Freddie Mac · OTC:FMCC
Freddie Mac — Investor Presentation (October 2022)
43 slides from Freddie Mac's investor presentation, October 2022
Slide 1: Seasoned Loans Structured Transaction Trust, Series 2022-2 Investor Presentation
Seasoned Loans Structured Transaction Trust, Series 2022-2 (“SLST 2022-2”) Investor Presentation October 2022 Information contained in this presentation is current as of October 2022. For further information on this transaction see the SLST 2022-2 Offering Circular on FreddieMac.com Prepared by Inve
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. Transaction Timeline 8. Data Stratifications 3. Collateral and Structure 9. SLST Transaction Comparison 4. Key Transaction Features 10. Freddie Mac Key Contacts 5. Servicing and Program Support 6. Historical Deal Performance an
Slide 5: Program Summary
Program Summary Prepared by Investments and Capital CONFIDENTIAL SLST 2022-2 © Freddie Mac Markets
Slide 6: Program Summary
Program Summary • Freddie Mac’s $230 million SLST 2022-2 securitization is the company’s fifteenth transaction backed by re-performing and non- performing single-family mortgage loans (“RPLs”) o The underlying mortgage loans (the "Mortgage Loans") were either previously securitized in Freddie Mac Pa
Slide 7: What's New in 2022
What’s New in 2022 Summary of changes vs. SLST transactions prior to SLST 2022-1: • SLST 2022-2 includes Mortgage Loans more than 90 days delinquent, but less than 180 days delinquent, as of the Cut-Off Date. Mortgage Loans that are 120 or 150 days delinquent as of the Cut-Off Date have an AVM LTV <
Slide 8: Indicative SLST 2022-2 Transaction Structure
Indicative SLST 2022-2 Transaction Structure SLST Investors Principal and interest distributions from the Trust and certain payments from the REO Trust Liquidating distribution Seasoned Loans Structured Transaction Trust, Series 2022-2 from REO Trust at termination of REO Trust Collections of Paymen
Slide 9: Retained Portfolio and Less Liquid Assets
Retained Portfolio and Less Liquid Assets • As of June 30, 2022, Freddie Mac’s total retained portfolio balance was $80.8 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 bo
Slide 10: Freddie Mac Seasoned and Legacy Loan Activity
Freddie Mac Seasoned and Legacy Loan Activity Approximately $86 Billion from 2011 through September 2022 MBS - Fully Guaranteed Securitizations SCRT - RPL Senior/Sub(1) Re-Performing and Modified Pools Guaranteed Seniors / Non-guaranteed Subs $30.4 billion settled since 2011 $34.4 billion settled si
Slide 11: Transaction Timeline
Transaction Timeline Prepared by Investments and Capital CONFIDENTIAL SLST 2022-2 © Freddie Mac Markets
Slide 12: Key Dates
Key Dates • August 31st: Initial Disclosure Date September 2022 October 2022 • September 30th: Cut-off Date S M T W T F S S M T W T F S • October 4th: Data Room Opens 31 1 2 3 1 • October 18th: Pre-Access Qualification 4 5 6 7 8 9 10 2 3 4 5 6 7 8 Due Date 11 12 13 14 15 16 17 9 10 11 12 13 14 15 •
Slide 13: Collateral and Structure
Collateral and Structure Prepared by Investments and Capital CONFIDENTIAL SLST 2022-2 © Freddie Mac Markets
Slide 14: SLST Collateral – 2020-2022 Deals
SLST Collateral – 2020-2022 Deals Description SLST 2020-2 SLST 2020-3 SLST 2021-1 SLST 2021-2 SLST 2022-1 SLST 2022-2 at Settle at Settle at Settle at Settle at Settle at Settle As of Date August 31, 2020 October 31, 2020 April 30, 2021 June 30, 2021 April 30, 2022 September 30, 2022 % Modified 89%
Slide 15: Indicative SLST 2022-2 Structure
Indicative SLST 2022-2 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
Slide 16: Preliminary Guaranteed Senior Certificates
