Freddie Mac · OTC:FMCC
Freddie Mac — Investor Presentation (July 2023)
78 slides from Freddie Mac's investor presentation, July 2023
Slide 1: Seasoned Credit Risk Transfer Trust, Series 2023-1 Investor Presentation
Seasoned Credit Risk Transfer Trust, Series 2023-1 Investor Presentation July 2023 Information contained in this presentation is current as of July 2023. For further information on this transaction see the SCRT 2023-1 Offering Circular on FreddieMac.com Prepared by Investments and Capital CONFIDENTI
Slide 2: Disclaimer
Disclaimer Notice to all Investors: This presentation (the “Presentation”) is not an offer to sell any Freddie Mac securities. Offers for any given security are made only through applicable offering circulars, private placement memoranda and related supplements, which incorporate Freddie Mac’s Annua
Slide 3: Disclaimer
Disclaimer Notice to all Investors: The investment described in this Presentation is a complex financial product. These Certificates are complex instruments intended for sale only to sophisticated investors who understand and assume the risks involved with the purchase thereof. The risks associated
Slide 4: Table of Contents
Table of Contents 1. Program Summary 7. Historical Cohort Performance 2. Expected Transaction Timeline 8. Freddie Mac Seller/Servicer Guide Modifications 3. Collateral Comparison and Structure 9. Collateral History by Group 4. Historical Deal Performance 10. Data Stratifications 5. Servicing, Credit
Slide 5: Program Summary
Program Summary Prepared by Investments and Capital CONFIDENTIAL SCRT 2023-1 © Freddie Mac Markets
Slide 6: Program Summary
Program Summary • The $471 mm SCRT 2023-1 securitization is our 22nd SCRT securitization and is backed by seasoned, re-performing single- family mortgage loans (“RPLs”). Since 2016, we’ve issued approximately $30.8 bn of guaranteed and approximately $3.6 bn of non-guaranteed SCRT certificates • The
Slide 7: What's New
What’s New New Payment Deferral • Revised FHFA RPL guidelines require borrowers first be evaluated for a Payment Deferral of principal and interest before being evaluated for a Modification. o A “Payment Deferral” is a loss mitigation option which defers delinquent principal and interest into a non-
Slide 8: Retained Portfolio and Less Liquid Assets
Retained Portfolio and Less Liquid Assets • As of March 31, 2023, Freddie Mac’s total retained portfolio balance was $110.6 billion, which is comprised in part of Less Liquid Assets(1) • A significant portion of Less Liquid Assets are single-family residential mortgage loans, which are the focus of
Slide 9: Freddie Mac Seasoned and Legacy Loan Activity
Freddie Mac Seasoned and Legacy Loan Activity Approximately $87 Billion from 2011 through June 2023 SCRT - RPL Senior/Sub MBS - Fully Guaranteed Securitizations Guaranteed Seniors / Non-guaranteed Subs Re-Performing and Modified Pools $34.4 billion settled since Q4 2016 $30.4 billion settled since 2
Slide 10: Expected Transaction Timeline
Expected Transaction Timeline Prepared by Investments and Capital CONFIDENTIAL SCRT 2023-1 © Freddie Mac Markets
Slide 11: Key Dates
Key Dates July 2023 August 2023 S M T W T F S S M T W T F S • July 24th: Investor Tape Available 2 3 4 5 6 7 8 1 2 3 4 5 • July 24th: Begin Investor Meetings/Calls 9 10 11 12 13 14 15 6 7 8 9 10 11 12 • July 27th: Begin Pre-marketing 16 17 18 19 20 21 22 13 14 15 16 17 18 19 23 24 25 26 27 28 29 20
Slide 12: Collateral Comparison and Structure
Collateral Comparison and Structure Prepared by Investments and Capital CONFIDENTIAL SCRT 2023-1 © Freddie Mac Markets
Slide 13: SCRT 2023-1 Overview
