loss Ever Modified % Orig WAC Curr WAC Current Mod WAC SF 2000 0.23% 0.11% 0.01% 7% 0.14% 8.03% 7.72% 0.31% 2001 0.56% 0.18% 0.01% 8% 0.22% 6.92% 6.63% 0.28% 2002 1.38% 0.32% 0.04% 11% 0.47% 6.48% 6.17% 0.31% 2003 3.50% 0.53% 0.08% 15% 1.10% 5.70% 5.51% 0.19% 2004 4.14% 1.09% 0.17% 15% 1.89% 5.78% 5.52% 0.26% 2005 5.02% 2.94% 0.39% 13% 3.61% 5.81% 5.35% 0.45% 2006 4.16% 4.28% 0.67% 16% 4.65% 6.36% 5.47% 0.90% 2007 4.92% 4.28% 0.78% 18% 5.36% 6.28% 5.42% 0.85% 2008 4.76% 2.00% 0.49% 25% 3.58% 5.98% 5.40% 0.58% 2009 11.04% 0.27% 0.02% 6% 0.62% 5.01% 4.96% 0.05% 2010 16.06% 0.11% 0.01% 5% 0.38% 4.77% 4.60% 0.17% 2011 25.25% 0.05% 0.00% 4% 0.26% 4.57% 4.46% 0.10% 2012 52.47% 0.01% 0.00% 0% 0.13% 3.80% 3.76% 0.04% 2013 52.53% 0.01% 0.00% 1% 0.16% 3.99% 3.89% 0.10% 2014 49.13% 0.00% 0.00% 4% 0.19% 4.39% 4.36% 0.03% 2015 67.91% 0.00% 0.00% 2% 0.15% 4.07% 4.05% 0.02% 2016 86.14% 0.00% 0.00% 3% 0.14% 3.88% 3.87% 0.01% 2017 95.07% 0.00% 0.00% 0% 0.03% 4.26% 4.26% 0.01% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Orig WAC Curr WAC
Net Loss
Freddie Mac | 2019
Net Loss Comparison
22
Origination Year Loan Count Default Rate Severity Rate Net Loss Rate Timeline DDLPI to Disposition Origination Year Loan Count Default Rate Severity Rate Net Loss Rate Timeline DDLPI to Disposition Net Loss Ratio (HQA/DNA) 1999-2004 85,159 3.4% 25.1% 0.9% 19 1999-2004 88,114 1.3% 38.3% 0.5% 21 1.71 2005 22,588 11.3% 34.9% 3.9% 22 2005 63,283 6.4% 46.4% 3.0% 21 1.33 2006 21,774 14.9% 35.8% 5.3% 22 2006 68,936 9.2% 50.2% 4.6% 21 1.16 2007 32,419 17.2% 33.8% 5.8% 22 2007 65,086 9.4% 49.4% 4.7% 21 1.25 2008 20,389 10.3% 29.2% 3.0% 21 2008 31,811 4.7% 46.3% 2.2% 22 1.37 2009 2,272 1.6% 18.2% 0.3% 18 2009 9,006 0.7% 37.2% 0.3% 20 1.11 2010 689 0.7% 15.3% 0.1% 18 2010 2,652 0.3% 35.0% 0.1% 20 1.05 2011 370 0.4% 11.7% 0.0% 17 2011 930 0.1% 31.7% 0.0% 18 1.02 2012-2017 1,379 0.1% 7.0% 0.0% 15 2012-2017 1,238 0.0% 24.3% 0.0% 16 0.86 Grand Total 187,039 3.2% 30.0% 1.0% 21 Grand Total 331,056 2.0% 46.0% 0.9% 21 1.03 80.01-97 LTV (HQ/HQA Series) 60-80 LTV (DN/DNA Series)
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,
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 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.
