Freddie Mac · OTC:FMCC

Freddie Mac — Debt Investor Presentation (May 2016)

60 slides from Freddie Mac's debt investor presentation, May 2016

  1. Slide 1: STACR Debt Notes, 2016-DNA2 Roadshow

    Structured Agency Credit Risk (“STACR”) Debt Notes, 2016-DNA2 Roadshow Investor Presentation April/May 2016

  2. Slide 2: Disclaimer

    Disclaimer Notice to United States Investors: This document is not an offer to sell any Freddie Mac securities. Offers for any given security are made only through applicable offering circulars and any related supplements, which incorporate Freddie Mac's Annual Report on Form 10-K for the year ended

  3. Slide 3: Agenda

    Agenda 1. New STACR Disclosure Fields 4 2. FHFA Principal Reduction Modification Program 5 3. U.S. Residential Housing Market Overview 6 4. STACR – Performance 12 5. STACR 2016-DNA2: Program Overview and Structure 20 6. STACR 2016-DNA2: Reference Pool Overview 26 7. STACR 2016-DNA2: Key Terms 29 8.

  4. Slide 4: New STACR Disclosure Fields from March 2016

    New STACR Disclosure Fields from March 2016 The new disclosure fields included in this deal are consistent with the disclosure fields added to the March 2016 monthly reports.  Updated Credit Score – Quarterly  Estimated Loan to Value (ELTV) – Quarterly  Forecast Standard Deviation (FSD) in associ

  5. Slide 5: FHFA Principal Reduction Modification Program

    FHFA Principal Reduction Modification Program  On April 14, 2016 the FHFA announced a Principal Reduction Modification program for seriously delinquent, underwater borrowers whose loans are owned or guaranteed by Fannie Mae or Freddie Mac (the “Enterprises”)  Seriously delinquent, underwater borro

  6. Slide 6: US Residential Housing Market Size Overview

    US Residential Housing Market Size Overview  As of Q4 2015, total U.S. debt and mortgages stands at $9.99 trillion, while household equity is $13.19 trillion, bringing the total value of the housing market to $23.18 trillion. Agency MBS makes up 58.2% of the total mortgage market, private-label sec

  7. Slide 7: Securitization Volume and Composition

    Securitization Volume and Composition  Agency/Non-Agency Share of Residential MBS Issuance Sources: “Housing Finance At a Glance: A Monthly Chartbook,” Housing Finance Policy Center, March 2016 © Freddie Mac 2016 7

  8. Slide 8: Credit Availability for Purchase Loans

    Credit Availability for Purchase Loans  The mean and median FICO scores on new originations have both drifted up approximately 50 points over the last decade Note: Purchase-only Loans. Sources: “Housing Finance At a Glance: A Monthly Chartbook,” Housing Finance Policy Center, March 2016 © Freddie M

  9. Slide 9: Home Price Index

    Home Price Index  National Year-Over-Year HPI Growth 7.00% 6.60% 6.20% 5.80% 5.40% 5.00% 4.60% 20% 15% 10% 5% 0% -5% -10% -15% -20% 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 CoreLogic Year-over-year HPA Sources: CoreLogic. Data reflects February 2016 data relea

  10. Slide 10: Serious Delinquency Rates

    Serious Delinquency Rates  Serious Delinquency Rates: Single-Family Loans Note: Serious delinquency is defined as 90 days or more past due or in the foreclosure process. Sources: “Housing Finance At a Glance: A Monthly Chartbook”, Housing Finance Policy Center, March 2016; Fannie Mae, Freddie Mac,

  11. Slide 11: Credit Quality of Portfolio – Serious Delinquencies

    Credit Quality of Portfolio – Serious Delinquencies  Performance of 2009 and 2010 vintages is dramatically better despite falling house prices in their early years Ever D90 by Vintage Fundings from 2009 onwards and 2002, 2007 vintages 3.0% 2007 2.5% 2002 2.0% 1.5% 2009 1.0% 2010 0.5% 2011 2012 2014

  12. Slide 12: STACR Delinquency Performance

    STACR Delinquency Performance 90+ Days Delinquent (% by Balance) 13DN1 0.50% 13DN2 14DN1 0.40% 14DN2 14DN3 0.30% 14DN4 0.20% 15DN1 15DNA1 0.10% 15DNA2 15DNA3 0.00% 2002 (1) 0 3 6 9 12 15 18 21 24 27 30 33 36 2007 (1)(2) Months Since Issuance 90+ Days Delinquent (% by Balance) 0.10% 0.08% 0.06% 150 -