Preliminary Guaranteed Senior Certificates Indicative Preliminary Guaranteed Senior Offerings(1) Base Offered Maximum Initial Class Approximate Initial WAL Principal Window Class Type Class Class Principal/Notional Amount Class Coupon % (years)(2) (months)(2) A-1 $151,133,000 3.000% 5.33 1-120 Seque
Slide 17: SLST 2022-2 A-1: Projected Cashflow Comparison
SLST 2022-2 A-1: Projected Cashflow Comparison Pricing Speed Bond Comparison Principal Window Pricing Class Coupon WAL (years)(1) Pricing Date (months)(1) Spread(2) SLST 2022-2 A-1 3.000% 5.33 1-120 N/A 10/25/2022 (Expected) SCRT 2022-2 MA 3.000% 4.97 1-146 I + 95 bps 9/8/2022 Attributes of SLST 202
Slide 18: SLST 2022-2 A-2: Projected Cashflow Comparison
SLST 2022-2 A-2: Projected Cashflow Comparison Pricing Speed Bond Comparison Principal Window Pricing Class Coupon WAL (years)(1) Pricing Date (months)(1) Spread(2) SLST 2022-2 A-2 3.000% 9.99 120-120 N/A 10/25/2022 (Expected) WI-K152 A-2 3.780% 10.24 123-123 P + 99 bps 9/21/2022 Guaranteed Senior B
Slide 19: Key Transaction Features
Key Transaction Features Prepared by Investments and Capital CONFIDENTIAL SLST 2022-2 © Freddie Mac Markets
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 300% of the current Credit Enhancement, the trigger is breached Percentage Trigger The Subordinate Certificates w
Slide 21: Majority Representative and Retention Requirements
Majority Representative and Retention Requirements • The Retained Certificateholder will at all times be the “Majority Representative” unless: o the Retained Certificateholder sells more than 50% of the Class Principal Amount of any outstanding class of Retained Certificates; o the Class Principal A
Slide 22: Servicing and Program Support
Servicing and Program Support Prepared by Investments and Capital CONFIDENTIAL SLST 2022-2 © Freddie Mac Markets
Slide 23: 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
Slide 24: 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
Slide 25: SLST Program Support
SLST Program Support • Financing for SLST Guaranteed Classes o Freddie Mac offers repo financing for SLST guaranteed tranches (except IOs) to approved counterparties o Eligible for financing under the BNY Mellon MBS Tri-party Repo o Acceptable collateral to pledge to all FHLBs • Models & Data Vendor
Slide 26: SLST Investor Types
SLST Investor Types(1) Guaranteed Certificates Non-Guaranteed Certificates REIT, 1.3% FHLB, 1.9% Other(2), 0.1% Money Manager, Insurance 4.7% Company, 8.5% Bank/Credit Union, 49.2% REIT, 38.5% Private Equity, Money Manager, 56.8% 39.1% (1) As determined by market value and reflected as of issuance f
Slide 27: Historical Deal Performance and Model Data
Historical Deal Performance and Model Data Prepared by Investments and Capital CONFIDENTIAL SLST 2022-2 © Freddie Mac Markets
Slide 28: SLST 2022-2 Projected Model Speeds
SLST 2022-2 Projected Model Speeds VPR(1) 14.00 12.00 10.00 Rate % 8.00 6.00 4.00 2.00 0.00 Yieldbook Model Bloomberg Model SLST Pricing Speed CDR(1) 3.50 3.00 2.50 Rate % 2.00 1.50 1.00 0.50 0.00 Yieldbook Model Bloomberg Model SLST Pricing Speed VPR CDR Severity Pricing Assumptions Ramp from 3% to
Slide 29: SLST 2022-2 Historical Speeds
SLST 2022-2 Historical Speeds 1-Month VPR By Months After Issuance(1) 25 20 15 10 5 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 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 SLST 2018-1 SLST 2018-2 SLST 2019-1 SLST 2019-2 SLST 2019-3 SLST 2020-
Slide 30: SLST Historical Cashflow
SLST Historical Cashflow % Scheduled Payments Made By Calendar Month (1)(2) 110% 105% 100% 95% 90% 85% 80% 75% 70% 65% 60% SLST 2019-1 SLST 2019-2 SLST 2019-3 SLST 2020-1 SLST 2020-2 SLST 2020-3 SLST 2021-1 SLST 2021-2 SLST 2022-1 (1) Weighted by ending total UPB as of September remittance date (8/3