Historical Performance
Freddie Mac | 2019
HQ/A Historical Performance
24
M-1 Bond Series Fitch Moody’s Kroll Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating 14-HQ1 A- sf AA sf A2 (sf) Aaa (sf)
A- sf AAA sf A2 (sf) Aaa (sf)
A- sf A- sf A1 (sf) Aa3 (sf)
Aa1 (sf) A- (sf) A- (sf) 15-HQ2 A sf AAA sf A2 (sf) Aaa (sf)
A- sf AA sf
AA (sf) 16-HQA1 BBB sf AA sf
Aaa (sf) A- (sf) A- (sf) 16-HQA3 BBB sf A+ sf
AAA (sf) 16-HQA4 BBB sf AA- sf
BBB- sf A sf Baa3 (sf) A3 (sf)
BBB- sf BBB+ sf
BBB+ (sf) 17-HQA3
A2 (sf)
BBB- sf BBB sf
BBB- sf BBB- sf
BBB (sf) M-2 Bond Series Fitch Moody’s Kroll Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating 14-HQ1 BBB- sf AAA sf Baa2 (sf) Aaa (sf)
BBB- sf AAA sf Baa2 (sf) Aaa (sf)
BBB- sf AAA sf Baa1 (sf) Aaa (sf)
Aaa (sf) BBB- (sf) AAA (sf) 15-HQ2 BBB sf AAA sf Baa2 (sf) Aa1 (sf)
BBB- sf AA sf
A (sf) 15-HQA2 BBB- sf AA sf
A (sf) 16-HQA1 BBB- sf AA sf
A2(sf) BBB (sf) A- (sf) 16-HQA3 BBB- sf A+ sf
BBB+ (sf) 16-HQA4 BBB- sf A sf
B sf BB sf B2 (sf) Ba2 (sf)
B sf BB- sf
BB- (sf) 17-HQA3
B1 (sf)
B sf B sf
B+ sf B+ sf
BB- (sf) Notes: Current ratings as of August 28, 2019 or immediately prior to the related bond being paid in full, as applicable.
Freddie Mac | 2019
HQ/A Historical Performance
25
Notes: Current ratings as of August 28, 2019 or immediately prior to the related bond being paid in full, as applicable.
M-3 Bond Series Fitch Moody’s Kroll Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating 14-HQ1 NR AA- sf
NR A sf
NR AA- sf
Aa1 (sf) B+ (sf) BBB+ (sf) 15-HQ2 BB sf AA+ sf Ba2 (sf) Aa2 (sf)
B+ sf BBB sf
BB+ (sf) 15-HQA2 B sf BBB sf
BB+ (sf) 16-HQA1 B sf BBB- sf
Baa3 (sf) B+ (sf) BB (sf) 16-HQA3 B+ sf BB+ sf
BB (sf) 16-HQA4 B sf BB sf
✓ 65 upgrades from original to current rating ✓ 20 M-1, 28 M-2, & 17 M-3 upgrades
Freddie Mac | 2019
0.3% 0.5% 0.9% 1.5% 3.2% 4.2% 4.2% 2.3% 0.9% 0.6% 0.3% 0.1% 0.1% 0.1% 0.0% 0.0% 0.0% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 4.5% 5.0% 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Cumulative Net Loss
HQ/A Historical Performance
26
Class M-1 takes 100% loss(1) Class M-2 takes 100% loss(1) Class B-1 takes 100% loss(1) Class B-2 takes 100% loss(1)
For Freddie Mac data above:
Notes: Data included in tables were derived from Freddie Mac’s Single Family Loan Level Dataset (SF LLD) as of August 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-HQA3 FICO and LTV cohorts. (1) Assuming no principal payments
Freddie Mac | 2019
HQ/A Historical Performance
27
Notes: Performance data: 1999-2Q2018, losses reported for loans liquidated as of 1Q2018; Cumulative Losses do not include modification losses; Loans with 80.00 < LTV ≤ 97.00%
Freddie Mac | 2019
HQ/A Historical Performance
28
Notes: Performance data: 1999-2Q2018, losses reported for loans liquidated as of 1Q2018; Cumulative Losses do not include modification losses; Loans with 80.00 < LTV ≤ 97.00%
Freddie Mac | 2019
HQ/A Historical Performance
29