  13. Slide 13: STACR Historical Performance

    STACR Historical Performance Cumulative Net Losses (bps) 1.60 1.40 13 DN1 1.20 13 DN2 1.00 14 DN1 0.80 14 DN2 0.60 14 DN3 0.40 14 DN4 0.20 15 DN1 0.00 15 DNA1 15 DNA2 Months Since Issuance Voluntary Prepayment Rate (% by Balance) Interest Rate Distribution Across Balance and 45% 13 DN1 Prepayments 4

  14. Slide 14: Remittance Report Summary

    Remittance Report Summary Cur CE Cur CE Cum Loss Prepay 1mo Series Remit 30D (%) 60D (%) 90D (%) 120D (%) 180+D (%) Senior % Sub % Count Bal ($) (bps) Lockout CPR (%) Ja n-16 0.23 0.04 0.02 0.02 0.00 3.00 0.375M 1.41 96.98 3.02 No 8.40 13-DN1 Feb-16 0.24 0.04 0.02 0.01 0.00 6.00 1.373M 1.50 96.98 3.

  15. Slide 15: STACR DN Bond Ratings – History of Upgrades

    STACR DN Bond Ratings – History of Upgrades M1 Bond Fitch Moody’s Kroll DBRS Series Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating Original Rating Current Rating 13-DN2 BBB- sf BBB sf Baa1 (sf) A2 (sf) 14-DN1 A1 (sf) Aa3 (sf) A (sf) AA (sf) 14-DN2 A sf A

  16. Slide 16: STACR NAIC Designations

    STACR NAIC Designations NAIC1 NAIC 2 Total 2013 Series 100% 0% 100% M1 100% 0% 100% M2 100% 0% 100% 2014 Series 95% 5% 100% M1 100% 0% 100% M2 100% 0% 100% M3 86% 14% 100% 2015 Series 89% 11% 100% M1 100% 0% 100% M2 100% 0% 100% M3 67% 33% 100% Total 94% 6% 100% Source: NAIC as of December 31, 2015

  17. Slide 17: Oil Exposure Across STACR DN Deals

    Oil Exposure Across STACR DN Deals Oil Economy Concentration per Deal 90+ Days Delinquent (% by Balance) STACR Deal 1% - 3% 3% - 5% >= 5% Total >= 1% 0.090% 1% - 3% 2013-DN1 0.81% 0.29% 1.16% 2.26% 0.080% 3% - 5% 2013-DN2 0.79% 0.28% 1.19% 2.26% >= 5% 2014-DN1 0.91% 0.30% 1.41% 2.62% 0.070% Overall

  18. Slide 18: Historical Returns & Spreads Summary: CRT vs. Other Sectors

    Historical Returns & Spreads Summary: CRT vs. Other Sectors Historical Returns CRT IG HY HY Agency Legacy CMBS SFR S&P Securities Bonds Bonds Loans MBS RMBS BBB (BBB and below) 500 8.0% IG Non-IG/ Rated Unrated 6.0% 5.3% 4.0% 3.6% 4.0% 3.4% 2.5% 2.3% 2.3% 2.0% 1.9% 1.5% 1.6% 1.4% 2.0% 1.0% 0.0% -0.3

  19. Slide 19: STACR and CAS: Issuance and Estimated Trading Volume

    STACR and CAS: Issuance and Estimated Trading Volume Monthly Trading Volume ($ billion) 2016 2015 2014 2013 2015-4 2015-5 2015-6 2015-7 2015-8 2015-9 2015-10 2015-11 2015-12 2016-1 2016-2 2016-3 2016-4 Avg. Avg. Avg. Avg. STACR 1.5 1.0 1.3 1.3 1.1 0.9 0.9 1.1 0.9 1.2 1.5 1.9 1.6 1.6 1.1 0.6 0.3 CAS

  20. Slide 20: STACR Evolution

    STACR Evolution  Freddie Mac has issued 19 STACR transactions to date: Deal # Transaction Issuance Date Issuance Volume Key Highlights 1 STACR 2013-DN1 July 26, 2013 $500,000,000 ₋ Inaugural STACR Transaction 3 STACR 2014-DN1 February 12, 2014 $1,008,000,000 ₋ Introduced 3 ”M” Bond Structure 6 STAC

