Embed Size (px)
Citation preview
October 2014
Structured Agency Credit Risk (“STACR”) Debt Notes, 2014-DN4 & HQ3 Roadshow Investor Presentation
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Agenda 1. Executive Summary 3
2. STACR Transactions Comparison 8
3. STACR 2014-DN4 & HQ3: Cohort Analysis 11
4. STACR 2014-DN3 & HQ2: Investor Participation 18
Appendices
1. Freddie Mac Corporate Summary 21
A. Single Family Business Overview 27
B. Underwriting and Quality Control 30
C. Single Family Servicing Oversight and Control 36
2. Data and Market Transparency 39
3. STACR 2014-DN4 & HQ3: Key Terms & Structure Overview 43
4. STACR 2014-DN4 & HQ3: Reference Pool Overview 47
5. STACR 2014-DN4: Prepayment / Default Sensitivity 54
6. STACR 2014-HQ3: Prepayment / Default Sensitivity 59
7. Comparison of STACR Deals Over Time 64
8. Historical Home Price Appreciation 67
9. Key Contacts 69
2
© Freddie Mac 2014
1. Executive Summary
3
© Freddie Mac 2014 4
Freddie Mac: Building Today for the Future
Freddie Mac is innovating to create a new and better housing finance system today to help borrowers,
renters, taxpayers and lenders
» Innovating to benefit taxpayers – something all policy makers want
– Leading the industry in transferring credit risk to private investors, away from taxpayers
– Developing greater expense and capital efficiency
– Returning funds to taxpayers – $88.2 billion (including September 2014 dividend obligation), $16.9 billion more than was received
» Creating a better customer experience – for lenders of all sizes
» Responsibly shrinking our retained portfolio
» All while providing constant support to renters and borrowers
– Funded more than 2 million single-family homes in 2013 and nearly 388,000 rental units
– Helped 168,000 distressed borrowers avoid foreclosure last year
4
Note: All numbers referenced are rounded.
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Executive Summary STACR is the leading product in the recently formed GSE Risk Transfer Market
The GSEs have issued a combined total of ~$10bn of credit debt securities to date
STACR Notes are unsecured general obligations of Freddie Mac, which are also subject to the credit risk of a certain pool of residential mortgage loans (the “Reference Obligations”) guaranteed by Freddie Mac
» The transaction is designed to furnish credit protection to Freddie Mac, with respect to Reference Obligations which become 180 days or more delinquent1 , with an exception of (for a period of 18 months) those 180+ day delinquent Reference Obligations affected by a natural disaster, regardless of any grant of forbearance, or as to which certain other credit events occur by providing for Freddie Mac to reduce the outstanding class principal balance of the Notes at tiered severity percentages related to those credit events
» The Notes are issued at par and are uncapped LIBOR-based floaters, and include a 10 year final maturity
» Although the Notes are unsecured general obligations of Freddie Mac, the payment characteristics have been designed so that the Notes are paid principal similarly to securities in a senior/subordinate private label residential mortgage backed securities (“RMBS”) structure
» Freddie Mac will make monthly payments of principal and accrued interest to the Noteholders
– Actual cash flow from the Reference Obligations will not be paid or otherwise made available to the holders of the Notes
Freddie Mac has issued seven STACR transactions to date:
1 As determined using the MBA delinquency method. For a period of 18 months, Freddie Mac will not declare a Credit Event based on a delinquency of 180 days or more with respect to any Reference Obligation that is in natural disaster forbearance.
5
Transaction Issuance Date
STACR 2013-DN1 July 26, 2013
STACR 2013-DN2 November 12, 2013
STACR 2014-DN1 February 12, 2014
STACR 2014-DN2 April 9, 2014
STACR 2014-DN3 August 11, 2014
Transaction Issuance Date
STACR 2014-HQ1 August 11, 2014
STACR 2014-HQ2 September 15, 2014
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Freddie Mac STACR Program Changes & Highlights
6
STACR Program Changes:
EU Risk Retention
» Freddie Mac at a minimum will retain 5% of the deal to conform to EU Risk Retention rules
100% Review of Credit Events
» 100% of credit events will be examined through Freddie Mac’s non-performing loan quality control process
– Credit Review can only be performed if reps and warranties are active
Natural Disaster Forbearance
» Freddie Mac will not, for a period of 18 months, declare a Credit Event based on a delinquency of 180 days or more with respect to any Reference Obligation that is in natural disaster forbearance
Third Issuance of HQ Series, which contains over 80 LTV collateral
» HQ Series began with STACR 2014-HQ1 in August 2014
Highlights of the Transactions:
Listing on Irish Stock Exchange
NAIC – Indicative Regulatory Assessment for Insurance Companies
» http://www.naic.org/structured_securities/structured_securities_confirmation.htm
100% of loans have never had any history of delinquency
Fitch and Moody’s rated
Multiple investment opportunities – rated/unrated and shorter/longer duration
Frequent programmatic issuance and transparent secondary market
Among the industry’s largest and most highly diversified pools supporting more stable and predictable performance
» Significantly more diverse by seller and geography than many mortgage credit investments
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
DN4/HQ3 Capital Structure Overview
7
*Calculated WAL assume 0 CDR
STACR 2014-DN4
Ratings WAL (yrs.) WAL (yrs.) Loss NAIC Designation
Cum. Net Credit Events
Applicable Severity Tranche Fitch Moody's Balance ($) 10 CPR 5 CPR Attach Detach
M-1 A-sf A1(sf) 130,000,000 1.64 2.78 4.20% 5.20% 1 ≤ 1% 15%
M-2 BBB-sf A3(sf) 169,000,000 3.94 6.74 2.90% 4.20% 4 1% < and ≤ 2% 25%
M-3 NR NR 312,000,000 8.67 9.97 0.50% 2.90% 4 > 2% 40%
Total 611,000,000
Min C/E Test: 5.7%