SCRT 2023-1 Overview • The assets of the Trust are seasoned, re-performing, first lien, adjustable, fixed and step-rate mortgage loans, including both modified and non-modified mortgage loans. The structure consists of three groups of senior certificates, each backed primarily by one of the three lo
Slide 14: Collateral Characteristics - SCRT 2023-1
Collateral Characteristics - SCRT 2023-1 SCRT 2023-1 by Group (as of SCRT 2023-1 by Clean Pay (as of 6/30/2023) 6/30/2023) SCRT 2023-1 SCRT 2022-2 Group M Group T 1 to 5 Aggregate (as of Aggregate (as Group M55 6 to 11 12 to 23 24 to 35 36+ (Fixed and (ARM and 30 Days Month 6/30/2023) of 7/31/2022)
Slide 15: Indicative SCRT 2023-1 Structure
Indicative SCRT 2023-1 Structure Freddie Mac provides certain representations and warranties on the Mortgage Loans Class Class M55A, Class Trust issues MA, MV M55B, M5AI TA, TB, TA-IO classes of MZ, MA-IO and M5BI Securitization and TB-IO and MB-IO Certificates* Guaranteed Certificates* Mortgage Tru
Slide 16: SCRT 2023-1 Capital Structure
SCRT 2023-1 Capital Structure Transaction Structure Maximum Initial Class Approximate Stated Final Principal Loan Principal or Initial Credit WAL Expected Ratings Class Initial Class Distribution Window Group Initial Class Enhancement (years)(2) DBRS Coupon(1) Date (months)(2) Notional Amount M MT(3
Slide 17: Guaranteed Senior Certificates
Guaranteed Senior Certificates Maximum Initial Class Principal Loan Principal or Approximate Initial Initial Credit WAL Stated Final Class Window Class Type Group Initial Class Notional Class Coupon Enhancement (years)(1) Distribution Date (months)(1) Amount M MT / MTU $359,301,000 3.000% / 3.250% 5
Slide 18: SCRT 2023-1 Guaranteed Certificates
SCRT 2023-1 Guaranteed Certificates Group M Certificates Group M IO Certificates MT MTU MT-IO 3.000% 3.250% 3.000% Pass-Through Pass-Through IO (1) MA-IO 3.000% IO (1) (1) MA MB MAU MBU MB-IO 3.000% 3.000% 3.250% 3.250% 3.000% Front-Pay Back-Pay Front-Pay Back-Pay IO (1)(2) (1) MV MZ 3.000% 3.000% A
Slide 19: SCRT 2023-1 Guaranteed Certificates
SCRT 2023-1 Guaranteed Certificates Group M55 Certificates Group M55 IO Certificates M55T M5TU M5TW M5TI 3.500% 4.000% 4.500% 6.000% Pass-Through Pass-Through Pass-Through IO (1) M5AI 6.000% IO (1) (1) (1) M55A M55B M5AW M5BW M5BI 3.500% 3.500% 4.500% 4.500% 6.000% Front-Pay Back-Pay Front-Pay Back-
Slide 20: SCRT 2023-1 Guaranteed Certificates
SCRT 2023-1 Guaranteed Certificates Group T Certificates Group T IO Certificates TT TTU TTW TT-IO 3.500% 4.000% 4.250% 5.000% Pass-Through Pass-Through Pass-Through IO (1) TA-IO 5.000% IO (1) (1) (1) TA TB TAW TBW TB-IO 3.500% 3.500% 4.250% 4.250% 5.000% Front-Pay Back-Pay Front-Pay Back-Pay IO TAU
Slide 21: SCRT 2023-1 Non-Guaranteed Certificates
SCRT 2023-1 Non-Guaranteed Certificates BXS Certificates (1) (1) (1) B-IO B A-IO (2) (2) 1.711% 0.000% 0.174% PO BBIO (2) 2.780% (1) BX XS-IO 7.347% (2) 0.050%(2) Excess Servicing (3) BXS 8.736%(2) (1) Exchangeable Certificates (2) Approximate class coupon for first distribution date (3) Only Class
Slide 22: SCRT Deal Triggers and Initial Credit Enhancement
SCRT Deal Triggers and Initial Credit Enhancement Item Description 2020-1 2020-2 2020-3 2021-1 2021-2 2021-3 2022-1 2022-2 2023-1 Initial Credit Initial Subordination Percentage 9.50% 13.00% 10.00% 6.90% 6.50% 7.50% 8.25% 8.30% 5.85% Enhancement Class M Subordination percentage 6.35% 7.65% 6.75% 3.9
Slide 23: Historical Collateral Characteristics
Historical Collateral Characteristics SCRT Pool Comparison 2020-2 2020-3 2021-1 2021-2 2021-3 2022-1 2022-2 2023-1 As of Date 5/31/2020 9/30/2020 2/28/2021 4/30/2021 8/31/2021 2/28/2022 7/31/2022 6/30/2023 % Modified and/or PDP(1) 97% 91% 51% 60% 86% 90% 94% 93% % Freddie Mac PDP only(1) 1% 2% 1% 13