Slide 31: Historical Cohort Performance
Historical Cohort Performance Prepared by Investments and Capital CONFIDENTIAL SLST 2022-2 © Freddie Mac Markets
Slide 32: Cohort Stratifications
Cohort Stratifications(5) C1-5 D30-D60 D90-D150 Data as of Date 6/30/2017 6/30/2017 6/30/2017 Loan Count 11,481 10,927 3,083 % of Loans Modified 91% 92% 75% % of Loans on a Forbearance Plan 0% 0% 1% Total UPB (including forborne UPB) in millions 1,933 1,839 523 Forborne UPB in millions 159 161 37 %
Slide 33: Cohort Historical Performance by Delinquency Status
Cohort Historical Performance by Delinquency Status Liquidation Rate(1) Payoff Rate 12 20 10 15 8 Rate (%) Rate (%) 6 10 4 5 2 0 0 201707 201710 201801 201804 201807 201810 201901 201904 201907 201910 202001 202004 202007 202010 202101 202104 202107 202110 202201 201707 201710 201801 201804 201807 2
Slide 34: Cohort Historical Performance by LTV
Cohort Historical Performance by LTV Liquidation Rate(1) Payoff Rate 4 20 3.5 3 15 Rate (%) Rate (%) 2.5 2 10 1.5 1 5 0.5 0 0 201707 201710 201801 201804 201807 201810 201901 201904 201907 201910 202001 202004 202007 202010 202101 202104 202107 202110 202201 201707 201710 201801 201804 201807 201810
Slide 35: Data Stratifications
Data Stratifications Prepared by Investments and Capital CONFIDENTIAL SLST 2022-2 © Freddie Mac Markets
Slide 36: SLST 2022-2 Stratifications (as of September 30, 2022)
SLST 2022-2 Stratifications (as of September 30, 2022) 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 ($) Principal Balance (%)
Slide 37: SLST 2022-2 Stratifications (as of September 30, 2022)
SLST 2022-2 Stratifications (as of September 30, 2022) AVM Current Loan-to-Value (%) Loan Age from Modification Date(1)(2)(months) Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($) Principal Balance (%) Mortgage Loans Princip
Slide 38: SLST 2022-2 Stratifications (as of September 30, 2022)
SLST 2022-2 Stratifications (as of September 30, 2022) Property Type at Origination Number of Remaining Steps of Step-Rate Mortgage Loans Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($) Principal Balance (%) Mortgage Loans
Slide 39: SLST 2022-2 Stratifications (as of September 30, 2022)
SLST 2022-2 Stratifications (as of September 30, 2022) Temporary Forbearance Plan Clean Pay History (months) of Mortgage Loans in a Temporary Forbearance Plan* Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($) Principal Balan
Slide 40: SLST 2022-2 Stratifications (as of September 30, 2022)
SLST 2022-2 Stratifications (as of September 30, 2022) Index (Adjustable–Rate Mortgage Loans Only) Periodic Adjustment Frequency (months) (Adjustable–Rate Mortgage Loans Only) Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($)
Slide 41: SLST Transaction Comparison
SLST Transaction Comparison Prepared by Investments and Capital CONFIDENTIAL SLST 2022-2 © Freddie Mac Markets
Slide 42: SLST Transaction Comparison
SLST Transaction Comparison SLST 2019-2 SLST 2019-3 SLST 2020-2 SLST 2020-3 SLST 2019-1 SLST 2020-1 SLST 2021-1 SLST 2021-2 SLST 2022-1 SLST 2022-2 Terms/Structur September November September November May 2019 July 2020 May 2021 July 2021 May 2022 October 2022 al Features 2019 2019 2020 2020 $1,217
Slide 43: Historical SLST Collateral (at Settle)
Historical SLST Collateral (at Settle) Description SLST 2019-1 SLST 2019-2 SLST 2019-3 SLST 2020-1 SLST 2020-2 SLST 2020-3 SLST 2021-1 SLST 2021-2 SLST 2022-1 As of Date 4/30/2019 8/31/2019 10/31/2019 6/30/2020 8/31/2020 10/31/2020 4/30/2021 6/30/2021 4/30/2022 % Modified 100% 100% 100% 100% 89% 89%