Sources: Monthly remittance reports available on trustee’s website, IntexCalc as of June, July and August 2019. CE = Credit Event Series Remit Factor 30D (%) 60D (%) 90D (%) 120D (%) 180+D (%)
Count
CE Bal ($M) Cumulative Loss (bps) Senior % Sub % Prepay Lockout 1mo CPR (%) 15-HQA1 19-Jun 0.49 0.93 0.18 0.10 0.05 0.03 0.31 112 21.87 93.45 6.55 No 16.9 19-Jul 0.48 1.29 0.26 0.07 0.06 0.02 0.28 115 22.19 93.45 6.55 No 15.8 19-Aug 0.47 0.90 0.21 0.11 0.05 0.04 0.28 117 22.50 93.45 6.55 No 17.9 15-HQA2 19-Jun 0.54 0.95 0.19 0.05 0.03 0.04 0.23 87 17.03 93.04 6.96 No 15.6 19-Jul 0.53 1.17 0.26 0.07 0.04 0.03 0.21 93 18.53 93.04 6.96 No 14.2 19-Aug 0.52 0.81 0.20 0.11 0.05 0.03 0.20 97 19.37 93.04 6.96 No 16.6 16-HQA1 19-Jun 0.62 0.80 0.18 0.08 0.03 0.04 0.18 66 13.17 93.96 6.04 No 15.6 19-Jul 0.61 1.06 0.20 0.08 0.05 0.04 0.16 71 14.21 93.96 6.04 No 16.0 19-Aug 0.60 0.74 0.18 0.08 0.06 0.03 0.17 73 14.62 93.96 6.04 No 15.9 16-HQA2 19-Jun 0.63 0.88 0.15 0.06 0.03 0.05 0.16 54 11.03 93.98 6.02 No 16.8 19-Jul 0.62 1.01 0.23 0.05 0.03 0.03 0.16 57 11.53 93.98 6.02 No 15.2 19-Aug 0.61 0.74 0.19 0.07 0.03 0.03 0.16 59 11.83 93.98 6.02 No 18.4 16-HQA3 19-Jun 0.68 0.80 0.15 0.06 0.05 0.04 0.23 55 11.70 93.97 6.03 No 14.1 19-Jul 0.67 0.91 0.18 0.09 0.05 0.03 0.22 55 11.70 93.97 6.03 No 14.4 19-Aug 0.66 0.79 0.16 0.06 0.06 0.06 0.21 56 12.07 93.97 6.03 No 17.0 16-HQA4 19-Jun 0.71 0.94 0.22 0.11 0.08 0.04 0.23 48 9.54 93.99 6.01 No 15.0 19-Jul 0.70 1.09 0.27 0.09 0.07 0.06 0.22 51 9.90 93.99 6.01 No 14.0 19-Aug 0.68 0.83 0.25 0.11 0.06 0.05 0.24 54 10.73 93.99 6.01 No 18.1 17-HQA1 19-Jun 0.79 0.83 0.17 0.07 0.06 0.04 0.17 71 12.29 95.22 4.78 No 14.4 19-Jul 0.77 0.97 0.21 0.07 0.06 0.05 0.17 72 12.55 95.22 4.78 No 13.9 19-Aug 0.76 0.77 0.17 0.09 0.05 0.05 0.16 77 13.45 95.22 4.78 No 15.9 17-HQA2 19-Jun 0.83 0.77 0.15 0.07 0.06 0.04 0.19 39 8.47 95.73 4.27 No 12.8 19-Jul 0.82 0.93 0.17 0.07 0.05 0.06 0.18 47 9.82 95.73 4.27 No 11.7 19-Aug 0.81 0.72 0.19 0.07 0.06 0.05 0.18 55 11.35 95.73 4.27 No 14.1 17-HQA3 19-Jun 0.84 0.78 0.18 0.07 0.05 0.04 0.13 21 4.55 95.23 4.77 No 14.7 19-Jul 0.83 1.00 0.17 0.09 0.05 0.04 0.13 23 5.04 95.23 4.77 No 14.3 19-Aug 0.81 0.82 0.16 0.06 0.06 0.04 0.13 26 5.85 95.23 4.77 No 18.0 18-HQA1 19-Jun 0.90 0.75 0.12 0.06 0.04 0.05 0.12 21 4.05 95.72 4.28 Yes 13.5 19-Jul 0.89 0.94 0.17 0.05 0.04 0.04 0.12 25 4.86 95.72 4.28 Yes 13.1 19-Aug 0.87 0.74 0.16 0.08 0.04 0.04 0.13 28 5.58 95.72 4.28 Yes 18.4 18-HQA2 19-Jun 0.94 0.66 0.13 0.05 0.03 0.02 0.05 3 0.71 95.81 4.19 Yes 10.6 19-Jul 0.93 0.89 0.15 0.06 0.04 0.03 0.05 5 1.50 95.76 4.24 Yes 10.0 19-Aug 0.92 0.67 0.15 0.07 0.04 0.03 0.07 6 1.54 95.72 4.28 Yes 14.0 19-HQA1 19-Jun 0.95 0.49 0.08 0.03 0.02 0.00 0.02 0.00 95.35 4.65 Yes 16.0 19-Jul 0.94 0.71 0.09 0.04 0.02 0.01 0.02 0.00 95.28 4.72 Yes 14.0 19-Aug 0.92 0.58 0.10 0.03 0.03 0.02 0.03 0.00 95.21 4.79 Yes 25.0 19-HQA2 19-Jun 0.97 0.37 0.03 0.01 0.00 0.00 0.00 0.00 95.44 4.56 Yes 15.7 19-Jul 0.96 0.56 0.04 0.02 0.01 0.00 0.00 0.00 95.36 4.64 Yes 13.4 19-Aug 0.93 0.44 0.07 0.02 0.01 0.01 0.00 0.00 95.30 4.70 Yes 27.5
