Freddie Mac · OTC:FMCC
Freddie Mac — Debt Investor Presentation (June 2020)
73 slides from Freddie Mac's debt investor presentation, June 2020
Slide 1: Seasoned Credit Risk Transfer Trust, Series 2020-2 Investor Presentation
Seasoned Credit Risk Transfer Trust, Series 2020-2 (“SCRT” 2020-2) Investor Presentation June 2020 Information contained in this presentation is current as of June 2020. For further information on this transaction see the SCRT 2020-2 Offering Circular on FreddieMac.com © Freddie Mac 1
Slide 2: Disclaimer
Disclaimer Notice to all 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 related supplements, which incorporate Freddie Mac’s Annual Report on Form 10-K for the year ended December 31,
Slide 3: Disclaimer
Disclaimer Notice to all Investors: The information contained in the attached materials (the “Information”) has been provided by Citigroup Global Markets Inc. (“Citigroup”, a “Dealer”) and is preliminary and subject to change. The Information does not include all of the information relating to the s
Slide 4: Agenda
Agenda 1. Program Summary 2. Expected Transaction Timeline 3. Collateral Comparison and Structure 4. Historical Deal Performance and Model Data 5. Program Support 6. SCRT Transactions Re-cap 7. Historical Cohort Performance 8. Freddie Mac Seller/Servicer Guide Modification Overviews 9. Data Stratifi
Slide 5: 1. Program Summary
1. Program Summary © Freddie Mac 5
Slide 6: SCRT Program Summary
SCRT Program Summary ▪ The $1.6bn SCRT 2020-2 securitization is our 15 SCRT securitization backed by seasoned, re-performing single-family th mortgage loans (“RPLs”). Since inception, the SCRT program has issued approximately $23.8bn of Guaranteed Certificates and approximately $2.9bn of Non-Guarant
Slide 7: What's New
What’s New Summary of changes vs. prior SCRT transactions: ▪ SCRT 2020-2 is the first SCRT transaction to include Mortgage Loans (approximately 2.5%) that have never been modified. Non-modified Mortgage Loans are included in Groups M and M55 based on the note rate of each Mortgage Loan ▪ As a result
Slide 8: SPS Servicing Practices for COVID-19
SPS Servicing Practices for COVID-19* COVID Impacted Borrowers: Initial Hardship Determination of COVID Hardship ▪ Borrower must initially contact the servicer and attest they have been impacted by a COVID-19 hardship and that they require payment assistance. The Borrower does not need to provide do
Slide 9: Post Securitization Servicing Requirements
Post Securitization Servicing Requirements Modification and Loss Mitigation Third Party Servicer Eligibility ▪ Servicer can’t acquire lender placed insurance from affiliate ▪ To be eligible, borrower must be 60+ days delinquent or have ▪ If Servicer obtains property valuation, preservation or dispos
Slide 10: SCRT Credit Features
SCRT Credit Features ▪ As Guarantor we may: ▪ Credit Ratings Actions ▪ Oversee and audit the servicing of the Mortgage Rating Initial or Effective Loans Transaction Class Agency Prior Rating New Rating Date ▪ Monitor remittance data and request additional M-1 DBRS BBB low (sf) BBB (sf) 9/24/2018 doc
Slide 11: Retained Portfolio and Less Liquid Assets
Retained Portfolio and Less Liquid Assets ▪ As of March 31, 2020, Freddie Mac’s total retained portfolio balance was $211.2 billion, a portion 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 focu
