Freddie Mac · OTC:FMCC

Freddie Mac — Debt Investor Presentation (October 2020)

44 slides from Freddie Mac's debt investor presentation, October 2020

  1. Slide 1: Seasoned Loans Structured Transaction Trust, Series 2020-3

    Seasoned Loans Structured Transaction Trust, Series 2020-3 (“SLST” 2020-3) October 2020 Information contained in this presentation is current as of October 2020. For further information on this transaction see the SLST 2020-3 Offering Circular on FreddieMac.com © Freddie Mac 1

  2. Slide 2: Disclaimer

    Disclaimer Notice to all Investors: The information contained in the attached materials has been prepared solely for informational purposes and is preliminary and subject to final structural, accounting, tax and legal review as well as final changes to the composition of the underlying mortgage loan

  3. Slide 3: Agenda

    Agenda 1. Program Summary 2. Transaction Timeline 3. Collateral and Structure 4. Key Transaction Features 5. Historical Deal Performance and Model Data 6. Historical Cohort Performance 7. Data Stratifications 8. SLST Transaction Comparison 9. Freddie Mac Key Contacts © Freddie Mac 3

  4. Slide 4: 1. Program Summary

    1. Program Summary © Freddie Mac 4

  5. Slide 5: Program Summary

    Program Summary ▪ Freddie Mac’s $681 million SLST 2020-3 securitization is the company’s eleventh transaction backed by re-performing and moderately delinquent single-family mortgage loans (“RPLs”). » Freddie Mac will auction the right to purchase the Subordinate Certificates that will be issued by

  6. Slide 6: Transaction Summary

    Transaction Summary ▪ SLST 2020-3 is the first transaction where Shellpoint is the Securitization Servicer ▪ SLST 2020-3 includes Mortgage Loans that were never modified (approximately 11.25% by Unpaid Principal Balance as of the Initial Disclosure Date) and Mortgage Loans that are adjustable-rate (

  7. Slide 7: Servicing Practices for COVID-19

    Servicing Practices for COVID-19 COVID Impacted Borrowers ▪ The Securitization Servicer will comply with the CARES Act by providing forbearance to customers who notify the Securitization Servicer and affirm that they are experiencing a COVID-19 related hardship. No documentation is required to quali

  8. Slide 8: Post Securitization Servicing Requirements

    Post Securitization Servicing Requirements Modification and Loss Mitigation Third Party Servicer Eligibility ▪ Securitization Servicer can’t acquire lender placed insurance from affiliate ▪ To be eligible, borrower must (1) be 60+ days delinquent or (2) have provided sufficient information on loss m

  9. Slide 9: Retained Portfolio and Less Liquid Assets

    Retained Portfolio and Less Liquid Assets ▪ As of June 30, 2020, Freddie Mac’s total retained portfolio balance was $194.1 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

  10. Slide 10: Freddie Mac Seasoned and Legacy Loan Activity

    Freddie Mac Seasoned and Legacy Loan Activity Approximately $75 Billion from 2011 through September 2020 MBS - Fully Guaranteed Securitizations SCRT - RPL Senior/Sub Re-Performing and Modified Pools Guaranteed Seniors / Non-guaranteed Subs $29.0 billion settled since 2011 $28.3 billion settled since

  11. Slide 11: 2. Transaction Timeline

    2. Transaction Timeline © Freddie Mac 11

  12. Slide 12: Transaction Timeline

    Transaction Timeline September 2020 October 2020 November 2020 S M T W T F S S M T W T F S S M T W T F S 1 2 3 1 2 3 4 5 6 7 1 2 3 4 5 4 5 6 7 8 9 10 8 9 10 11 12 13 14 6 7 8 9 10 11 12 11 12 13 14 15 16 17 15 16 17 18 19 20 21 13 14 15 16 17 18 19 18 19 20 21 22 23 24 22 23 24 25 26 27 28 20 21 22

  13. Slide 13: Subordinate Certificates Auction

    SLST Subordinate Certificates Auction (iii) Collateral Administrator (iv) Final (v) Senior (vi) (i) Offering (ii) Auction Formation & Terms(1) Population Syndication Settlement ▪ Each Bidder will be required to submit a price for the Class SUB Certificates (the “Subordinate Certificates Price”) in t

  14. Slide 14: 3. Collateral and Structure

    3. Collateral and Structure © Freddie Mac 14

  15. Slide 15: Collateral

    SLST Collateral SLST 2019-1 SLST 2019-2 SLST 2019-3 SLST 2020-1 SLST 2020-2 SLST 2020-2 at SLST 2020-3 Description at Settle at Settle at Settle at Settle at Settle Offering at Offering As of Date April 30, 2019 August 31, 2019 October 31, 2019 June 30, 2020 August 31, 2020 July 31, 2020 September 3