Cohort is based on a pool of 69,780 loans with a UPB of $15.7B, LTV range: 60-80%
Q1 2014 Acquisitions
Cumulative Net Credit Event % Threshold: Year 1: 0.25%, with 0.25% step-ups each year
STACR 2014-HQ3
Ratings WAL (yrs.) WAL (yrs.) Loss NAIC Designation
Cum. Net Credit Events
Applicable Severity Tranche Fitch Moody's Balance ($) 10 CPR 5 CPR Attach Detach
M-1 A-sf A1(sf) 133,000,000 1.88 3.23 4.75% 6.50% 3 ≤ 1% 10%
M-2 BBB-sf Baa1(sf) 125,400,000 4.79 8.05 3.10% 4.75% 4 1% < and ≤ 3% 20%
M-3 NR NR 171,000,000 9.07 9.99 0.85% 3.10% 4 3% < and ≤ 5% 25%
Total 429,400,000 > 5% 40%
Min C/E Test: 7.0%
Cohort is based on a pool of 36,226 loans with a UPB of $8.0B, LTV range: 80-95%
Q1 2014 Acquisitions
Cumulative Net Credit Event % Threshold: Year 1: 0.40%, with 0.40% step-ups each year
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
2. STACR Transactions Comparison
8
© Freddie Mac 2014 9
Comparison of STACR 2014-DN4 & STACR 2014-HQ3 vs. STACR 2014-DN3 & STACR 2014-HQ1
STACR 2014-DN3 STACR 2014-DN4 STACR 2014-HQ1* STACR 2014-HQ3
Ratings
(Fitch / Moody’s)
(Fitch / Moody’s) (Fitch / Moody’s) (Fitch / Moody’s)
Credit Enhancement M-1: 3.60% M-2: 2.40% M-3: 0.40%
M-1: 4.20% M-2: 2.90% M-3: 0.50%
M-1: 4.10% M-2: 2.55% M-3: 0.75%
M-1: 4.75% M-2: 3.10% M-3: 0.85%
NAIC Designation N/A M-1: 1 M-2: 4 M-3: 4
N/A M-1: 3 M-2: 4 M-3: 4
Initial Vertical Slice of the Class M Notes Retained by Freddie Mac
M-1H: 19%
M-2H: 19%
M-3H: 19%
M-1H: 17%
M-2H: 17%
M-3H: 17%
M-1H: 20%
M-2H: 20%
M-3H: 20%
M-1H: 5%
M-2H: 5%
M-3H: 5%
MAC Notes Exchangeable classes allowing stripping or
combinations of bonds (M-1F, M-1I, M-2F, M-2I, M-3F, M-3I, M-12, MA)
No Change No Change No Change
Loss Severity Schedule No Change No Change
Minimum Credit Enhancement Test
Credit Enhancement must be greater than 5.1% (initially 4.6%)
Credit Enhancement must be greater than 5.7% (initially 5.2%)
Credit Enhancement must be greater than 7.0% (initially 6.5%)
Credit Enhancement must be greater than 7.0% (initially 6.5%)
Cumulative Net Credit Event Test
Cumulative Net Credit Event % threshold:
Year 1: 0.25%, with 0.25% step-ups each year No Change
Cumulative Net Credit Event % threshold:
Year 1: 0.40%, with 0.40% step-ups each year No Change
Summary Reference Pool Characteristics
Aggregate Principal Balance: $19.7BN
Average Principal Balance: $226.4K
Original LTV: 76%
Weighted Average FICO: 755
Acquisition Period: Q4 2013
Aggregate Principal Balance: $15.7BN
Average Principal Balance: $225.6K
Original LTV: 76%
Weighted Average FICO: 753
Acquisition Period: Q1 2014
Aggregate Principal Balance: $10.0BN
Average Principal Balance: $221.1K
Original LTV: 92%
Weighted Average FICO: 752
Acquisition Period: Q4 2013
Aggregate Principal Balance: $8.0BN
Average Principal Balance: $220.9K
Original LTV: 92%
Weighted Average FICO: 749
Acquisition Period: Q1 2014
Eminent Domain Reference Obligation to be removed if seized
pursuant to any special eminent domain proceedings
No Change No Change No Change
Representation and Warranty Framework
Reference Obligations subject to updated Representation and Warranty Framework laid out by the FHFA on 9/11/2012, effective for
loans acquired after 1/1/2013
No Change No Change No Change
Cum. Net Credit Events Applicable
Severity
Less than or equal to 1% 15%
Greater than 1% and ≤2% 25%
Greater than 2% 40%
M-1: A-sf / A1(sf) M- 2: BBB-sf / A3(sf) M-3: Unrated
M-12: BBB-sf / A2(sf)
M-1: A-sf/ A1(sf) M- 2: BBB-sf/ Baa1(sf) M-3: Unrated
M-12: BBB-sf / A3(sf)
*HQ1 is a better cohort for comparison because the HQ2 reference pool represented multiple quarters of acquisitions and included more seasoned collateral.
M-1: A-sf / A1(sf) M- 2: BBB-sf / A3(sf) M-3: Unrated
M-12: BBB-sf / A2(sf)
M-1: A-sf/ A2(sf) M-2: BBB-sf/ Baa2(sf) M-3: Unrated
M-12: BBB-sf / Baa1(sf)
Cum. Net Credit Events Applicable
Severity
Less than or equal to 1% 10%
Greater than 1% and ≤3% 20%
Greater than 3% and ≤5% 25%
Greater than 5% 40%
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
STACR 2014-DN3 STACR 2014-DN4 STACR 2014-HQ1* STACR 2014-HQ3
UPB at Closing $19,746,233,187 $15,740,709,177 $9,974,679,368 $8,000,610,348
Number of Loans 87,222 69,780 45,112 36,226
Average Balance $226,391
($1,947 - $1,191,960) $225,576
($809 - $956,364) $221,109
($7,929 - $620,838) $220,853
($431 - $621,534)
Weighted Average Original LTV
76% (61% - 80%)
76% (61% - 80%)
92% (81% - 95%)
92% (81% - 95%)
Weighted Average Coupon
4.548%
(3.250% - 6.250%)
4.571%
(3.375% - 6.125%) 4.565%
(3.250% - 5.875%) 4.569%
(3.500% - 6.000%)
Weighted Average Credit Score
755 (600 - 839)
753 (600 - 831)
752 (620 - 829)
749 (620 - 826)
Weighted Average Debt to Income Ratio
35% (1% - 50%)
35% (2% - 50%)
35% (4% - 50%)
35% (4% - 50%)
Acquisition Period Fourth Quarter 2013 First Quarter 2014 Fourth Quarter 2013 First Quarter 2014
Weighted Average Loan Age
7 months 7 months 7 months 7 months
Weighted Average Original Term 360 360 360 360
Percent Owner Occupied 86.3% 85.4% 99.6% 99.5%
Loan Purpose
Purchase (64%), No Cash-out Refinance (19%),
Cash-out Refinance (17%)
Purchase (61%), No Cash-out Refinance (20%),
Cash-out Refinance (19%)
Purchase (90%), No Cash-out Refinance (10%) ,
Cash-out Refinance (0%)
Purchase (90%), No Cash-out Refinance (10%),
Cash-out Refinance (0%)
Percent Single Family 63% 63% 60% 59%
Top Three Sellers JPM Chase (14%), Wells Fargo (10%),
BB&T (9%) Wells Fargo (12%), US Bank (9%), JPM
Chase (6%) JPM Chase (15%), BB&T (13%), Wells
Fargo (12%) Wells Fargo (15%), US Bank (10%),
BB&T (7%)
Top Three States California (23%), Texas (6%), New York
(5%) California (24%), Texas (7%), Florida
(5%) California (9%), Texas (8%), Illinois
(5%) California (11%), Texas (9%), Florida
(5%)
Current UPB $19,195,110,427 $15,740,709,177 $9,761,387,110 $8,000,610,348
# of Credit Events** 0 0 0 0
% of Loans 60+ Delinquent**
0.01% 0.00% 0.01% 0.00%
10
Comparison of STACR 2014-DN4 & STACR 2014-HQ3 vs. STACR 2014-DN3 & STACR 2014-HQ1 (cont.)