  21. Slide 21: 2016 STACR Issuance Calendar

    2016 STACR Issuance Calendar  Freddie Mac intends to issue six additional actual loss credit risk transfer transactions in 2016 in addition to STACR 2016-DNA1 that closed January 2016 and the STACR 2016-HQA1 that closed March 2016, summarized below: Deal Name Expected Issuance Window STACR 2016-DNA

  22. Slide 22: Deal Management

    Deal Management  Freddie Mac actively monitors STACR markets  Deal sizes are adjusted based on estimated investor demand Issuance Max Size Actual Size Actual Macro Economic STACR Deal Month-Year ($MM) ($MM) % of Max. Environment Concerns about slack in labor environment, 14DN1 February 2014 1,294

  23. Slide 23: STACR Overview

    STACR Overview  STACR is the leading product in the GSE Risk Transfer Market  The GSEs have issued a combined total of ~$29.8bn of credit risk transfer (“CRT”) securities to date  STACR Notes are unsecured general obligations of Freddie Mac, which are also subject to the credit risk of a certain

  24. Slide 24: STACR 2016-DNA2 Structure Illustration

    STACR 2016-DNA2 Structure Illustration Hypothetical Allocations of Principal Payments Specified Credit Events and Modification Events Class A-H (Reference Tranche Only) Reference Pool Offered at Closing STACR Issued Notes Retained Credit Risk Represents Class M-1 Class M-1H Class (Note and Correspon

  25. Slide 25: STACR 2016-DNA2 Capital Structure Overview

    STACR 2016-DNA2 Capital Structure Overview STACR 2016-DNA2 Expected Ratings WAL (yrs.)* WAL (yrs.)* Loss Tranche Moody’s S&P Balance ($) 10% CPR 5% CPR Attach Detach M-1 [Baa1 (sf)] [BBB (sf)] 187,000,000 1.48 2.54 415 500 M-2 [Baa3 (sf)] [BBB- (sf)] 198,000,000 3.21 5.58 325 415 M-3 (1) [B1 (sf)] [

  26. Slide 26: 2016-DNA2 Initial Cohort Pool to Reference Pool

    2016-DNA2 Initial Cohort Pool to Reference Pool  Key Reference Pool Characteristics: » 100% Never Delinquent » 100% 30 Year Fixed-Rate » No loans originated under Relief Refinance program (including HARP) or loans originated under Home Possible® or other affordable mortgage programs of Freddie Mac

  27. Slide 27: 2016-DNA2 Reference Pool – Selected Stratifications

    2016-DNA2 Reference Pool – Selected Stratifications Top 10 States / Territories Top 10 Sellers Number of Number of Aggregate Principal Aggregate Principal Aggregate Principal Aggregate Principal State or Territory Seller Mortgage Mortgage Loans Balance ($) Balance (%) Balance ($) Balance (%) Loans C

  28. Slide 28: 2016-DNA2 Reference Pool – Selected Stratifications

    2016-DNA2 Reference Pool – Selected Stratifications Original Principal Balances Range of Gross Mortgage Rates Range of Original Principal Number of Aggregate Principal Aggregate Principal Number of Range of Gross Aggregate Principal Aggregate Principal Balances ($) Mortgage Loans Balance ($) Balance

  29. Slide 29: Key STACR 2016-DNA2 Terms

    Key STACR 2016-DNA2 Terms Issuer Freddie Mac Master Servicer Freddie Mac Reference Pool Pool of all mortgage loans acquired by Freddie Mac between July 1, 2015 and September 30, 2015 and securitized in a mortgage participation certificate (“PC”) by January 31, 2016 and remained in such PC as of Apri

  30. Slide 30: Key STACR 2016-DNA2 Terms (cont.)

    Key STACR 2016-DNA2 Terms (cont.) Credit Event Reversals Principal balance of STACR note previously written down due to Credit Events on mortgage loans in the Reference Pool will be restored in the event that Freddie Mac determines, subsequent to the Credit Event, that an underwriting defect, major

  31. Slide 31: Key STACR 2016-DNA2 Terms (cont.)

    Key STACR 2016-DNA2 Terms (cont.) Dealers Lead Managers: Nomura Securities International (structuring lead) and Bank of America Co-Managers: Barclays, BNP Paribas, Goldman Sachs and J.P. Morgan Selling Group Member: CastleOak Liquidation Proceeds With respect to any Credit Event Reference Obligation