  16. Slide 16: Collateral Composition Pre-Issuance

    SLST Collateral Composition Pre-Issuance Some of the Mortgage Loans are on a Temporary Forbearance Plan (“TFP”). Mortgage Loans that were previously on a Temporary Forbearance Plan or were never on a Temporary Forbearance Plan are included in the pool. Freddie Mac dropped Mortgage Loans that became

  17. Slide 17: Indicative SLST 2020-3 Transaction Structure

    Indicative SLST 2020-3 Transaction Structure Freddie Mac provides certain representations and warranties on the Mortgage Loans Trust issues classes of Guaranteed Class A-1* Mortgage Certificates Class A-2* Loans Class AF transferred (“Guaranteed Certificates”) Securitization Trust Mortgage Loans Cla

  18. Slide 18: Indicative SLST 2020-3 Structure

    Indicative SLST 2020-3 Structure Indicative Structure Overview(1) Initial Approximate Principal Mandatory Guarantor Initial Class WAL Base Offered Credit Initial Class Window Repurchase Principal/Notional % UPB (years) Coupon Type Class Type Class Class Enhancement Coupon (2) (months) Date/Stated Fi

  19. Slide 19: 4. Key Transaction Features

    4. Key Transaction Features © Freddie Mac 19

  20. Slide 20: Performance Triggers and Structural Features

    Performance Triggers and Structural Features Terms/Structural Description Features Non-Current Mortgage Loan For any Distribution Date if the Non-Current Mortgage Loan Percentage exceeds 75% of the current Credit Enhancement, the trigger is breached Percentage Trigger The Subordinate Certificates wi

  21. Slide 21: Majority Representative and Retention Requirements

    Majority Representative and Retention Requirements ▪ The Retained Certificateholder will at all times be the “Majority Representative” unless: » the Retained Certificateholder sells more than 50% of the Class Principal Amount of any outstanding class of Retained Certificates; » the Class Principal A

  22. Slide 22: Servicing and Collateral Oversight

    Servicing and Collateral Oversight The Collateral Administrator, if any, and Guarantor each have responsibilities for management of the collateral and servicing. COLLATERAL ADMINISTRATOR ▪ General oversight of the Securitization Servicer ▪ Consent, withhold consent or waive the right to consent to t

  23. Slide 23: Modeling & Data Vendors

    SLST Modeling & Data Vendors ▪ Bloomberg » Password : “SSAP <go>” then enter “SLST20203” in box and press <go> » Natively supports pricing speed: 100 PPS “SLST 2020-3 M1 <Mtge> YT NEW 100 PPS <go>” » Model projections: BTM calls a version of the Bloomberg Transition Model fit to similar collateral “

  24. Slide 24: SLST Investor Types

    SLST Investor Types(1) Guaranteed Certificates Non-Guaranteed Certificates FHLB, 2.6% Other(2), 0.1% REIT, 1.8% Insurance Company, 9.0% Bank/Credit Union, 38.3% Private Equity, REIT, 47.1% 52.9% Money Manager, 48.2% (1) As determined by market value and reflected as of issuance for all SLST transact

  25. Slide 25: 5. Historical Deal Performance and Model Data

    5. Historical Deal Performance and Model Data © Freddie Mac 25

  26. Slide 26: 2020-3 Projected Model Speeds

    SLST 2020-3 Projected Model Speeds VPR(1) 14.0 12.0 10.0 Rate % 8.0 6.0 4.0 2.0 0.0 YieldBook Model Bloomberg Model SLST Pricing Speed CDR(1) 8.0 7.0 6.0 Rate % 5.0 4.0 3.0 2.0 1.0 0.0 YieldBook Model Bloomberg Model SLST Pricing Speed VPR CDR Severity Pricing Assumptions Ramp from 3% to 6% over 36

  27. Slide 27: Historical Cashflow

    SLST Historical Cashflow % Scheduled Payments Made By Calendar Month (1)(2) 110% 105% 100% 95% 90% 85% 80% 75% 70% 65% 60% Aug-2017 Sep-2017 Aug-2018 Sep-2018 Aug-2019 Sep-2019 Aug-2020 Oct-2017 Apr-2018 May-2018 Oct-2018 Apr-2019 May-2019 Oct-2019 Apr-2020 May-2020 Jul-2017 Jan-2018 Jun-2018 Jul-20

  28. Slide 28: Historical Delinquencies

    SLST Historical Delinquencies(1) % Current (By Months After Issuance) 75.0% 70.0% 65.0% 60.0% 55.0% 50.0% 45.0% 40.0% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 SLST 2018-1 SLST 2018-2 SLST 2019-1 SLST 2019-2 SLST 2019-3 SLST 2020-1 % Newly Modified (By Months After Issu

