Freddie Mac · OTC:FMCC

Freddie Mac — Debt Investor Presentation (February 2019)

37 slides from Freddie Mac's debt investor presentation, February 2019

  1. Slide 1: Seasoned Loans Structured Transaction Trust, Series 2019-1

    Seasoned Loans Structured Transaction Trust, Series 2019-1 (“SLST” 2019-1) February 2019 Information contained in this presentation is current as of February 2019. For further information on this transaction see the SLST 19-1 Offering Circular on freddiemac.com C O N F I D E N T I AL © Freddie Mac 0

  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. Historical Cohort Performance 5. Historical Deal Performance 6. Servicing Requirements and Oversight 7. Data Stratifications 8. SLST Transaction Comparison 9. Freddie Mac Key Contacts C O N F I D E N T I AL © Freddie Ma

  4. Slide 4: 1. Program Summary

    1. Program Summary C O N F I D E N T I AL © Freddie Mac 3

  5. Slide 5: Program Summary

    Program Summary  Freddie Mac’s $1.3 billion SLST 2019-1 is the company’s sixth transaction backed by re-performing and moderately delinquent single- family mortgage loans (“RPLs”) and third on the SLST shelf. » Freddie Mac will auction the right to purchase the Subordinate Certificates that will be

  6. Slide 6: SLST Subordinate Certificates Auction

    SLST Subordinate Certificates Auction  Each Bidder will be required to submit a loan-level price related to each Mortgage Loan in the Mortgage Pool in the form of a percentage of the Unpaid Principal Balance of each Mortgage Loan.  The loan-level prices provided will be used to calculate certain c

  7. Slide 7: Retained Portfolio and Less Liquid Assets

    Retained Portfolio and Less Liquid Assets  At December 31, 2018, Freddie Mac’s total retained portfolio balance was $218.1 billion, a large share of which is comprised of Less Liquid Assets(1)  A significant portion of Less Liquid Assets are single-family residential mortgage loans, which are the

  8. Slide 8: Freddie Mac Seasoned and Legacy Loan Activity

    Freddie Mac Seasoned and Legacy Loan Activity Approximately $55 Billion from 2011 through December 2018 PCs - Fully Guaranteed Securitizations SCRT - RPL Senior/Sub R, M and H Pools Guaranteed Seniors / Non-guaranteed Subs $28.7 billion settled since 2011 $15.8 billion settled since Q4 2016 Primaril

  9. Slide 9: 2. Transaction Timeline

    2. Transaction Timeline C O N F I D E N T I AL © Freddie Mac 8

  10. Slide 10: Transaction Timeline

    Transaction Timeline February 2019 March 2019 April 2019 May 2019 S M T W T F S S M T W T F S S M T W T F S S M T W T F S 1 2 1 2 1 2 3 4 5 6 1 2 3 4 3 4 5 6 7 8 9 3 4 5 6 7 8 9 7 8 9 10 11 12 13 5 6 7 8 9 10 11 10 11 12 13 14 15 16 10 11 12 13 14 15 16 14 15 16 17 18 19 20 12 13 14 15 16 17 18 17 1

  11. Slide 11: 3. Collateral and Structure

    3. Collateral and Structure C O N F I D E N T I AL © Freddie Mac 10

  12. Slide 12: Collateral Characteristics Comparison

    Collateral Characteristics Comparison Description TPMT 2017-FRE1(5) TPMT 2017-FRE2(5) SLST 2018-1(5) SLST 2018-2(5) SLST 2019-1 (SLST 2017-1) (SLST 2017-2) As of Date June 30, 2017 October 31, 2017 May 31, 2018 October 31, 2018 January 31, 2019 Loan Count 1,223 3,431 2,544 7,921 8,069 Total UPB (inc

  13. Slide 13: Indicative SLST 2019-1 Transaction Structure

    Indicative SLST 2019-1 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(1) transferred (“Guaranteed Certificates”)* Securitization Trust Mortgage Loans C

  14. Slide 14: Indicative SLST 2019-1 Structure Information

    Indicative SLST 2019-1 Structure Information Indicative Structure Overview(1) Mandatory Initial Class Initial Credit Initial Guarantor Class Principal % UPB Enhancement Coupon Class Type Repurchase Class Type Amount % % Date/Stated Final Distribution Date A-1(4) $734,728,882 56.44% 24.75% 3.50% Fixe

  15. Slide 15: 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, then the trigger is breached Percentage Trigger Minimum Credit Prior to pa

  16. Slide 16: 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 Amo

  17. Slide 17: SLST Program Support

    SLST Program Support  Models Bloomberg: » Password: “SSAP <go>” then enter “SLST19-1” in box and press <go> » Natively supports pricing speed: 100 PPS “SLST 2019-1 M1 YT NEW 100 PPS <go>” » Model projections: BTM calls a version of the Bloomberg Transition Model fit to similar collateral “SLST 2019

  18. Slide 18: 4. Historical Cohort Performance

    4. Historical Cohort Performance C O N F I D E N T I AL © Freddie Mac 17

  19. Slide 19: Cohort Stratifications

    Cohort Stratifications Fixed-Rate Modified Loans(1) Step-Rate Modified Loans(1) Description Aggregate Loans Forbearance No-Forbearance Forbearance No-Forbearance % Modified 100% 100% 100% 100% 100% Loan Count 8,643 48,077 5,123 15,499 77,342 Total UPB (including forborne UPB) in millions 1,707 8,127