  32. Slide 32: Class B Tax Considerations

    Class B Tax Considerations  The Class B Notes should be treated as derivatives for U.S. federal income tax purposes  Freddie Mac will treat the Class B Notes as a contingent notional principal contract (“NPC”) (except with respect to Non-U.S. Beneficial Owners for purposes of U.S. federal withhold

  33. Slide 33: Actual Loss Calculation

    Actual Loss Calculation  Calculation for Actual Loss 1 (+) UPB at time of removal from the Reference Pool (including prior principal forgiveness) 2 (-) Net Sales Proceeds Delinquent Accrued Interest (Non-Capitalized) 3 (+) Interest Bearing UPB * min(Note Rate – 35bps, Accounting Net Yield) * (# of

  34. Slide 34: STACR 2016-DNA2 Actual Loss Waterfall

    STACR 2016-DNA2 Actual Loss Waterfall Freddie Mac will utilize the below waterfalls to allocate actual losses Allocation of Loss on Dispositions Allocation of Modification Loss Amounts First - Class B Note and B-H Reference Tranche First - Class B Note and B-H Reference Tranche – Write-down – Intere

  35. Slide 35: Comparison: STACR 2016-DNA2 & prior deals

    Comparison: STACR 2016-DNA2 & prior deals STACR 2015-DNA2 STACR 2015-DNA3 STACR 2016-DNA1 STACR 2016-DNA2 (Kroll/Moody’s) (DBRS/Fitch) (Fitch/Moody’s) (Moody’s/S&P, expected) M-1: A (sf) / A3 (sf) M-1: A (high ) (sf )/ A-sf M-1: BBBsf/ Baa2 (sf) M-1: Baa1 (sf) / BBB (sf) Ratings M-2: BBB-sf / Baa3 (

  36. Slide 36: Comparison: STACR 2016-DNA2 & prior deals (cont.)

    Comparison: STACR 2016-DNA2 & prior deals (cont.) STACR 2015-DNA2 STACR 2015-DNA3 STACR 2016-DNA1 STACR 2016-DNA2 UPB at Closing $31,985,634,132 $34,706,261,919 $35,724,056,399 $30,120,949,420 Acquisition Period August 1 – November 30, 2014 December 1, 2014 – March 31, 2015 April 1, 2015 – June 30,

  37. Slide 37: Comparison: STACR 2016-DNA2 & prior deals (cont.)

    Comparison: STACR 2016-DNA2 & prior deals (cont.) STACR 2015-DNA2 STACR 2015-DNA3 STACR 2016-DNA1 STACR 2016-DNA2 Weighted Average Loan Age 8 months 8 months 6 months 7 months Weighted Average Original Term 360 360 360 360 Percent Owner Occupied 85.50% 87.34% 87.25% 85.89% Purchase … 62% Purchase …

  38. Slide 38: Third Party Base Expected Default and Loss

    Third Party Base Expected Default and Loss Collateral Expected Default and Loss at Issuance** 2015-DNA2 2015-DNA3 2016-DNA1 2016-DNA2 Cumm. Default 120 bps 110 bps 125 bps 130 bps Nomura Cumm. Loss 36 bps 35 bps 37 bps 38 bps Cumm. Default 73 bps 98 bps 117 bps 110 bps JP Morgan Cumm. Loss 11 bps 15

  39. Slide 39: Historical Loss Summary

    Historical Loss Summary Assumptions for Summary Severity/ Timelines /Loss Components  To assist investors with their understanding of Freddie Mac’s historical loss experience, on the following slides we provide loss severity and liquidation timelines by origination year and judicial/non-judicial st

  40. Slide 40: STACR 2016-DNA2 Proxy Cohort Performance

    STACR 2016-DNA2 Proxy Cohort Performance Reference Pool Proxy 6.0 Class M-1 takes 100% loss(1) 5.0 Class M-2 takes 100% loss(1) 4.0 Cum Net Loss (%) 3.3 3.3 Class M-3 takes 100% loss(1) 3.0 2.2 2.0 1.7 Class B takes 100% loss(1) 1.0 0.7 0.3 0.3 0.1 0.1 0.2 0.1 0.0 0.0 0.0 0.0 2000 2001 2002 2003 200