** Values indicated are as of September 2014 remittance report. *HQ1 is a better cohort for comparison because the HQ2 reference pool represented multiple quarters of acquisitions and included more seasoned collateral. T
his
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
3. STACR 2014-DN4 & HQ3: Cohort Analysis
11
© Freddie Mac 2014
0.6 0.7 1.0
1.9
3.2
7.1
9.4 9.9
6.5
1.6
0.6 0.3 0.10.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
Reference Pool Proxy
12
DN4 Proxy Cohort Performance
Class M-1 takes 100% loss(1)
Class M-2 takes 100% loss(1)
Class B-H takes 100% loss(1)
Class B-H takes losses
Class M-2 takes losses
Class M-1 takes losses
Class M-3 takes losses
Source: Freddie Mac Single Family Loan-Level Dataset Note: Performance reflects activity through December 2013 using the September 2014 data release (1) Assuming no principal payments (2) Data have been filtered based on FICO and LTV
Class M-3 takes 100% loss(1)
Cum Net Credit
Events
Cum Alloc
Losses
Max Class
B-H Loss
Max Class
M-3 Loss
Max Class
M-2 Loss
Max Class
M-1 Loss
0.000% 0.00% 0% 0% 0% 0%
1.000% 0.15% 30% 0% 0% 0%
2.250% 0.50% 100% 0% 0% 0%
4.000% 1.20% 100% 29% 0% 0%
5.000% 1.60% 100% 46% 0% 0%
6.000% 2.00% 100% 63% 0% 0%
7.000% 2.40% 100% 79% 0% 0%
8.250% 2.90% 100% 100% 0% 0%
10.000% 3.60% 100% 100% 54% 0%
11.000% 4.00% 100% 100% 85% 0%
11.500% 4.20% 100% 100% 100% 0%
13.000% 4.80% 100% 100% 100% 60%
14.000% 5.20% 100% 100% 100% 100%
Cu
m. N
et C
red
it E
ven
ts (
%)
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
1.2 1.52.0
3.2
4.7
8.9
11.2
14.4
10.4
2.3
0.8 0.5 0.10.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
20.0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
Reference Pool Proxy
13
HQ3 Proxy Cohort Performance
Class B-H takes losses
Class M-2 takes losses
Class M-1 takes losses
Class M-3 takes losses
Class M-1 takes 100% loss(1)
Class M-2 takes 100% loss(1)
Class B-H takes 100% loss(1)
Class M-3 takes 100% loss(1)
Source: Freddie Mac Single Family Loan-Level Dataset Note: Performance reflects activity through December 2013 using the September 2014 data release (1) Assuming no principal payments (2) Data have been filtered based on FICO and LTV
Cum Net Credit
Events
Cum Alloc
Losses
Max Class
B-H Loss
Max Class
M-3 Loss
Max Class
M-2 Loss
Max Class
M-1 Loss
0.000% 0.00% 0% 0% 0% 0%
1.000% 0.10% 12% 0% 0% 0%
2.000% 0.30% 35% 0% 0% 0%
3.000% 0.50% 59% 0% 0% 0%
4.400% 0.85% 100% 0% 0% 0%
6.000% 1.40% 100% 24% 0% 0%
7.000% 1.80% 100% 42% 0% 0%
8.000% 2.20% 100% 60% 0% 0%
9.000% 2.60% 100% 78% 0% 0%
10.250% 3.10% 100% 100% 0% 0%
12.000% 3.80% 100% 100% 42% 0%
13.000% 4.20% 100% 100% 67% 0%
14.000% 4.60% 100% 100% 91% 0%
14.375% 4.75% 100% 100% 100% 0%
16.000% 5.40% 100% 100% 100% 37%
17.000% 5.80% 100% 100% 100% 60%
18.000% 6.20% 100% 100% 100% 83%
18.750% 6.50% 100% 100% 100% 100%
Cu
m. N
et C
red
it E
ven
ts (
%)
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
0.3 0.3 0.5 0.9 1.53.3 4.1 4.3
2.3 0.5 0.2 0.1 0.00.0
5.0
10.0
15.0
20.0
25.0
Cu
m. N
et
Cre
dit
Eve
nts
%
Credit Scores Greater than 780(33% of the Reference Pool)
STACR STACR STACR STACR STACR STACR
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013-DN1 2013-DN2 2014-DN1 2014-DN2 2014-DN3 2014-DN4
Orig UPB ($BN) 69 52 146 154 190 113 142 120 109 103 194 116 86 112 23 36 33 28 20 16
WA FICO 716 718 719 720 726 720 724 726 727 743 763 762 763 766 766 764 761 760 755 753
WA DTI (%) 31 33 32 32 31 33 34 35 35 34 32 33 34 32 32 32 33 33 35 35
WA OCLTV (%) 76 77 77 77 77 78 78 80 80 77 76 76 76 76 76 75 76 76 77 77
WA OLTV (%) 76 76 76 75 75 76 76 76 76 75 74 75 75 75 75 74 75 75 76 76
% Owner Occupied 93 91 94 93 94 93 93 92 90 88 92 89 88 89 89 89 86 88 86 85
FICO Score Range
0 - 679 24% 23% 23% 22% 19% 23% 22% 22% 21% 11% 3% 3% 3% 2% 2% 2% 3% 3% 5% 6%
680 - 719 24% 22% 23% 23% 22% 23% 22% 22% 21% 18% 10% 12% 11% 10% 10% 11% 13% 14% 16% 17%
720 - 759 31% 29% 28% 28% 29% 27% 25% 24% 23% 25% 25% 24% 23% 23% 22% 24% 24% 25% 26% 26%
760 - 779 14% 15% 15% 16% 17% 15% 14% 14% 14% 18% 22% 20% 21% 21% 20% 21% 20% 20% 19% 18%
Greater than 780 7% 10% 11% 12% 13% 12% 17% 19% 20% 27% 40% 40% 42% 45% 45% 42% 40% 38% 34% 33%
14
DN4 Historical Cohort Performance (60-80 LTV)
Source: Freddie Mac Single Family Loan-Level Dataset Note: Performance reflects activity through December 2013 using the September 2014 data release
Historical performance of cohorts with LTVs between 60%
and 80% has varied significantly by credit score and
vintage
6% of the loans in the Reference Pool have a credit score
of less than 680 and 33% of the loans have a credit score
of greater than or equal to 780
Repurchases that occur after Credit Events are netted
from Cumulative Credit Events
Summary collateral characteristics for the different vintages are seen below
Analysis and stratifications only include loans with LTVs between 60% and 80% and loans in which the borrower never missed a
payment in the calendar year of origination; excludes loans with a debt-to-income ratio of greater than 50%
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
2.6 2.7 3.55.8
9.0
17.3
22.1 23.3
19.6
6.9
2.81.4
0.3
0.0
5.0
10.0
15.0
20.0
25.0
Cu
m. N
et
Cre
dit
Eve
nts
%
Credit Scores Less than 680(6% of the Reference Pool)
1.1 1.2 1.83.4
5.7
12.2
15.9 16.6
11.8
3.11.1 0.5 0.1
0.0
5.0
10.0
15.0
20.0
25.0
Cu
m. N
et
Cre
dit
Eve
nts
%
Credit Scores Between 680 and 719(17% of the Reference Pool)
15
DN4 Historical Cohort Performance (60-80 LTV)
Source: Freddie Mac Single Family Loan-Level Dataset Note: Performance reflects activity through December 2013 using the September 2014 data release
0.3 0.3 0.5 1.1 2.0
4.96.8 7.0
4.00.8 0.3 0.2 0.1
0.0
5.0
10.0
15.0
20.0
25.0
Cu
m. N
et
Cre
dit
Eve
nts
%
Credit Scores Between 760 and 779(18% of the Reference Pool)
0.5 0.6 1.0 2.03.4
8.010.8 11.5
7.2
1.4 0.5 0.3 0.10.0
5.0
10.0
15.0
20.0
25.0
Cu
m. N
et
Cre
dit
Eve
nts
%
Credit Scores Between 720 and 759(26% of the Reference Pool)