Slide 12: Freddie Mac Seasoned Loan Activity
Freddie Mac Seasoned Loan Activity Approximately $71 Billion from 2011 through May 2020 PCs - Fully Guaranteed Securitizations SCRT - RPL Senior/Sub R, M and H Pools Guaranteed Senior/ Non-guaranteed Subs $28.7 billion settled since 2011 $26.7 billion settled since Q4 2016 Primarily 12+ months clean
Slide 13: 2. Expected Transaction Timeline
2. Expected Transaction Timeline © Freddie Mac 13
Slide 14: Expected Transaction Timeline
Expected Transaction Timeline June 2020 July 2020 S M T W T F S S M T W T F S 1 2 3 4 5 6 1 2 3 4 7 8 9 10 11 12 13 5 6 7 8 9 10 11 14 15 16 17 18 19 20 12 13 14 15 16 17 18 21 22 23 24 25 26 27 19 20 21 22 23 24 25 28 29 30 26 27 28 29 30 31 Holidays Marketing Investor Conference Calls Expected Pri
Slide 15: 3. Collateral Comparison and Structure
3. Collateral Comparison and Structure © Freddie Mac 15
Slide 16: SCRT 2020-2 Overview
SCRT 2020-2 Overview ▪ The assets of the Trust are three groups of seasoned, fixed-rate and step-rate, first lien re-performing Mortgage Loans ▪ Structure consists of three separate groups of senior certificates, and subordinate certificates that are cross-collateralized across all groups: » The Tru
Slide 17: Collateral Characteristics - SCRT 2020-2
Collateral Characteristics - SCRT 2020-2 SCRT 2020-2 by Group SCRT 2020-2 by Clean Pay Group H Group M Group M55 12 to 23 24 to 35 SCRT 2020-1 SCRT 2020-2 6 to 11 Months 36+ Months Aggregate (Step-rate (Fixed-rate (Fixed-rate Months Clean Months Clean Aggregate Clean Pay Clean Pay Loans) Loans) (7)(
Slide 18: SCRT Pool Composition Pre-Issuance
SCRT Pool Composition Pre-Issuance As part of the Mortgage Loan selection process, Freddie Mac drops any Mortgage Loans that becomes delinquent prior to the Cut-Off Date. Due to the recent disruption caused by COVID-19, a greater proportion of Mortgage Loans initially selected for SCRT 2020-2 were d
Slide 19: Indicative SCRT 2020-2 Transaction Structure
Indicative SCRT 2020-2 Transaction Structure Freddie Mac provides certain representations and warranties on the Mortgage Loans Class Class HA, HV MA, MV Class M55D Trust issues HZ, HA-IO MZ, MA-IO Certificates* Securitization classes of and HB-IO and MB-IO Trust Guaranteed Certificates* Mortgage Cer
Slide 20: Preliminary SCRT 2020-2 Capital Structure
Preliminary SCRT 2020-2 Capital Structure Transaction Structure(1) 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 / Fitch Coupon Date (months)(2) No
Slide 21: Preliminary Guaranteed Senior Certificates
Preliminary Guaranteed Senior Certificates Loan Maximum Initial Class Principal or Approximate Initial Initial Credit WAL Stated Final Principal Window Class Class Type Group Initial Class Notional Amount Class Coupon Enhancement (years)(1) Distribution Date (months)(1) H HT(2) $78,198,000 2.000% 13
Slide 22: SCRT 2020-2 Guaranteed Certificates
SCRT 2020-2 Guaranteed Certificates Group H Certificates Group H IO Certificates Group M55 Certificates (2) HTU (1) HT (1) HT-IO (1) M55D 4.000% 2.500% 2.000% 4.000% Pass-Through Pass-Through Pass-Through IO (2) HA-IO 4.000% IO (1)(4) (1) (1) (2) (1) M55H (1) M55I HAU HBU HA HB 2.500% 6.000% 2.500%
Slide 23: SCRT 2020-2 Guaranteed Certificates