  29. Slide 29: Historical Delinquencies

    SLST Historical Delinquencies(1) % 30 and 60 Days Delinquent (By Months After Issuance) 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 SLST 2018-1 SLST 2018-2 SLST 2019-1 SLST 2019-2 SLST 2019-3 SLST 2020-1 % 90+ Days Delinquent (By M

  30. Slide 30: Historical Speeds

    SLST Historical Speeds 1-Month VPR By Months After Issuance(1) 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 SLST 2018-1 SLST 2018-2 SLST 2019-1 SLST 2019-2 SLST 2019-3 SLST 2020-1 SLST 2020-3 (Pricing Assum

  31. Slide 31: 6. Historical Cohort Performance

    6. Historical Cohort Performance © Freddie Mac 31

  32. Slide 32: Cohort Stratifications

    Cohort Stratifications(5) Description Modified(1) Non-Modified(1) Aggregate(1) Loan Count 48,795 18,494 67,289 % Modified 100% 0% 80% Total UPB (including forborne UPB) in millions $8,564 $2,130 $10,694 General Forborne UPB in millions $404 $0 $404 % UPB Forborne 4.7% 0.0% 3.8% % Loans with a Forbea

  33. Slide 33: Cohort Historical Performance by Rate Type

    Cohort Historical Performance by Rate Type Liquidation Rate(1) Payoff Rate 3.0 12 2.5 10 2.0 8 Rate % Rate % 1.5 6 1.0 4 0.5 2 0.0 0 Mod: C1-5,D30,D60 Non-Mod: C1-5,D30,D60 Mod: C1-5,D30,D60 Non-Mod: C1-5,D30,D60 Loss Severity(2) Portfolio Cashflowing Rate(3) 60 110 50 40 100 Rate % Rate % 30 90 20

  34. Slide 34: 7. Data Stratifications

    7. Data Stratifications © Freddie Mac 34

  35. Slide 35: 2020-3 Stratifications (as of September 30, 2020)

    SLST 2020-3 Stratifications (as of September 30, 2020) Product Type Current Mortgage Rate (%) Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($) Principal Balance (%) Mortgage Loans Principal Balance ($) Principal Balance (%)

  36. Slide 36: 2020-3 Stratifications (as of September 30, 2020)

    SLST 2020-3 Stratifications (as of September 30, 2020) AVM Current Loan-to-Value (%) Remaining Term to Maturity (months) Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($) Principal Balance (%) Mortgage Loans Principal Balance

  37. Slide 37: 2020-3 Stratifications (as of September 30, 2020)

    SLST 2020-3 Stratifications (as of September 30, 2020) Geographic Concentration of the Mortgaged Properties (State) Clean Pay History (months)* Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($) Principal Balance (%) Mortgage

  38. Slide 38: 2020-3 Stratifications (as of September 30, 2020)

    SLST 2020-3 Stratifications (as of September 30, 2020) Temporary Forbearance Plan Clean Pay History (months) of Mortgage Loans in a Temporary Forbearance Plan* Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($) Principal Balan

  39. Slide 39: 2020-3 Stratifications (as of September 30, 2020)

    SLST 2020-3 Stratifications (as of September 30, 2020) Index (Adjustable–Rate Mortgage Loans Only) Months to Next Rate Adjustment Date (Adjustable–Rate Mortgage Loans Only)(1) Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($)

  40. Slide 40: 2020-3 Stratifications (as of September 30, 2020)

    SLST 2020-3 Stratifications (as of September 30, 2020) Lifetime Minimum Rate (Adjustable–Rate Mortgage Loans Only) Lifetime Maximum Rate (Adjustable–Rate Mortgage Loans Only) Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($)

  41. Slide 41: 8. SLST Transaction Comparison

    8. SLST Transaction Comparison © Freddie Mac 41

  42. Slide 42: Transaction Comparison

    SLST Transaction Comparison Terms/Structural SLST 2018-1 SLST 2018-2 SLST 2019-1 SLST 2019-2 SLST 2019-3 SLST 2020-1 SLST 2020-2 SLST 2020-3 Features June 2018 November 2018 May 2019 September 2019 November 2019 July 2020 September 2020 November 2020 $482 million $1,317 million $1,217 million $1,220

  43. Slide 43: 9. Freddie Mac Key Contacts

    9. Freddie Mac Key Contacts © Freddie Mac 43

  44. Slide 44: Freddie Mac Key Contacts

    Freddie Mac Key Contacts Team Member Email Address Business Phone Mike Hutchins Executive Vice President [email protected] 571-382-3660 Head of Investments and Capital Markets John Glessner Senior Vice President [email protected] 571 382-5915 Asset & Liability Management & Trea

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