  41. Slide 41: Loss Components by Disposition & Origination Year

    Loss Components by Disposition & Origination Year (All 60.01-80% LTV) All Default Loans 60-80 LTV As Percentage of Net Loss Non-MI Delinquent Timeline Disposition Yr Loan Count Default UPB Net Loss Severity % Collateral Loss Expenses MI Recoveries Recoveries Interest (months) 99-2004 8,814 889,275,3

  42. Slide 42: STACR 2016-DNA2 Historical Cohort Performance

    STACR 2016-DNA2 Historical Cohort Performance (60% < LTV <= 80%)  Summary collateral characteristics for the different vintages are seen below  Analysis and stratifications only include loans with LTVs between 60% and 80% 13- 13- 14- 14- 14- 14- 15- 15- 15- 15- 16- 16- 2000 2001 2002 2003 2004 200

  43. Slide 43: 2016-DNA2 Historical Cohort Performance

    2016-DNA2 Historical Cohort Performance (60% < LTV <= 80%) Credit Scores Between 760 to 779 Credit Scores Between 720 to 759 17% of the Reference Pool 26% of the Reference Pool 10 10 8 8 Cum Net Loss (%) Cum Net Loss (%) 6 6 3.8 3.8 4 4 2.4 2.4 2.4 1.5 1.8 2 1.0 2 0.7 0.0 0.0 0.1 0.2 0.4 0.1 0.0 0.0

  44. Slide 44: Severity Rates and Disposition Timelines (All)

    Severity Rates and Disposition Timelines (All 60.01-80% LTV) All Defaulted 60-80 LTV Loans Severity Rates by Disposition & Origination Year Origination Year 99-04 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J

  45. Slide 45: Severity Rates and Disposition Timelines (REO)

    Severity Rates and Disposition Timelines (REO 60.01-80% LTV) REOs 60-80 LTV Severity Rates by Disposition & Origination Year Origination Year 99-04 2005 2006 2007 2008 2009 2010 2011 2012 2013 All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ Total 99-04 18 23

  46. Slide 46: Severity Rates and Disposition Timelines (FA)

    Severity Rates and Disposition Timelines (FA 60.01-80% LTV) FA Loans 60-80 LTV Severity Rates by Disposition & Origination Year Origination Year 99-04 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ

  47. Slide 47: Proxy Cohort Historical Delinquency Roll Rates

    Proxy Cohort Historical Delinquency Roll Rates 2000 Vi nta ge Current 30 60 90 120 150 180 180+ 2003 Vi nta ge Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0% Current 100% 0% 0% 0% 0% 0% 0% 0% 30 51% 36% 13% 0% 0% 0% 0% 0% 30 45% 40% 15% 0% 0% 0% 0% 0% 60 24% 19% 27% 30% 0% 0% 0%

  48. Slide 48: Proxy Cohort Historical Delinquency Roll Rates (contd.)

    Proxy Cohort Historical Delinquency Roll Rates (contd.) 2006 Vi nta ge Current 30 60 90 120 150 180 180+ 2009 Vi nta ge Current 30 60 90 120 150 180 180+ Current 99% 1% 0% 0% 0% 0% 0% 0% Current 100% 0% 0% 0% 0% 0% 0% 0% 30 32% 44% 24% 0% 0% 0% 0% 0% 30 44% 42% 14% 0% 0% 0% 0% 0% 60 9% 11% 33% 46% 0

  49. Slide 49: Proxy Cohort Historical Delinquency Roll Rates (contd.)

    Proxy Cohort Historical Delinquency Roll Rates (contd.) 2012 Vi nta ge Current 30 60 90 120 150 180 180+ Current 100% 0% 0% 0% 0% 0% 0% 0% 30 67% 25% 8% 0% 0% 0% 0% 0% 60 26% 15% 26% 33% 0% 0% 0% 0% 90 14% 4% 9% 18% 55% 0% 0% 0% 120 10% 1% 2% 4% 15% 67% 0% 1% 150 9% 0% 0% 1% 2% 15% 71% 1% 180 10% 0%

  50. Slide 50: Proxy Cohort Historical Cure Rates

    Proxy Cohort Historical Cure Rates Vintage Liquidated D180+ Cured Cum D180 Cure Rate 2000 0.2% 0.0% 0.3% 0.5% 51.2% Cumulative D180 by Vintage 2001 0.3% 0.0% 0.3% 0.6% 45.7% 12.0% 70% 2002 0.5% 0.0% 0.4% 0.9% 41.9% 60% 10.0% 2003 0.9% 0.1% 0.7% 1.8% 40.6% 2004 1.7% 0.2% 1.2% 3.1% 37.4% 50% 8.0% 2005