SCRT 2020-2 Guaranteed Certificates Group M Certificates Group M IO Certificates (1) (1) (1) MTU MT MT-IO 2.500% 2.000% 4.000% Pass-Through Pass-Through IO (2) MA-IO 4.000% IO (1) (1) (2) (1) (2) MAU MBU MA MB MB-IO 2.500% 2.500% 2.000% 2.000% 4.000% Front-Pay Back-Pay Front-Pay Back-Pay IO (2)(3) (
Slide 24: SCRT 2020-2 Non-Guaranteed Certificates
SCRT 2020-2 Non-Guaranteed Certificates BXS Certificates (2) (2) (2) B-IO B A-IO (3) (3) 1.997% 0.000% 0.222% PO (1) BBIO (3) 3.394% (2) BX (1) XS-IO (3) 5.930% 0.070%(3) Excess Servicing (1)(4) BXS 6.845%(3) Note: All percentages are approximate (1) MACR Certificates (2) Exchangeable Certificates (
Slide 25: SCRT Deal Triggers and Initial Credit Enhancement
SCRT Deal Triggers and Initial Credit Enhancement Item Description SCRT 18-2 SCRT 18-3 SCRT 18-4 SCRT 19-1 SCRT 19-2 SCRT 19-3 SCRT 19-4 SCRT 20-1 SCRT 20-2 Initial Subordination 8.00% 7.75% 7.75% 9.25% 10.25% 9.00% 9.75% 9.50% 13.00% Percentage Initial Credit Enhancement Class M subordination 4.75%
Slide 26: Historical Collateral Characteristics
Historical Collateral Characteristics SCRT Pool Comparison 2018-1 2018-2 2018-3 2018-4 2019-1 2019-2 2019-3 2019-4 2020-1 2020-2 As of Date 1/31/2018 4/30/2018 6/30/2018 9/30/2018 1/31/2019 3/31/2019 6/30/2019 9/30/2019 1/31/2020 5/31/2020 % Modified 100% 100% 100% 100% 100% 100% 100% 100% 100% 97%
Slide 27: 4. Historical Deal Performance and Model Data
4. Historical Deal Performance and Model Data © Freddie Mac 27
Slide 28: SCRT 2020-2 Projected VPR Performance by Group
SCRT 2020-2 Projected VPR Performance by Group Group H(1) Group M 20 20 15 15 Rate % Rate % 10 10 5 5 0 0 Group M55 25 20 Pricing Assumptions CPR CDR Severity 15 Rate % Group H Ramp from 5% to 8% 10 Group M CPR over 24 months Ramp from 0% to 1% 25% over 36 months Group M55 15% CPR 5 0 Yield Book Mod
Slide 29: SCRT Historical Performance by Group Month VPR
SCRT Historical Performance by Group 1 Month VPR(1) 25 20 15 Rate % 10 5 0 Group H </= SCRT 2017-3 Group H > SCRT 2017-3 Group M </= SCRT 2017-3 Group M > SCRT 2017-3 Group M55 Dec- May- Aug- Nov- Dec- May- Aug- Nov- Dec- May- Jan-18 Feb-18 Mar-18 Apr-18 Jun-18 Jul-18 Sep-18 Oct-18 Jan-19 Feb-19 Mar
Slide 30: SCRT Historical Performance Month VPR
SCRT Historical Performance 1 Month VPR(1) (2) 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 Source: Bloomberg (1) 1 Month VPR is weighted by the aggregate UPB of the mortgage loans
Slide 31: SCRT Historical Performance DQ60+
SCRT Historical Performance Historical DQ60+(1) by First Remittance(2) 6.00 5.00 4.00 Rate % 3.00 2.00 1.00 0.00 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 May-18 Jul-18 Sep-18 Nov-18 Jan-19 Mar-19 May-19 Jul-19 Sep-19 Nov-19 Jan-20 Mar-20 May-20 SCRT 2016-1 SCRT 2017-1 - SCRT 2017-3 SC
Slide 32: SCRT Forbearance Recovery
SCRT Forbearance Recovery(1) SCRT Issuance All SCRT Issued SCRT Liquidated Loans a Total UPB 26,748,947,144 (LTV(6) = 75) (LTV(6) = 96) b Forbearance UPB 3,609,260,256 c % UPB Forborne 13% Prepaid in Full (Loans with Forbearance Only) d Forbearance UPB(2) 217,330,993 e Forbearance Collected 217,330,
Slide 33: 5. Program Support
5. Program Support © Freddie Mac 33
Slide 34: SCRT Program Support