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
0.8 1.0 1.3 1.9 2.85.2 6.0 7.7
5.01.0 0.4 0.2 0.0
0.0
5.0
10.0
15.0
20.0
25.0
30.0
Cu
m. N
et
Cre
dit
Eve
nts
%
Credit Scores Greater than 780(25% of the Reference Pool)
STACR STACR STACR
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2014-HQ1 2014-HQ2 2014-HQ3
Orig UPB ($BN) 37 29 53 47 48 26 24 19 27 32 26 16 18 31 10 33 8
WA FICO 697 694 696 694 703 698 703 704 707 730 756 758 758 759 752 757 749
WA DTI (%) 34 36 35 35 34 35 36 37 36 37 33 33 33 33 35 33 35
WA OCLTV (%) 92 92 91 91 91 91 91 91 91 91 90 91 91 91 92 92 92
WA OLTV (%) 91 92 91 91 91 91 91 91 91 91 90 91 91 91 92 92 92
% Owner Occupied 97 95 96 95 94 92 92 91 90 93 99 100 100 100 100 100 100
FICO Score Range
0 - 679 37% 40% 39% 41% 35% 39% 36% 36% 35% 16% 1% 1% 2% 2% 3% 2% 4%
680 - 719 26% 25% 25% 24% 25% 24% 24% 23% 22% 24% 14% 14% 13% 13% 17% 14% 18%
720 - 759 26% 23% 22% 21% 24% 21% 21% 21% 20% 27% 33% 31% 30% 31% 32% 31% 33%
760 - 779 8% 8% 9% 9% 10% 9% 10% 9% 10% 16% 22% 22% 22% 22% 21% 22% 20%
Greater than 780 3% 4% 5% 5% 6% 7% 10% 11% 12% 18% 29% 22% 33% 33% 27% 31% 25%
16
HQ3 Historical Cohort Performance (80-95 LTV)
Source: Freddie Mac Single Family Loan-Level Dataset Note: Performance reflects activity through December 2013 using the September 2014 data release
Historical performance of cohorts with LTVs between 80%
and 95% has varied significantly by credit score and
vintage
4% of the loans in the Reference Pool have a credit score
of less than 680 and 25% of the loans have a credit score
of greater than or equal to 780
Repurchases that occur after Credit Events are netted
from Cumulative Credit Events
Summary collateral characteristics for the different vintages are seen below
Analysis and stratifications only include loans with LTVs between 80% and 95% and loans in which the borrower never missed a
payment in the calendar year of origination; excludes loans with a debt-to-income ratio of greater than 50%
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
4.4 5.5 6.18.6
11.8
19.2
24.3
29.726.8
9.7
3.0 1.5 0.20.0
5.0
10.0
15.0
20.0
25.0
30.0
Cu
m. N
et
Cre
dit
Eve
nts
%
Credit Scores Less than 680(4% of the Reference Pool)
2.0 2.6 3.25.4
7.7
13.517.2
22.2
17.4
3.81.5 1.1 0.2
0.0
5.0
10.0
15.0
20.0
25.0
30.0
Cu
m. N
et
Cre
dit
Eve
nts
%
Credit Scores Between 680 and 719(18% of the Reference Pool)
0.9 1.1 1.83.2
4.6
9.311.9
15.4
10.5
2.0 0.8 0.4 0.10.0
5.0
10.0
15.0
20.0
25.0
30.0
Cu
m. N
et
Cre
dit
Eve
nts
%
Credit Scores Between 720 and 759(33% of the Reference Pool)
0.7 0.7 1.1 1.9 3.1
6.4 8.211.0
7.0
1.4 0.5 0.2 0.10.0
5.0
10.0
15.0
20.0
25.0
30.0
Cu
m. N
et
Cre
dit
Eve
nts
%
Credit Scores Between 760 and 779(20% of the Reference Pool)
17
HQ3 Historical Cohort Performance (80-95 LTV)
Source: Freddie Mac Single Family Loan-Level Dataset Note: Performance reflects activity through December 2013 using the September 2014 data release
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
4. STACR 2014-DN3 & HQ2: Investor Participation
18
© Freddie Mac 2014
Investor Participation
19
STACR 2014-HQ2: M3
STACR 2014-DN3: M3
STACR 2014-HQ2: M2
STACR 2014-DN3: M2 STACR 2014-DN3: M1
STACR 2014-HQ2: M1
Note: Institution type is our best estimate based on information provided to Freddie Mac from the underwriting syndicate as some institutions may be involved in multiple lines of business.
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014 20
Appendices
© Freddie Mac 2014 21
Appendix 1. Freddie Mac Corporate Summary
© Freddie Mac 2014 22
Corporate Overview
Founded By Congress in 1970 to provide liquidity, stability and affordability to the U.S. housing market
Corporate Headquarters McLean, VA with regional offices in Atlanta, Chicago, Dallas, Los Angeles and New York
Employees 5,077 (as of July 2014)
CEO Donald H. Layton (since May 2012)
Business Lines Single-Family Credit Guarantee Multifamily Investments
Conservatorship Operating under conservatorship that commenced on September 6, 2008, under the direction of Federal Housing Finance Agency (FHFA), our Conservator
FHFA as our Conservator: » Assumed all powers of the Board, management and shareholders » Has directed and will continue to direct certain of our business activities and strategies » Delegated certain authority to our Board of Directors to oversee, and to management to conduct,
day-to-day operations
Freddie Mac has several years of consistent underwriting and management history
Due to Freddie Mac’s strong, consistent, and transparent approach to underwriting and quality control, they have been able to make historical loan-level data publically available to investors, broker-dealers and rating agencies » This systematic approach has allowed Freddie to produce data that is not only robust, but also reliable
At least 4 broker dealers have models available for investors to analyze credit risk transfer transactions
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Conservatorship At the time the GSEs were placed into conservatorship, FHFA indicated that the goals of the conservatorship
included:
» Restoring confidence in the GSEs
» Enhancing the GSEs’ capacity to fulfill their missions
» Mitigating the systemic risk that has contributed to market instability
At that time, FHFA indicated that a GSE’s conservatorship will end when the Director determines that FHFA’s plan
to restore the GSE to a safe and solvent condition has been completed
On May 13, 2014, FHFA released its 2014 Strategic Plan, which provides an updated vision of FHFA’s implementation of its obligations as Conservator of Freddie Mac and Fannie Mae (the Enterprises). The plan sets forth three re-formulated strategic goals:
» Maintain, in a safe and sound manner, foreclosure prevention activities and credit availability for new and refinanced mortgages to foster liquid, efficient, competitive and resilient national housing finance markets.