  51. Slide 51: Proxy Cohort Historical Severities

    Proxy Cohort Historical Severities Vintage Cum D180 (A) Liquidated (B) Severity (C) Cum. Loss (D=B*C) 2000 0.5% 0.2% 37% 0.1% 2001 0.6% 0.3% 41% 0.1% 2002 0.9% 0.5% 44% 0.2% 2003 1.8% 0.9% 37% 0.3% 2004 3.1% 1.7% 42% 0.7% 2005 7.1% 4.4% 49% 2.2% 2006 9.6% 6.1% 54% 3.3% 2007 10.5% 6.2% 54% 3.3% 2008

  52. Slide 52: Proxy Cohort Historical Modifications

    Proxy Cohort Historical Modifications Proxy Cohort Stats as of June 30, 2015 Cumulative Modification Current Pool Cumulative Current Mod Vintage Modification Loss as % of Ever modified % Orig WAC Current WAC Factor Principal Loss WAC SF Loss(1) Principal Loss 2000 0.3% 0.1% 0.0% 4.7% 0.1% 8.1% 7.9%

  53. Slide 53: Investor Participation

    Investor Participation M1 M2 M3 B STACR 2015-DNA1 STACR 2015-DNA2 STACR 2015-DNA3 STACR 2016-DNA1 Sovereign Fund REIT Money Manager Insurance Hedge Fund Bank / Credit Union Note: Institution type is our best estimate based on information provided to Freddie Mac from the underwriting syndicate as som

  54. Slide 54: Disclosed Loan-Level Fields

    Disclosed Loan-Level Fields For more information on file layout and field definition, please refer to the STACR Reference Pool Disclosure Guide (http://www.freddiemac.com/creditriskofferings/docs/reference_pool_disclosure_guide.pdf). # Field Name Historical Actual # Field Name Historical Actual Loss

  55. Slide 55: Disclosed Loan-Level Fields (cont.)

    Disclosed Loan-Level Fields (cont.) # Field Name Historical Actual # Field Name Historical Actual Loss Loss STACR STACR 29 Product Type X X 45 Non MI Recoveries X 30 Property State X X 46 Expenses X 31 Property Type X X 47 Taxes and Insurance X 32 Remaining Months to Legal Maturity X X 48 Legal Cost

  56. Slide 56: Disclosed Loan-Level Fields (cont.)

    Disclosed Loan-Level Fields (cont.) # Field Name Historical Actual # Field Name Historical Actual Loss Loss STACR STACR 60 Estimated LTV - Updated Quarterly X 66 Modification First Payment Date X 61 Forecast Standard Deviation (FSD) - Updated Quarterly X 67 Modification Debt-to-Income Ratio X 62 Upd

  57. Slide 57: STACR 2016-DNA2 WAL Tables

    STACR 2016-DNA2 WAL Tables M-1 Weighted Average Life to Maturity (in Years, without modifications) M-1 Weighted Average Life to Maturity (in Years, with modifications) CER(1) RM(2) 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR CER(1) RM(2) 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR 0.200% ... 0.0

  58. Slide 58: STACR 2016-DNA2 WAL Tables

    STACR 2016-DNA2 WAL Tables M-3 Weighted Average Life to Maturity (in Years, without modifications) M-3 Weighted Average Life to Maturity (in Years, with modifications) CER(1) RM(2) 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR CER(1) RM(2) 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR 0.200% ... 0.0

  59. Slide 59: Research Articles on CRT

    Research Articles on CRT BAML: Credit Risk Transfer Monitor Monthly BAML: Non-agency MBS Weekly Weekly Barclays: GSE CRT Rel Val – Valuing the credit option 6/26/2015 Barclays: Moody's upgrades early CRT deals - Implications for more recent deals 9/4/2015 Barclays: Slumping oil and the effect on CRT

  60. Slide 60: Freddie Mac Key Contacts

    Freddie Mac Key Contacts Team Member Email Address Business Phone Kevin Palmer [email protected] (571) 382-4313 Senior Vice President Michael S. Reynolds [email protected] (571) 382-4852 Vice President Dirk Niese [email protected] (571) 382-4738 Transaction Manager

Freddie Mac — Debt Investor Presentation (May 2016) on 6ix