SCRT Program Support ▪ Financing for Guaranteed Classes » Freddie Mac can offer repo financing for SCRT guaranteed tranches (except IOs) to approved counterparties » SCRT Guaranteed Certificates are classified as “Agency MBS,” making them eligible for financing under the BNY Mellon MBS Tri-party Rep
Slide 35: 6. SCRT Transactions Re-cap
6. SCRT Transactions Re-cap © Freddie Mac 35
Slide 36: SCRT Transaction Issuance History
SCRT Transaction Issuance History SCRT 2020-1 Syndicated Classes (Pricing Date: 3/5/2020) Printed % of Maximum Initial Approximate Maximum Initial Initial Credit WAL(1) Ratings Class Class Printed Initial Class Spread or Proceeds(2) Yield (2) Price (2) Class Principal Enhancement (years) DBRS/Fitch
Slide 37: SCRT Transaction Issuance History
SCRT Transaction Issuance History SCRT 2019-3 Syndicated Classes (Pricing Date: 8/6/2019) Printed % of Maximum Initial Approximate Maximum Initial Initial Credit WAL(1) Ratings Class Class Printed Initial Class Spread or Proceeds(2) Yield (2) Price (2) Class Principal Enhancement (years) DBRS/Fitch
Slide 38: SCRT Credit Tranches at Pricing
SCRT Credit Tranches at Pricing Second Loss First Loss Collateral Cum Net Loss Rate (CNLR) Per Deal Cum Unique Per Deal Cum Unique Deal Spread $ PX Tranche Format MV (mm) $ PX* Yield %(1) 100 PPS BTM(2) YB(3) Investors New Investors Investors New Investors 16-1 475 72.2 7 7 7 B+BIO Auction 11.0 11.8
Slide 39: SCRT Investor Types
SCRT Investor Types(1) Guaranteed Certificates Non-Guaranteed Certificates Dealer, 0.2% Private Equity, 3.4% Private Equity, 15.7% Bank/Credit Hedge Fund, Union, 24.6% 30.6% Money REIT, 19.9% Manager, 47.9% Dealer, 14.5% Money Manager, 30.3% Insurance Insurance Company, Company, Hedge Fund, 3.3% 8.1
Slide 40: SCRT Investor Participation
SCRT Investor Participation SCRT Program Participation – Guaranteed Certificates 80 72 73 65 66 70 59 60 51 43 50 36 40 27 28 31 30 21 14 20 6 30 32 10 20 24 28 28 28 13 14 18 13 14 18 0 6 SCRT SCRT SCRT SCRT SCRT SCRT SCRT SCRT SCRT SCRT SCRT SCRT SCRT SCRT 2016-1 2017-1 2017-2 2017-3 2017-4 2018-1
Slide 41: 7. Historical Cohort Performance
7. Historical Cohort Performance © Freddie Mac 41
Slide 42: Cohort Historical Payoff Rate
Cohort Historical Payoff Rate Rate Group and Forbearance Effective WAC(1)(3) Payoff Rate(2) 6.5 25 6.0 20 5.5 5.0 15 4.5 10 4.0 3.5 5 3.0 0 Mod: FB Mod: Low-Mid Rate NoFB Mod: High Rate NoFB FB or Low-Mid Rate Mod: FB Mod: Low-Mid Rate NoFB PMMS (4) Mod: High Rate NoFB Mod: FB or Low-Mid Rate Clean
Slide 43: Cohort Historical Credit Performance by Clean Pay History
Cohort Historical Credit Performance by Clean Pay History(1) On-going D90+ Rate(2) Rate of Subsequent Modifications 10 10 8 8 6 6 4 4 2 2 0 0 Mod: C6-11 Mod: C12-23 Mod: C24-35 Mod: C36+ Mod: C6-11 Mod: C12-23 Mod: C24-35 Mod: C36+ Liquidation Rate(3) 2.0 1.5 1.0 0.5 0.0 Mod: C6-11 Mod: C12-23 Mod:
Slide 44: Cohort Historical Collateral Characteristics by Clean Pay History
Cohort Historical Collateral Characteristics by Clean Pay History Modified Loan Cohorts(1) Modified Loans Modified Loans Modified Loans Modified Loans Current Current for Current for Current for for 6-11 Months 12-23 Months 24-35 Months 36+ Months As of Date 6/30/2016 6/30/2016 6/30/2016 6/30/2016 %
Slide 45: Cohort Historical Collateral Characteristics by Group and Forbearance