Freddie Mac | 2019
HQ/A Historical Performance
30
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 15- HQA1 15- HQA2 16- HQA1 16- HQA2 16- HQA3 16- HQA4 17- HQA1 17- HQA2 17- HQA3 18- HQA1 18- HQA2 19- HQA1 19- HQA2 19- HQA3 Orig UPB ($BN) 34 61 53 53 32 32 27 41 40 27 17 17 33 47 55 71 15 19 17 18 19 19 16 30 32 22 40 36 20 20 20 WA FICO 696 696 695 703 699 703 701 705 729 756 758 758 759 755 748 749 747 747 749 750 749 749 748 747 747 747 746 744 745 746 746 WA DTI (%) 37 36 37 36 38 39 41 41 40 33 33 33 33 34 35 35 35 35 35 35 35 35 35 35 36 36 36 37 37 37 38 WA OCLTV (%) 92 91 91 91 91 91 92 92 91 90 91 91 91 92 92 92 92 92 92 92 92 92 92 92 92 92 92 93 93 93 92 WA OLTV (%) 92 91 91 91 91 92 92 92 91 90 91 91 91 92 92 92 92 92 92 92 92 92 92 92 92 92 92 93 93 93 92 Owner Occ. (%) 95 96 95 95 92 92 92 92 93 99 100 100 100 100 99 99 99 99 99 99 99 99 99 99 99 99 99 99 98 99 98 FICO Score Range 0-679 (%) 38 38 40 34 38 35 38 36 16 1 1 2 2 3 5 5 6 6 5 4 4 4 5 5 5 5 6 6 6 6 6 680-719 (%) 25 25 25 26 25 25 23 23 24 14 14 13 13 15 19 19 19 19 19 18 19 19 19 20 21 20 21 22 21 20 20 720-759 (%) 23 23 22 24 22 21 20 20 27 33 31 30 31 32 31 31 31 31 32 32 31 31 31 31 31 32 31 31 32 32 32 760-779 (%) 8 8 9 10 9 10 9 10 15 23 22 23 22 21 19 19 19 19 19 19 19 19 19 18 18 18 18 18 18 18 19 >780 (%) 4 5 5 6 6 9 10 11 17 29 32 32 33 29 26 26 25 25 26 27 27 27 25 25 25 24 24 23 23 24 24 DTI Range (%) 1 to 30 24 28 27 31 25 21 19 20 20 36 38 35 38 34 28 29 27 29 29 31 29 28 26 28 27 25 24 23 24 21 20 31 to 40 38 37 35 33 33 32 30 29 30 46 47 44 41 42 43 41 40 43 42 41 41 41 40 40 40 40 39 38 38 37 37 41 to 45 18 16 16 15 17 17 16 16 17 13 14 19 20 23 27 25 27 27 26 24 25 26 27 26 27 29 29 25 18 25 27 46 to 50 18 17 21 20 25 28 33 32 32 5 1 2 1 1 2 5 6 2 4 4 5 5 6 6 6 7 7 13 18 16 16
0.2%0.3% 0.7% 1.2% 2.0% 2.8% 2.6% 1.3% 0.4%0.3%0.2%0.1%0.0%0.1%0.0%0.1%0.0% 0.00% 0.50% 1.00% 1.50% 2.00% 2.50% 3.00% 3.50% 2001 2003 2005 2007 2009 2011 2013 2015 2017 Cumulative Net Loss
Credit Scores 780 and Greater (24% of the Reference Pool)
▪ Summary collateral characteristics for the different vintages are seen below ▪ Analysis and stratifications only include loans with LTV ratios between 80% and 97%
97% has varied by credit score and vintage, as seen in the table on right for loans with credit scores of 780 and greater
Cumulative Credit Events
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,
as of Q12018. Cumulative Losses do not include modification losses. Loans with Repurchase flag = Y have been set to zero loss. Yearly Vintage Population in the table above includes fixed-rate loans with terms of 241-360 months and LTV ratio 80-97%. Non-Zero Weighted Averages and Ranges Data in the graph to the right is weighted in proportion to 2019-HQA3 LTV cohorts.