  20. Slide 20: Cohort Historical Performance by Rate Type and Forbearance

    Cohort Historical Performance by Rate Type and Forbearance Effective Rate All Loans - Payoff Rate 6 10 9 5 8 4 7 Rate % Rate % 6 3 5 4 2 3 2 1 1 0 0 ® PMMS Fixed-FB Fixed-NoFB Step-FB Step-NoFB All Loans Fixed-Rate Mods - Payoff Rate Step-Rate Mods - Payoff Rate 10 11 9 10 8 9 7 8 7 Rate % 6 Rate %

  21. Slide 21: Cohort Historical Performance by Rate Type and Forbearance

    Cohort Historical Performance by Rate Type and Forbearance Fixed-Rate Mods Step-Rate Mods On Going D30+ & D90+ Rate On Going D30+ & D90+ Rate 50 50 40 40 Rate % Rate % 30 30 20 20 10 10 0 0 Fixed-FB D30+ Rate Fixed-FB D90+ Rate Step-FB D30+ Rate Step-FB D90+ Rate Fixed-NoFB D30+ Rate Fixed-NoFB D90+

  22. Slide 22: Cohort Historical Performance by Rate Type and Liquidation Rates

    Cohort Historical Performance by Rate Type and Liquidation Rates Fixed-Rate Mods - Liquidation Rate(1) Step-Rate Mods - Liquidation Rate(1) 5 5 4 4 Rate % Rate % 3 3 2 2 1 1 0 0 Fixed-FB Fixed-NoFB Step-FB Step-NoFB Loss Severity(2) Portfolio Cashflowing Rate assuming 50% initial DQ(3) 40 100 30 95

  23. Slide 23: 5. Historical Deal Performance

    5. Historical Deal Performance C O N F I D E N T I AL © Freddie Mac 22

  24. Slide 24: SLST Historical Credit Performance

    SLST Historical Credit Performance Current by Deal Age 100% 90% 80% 70% 60% 50% 40% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 TPMT 2017-FRE1 TPMT 2017-FRE2 SLST 2018-1 SLST 2018-2 90+ Days DQ by Deal Age(1) 40% 30% 20% 10% 0% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 TPMT 2017-FRE1 TPMT 2017-F

  25. Slide 25: SLST Historical Speed

    SLST Historical Speed 1-Month CPR By Months Since Issuance(1) 7.0% 6.0% 5.0% CPR % 4.0% 3.0% 2.0% 1.0% 0.0% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 TPMT 2017-FRE1 TPMT 2017-FRE2 SLST 2018-1 SLST 2018-2 1-Month CDR By Months Since Issuance(1) 1.0% 0.8% 0.6% CDR % 0.4% 0.2% 0.0% 1 2 3 4 5 6 7 8 9

  26. Slide 26: SLST Historical Cashflow: 90% of Scheduled Payments Made

    SLST Historical Cashflow: 90% of Scheduled Payments Made % Scheduled Payments Made % Scheduled Payments Made By Calendar Month(1)(2) By Months Since Issuance(1)(2) 110% 110% 105% 105% 100% 100% 95% 95% 90% 90% 85% 85% 80% 80% 75% 75% 70% 70% 65% 65% 60% 60% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17

  27. Slide 27: 6. Servicing and Oversight

    6. Servicing and Oversight C O N F I D E N T I AL © Freddie Mac 26

  28. Slide 28: Servicing and Collateral Oversight

    Servicing and Collateral Oversight The Collateral Administrator and Guarantor each have responsibilities for management of the collateral and servicing. COLLATERAL ADMINISTRATOR  General oversight of the Securitization Servicer  Subject to the terms of the Pooling and Servicing Agreement, consent,

  29. Slide 29: Servicing Loss Mitigation Framework

    Servicing Loss Mitigation Framework Modification and Loss Mitigation Third Party Servicer Eligibility  Servicer can’t acquire lender placed insurance from affiliate  To be eligible, borrower (1) must be 60+ days delinquent or (2)  If Servicer obtains property valuation, preservation or dispositio

  30. Slide 30: 7. Data Stratifications

    7. Data Stratifications C O N F I D E N T I AL © Freddie Mac 29

  31. Slide 31: SLST 2019-1 Stratifications

    SLST 2019-1 Stratifications 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 (%) Fixed-Rate 6,485 1,022,616,

  32. Slide 32: SLST 2019-1 Stratifications (continued)

    SLST 2019-1 Stratifications (continued) AVM Current Loan-to-Value (%) Remaining Term (months) Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($) Principal Balance (%) Mortgage Loans Principal Balance ($) Principal Balance (%)

  33. Slide 33: SLST 2019-1 Stratifications (continued)

    SLST 2019-1 Stratifications (continued) 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 Loans Principal

  34. Slide 34: 8. SLST Transaction Comparison

    8. SLST Transaction Comparison C O N F I D E N T I AL © Freddie Mac 33

  35. Slide 35: SLST Transaction Comparison

    SLST Transaction Comparison CIM 2016-FRE1 TPMT 2017-FRE1 TPMT 2017-FRE2 SLST 2019-1 SLST 2018-1 SLST 2018-2 Terms/Structural (SLST 2016-1) (SLST 2017-1) (SLST 2017-2) (as of January 2019) June 2018 November 2018 Features October 2016 July 2017 November 2017 Closing May 2019 $482 million $1,317 milli

  36. Slide 36: 9. Freddie Mac Key Contacts

    9. Freddie Mac Key Contacts C O N F I D E N T I AL © Freddie Mac 35

  37. Slide 37: 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 Ravi Shankar Senior Vice President [email protected] 703-903-2877 Deputy Head of Investments and Capit

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