Cohort Historical Collateral Characteristics by Group and Forbearance Modified Loan Cohorts(1) Forbearance and Low to Low to Mid Rates & High Rates & without With Forbearance Mid Rates without without Forbearance Forbearance Forbearance As of Date 6/30/2016 6/30/2016 6/30/2016 6/30/2016 % Modified 1
Slide 46: 8. Freddie Mac Seller/Servicer Guide Modification Overviews
8. Freddie Mac Seller/Servicer Guide Modification Overviews HAMP Modification Standard and Streamlined Modification Flex Modification Deferred Payment Modification (“DPM”) © Freddie Mac 46
Slide 47: HAMP Modification Overview
HAMP Modification Overview 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 borrower applications expired on December 30, 201
Slide 48: Standard and Streamlined Modification Overview
Standard and Streamlined Modification Overview 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, the deadline for Borrow
Slide 49: Flex Modification Overview
Flex Modification Overview Beginning in October 2017, Freddie Mac Flex Modification ("Flex Modification”) replaced the previously available Standard and Streamlined Modification to help financially struggling borrowers qualify for modifications in a changing housing market. Mechanics of Flex Modific
Slide 50: Deferred Payment Modification Overview
Deferred Payment Modification (“DPM”) Overview The Deferred Payment Modification is designed to provide relief to eligible borrowers who became delinquent due to a short-term hardship that has since been resolved and have the financial capacity to resume making monthly payments, but are unable to af
Slide 51: 9. Data Stratifications
9. Data Stratifications © Freddie Mac 51
Slide 52: Data Stratifications (as of May 31, 2020)
Data Stratifications (as of May 31, 2020) All Groups – Forbearance Plan Aggregate Group M Aggregate Group M N um be r o f A ggre ga t e Unpa id A ggre ga t e Unpa id N um be r o f A ggre ga t e Unpa id A ggre ga t e Unpa id F o rbe a ra nc e P la n M o rt ga ge Lo a ns P rinc ipa l B a la nc e ( $ )
Slide 53: Data Stratifications (as of May 31, 2020)
Data Stratifications (as of May 31, 2020) 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 54: Data Stratifications (as of May 31, 2020)
Data Stratifications (as of May 31, 2020) Aggregate Loan Age from Modification (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 ($) Balance (%) Balanc
Slide 55: Data Stratifications (as of May 31, 2020)
Data Stratifications (as of May 31, 2020) Aggregate Remaining Term (months) Loan Purpose at Origination Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Loans Balance ($) Balance (%) Balance ($) Ba
Slide 56: Data Stratifications (as of May 31, 2020)
Data Stratifications (as of May 31, 2020) Aggregate Number of Remaining Steps Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) None 1,361 256,895,320.24 74.14 1 250 47,892,936.26 13.82 2 179 37,676,714.18 10.87 3 18 4,038,319.46 1.17 Total: 1,808
Slide 57: Data Stratifications - Group H
Data Stratifications (as of May 31, 2020) Group H 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 (%) St
Slide 58: Data Stratifications - Group H
Data Stratifications (as of May 31, 2020) Group H Loan Age from Modification (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 ($) Balance (%) Balance
Slide 59: Data Stratifications - Group H