» Reduce taxpayer risk by increasing the role of private capital in the mortgage market.
» Build a new single-family securitization infrastructure for use by the Enterprises and adaptable for use by other participants in the secondary mortgage market in the future.
FHFA’s 2014 Strategic Plan adheres to its existing statutory mandate of overseeing the conservatorships of the Enterprises in their current state and ensuring that the Enterprises’ infrastructure meets the needs of their current credit guarantee businesses and other operations.
23
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Housing Market Support
Purchase and Issuance Volume
(Single-Family and Multifamily) $ Billions
Freddie Mac has provided $2.3 trillion in liquidity to the market since 2009 through its purchases of loans and issuances of mortgage-related securities.
Freddie Mac has helped 1 million borrowers avoid foreclosure since 2009 with 8 out of every 10 families retaining their homes.
Foreclosure Prevention Activities Number of Loans (in thousands)
24
$546
$406
$349
$456 $453
0
100
200
300
400
500
600
2009 2010 2011 2012 2013
133
275
208
169 168
0
50
100
150
200
250
300
2009 2010 2011 2012 2013
YTD 6/30/14: $116
Cumulative Since 2009: $2.3T
YTD 6/30/14: 64
Cumulative Since 2009: 1,017
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014 25
Comprehensive Income
2
A
B
C = A + B
1
$ Billions
$2.9
$5.6 $5.7 $7.0
$4.4
$30.4
$9.8
$4.5 $1.9
2Q 2012
3Q2012
4Q2012
1Q2013
2Q2013
3Q2013
4Q2013
1Q2014
2Q2014
Net income
Total other comprehensive income (loss), net of taxes
Comprehensive income
($ Billions)2011 2012 2013
Net Income ($5.3) $11.0 $48.7
Comprehensive Income ($1.2) $16.0 $51.6
1 Net income and Comprehensive income include $23.9 billion non-cash benefit from releasing the valuation allowance on deferred tax assets. 2 Consists of the after-tax changes in: (a) the unrealized gains and losses on available-for-sale securities; (b) the effective portion of derivatives previously designated as cash flow hedges; and (c) defined
benefit plans.
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
$0.2 $4.1 $5.7 $6.5 $7.2
$47.6
$14.9
2008 2009 2010 2011 2012 2013 YTD2014
$44.6
$6.1
$13.0
$7.6
$0.02 $0.0 $0.0
2008 2009 2010 2011 2012 2013 YTD2014
($ Billions) Cumulative
Total
Total Senior Preferred Stock
Outstanding$72.3
Less: Initial Liquidation Preference2 $1.0
Treasury Draws $71.3
$ Billions Cumulative
Total
Dividend Payments as of 06/30/14 $86.3
3Q14 Dividend Obligation $1.9
Total Dividend Payments3 $88.2
Senior preferred stock outstanding and held by Treasury remained $72.3 billion at June 30, 20141
» Dividend payments do not offset prior Treasury draws
» Any future draws will increase the balance of senior preferred stock outstanding
Since entering conservatorship in September 2008, Freddie Mac has:
» Paid aggregate cash dividends to Treasury of $88.2 billion including the September 2014 dividend obligation
» Received cumulative cash draws of $71.3 billion from Treasury
The amount of remaining Treasury funding currently available to Freddie Mac under the Purchase Agreement is $140.5 billion. Any future draws will reduce this amount
Dividend Payments to Treasury Draw Requests from Treasury
26
Treasury Draws and Dividends
$ Billions
Draws From Treasury Dividend Payments to Treasury
1 Senior preferred stock outstanding of $72.3 billion at June 30, 2014 includes cumulative draws of $71.3 billion plus the initial liquidation preference of $1.0 billion.
2 The initial $1 billion liquidation preference of senior preferred stock was issued to Treasury in September 2008 as consideration for Treasury’s funding commitment. The company received no cash proceeds as a result of issuing this initial $1 billion liquidation preference of senior preferred stock.
3 Amounts may not add due to rounding.
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Appendix 1 – Part A. Single Family Business Overview
27
© Freddie Mac 2014
Single-Family Loan Purchase Activity
Single-Family Purchase and Issuance Volume (Excludes Relief Refinance Mortgages)1
$BB
28
78
58
70
98 99 98
76
51
40
52
0
20
40
60
80
100
120
Q1 2012 Q2 2012 Q3 2012 Q4 2012 Q1 2013 Q2 2013 Q3 2013 Q4 2013 Q1 2014 Q2 2014
1 Due to rounding, the purchase and issuance volumes (excluding relief refinance mortgages) may not tie out exactly to financials
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Approved Sellers and Servicers
Freddie Mac approves sellers and servicers of mortgage loans based on a number of factors, including their
financial condition, operational capability and origination and servicing experience
In approving sellers and servicers, Freddie Mac verifies references and performs a background review,
functional area reviews – such as quality control, originations and underwriting – servicing and privacy
compliance prior to approving an entity as a seller or servicer
Freddie Mac acquires a significant portion of its single-family mortgage purchase volume from several large
lenders or sellers/servicers
» Freddie Mac’s top 10 single-family sellers/servicers provided approximately 54% of Freddie Mac’s single-family purchase volume during the first quarter of 2014
» Wells Fargo Bank, N.A accounted for 14% of Freddie Mac’s single-family mortgage purchase volume and was the only single-family seller/servicer that comprised 10% or more of Freddie Mac’s purchase volume during the first quarter of 2014
29
Seller / Servicer Distribution
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Appendix 1 – Part B. Underwriting and Quality Control
30
© Freddie Mac 2014
Loan Limits and Requirements
Property Type
Maximum Base Conforming Loan Limits for properties NOT located in Alaska, Hawaii, Guam & U.S.
Virgin Islands
Maximum Base Conforming Loan Limits for properties located in Alaska, Hawaii, Guam & U.S.