Freddie Mac | 2019
HQ/A Historical Performance
31
0.2% 0.3% 0.6% 1.2% 2.6% 3.2% 3.3% 1.7% 0.7% 0.5% 0.2% 0.2% 0.1% 0.0% 0.0% 0.0% 0.0% 0.00% 0.50% 1.00% 1.50% 2.00% 2.50% 3.00% 3.50% 4.00%
2001 2003 2005 2007 2009 2011 2013 2015 2017
Cumulative Net Loss
Credit Scores between 760 and 779 (19% of the Reference Pool)
0.3% 0.4% 0.9% 1.6% 3.4% 4.6% 4.5% 2.4% 1.0% 0.6% 0.3% 0.2% 0.1% 0.1% 0.1% 0.0% 0.0% 0.00% 0.50% 1.00% 1.50% 2.00% 2.50% 3.00% 3.50% 4.00% 4.50% 5.00%
2001 2003 2005 2007 2009 2011 2013 2015 2017
Cumulative Net Loss
Credit Scores between 720 and 759 (32% of the Reference Pool)
0.5% 0.7% 1.4% 2.3% 4.3% 6.1% 6.3% 4.0% 1.3% 1.0% 0.7% 0.3% 0.1% 0.1% 0.1% 0.0% 0.0% 0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00% 7.00%
2001 2003 2005 2007 2009 2011 2013 2015 2017
Cumulative Net Loss
Credit Scores between 680 and 719 (20% of the Reference Pool)
1.1%1.5% 2.1% 3.1% 6.0% 7.5% 8.4% 6.7% 3.3% 2.0% 1.2% 0.6%0.3%0.2%0.2%0.0%0.0% 0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00% 7.00% 8.00% 9.00%
2001 2003 2005 2007 2009 2011 2013 2015 2017
Cumulative Net Loss
Credit Scores Less than 680 (6% of the Reference Pool)
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; Loans with Repurchase flag = Y have been set to zero loss Data is weighted in proportion to 2019-HQA3 LTV ratio cohorts
Freddie Mac | 2019
HQ/A Historical Performance
32
Notes: Performance data: 1999-2Q2018, losses reported for loans liquidated as of 1Q2018; Cumulative Losses do not include modification losses; Loans with 80.00 < LTV ≤ 97.00%
Freddie Mac | 2019
HQ/A Historical Performance
33
Notes: Performance data: 1999-2Q2018, losses reported for loans liquidated as of 1Q2018; Cumulative Losses do not include modification losses; Loans with 80.00 < LTV ≤ 97.00%
Freddie Mac | 2019
HQ/A Historical Performance
34
Notes: Performance data: 1999-2Q2018, losses reported for loans liquidated as of 1Q2018; Cumulative Losses do not include modification losses; Loans with 80.00 < LTV ≤ 97.00%
Freddie Mac | 2019
HQ/A Historical Performance
35 2000 Vintage Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0% 30 45% 39% 15% 0% 0% 0% 0% 0% 60 20% 16% 27% 36% 0% 0% 0% 0% 90 12% 5% 9% 17% 56% 0% 0% 2% 120 10% 1% 2% 5% 12% 65% 0% 4% 150 8% 1% 1% 1% 4% 13% 65% 6% 180 6% 0% 0% 0% 1% 5% 10% 76% 180+ 8% 0% 0% 0% 0% 0% 1% 91% 2001 Vintage Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0% 30 44% 41% 15% 0% 0% 0% 0% 0% 60 17% 18% 29% 35% 0% 0% 0% 0% 90 10% 5% 9% 17% 57% 0% 0% 1% 120 10% 2% 1% 5% 11% 66% 0% 5% 150 10% 1% 0% 1% 4% 11% 67% 6% 180 8% 0% 0% 0% 1% 3% 10% 77% 180+ 6% 0% 0% 0% 0% 0% 1% 93% 2002 Vintage Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0% 30 41% 43% 16% 0% 0% 0% 0% 0% 60 16% 17% 32% 35% 0% 0% 0% 0% 90 10% 4% 9% 19% 56% 0% 0% 1% 120 7% 1% 2% 5% 15% 66% 0% 4% 150 8% 1% 1% 1% 4% 12% 67% 5% 180 7% 1% 0% 1% 1% 3% 12% 75% 180+ 4% 0% 0% 0% 0% 0% 0% 95% 2003 Vintage Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0% 30 41% 42% 17% 0% 0% 0% 0% 0% 60 14% 15% 33% 37% 0% 0% 0% 0% 90 8% 4% 8% 21% 58% 0% 0% 1% 120 7% 1% 1% 4% 16% 67% 0% 3% 150 7% 1% 0% 1% 3% 13% 70% 4% 180 7% 0% 0% 0% 1% 2% 12% 77% 180+ 3% 0% 0% 0% 0% 0% 0% 96% 2004 Vintage Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0%