Slide 24: SCRT 2023-1 Voluntary Prepayment Rate (VPR) Performance by Group
SCRT 2023-1 Voluntary Prepayment Rate (“VPR”) Performance by Group Group M Group M55 10 20 15 Rate % Rate % 5 10 5 0 0 Group T 20 Yield Book Model Bloomberg Model 15 SCRT Pricing Speed Rate % 10 Pricing Assumptions CPR CDR Severity Ramp from 5% to 8% Group M Ramp from 0% to CPR over 24 months 5 1% o
Slide 25: Historical Deal Performance
Historical Deal Performance Prepared by Investments and Capital CONFIDENTIAL SCRT 2023-1 © Freddie Mac Markets
Slide 26: SCRT Historical Performance by Group
SCRT Historical Performance by Group 1 Month VPR(¹) 30 25 20 Rate % 15 10 5 0 Group H > SCRT 2017-3 Group M > SCRT 2017-3 Group M55 Group T Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21 Jun-21 Jul- 21 Aug-21 Sept-21 Oct-21 Nov-21 Dec-21 Jan-22 Feb-22 Mar-22 Apr-22 May-22 Jun-22 Jul-22 Aug-22 Sept-22 Oct
Slide 27: SCRT Historical Performance
SCRT Historical Performance Historical DQ60+ by First Remittance(¹) 16.00 14.00 12.00 10.00 8.00 Rate % 6.00 4.00 2.00 0.00 SCRT 2016-1 SCRT 2017-1 - SCRT 2017-3 SCRT 2017-4 SCRT 2018-1 - SCRT 2018-4 SCRT 2019-1 - SCRT 2019-4 SCRT 2020-1 SCRT 2020-2 SCRT 2020-3 SCRT 2021-1 SCRT 2021-2 SCRT 2021-3 SC
Slide 28: SCRT Forbearance Recovery
SCRT Forbearance Recovery(1) SCRT Issuance a Total UPB 34,431,836,774 All SCRT SCRT Liquidated Loans b Forborne UPB 4,201,879,172 Issued (LTV6 =106) c % UPB Forborne 12% (LTV6 =71) Prepaid in Full (Loans with Forbearance Only) d Forbearance UPB(2) 1,007,026,005 e Forbearance Collected 1,007,017,687
Slide 29: Servicing, Credit and Program Support
Servicing, Credit and Program Support Prepared by Investments and Capital CONFIDENTIAL SCRT 2023-1 © Freddie Mac Markets
Slide 30: Post-Securitization Servicing Requirements
Post-Securitization Servicing Requirements Modification and Loss MItigation Eligibility • Borrower must be 60+ days delinquent or in imminent default as determined by the Servicer Limits • Servicer must evaluate eligible borrower first for a Payment Deferral, and then a Modification, subject to the
Slide 31: Post-Securitization Servicing Requirements (continued)
Post-Securitization Servicing Requirements (continued) Third Party Servicer • The Servicer can’t acquire lender placed insurance from any affiliate • If the Servicer obtains property valuation, preservation, or disposition services from an affiliate, the Servicer may not receive incentive based comp
Slide 32: SCRT Credit Features
SCRT Credit Features Credit Rating Actions Rating Initial or Effective Transaction Class New Rating As Guarantor we may: Agency Prior Rating Date M-2 Moody's Ba3 (sf) Ba1 (sf) 3/9/2022 2016-1 • Oversee and audit the servicing of the Mortgage Loans M-2 M-1 DBRS Moody’s B high (sf) Baa3 (sf) BB (sf) B
Slide 33: SCRT Program Support
SCRT Program Support Financing for Guaranteed Classes • Freddie Mac can offer repo financing for SCRT Guaranteed Certificates (other than IOs) to approved counterparties • SCRT Guaranteed Certificates are (i) eligible for financing under the BNY Mellon MBS Tri-party Repo, and (ii) acceptable collate
Slide 34: SCRT Transactions Recap
SCRT Transactions Recap Prepared by Investments and Capital CONFIDENTIAL SCRT 2023-1 © Freddie Mac Markets
Slide 35: SCRT Transaction Issuance History
SCRT Transaction Issuance History SCRT 2022-2 Syndicated Classes (Pricing Date: 9/8/2022) Maximum Initial Printed % of Approximate Initial Credit WAL(1) Ratings Class Class Printed Maximum Initial Class Initial Class Spread or Proceeds(2) Yield (2) Price (2) Enhancement (years) DBRS Principal Amount