Virgin Islands
1-unit $417,000 $625,500
2-unit $533,850 $800,775
3-unit $645,300 $967,950
4-unit $801,950 $1,202,925
2014 Base Conforming Loan Limits Remain the Same as 2013 Levels (Applicable through December 31, 2014)
Units Minimum/Maximum Original Loan Amount
Properties in Alaska, Hawaii, Guam and the U.S Virgin Islands
Minimum Loan Amount
Maximum Loan Amount
Minimum Loan Amount
Maximum Loan Amount
1 >$417,000 $625,500 >$625,500 $938,250
2 >$533,850 $800,775 >$800,775 $1,201,150
3 >$645,300 $967,950 >$967,950 $1,451,925
4 >$801,950 $1,202,925 >$1,202,925 $1,804,375
2014 Loan Limits for High-cost Areas and Freddie Mac's Super Conforming Mortgages Remain the Same as 2013 (Applicable through December 31, 2014)
31
Source: http://www.freddiemac.com/singlefamily/selbultn/limit.htm
The Freddie Mac Act establishes requirements for and limitations
on the mortgage loans that Freddie Mac may purchase:
» “Single-family mortgages”: Mortgage Loans that are secured by one- to four-
unit residential properties
» Upper limitation (“conforming loan limit”) on the original principal balance of
mortgage loans
» Maximum LTV ratio limit of 80% unless there is one or more of the following
credit protections, which are designed to offset any additional credit losses
that may be associated with higher LTVs:
– Mortgage insurance on the portion of the original principal balance above
80% from a qualified mortgage insurer
– Seller’s agreement to repurchase or replace (for periods and under
conditions as Freddie Mac may determine) any mortgage loan that has
defaulted; or
– Retention by the seller of at least a 10% participation interest in such
mortgage loans
In addition to the standards in the Freddie Mac Act, Freddie Mac
seeks to manage the credit risk with respect to purchased
mortgage loans through its underwriting and servicing standards
reflected in the Freddie Mac Single-Family Seller/Servicer Guide
(the “Guide”) and associated purchase agreements
» The Guide provides the underwriting standards for loans acceptable for
purchase by Freddie Mac and details its requirements for servicing mortgage
loans
» The terms of the Guide are revised from time to time, usually several times a
year, through bulletins, and the Guide, bulletins and other information about
underwriting and servicing requirements can be accessed through
www.allregs.com or www.freddiemac.com
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Underwriting Standards
32
Delegated Underwriting » Freddie Mac uses a process of delegated underwriting whereby loans are purchased from seller/servicers that make representations and warranties
that the loans meet the standards and requirements of their contracts with Freddie Mac
» Approximately 500 out of more than 1,100 active mortgage sellers approved by Freddie Mac are provided negotiated terms of business (“TOB”) which may amend, waive or otherwise alter certain terms of the Guide
– Prior to approving a TOB, Freddie Mac engages in a review process to assess potential implications and impacts of any proposed TOB across Freddie Mac and monitors TOBs on a go forward basis
» Ninety-eight percent of the loans purchased by Freddie Mac are underwritten using an automated underwriting system (“AUS”), either Freddie Mac’s proprietary system, Loan Prospector® (“LP”), the seller/servicer’s own system, or Fannie Mae’s proprietary system, Desktop Underwriter® (“DU”)
– In permitting a seller to use an AUS other than LP, Freddie Mac requires a number of additional credit standards for mortgage loans evaluated by such other AUS
Underwriting Standards » Mortgage loans sold to Freddie Mac must, at a minimum, have documented property values and a mortgage file which reflects an acceptable level of
documentation and evidence of the mortgagor’s ability to repay
» Freddie Mac requires a seller to obtain credit scores through credit bureaus when underwriting a mortgage Loan
– The Guide requires a minimum credit score of 620 for manually underwritten loans
– LP evaluates the borrower’s credit profile and determines if it is acceptable and in some cases, LP may accept Credit Scores below 620 based on compensating factors
» Other factors considered in the underwriting are the applicant’s credit history, the amount of the applicant’s debts compared to his or her gross monthly income, the intended occupancy of the subject property, the property type, and the purpose of the loan transaction
» Freddie Mac requires the seller to conduct a valuation of the mortgaged property as collateral for each mortgage
– With few exceptions this collateral valuation is determined by an appraisal report where the mortgaged property and the neighborhood are inspected by an appraiser and the value of the mortgaged property is estimated by the appraiser
Documentation Standards » Freddie Mac requires the Seller to obtain verifications and documentation for each source of qualifying income and assets identified by the Mortgagor in
the application
– Streamlined Accept Documentation: qualifying income for a salaried Mortgagor would require documentation that includes a verification of employment, a year-to-date paystub or evidence of thirty (30) days of income, and W-2 form(s) for the most recent year. Assets listed on the application and required to qualify for the mortgage loan that are in a checking account would require a bank statement covering the most recent one month
– Standard Documentation: qualifying income for a salaried Mortgagor would require documentation that includes a verification of employment, a year-to-date paystub or evidence of thirty (30) days of income, and W-2 form(s) for the most recent two years. Assets listed on the application and required to qualify for the mortgage loan that are in a checking account and would require a bank statement covering the most recent two months
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Representations and Warranties
» Freddie Mac relies on representations and warranties of each seller covering such matters as, but not limited to:
– The accuracy of the information provided by the mortgagor and seller,
– The validity of each mortgage loan as a first lien,
– The fact that payments are current on each mortgage loan,
– The physical condition of the Mortgaged Property,
– The originator’s compliance with applicable laws, including state anti-predatory lending statutes.
Performing Loan Quality Control Review
» Each month Freddie Mac selects a sample of the single-family mortgage loans it acquired in the previous month in order to conduct a quality control review of performing mortgage loans, with supplemental targeted sampling to focus on loan attributes or sellers that may be of particular interest or concern
» Freddie Mac verifies that each mortgage loan complies with Freddie Mac’s underwriting guidelines and other requirements set forth in the Guide as may be modified in any applicable TOBs
Non-Performing Loan Quality Control Review
» In addition to reviewing samples of newly-acquired mortgage loans, Freddie Mac also reviews a significant portion of the mortgage loans that default within the first few years after purchase or guarantee by Freddie Mac
» The review of non-performing mortgage loans follows a similar process as the on-going quality control reviews performed on samples of newly purchased loans
» Freddie Mac plans to review every loan that suffers a Credit Event for a STACR transaction
Seller In-House Quality Control (QC)
» Freddie Mac requires each seller to have an in-house QC program that has written procedures, operates independently of the origination and underwriting functions, includes re-verification and/or re-underwriting processes, regularly monitors the overall quality of mortgage production, and employs effective sampling and reporting procedures under which sellers agreed to sell mortgage loans to Freddie Mac
» Freddie Mac reviews, monitors and provides feedback on sellers, QC and origination practices in a variety of ways, including performing on-site reviews of its largest sellers
Quality Control Overview
33
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Credit Review
» For mortgage loans selected to be reviewed, files are sent to vendors to re-verify factual information and then the files are placed in a queue for review.
» All mortgage loans reviewed are compared against the underwriting standards set forth in the Guide and as may be modified by any applicable TOBs in effect at the time of purchase by Freddie Mac, including a review of the original appraisals of the Mortgaged Properties that were obtained in connection with the origination of those mortgage loans.
» The original appraisal value of the Mortgaged Property is reviewed against a value from Freddie Mac’s automated valuation model, Home Value Explorer (“HVE”), when available, as well as a desk review by an underwriter, in order to assess if the original appraisal report supported the value and marketability of the subject property.
– To the extent HVE indicates that the original appraisal report significantly exceeded the actual value, Freddie Mac uses other tools, including review appraisals, to determine if value and marketability of the Mortgaged Property was supported.
» Freddie Mac also captures the names of parties to the sampled mortgage loan transactions and compares them to Freddie Mac’s exclusionary list, which is comprised of individuals and companies that are prohibited from participating in transactions involving Freddie Mac, either directly or indirectly, due to lack of integrity or business competency.
Compliance Review
» Some mortgage loans are selected for anti-predatory lending reviews and are reviewed to assess whether those mortgage loans were originated in compliance with certain applicable laws and regulations.
» This assessment includes, for example, whether the mortgage loans reviewed met the definition of “high cost” loans under HOEPA or similar state or local laws.