30 37% 44% 19% 0% 0% 0% 0% 0% 60 12% 15% 33% 39% 0% 0% 0% 0% 90 7% 3% 8% 20% 61% 0% 0% 1% 120 7% 1% 1% 4% 15% 70% 0% 3% 150 6% 0% 0% 1% 3% 14% 72% 4% 180 6% 1% 0% 0% 1% 2% 11% 80% 180+ 3% 0% 0% 0% 0% 0% 0% 96% 2005 Vintage Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0% 30 34% 43% 23% 0% 0% 0% 0% 0% 60 10% 12% 32% 45% 0% 0% 0% 0% 90 6% 2% 6% 19% 65% 0% 0% 2% 120 5% 1% 1% 3% 12% 75% 0% 3% 150 5% 0% 0% 1% 2% 11% 76% 4% 180 4% 0% 0% 0% 0% 2% 10% 83% 180+ 2% 0% 0% 0% 0% 0% 0% 97%
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. Loans with LTV ratio > 80% and <= 97%. Values represent the monthly average proportion UPB with beginning delinquency status (indicated by row heading) that transitions into the ending delinquency status (as indicated by column heading). Data is weighted in proportion to 2019-HQA3 FICO and LTV ratio cohorts. Current loans also include voluntary prepayments and repurchases. 180+ also includes liquidations.
Freddie Mac | 2019
HQ/A Historical Performance
36
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. Loans with LTV ratio > 80% and <= 97%. Values represent the monthly average proportion UPB with beginning delinquency status (indicated by row heading) that transitions into the ending delinquency status (as indicated by column heading). Data is weighted in proportion to 2019-HQA3 FICO and LTV ratio cohorts. Current loans also include voluntary prepayments and repurchases. 180+ also includes liquidations.
2006 Vintage Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0% 30 31% 43% 26% 0% 0% 0% 0% 0% 60 9% 11% 30% 49% 0% 0% 0% 1% 90 5% 2% 6% 18% 68% 0% 0% 1% 120 5% 0% 1% 2% 13% 75% 0% 3% 150 5% 0% 0% 1% 2% 10% 77% 4% 180 4% 0% 0% 0% 0% 1% 9% 84% 180+ 3% 0% 0% 0% 0% 0% 0% 97% 2007 Vintage Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0% 30 28% 44% 27% 0% 0% 0% 0% 0% 60 8% 10% 32% 49% 0% 0% 0% 1% 90 5% 2% 5% 18% 68% 0% 0% 1% 120 5% 0% 1% 2% 13% 76% 0% 2% 150 6% 0% 0% 0% 2% 11% 78% 3% 180 5% 0% 0% 0% 0% 1% 10% 83% 180+ 3% 0% 0% 0% 0% 0% 0% 96% 2008 Vintage Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0% 30 29% 46% 24% 0% 0% 0% 0% 0% 60 8% 11% 35% 45% 0% 0% 0% 0% 90 5% 2% 6% 20% 65% 0% 0% 1% 120 6% 0% 1% 2% 14% 74% 0% 2% 150 6% 0% 0% 0% 2% 12% 75% 4% 180 5% 0% 0% 0% 0% 2% 10% 82% 180+ 4% 0% 0% 0% 0% 0% 0% 96% 2009 Vintage Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0% 30 38% 42% 20% 0% 0% 0% 0% 0% 60 11% 12% 33% 44% 0% 0% 0% 1% 90 7% 2% 6% 17% 66% 0% 0% 2% 120 6% 0% 1% 2% 14% 73% 0% 3% 150 7% 0% 0% 0% 2% 12% 73% 4% 180 5% 0% 0% 0% 0% 2% 9% 83% 180+ 4% 0% 0% 0% 0% 0% 0% 96% 2010 Vintage Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 42% 39% 19% 0% 0% 0% 0% 0% 60 11% 11% 33% 44% 0% 0% 0% 0% 90 6% 2% 6% 19% 64% 0% 0% 2% 120 7% 1% 1% 2% 14% 72% 0% 3% 150 8% 0% 0% 1% 2% 14% 71% 3% 180 6% 0% 0% 0% 0% 2% 11% 80% 180+ 4% 0% 0% 0% 0% 0% 0% 96% 2011 Vintage Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 46% 38% 17% 0% 0% 0% 0% 0% 60 14% 13% 31% 42% 0% 0% 0% 1% 90 8% 3% 6% 19% 63% 0% 0% 1% 120 7% 0% 1% 3% 16% 70% 0% 2% 150 9% 1% 0% 0% 2% 17% 67% 3% 180 7% 0% 0% 0% 0% 2% 13% 78% 180+ 4% 0% 0% 0% 0% 0% 0% 95%
Freddie Mac | 2019
HQ/A Historical Performance
37
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. Loans with LTV ratio > 80% and <= 97%. Values represent the monthly average proportion UPB with beginning delinquency status (indicated by row heading) that transitions into the ending delinquency status (as indicated by column heading). Data is weighted in proportion to 2019-HQA3 FICO and LTV ratio cohorts. Current loans also include voluntary prepayments and repurchases. 180+ also includes liquidations.