Slide 36: SCRT Credit Tranches at Pricing
SCRT Credit Tranches at Pricing Mezz Loss First Loss Collateral Cumulative Net Loss Rate (CNLR) Per Deal Cumulative Per Deal Cumulative $ MV Deal Spread $ PX Unique Tranche Format $ PX* Yield % Unique 100 PPS BTM(1) YB(2) Investors New (mm) Investors New Investors Investors 18-4 260 91.6 4 2 28 BXS
Slide 37: SCRT Investor Types
SCRT Investor Types(1) Guaranteed Certificates Non-Guaranteed Certificates Dealer, 0.5% Dealer, 16.8% Private Equity, Bank/Credit 20.3% REIT, 2.6% Union, 24.6% Money Insurance Manager, 38.4% Company, 7.2% Hedge Fund, 24.3% Money Manager, 48.7% REIT, 14.2% Insurance Company, 2.3% (1) As determined by
Slide 38: SCRT Investor Participation
SCRT Investor Participation SCRT Program Participation - Guaranteed Certificates 76 79 83 84 88 89 89 80 72 73 70 65 66 59 60 51 50 43 40 36 28 31 30 20 30 28 32 28 28 30 26 10 20 24 18 24 24 20 19 13 14 12 0 17-4 18-1 18-2 18-3 18-4 19-1 19-2 19-3 19-4 20-1 20-2 20-3 21-1 21-2 21-3 22-1 22-2 Deal P
Slide 39: Historical Cohort Performance
Historical Cohort Performance Prepared by Investments and Capital CONFIDENTIAL SCRT 2023-1 © Freddie Mac Markets
Slide 40: Cohort Historical Payoff Rate by Loan Type
Cohort Historical Payoff Rate by Loan Type(1)(2) Mods vs NonMods: Effective WAC(4)(5) Mods vs NonMods: Payoff Rate 8.0 35 30 7.0 25 6.0 20 5.0 15 4.0 10 3.0 5 0 2.0 Mod: FB or Low-Mid Rate Mod: High Rate NoFB Mod: FB or Low-Mid Rate Mod: High Rate NoFB NonMod-Fixed NonMod-Fixed PMMS Mods: Forborne U
Slide 41: Cohort Historical Delinquency and Payoff Rate by Pay Status
Cohort Historical Delinquency and Payoff Rate by Pay Status(1)(2) Mods: On-going D90+ Rate NonMod-Fixed: Payoff Rate 25 45 40 20 35 30 15 25 10 20 15 5 10 5 0 0 Mod: C6+ Mod: C1-5 Mod: D30 NonMod-Fixed: C6+ NonMod-Fixed: C1-5 NonMod-Fixed: D30 Mods: Payoff Rate NonMod-Fixed: On-going D90+ Rate 20 25
Slide 42: Cohort Historical Modifications by Pay Status
Cohort Historical Modifications by Pay Status(1)(2) Mods: Rate of Subsequent Modifications NonMod-Fixed: Rate of Subsequent (PDP Only) Modifications (PDP Only) 20 20 15 15 10 10 5 5 0 0 NonMod-Fixed: C6+ NonMod-Fixed: C1-5 Mod: C6+ Mod: C1-5 Mod: D30 NonMod-Fixed: D30 Mods: Rate of Subsequent Modifi
Slide 43: Cohort Historical Collateral Characteristics by Clean Pay History
Cohort Historical Collateral Characteristics by Clean Pay History Modified Loan Cohorts(1) Non-Modified Fixed Cohorts(1) Current for 6+ Current for 1-5 30 Days Current for 6+ Current for 1-5 30 Days Months Months Delinquent Months Months Delinquent As of Date 9/30/2020 9/30/2020 9/30/2020 9/30/2020
Slide 44: Cohort Historical Collateral Characteristics by Group, Rate, and Forborne UPB
Cohort Historical Collateral Characteristics by Group, Rate, and Forborne UPB Modified Loan Cohorts(1) Forbearance and Non-Modified Fixed Low to Mid Rates & High Rates & without Low to Mid Rates Cohort(1) With Forborne UPB without Forborne Forborne UPB without Forborne UPB UPB As of Date 9/30/2020 9
Slide 45: Freddie Mac Seller/Servicer Guide Modifications
Freddie Mac Seller/Servicer Guide Modifications Prepared by Investments and Capital CONFIDENTIAL SCRT 2023-1 © Freddie Mac Markets
Slide 46: Modification Overviews
Modification Overviews Home Affordable Modification Program - Retired Home Affordable Modification Program (“HAMP”), designed to help financially struggling homeowners, was announced on March 4, 2009. HAMP was effective for mortgages originated on or prior to January 1, 2009. The deadline for borrow
Slide 47: Modification Overviews (cont.)