» Mortgage loans in the sample that violate Freddie Mac’s charter or anti-predatory laws are required to be repurchased by the applicable seller.
Quality Assurance
» A Quality Assurance review is a secondary review performed on a small percentage of the mortgage loans in the Quality Control process, to evaluate quality and consistency of the Quality Control underwriters’ and third-party vendors’ decisions and processes with Freddie Mac’s credit policies and procedures.
Quality Control Review Process
34
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Underwriting Defects
» In its sole discretion, Freddie Mac determines that a loan has an underwriting defect, through the identification of one of the following:
– a material violation of the underwriting guidelines and other requirements in the Guide and as may be modified by the related seller contract with
respect to such loan,
– inadequate collateral securing such loan; or
– as of the origination date, repayment in full cannot be expected
» The most common underwriting defects found in the reviews of loans purchased in 2013 related to insufficient income and inadequate or
missing documentation to support Mortgagor qualification. Other common defects include LP requirements not met and inappropriate
comparables used to support appraisal value
Underwriting Defects Repurchase Process
» Freddie Mac may require or permit the seller or servicer of a Mortgage Loan to repurchase any such loan if there is an underwriting defect
discovered through the credit review, compliance review, or quality assurance process
» To the extent that Freddie Mac determines that the origination of a Mortgage Loan has an underwriting defect relating to a representation or
warranty given by a seller, the applicable seller or servicer generally will be obligated to repurchase the Mortgage Loan within 60 days after
receipt of notice from Freddie Mac of such defect
» Upon receipt of a repurchase notice, the seller or servicer may file an appeal if it has additional supporting information and/or documentation
that may affect Freddie Mac’s decision. The appeal must be filed within 60 days from the date of Freddie Mac’s notice requiring repurchase
» An underwriting defect becomes confirmed when:
– Such loan is repurchased by the related seller or servicer,
– In lieu of repurchase, an alternative remedy (such as indemnification) is mutually agreed upon by both Freddie Mac and the seller or servicer; or
– Freddie Mac, in its sole discretion, elects to waive the enforcement of a remedy against the seller or servicer in respect of such underwriting defect
Quality Control Review Process (cont.)
35
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Appendix 1 – Part C. Single Family Servicing Oversight and
Control
36
© Freddie Mac 2014
Servicing Standards
37
Servicing Overview
» Servicers are required to perform customary mortgage loan servicing functions, including:
– collection of payments from Mortgagors and remitting payments to Freddie Mac;
– maintenance of primary mortgage loan and property insurance and filing and settlement of claims under those policies;
– maintenance of escrow accounts of some Mortgagors for payment of taxes, insurance, and other items required to be paid by the Mortgagors pursuant
to terms of the related mortgage loan;
– processing of assumptions, substitutions, payoffs and releases;
– attempting to cure delinquencies and mitigate losses;
– supervising foreclosures or repossessions;
» Freddie Mac retains the right to revoke, re-assign or terminate servicing of any servicer, subject to the terms of the Guide (as modified) and as
may be further modified by terms of business applicable to a servicer
Loss Mitigation
» Servicers are required to contact a delinquent Mortgagor early in the delinquency process and throughout the delinquency cycle in order to
mitigate the risk of default
» Freddie Mac’s loss mitigation strategy emphasizes early intervention by servicers in delinquent mortgage loans and provides alternatives to
foreclosure, including:
– Forbearance agreements, where reduced payments or no payments are required during a defined period, generally less than one year (Freddie Mac
does not permit principal forgiveness)
– Repayment plans, which are contractual plans to make up past due amounts
– Loan modifications, which may involve changing the terms of the mortgage loan, or capitalizing outstanding indebtedness, (such as delinquent
interest), to the unpaid principal balance of the mortgage loan, or a combination of both. Freddie Mac may grant partial principal forbearance as part of
a modification but does not utilize principal forgiveness
– Short sales, which involve allowing the Mortgagor to sell the Mortgaged Property to an unrelated third party for an amount that is insufficient to pay
off the mortgage loan in full
– Deeds in lieu of foreclosure which are processed similar to a short sale except that the Mortgaged Property is not sold to a third party but is conveyed
directly to Freddie Mac
– Mortgage assumption by which a new party assumes the obligations of the Mortgagor under the Mortgage Note, and may be performed
simultaneously with a loan modification
» If a loan workout has not been reached by the 120th day of delinquency, servicers are generally required to accelerate payment of principal
from the Mortgagor and initiate foreclosure proceedings with respect to a Mortgage in accordance with the provisions of the Guide (as
modified) and as may be modified any terms of business applicable to a servicer
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Servicing Monitoring
Freddie Mac requires servicers to report regularly on their servicing activities, including adverse matters, charge-offs, reporting to credit repositories, foreclosures, monthly delinquencies, real-estate owned repurchases and transfers of ownership
Freddie Mac has an internal unit dedicated to monitoring and improving servicing performance, by performing the following functions:
» assigning account managers to provide individualized attention to their assigned servicer or group of servicers
» collecting information about servicer performance, from both internal and external sources, and regularly assessing this data
» focusing on default servicing and management by monitoring various metrics
» measuring a servicer’s performance based on key criteria in two categories: investor reporting and remitting, and default management
Freddie Mac also conducts file reviews of some servicers, both remotely and in the servicers’ offices, in order to assess servicing and default management performance. These file reviews are in addition to credit and compliance reviews Freddie Mac undertakes as part of its quality assurance process
Freddie Mac may also conduct the following types of Servicer Success File Reviews:
» Prudent Servicing Review: An assessment of the Servicer’s collection activities, loss mitigation activities, timeline management, and property preservation processes
» Short Sale Compliance Review: An assessment of the Servicer’s compliance with the requirements of the Guide as may be modified by terms of business, regarding completed short sales
» Loan Modification Compliance Review: An assessment of the Servicer’s compliance with the requirements of the Guide as maybe modified by terms of business, as applicable, regarding completed modifications
Freddie Mac considers factors such as trends in performance, adequacy of staffing, audit results, scorecard results, Servicer Success File Reviews, and/or compliance with all requirements of the Guide or as may be modified by terms of business in evaluating whether the servicer’s overall performance is unacceptable for purposes of disqualification or suspension as an approved servicer
If a servicer is placed in the bottom 25% of the list of all servicers based on their Servicer Success Scorecard, in accordance with the terms of the Guide or as may be modified by a servicer’s contract, or a servicer does not meet the goals set forth in a term of business, Freddie Mac may remove servicing, either partially or in full from the servicer
Freddie Mac monitors servicers to ensure they are properly implementing servicing standards
38
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Appendix 2. Data and Market Transparency
39
© Freddie Mac 2014
Data Transparency Freddie Mac has made available the Single-Family Loan-Level Dataset as part of a larger effort to increase
transparency and help investors build more accurate credit performance models in support of the risk-
sharing initiatives.