2012 Vintage Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 52% 35% 13% 0% 0% 0% 0% 0% 60 17% 13% 29% 40% 0% 0% 0% 0% 90 9% 3% 7% 21% 59% 0% 0% 1% 120 8% 1% 1% 3% 17% 68% 0% 1% 150 11% 0% 0% 1% 2% 18% 65% 2% 180 10% 0% 0% 0% 0% 2% 14% 72% 180+ 5% 0% 0% 0% 0% 0% 0% 95% 2013 Vintage Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 53% 34% 13% 0% 0% 0% 0% 0% 60 18% 13% 30% 39% 0% 0% 0% 0% 90 10% 3% 8% 20% 59% 0% 0% 0% 120 8% 1% 1% 3% 17% 69% 0% 1% 150 11% 0% 1% 0% 2% 18% 65% 3% 180 9% 0% 0% 0% 0% 2% 13% 75% 180+ 5% 0% 0% 0% 0% 0% 0% 94% 2014 Vintage Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 54% 32% 14% 0% 0% 0% 0% 0% 60 18% 12% 27% 42% 0% 0% 0% 0% 90 12% 3% 6% 24% 55% 0% 0% 0% 120 9% 1% 1% 3% 20% 67% 0% 1% 150 11% 0% 0% 1% 2% 22% 62% 2% 180 8% 0% 0% 0% 0% 3% 17% 71% 180+ 6% 0% 0% 0% 0% 0% 0% 93% 2015 Vintage Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 57% 29% 14% 0% 0% 0% 0% 0% 60 18% 11% 27% 40% 0% 0% 0% 0% 90 10% 2% 6% 28% 49% 0% 0% 0% 120 10% 2% 1% 2% 23% 56% 0% 0% 150 9% 1% 0% 0% 3% 27% 55% 1% 180 9% 0% 0% 0% 0% 1% 20% 65% 180+ 7% 0% 0% 0% 0% 0% 0% 88% 2016 Vintage Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 58% 26% 16% 0% 0% 0% 0% 0% 60 17% 9% 26% 48% 0% 0% 0% 0% 90 11% 2% 6% 34% 48% 0% 0% 0% 120 10% 1% 1% 4% 24% 58% 0% 0% 150 10% 0% 0% 1% 3% 25% 58% 0% 180 6% 0% 0% 0% 1% 1% 25% 64% 180+ 6% 0% 0% 0% 0% 0% 1% 87% 2017 Vintage Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 60% 19% 19% 0% 0% 0% 0% 0% 60 16% 6% 23% 47% 0% 0% 0% 0% 90 12% 1% 6% 40% 33% 0% 0% 0% 120 9% 0% 1% 5% 33% 45% 0% 0% 150 8% 1% 0% 1% 4% 32% 45% 0% 180 4% 0% 0% 2% 0% 2% 35% 49% 180+ 7% 0% 0% 0% 4% 0% 1% 77%
Freddie Mac | 2019
HQ/A Historical Performance
38 Vintage Cum D180 (A) Liquidated (B) Severity (C) Cum Loss (D=B*C) 2000 1.5% 0.9% 19.3% 0.1% 2001 1.5% 0.9% 20.5% 0.2%
2002 1.9% 1.2% 26.0% 0.3% 2003 2.6% 1.7% 30.3% 0.5% 2004 4.2% 2.9% 32.8% 0.9% 2005 6.6% 4.6% 34.5% 1.5% 2006 11.6% 8.7% 37.1% 3.2% 2007 14.9% 10.8% 39.1% 4.2% 2008 17.9% 11.6% 36.3% 4.2% 2009 12.5% 7.7% 29.2% 2.3% 2010 4.6% 3.0% 26.6% 0.9% 2011 3.5% 2.2% 28.4% 0.6% 2012 2.1% 1.2% 25.7% 0.3% 2013 1.1% 0.5% 24.5% 0.1% 2014 0.9% 0.3% 20.3% 0.1% 2015 0.8% 0.3% 14.4% 0.1% 2016 0.6% 0.1% 9.0% 0.0% 2017 0.4% 0.1% 5.4% 0.0%
2005 2006 2007 2008 0% 10% 20% 30% 40% 50% 60% 0% 2% 4% 6% 8% 10% 12% 14% Severity (C) Liquidated (B)
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,
Cumulative Losses do not include modification losses; Data is weighted in proportion to 2019-HQA3 FICO and LTV ratio cohorts