Modification Overviews (cont.) Standard and Streamlined - Retired • Standard and Streamlined Modifications, designed to help financially struggling homeowners, were announced on September 12, 2011, and March 27, 2013, respectively. While trial plans and official modifications continued into 2018, th
Slide 48: Flex Modification
Flex Modification • Beginning in October 2017, Flex Modification replaced Standard and Streamlined Modification • Effective August 31, 2021, Freddie Mac announced temporary changes to the Flex Modification to further assist Borrowers negatively impacted by the COVID-19 pandemic. The Flex Modificatio
Slide 49: Flex Modification (cont.)
Flex Modification (cont.) Step 4: For standard Flex and COVID Flex with MTMLTV > 100%, forbear principal until MTMLTV ratio is 100%, subject to forbearance Step 5: For Standard Flex MTMLTV <80% • For step rate loans and ARMs only, reset interest rate to lower of (1) current FM Flex Mod rate, and (2)
Slide 50: Payment Deferral Program (PDP) Overview
Payment Deferral Program (“PDP”) Overview Freddie Mac’s payment deferral programs (e.g., a Deferred Payment Modification or a Payment Deferral solution) include loss mitigation solutions for borrowers who become delinquent due to a short term hardship, including a COVID-19 related hardship or a hard
Slide 51: Collateral History by Group
Collateral History by Group Prepared by Investments and Capital CONFIDENTIAL SCRT 2023-1 © Freddie Mac Markets
Slide 52: Collateral Characteristics Comparison - Group M
Collateral Characteristics Comparison - Group M SCRT Group M Description 2020-2 2020-3 2021-1 2021-2 2021-3 2022-1 2022-2 2023-1 As of Date 5/31/2020 9/30/2020 2/28/2021 4/30/2021 8/31/2021 2/28/2022 7/31/2022 6/30/2023 % Modified and/or PDP(1) 99% 100% 100% 100% 100% 100% 100% 100% % Freddie Mac PD
Slide 53: Collateral Characteristics Comparison - Group M55
Collateral Characteristics Comparison - Group M55 SPSS SCRT Group M55 2020-2 2020-3 2021-1 2021-2 2021-3 2022-1 2022-2 2023-1 As of Date 5/31/2020 9/30/2020 2/28/2021 4/30/2021 8/31/2021 2/28/2022 7/31/2022 6/30/2023 % Modified and/or PDP(1) 83% 100% 100% 100% 100% 100% 100% 100% % Freddie Mac PDP o
Slide 54: Collateral Characteristics Comparison - Group T
Collateral Characteristics Comparison - Group T SPSS SCRT Group T 2020-3 2021-1 2021-2 2021-3 2022-1 2022-2 2023-1 As of Date 9/30/2020 2/28/2021 4/30/2021 8/31/2021 2/28/2022 7/31/2022 6/30/2023 % Modified and/or PDP(1) 22% 3% 24% 15% 45% 45% 33% % Freddie Mac PDP only(1) 22% 3% 24% 15% 45% 45% 33%
Slide 55: Data Stratifications
Data Stratifications Prepared by Investments and Capital CONFIDENTIAL SCRT 2023-1 © Freddie Mac Markets
Slide 56: Data Stratifications (as of June 30, 2023)
Data Stratifications (as of June 30, 2023) Aggregate Product Type(1) Current Mortgage Rate (%) Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortgage Loans Balance ($) Balance (%) Balance ($) Balance (%)
Slide 57: Data Stratifications (as of June 30, 2023)
Data Stratifications (as of June 30, 2023) Aggregate Loan Age from Modification or PDP (months)(1) Current Credit Score Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) Loan
Slide 58: Data Stratifications (as of June 30, 2023)
Data Stratifications (as of June 30, 2023) Aggregate Remaining Term (months) Loan Purpose at Origination Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Loans Balance ($) Balance (%) Balance ($) B
Slide 59: Data Stratifications (as of June 30, 2023)
Data Stratifications (as of June 30, 2023) Aggregate Number of Remaining Steps Clean Pay History (months) Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) Loans Balance ($)
Slide 60: Data Stratifications - Group M
Data Stratifications (as of June 30, 2023) Group M Product Type(1) Current Mortgage Rate (%) Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortgage Loans Balance ($) Balance (%) Balance ($) Balance (%) F
Slide 61: Data Stratifications - Group M
Data Stratifications (as of June 30, 2023) Group M Loan Age from Modification or PDP (months)(1) Current Credit Score Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Loans Balance ($) Balance (%)
Slide 62: Data Stratifications - Group M