Data Stratifications (as of May 31, 2020) Group H Remaining Term (months) Loan Purpose at Origination Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Loans Balance ($) Balance (%) Balance ($) Bala
Slide 60: Data Stratifications - Group H
Data Stratifications (as of May 31, 2020) Group H Number of Remaining Steps Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) None 3 274,737.74 0.31 1 250 47,892,936.26 53.28 2 179 37,676,714.18 41.92 3 18 4,038,319.46 4.49 Total: 450 89,882,707.6
Slide 61: Data Stratifications - Group M
Data Stratifications (as of May 31, 2020) 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 (%) Fi
Slide 62: Data Stratifications - Group M
Data Stratifications (as of May 31, 2020) Group M Loan Age from Modification (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 ($) Balance (%) Balance
Slide 63: Data Stratifications - Group M
Data Stratifications (as of May 31, 2020) Group M Remaining Term (months) Loan Purpose at Origination Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Loans Balance ($) Balance (%) Balance ($) Bala
Slide 64: Data Stratifications - Group M
Data Stratifications (as of May 31, 2020) Group M Number of Remaining Steps Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) None 1,357 256,579,696.67 100.00 Total: 1,357 256,579,696.67 100.00 Last Step Rate (%) Aggregate Unpaid Principal Aggrega
Slide 65: Data Stratifications - Group M55
Data Stratifications (as of May 31, 2020) 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 66: Data Stratifications - Group M55
Data Stratifications (as of May 31, 2020) Group M55 Loan Age from Modification (months)(1) Modification Flag Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Aggregate Unpaid Principal Aggregate Unpaid Principal Balance ($) Balance (%) Number of Mortgage Loans Balance (
Slide 67: Data Stratifications - Group M55
Data Stratifications (as of May 31, 2020) Group M55 Remaining Term (months) Loan Purpose at Origination Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) Number of Mortgage Loans Balance ($) Ba
Slide 68: 10. Collateral History by Group
10. Collateral History by Group © Freddie Mac 68
Slide 69: Collateral Characteristics Comparison - Group H
Collateral Characteristics Comparison – Group H SCRT Group H Description 2018-1 2018-2 2018-3 2018-4 2019-1 2019-2 2019-3 2019-4 2020-1 2020-2 As of Date 1/31/2018 4/30/2018 6/30/2018 9/30/2018 1/31/2019 3/31/2019 6/30/2019 9/30/2019 1/31/2020 5/31/2020 % Modified 100% 100% 100% 100% 100% 100% 100%
Slide 70: Collateral Characteristics Comparison - Group M
Collateral Characteristics Comparison – Group M SCRT Group M Description 2018-1 2018-2 2018-3 2018-4 2019-1 2019-2 2019-3 2019-4 2020-1 2020-2 As of Date 1/31/2018 4/30/2018 6/30/2018 9/30/2018 1/31/2019 3/31/2019 6/30/2019 9/30/2019 1/31/2020 5/31/2020 % Modified 100% 100% 100% 100% 100% 100% 100%
Slide 71: Collateral Characteristics Comparison - Group M55
Collateral Characteristics Comparison – Group M55 SPSS SCRT Group M55(6) Description 2018-2 2018-3 2018-4 2019-1 2019-2 2019-3 2019-4 2020-1 2020-2 As of Date 4/30/2018 6/30/2018 9/30/2018 1/31/2019 3/31/2019 6/30/2019 9/30/2019 1/31/2020 5/31/2020 % Modified 100% 100% 100% 100% 100% 100% 100% 100%
Slide 72: 11. Freddie Mac Key Contacts
11. Freddie Mac Key Contacts © Freddie Mac 72
Slide 73: 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 and Trea