Freddie Mac | 2019
HQ/A Historical Performance
39
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; Loans with Repurchase flag = Y have been set to zero loss; Cumulative Losses do not include modification losses Data is weighted in proportion to 2019-HQA3 FICO and LTV ratio cohorts (1) Cumulative losses attributable to interest rate and forbearance modifications using same methodology as 2019-HQA3 transaction.
Proxy Cohort Stats as of March 31, 2018 Vintage Current Pool Factor Cumulative Principal Loss Cumulative Modification Loss(1) Modification Loss as % of Principal Loss Ever Modified % Orig WAC Curr WAC Current Mod WAC SF 2000 0.49% 0.15% 0.01% 10% 0.36% 8.05% 7.61% 0.44% 2001 1.19% 0.18% 0.02% 11% 0.34% 6.98% 6.73% 0.25% 2002 2.44% 0.29% 0.03% 10% 0.48% 6.48% 6.24% 0.24% 2003 5.36% 0.49% 0.06% 12% 0.78% 5.77% 5.59% 0.18% 2004 7.13% 0.91% 0.12% 13% 1.49% 5.88% 5.60% 0.28% 2005 8.46% 1.54% 0.26% 17% 2.53% 5.89% 5.50% 0.39% 2006 7.55% 3.19% 0.47% 15% 4.15% 6.48% 5.75% 0.74% 2007 8.55% 4.19% 0.76% 18% 5.40% 6.45% 5.50% 0.95% 2008 6.94% 4.21% 1.07% 25% 7.22% 6.15% 5.44% 0.72% 2009 13.83% 2.31% 0.81% 35% 5.97% 5.07% 5.02% 0.05% 2010 21.95% 0.86% 0.07% 8% 1.96% 4.82% 4.79% 0.03% 2011 28.36% 0.64% 0.05% 7% 1.77% 4.65% 4.63% 0.01% 2012 48.90% 0.33% 0.02% 7% 1.21% 3.92% 3.92% 0.00% 2013 49.90% 0.14% 0.00% 0% 0.66% 4.04% 4.04% 0.00% 2014 48.13% 0.07% 0.00% 2% 0.57% 4.46% 4.46% 0.00% 2015 68.53% 0.05% 0.00% 7% 0.62% 4.14% 4.14% 0.00% 2016 86.08% 0.03% 0.00% 3% 0.50% 3.93% 3.93% 0.00% 2017 93.84% 0.01% 0.00% 1% 0.40% 4.26% 4.26% 0.00%
0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Orig WAC Curr WAC
Historical Performance
Freddie Mac | 2019
Appendix
41
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 February 2019 refresh: Originations 1999- December 31, 2017. Performance data: 1999- June 30, 2018, losses reported for loans liquidated as
▪ 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
Freddie Mac | 2019
Appendix
42
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
Freddie Mac | 2019
Appendix
43
# 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
Freddie Mac | 2019
Appendix
44
# 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
Freddie Mac | 2019
Appendix
45
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
James Amico
Vice President, Pricing Analytics james_amico@freddiemac.com (571) 382-3095
Rushi Patel
Director, Pricing Analytics rushi_patel@freddiemac.com (571) 382-4524
Freddie Mac | 2019
Appendix
46
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.