Data Stratifications (as of June 30, 2023) Group M Remaining Term (months) Loan Purpose at Origination Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Loans Balance ($) Balance (%) Balance ($) Bal
Slide 63: Data Stratifications - Group M
Data Stratifications (as of June 30, 2023) Group M Number of Remaining Steps Clean Pay History (months) Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) Loans Balance ($) Ba
Slide 64: Data Stratifications - Group M55
Data Stratifications (as of June 30, 2023) Group M55 Product Type(1) Current Mortgage Rate ($) Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortgage Loans Balance ($) Balance (%) Balance ($) Balance (%)
Slide 65: Data Stratifications - Group M55
Data Stratifications (as of June 30, 2023) Group M55 Loan Age from Modification or PDP (months)(1) Current Credit Score Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Loans Balance ($) Balance (%
Slide 66: Data Stratifications - Group M55
Data Stratifications (as of June 30, 2023) Group M55 Remaining Term (months) Loan Purpose at Origination Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Loans Balance ($) Balance (%) Balance ($) B
Slide 67: Data Stratifications - Group M55
Data Stratifications (as of June 30, 2023) Group M55 Clean Pay History (months) Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) None 27 3,155,624 8.20 1 to 5 39 3,443,744 8.95 6 to 11 34 3,023,081 7.86 12 to 23 224 22,452,412 58.38 24 to 35 63 5
Slide 68: Data Stratifications - Group T
Data Stratifications (as of June 30, 2023) Group T Product Type(1) Current Mortgage Rate (%) Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortgage Loans Balance ($) Balance (%) Balance ($) Balance (%) F
Slide 69: Data Stratifications - Group T
Data Stratifications (as of June 30, 2023) Group T Loan Age from Modification or PDP (months)(1) Current Credit Score Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) Loans
Slide 70: Data Stratifications - Group T
Data Stratifications (as of June 30, 2023) Group T Geographic Concentration of the Mortgaged Properties (state) Judicial Foreclosure State Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortgage Loans Bal
Slide 71: Data Stratifications - Group T Fixed Rate
Data Stratifications (as of June 30, 2023) Group T- Fixed Rate Product Type(1) Current Mortgage Rate (%) Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortgage Loans Balance ($) Balance (%) Balance ($) B
Slide 72: Data Stratifications - Group T Fixed Rate
Data Stratifications (as of June 30, 2023) Group T- Fixed Rate Loan Age from Modification or PDP (months)(1) Current Credit Score Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balanc
Slide 73: Data Stratifications - Group T Fixed Rate
Data Stratifications (as of June 30, 2023) Group T- Fixed Rate Geographic Concentration of the Mortgaged Properties (state) Judicial Foreclosure State Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortga
Slide 74: Data Stratifications - Group T Adjustable Rate
Data Stratifications (as of June 30, 2023) Group T- Adjustable Rate Product Type(1) Current Mortgage Rate (%) Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortgage Loans Balance ($) Balance (%) Balance
Slide 75: Data Stratifications - Group T Adjustable Rate
Data Stratifications (as of June 30, 2023) Group T- Adjustable Rate Loan Age from Modification or PDP (months)(1) Current Credit Score Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) B
Slide 76: Data Stratifications - Group T Adjustable Rate
Data Stratifications (as of June 30, 2023) Group T- Adjustable Rate Geographic Concentration of Mortgaged Properties (State) Judicial Foreclosure State Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortg
Slide 77: Data Stratifications - Group T Adjustable Rate
Data Stratifications (as of June 30, 2023) Group T- Adjustable Rate Index Months to Next Rate Adjustment Date Number of Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Aggregate Unpaid Principal Aggregate Unpaid Principal Mortgage Loans Balance ($) Balance (%) Mortgage Loans Balance
Slide 78: Data Stratifications - Group T Adjustable Rate
Data Stratifications (as of June 30, 2023) Group T- Adjustable Rate Lifetime Minimum Rate Lifetime Maximum Rate Number of Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Balance ($) Balance (%) Mortgage Loans Principal Balance ($) Prin