The Single-Family Loan-Level Dataset includes loan-level origination and monthly loan performance data
on a portion of single-family mortgages acquired by Freddie Mac. Approximately 16 million loans are in the
“full” Single-Family Loan-Level Dataset, meeting the following selection criteria:
» Fully amortizing 30-year fixed-rate mortgages originated from January 1, 1999 through June 30, 2013, with monthly
loan performance data through December 30, 2013, that were sold to Freddie Mac or issued in Freddie Mac
Participation Certificates (“PCs”)
» Mortgages categorized as having verified or waived documentation (i.e. “full documentation”)
This level of quality and historical data is generally not seen in the private label RMBS market
Freddie Mac has created a smaller dataset for those who do not require the full dataset or do not have the
capability to download the full dataset
Investors can rely upon the dataset to model transaction projections and performance
Additionally, Freddie Mac releases loan level data for all STACR deals on a monthly basis
40
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Disclosed Loan-Level Fields
# Field Name Historical STACR # Field Name Historical STACR
1 Adjusted Remaining Months to Maturity (aka RMM) X 21 Original Debt-to-Income Ratio (DTI) X X
2 Channel (aka TPO Flag) X X 22 Original Interest Rate (aka Note Rate) X X
3 Credit Score X X 23 Original Loan-to-Value (LTV) X X
4 Current Actual UPB X X 24 Original Loan Term X X
5 Current Interest Rate X X 25 Original UPB (aka Mortgage Loan Amount) X X
6 Current Loan Delinquency Status X X 26 Payment History D X
7 First Payment Date X X 27 Postal Code (3 digit) X X
8 First Time Homebuyer X X 28 Prepayment Penalty Indicator (aka PPM Flag) X X
9 Current Interest Bearing UPB (for modified loans) X 29 Product Type X X
10 Loan Age X X 30 Property State X X
11 Loan Purpose X X 31 Property Type X X
12 Loan Identifier (aka Loan Sequence Number) X X 32 Remaining Months to Legal Maturity X X
13 Maturity Date X X 33 Underwriting Defect Settlement Date X
14 Metropolitan Statistical Area (MSA) X X 34 Repurchase Flag X
15 Modification Flag X X 35 Seller Name X X
16 Mortgage Insurance Percentage (MI %) X X 36 Servicer Name X X
17 Number of Borrowers X X 37 UPB at Issuance X
18 Number of Units X X 38 UPB at Time of Removal from the Reference Pool D X
19 Occupancy Status X X 39 Zero Balance Code X X
20 Original Combined Loan-to-Value (CLTV) X X 40 Zero Balance Effective Date X X
D = not disclosed, but derivable from other disclosed fields.
41
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Market Transparency and Liquidity
42
$5.0 billion of STACR credit risk transfer
bonds have been issued since July 2013
All GSE credit risk transfer bonds are TRACE
eligible and all secondary trading prices and
volumes are reported on FINRA’s website
Numerous broker dealers make secondary
markets for credit risk transfer bonds on a
daily basis
All transactions, except for STACR 2013-
DN1, have been rated, and Freddie Mac is in
constant dialogue with all rating agencies,
including hosting on-site rating agency days
Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac
STACR 2013-DN1 STACR 2013-DN2 STACR 2014-DN1 STACR 2014-DN2 STACR 2014-DN3 STACR 2014-HQ1 STACR 2014-HQ2
Size Spread WAL Size Spread WAL Size Spread WAL Size Spread WAL Size Spread WAL Size Spread WAL Size Spread WAL
M-1 250 122 1.8 245 151 1.4 240 153 1.5 230 154 1.5 160 152 1.6 192 154 2.2 280 152 2.0
M-2 250 337 7.2 385 355 6.8 360 237 4.5 345 238 4.5 192 237 4.1 124 235 5.9 259 240 5.7
M-3 NA NA NA NA NA NA 408 407 8.9 391 407 9.0 320 415 8.8 144 412 9.5 231 415 9.7
Total 500 630 1,008 966 672 460 770
___________________________ Source: The Trade Reporting and Compliance Engine (TRACE), FINRA **Note: Spreads and WALs shown as of 10/14/2014, based on BofA Merrill’s base case assumptions (10CPR)
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Appendix 3. STACR 2014-DN4 & HQ3: Key Terms & Structure
Overview
43
© Freddie Mac 2014
Issuer Freddie Mac
Master Servicer Freddie Mac
Reference Pool Pool of all mortgage loans acquired by Freddie Mac between January 1, 2014 and March 31, 2014 and securitized in a mortgage participation certificate (“PC”) by May 31, 2014 and remained in such PC as of October 2, 2014, that meet the Eligibility Criteria, and have not been prepaid in full, have never been delinquent as of August 31, 2014, have not been repurchased and do not have any outstanding repurchase letters
Credit Event1 Any loan that becomes 180 or more Days Delinquent2; or Third Party Sale prior to D180; or Short Sale prior to D180; or Deed-in-Lieu of Foreclosure prior to D180; or REO acquisition prior to D180. 1 100% of Reference Obligations that suffer Credit Events undergo Freddie Mac Quality Control review 2 For a period of 18 months, Freddie Mac will not declare a Credit Event based on a delinquency of 180 days or more with respect to any Reference Obligation that is in natural disaster forbearance
Modifications Modifications do not constitute Credit Events and remain in the pool until they prepay in full or experience a Credit Event. Principal reduction modifications (if applicable) would be treated as partial prepays and capitalized arrears would increase the balance of the reference pool
Maturity 10 year legal final maturity
Optional Clean-up Call 10%
Allocation of Principal and Write-downs
Sequential pay among subordinate classes
Reference Pool Removals Credit Event; payment in full of the Reference Obligation; Underwriting Defect; discovery of a violation of the Eligibility Criteria; Reference Obligation is seized pursuant to any special eminent domain proceeding brought by any federal, state or local government instrumentality with the intent to provide relief to financially-distressed borrowers with negative equity in the underlying mortgage loan.
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 has been confirmed
44
Key STACR 2014-DN4/HQ3 Terms
M-1 & M-1H
M-2 & M-2H
M-3 & M-3H
B-H
Write-downs are allocated reverse sequentially
Principal is allocated sequentially
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
MAC Notes The Holders of the Class M-1, Class M-2 and Class M-3 Notes can exchange all or part of those Classes for proportionate interests in the related Classes of Modifiable and Combinable Notes (Classes M-1F, M-1I, M-2F, M-2I, M-3F, M-3I, M-12 and MA), and vice versa, at any time on or after 15 days after the Closing Date
Offering Type Exempt
Risk Retention Freddie Mac will not, through this transaction or any subsequent transactions, to issue debt or enter into agreements that will result in the transfer of more than a 95% pro rata share of the credit risk
United States Federal Tax Consequences Freddie Mac will receive an opinion from its tax counsel that, although the matter is not free from doubt: • Class M-1 Notes will be characterized as indebtedness for U.S. federal income tax purposes • Class M-2 Notes will be characterized as indebtedness for U.S. federal income tax purposes • Class M-3 Notes will be characterized as indebtedness for U.S. federal income tax purposes
Events of Default • Any failure by Freddie Mac to pay principal or interest that continues unremedied for 30 days; • Any failure by Freddie Mac to perform in any material way any other obligation under the Debt Agreement if the failure continues unremedied for
60 days after receiving notification by the Holders of at least 25% of the outstanding Class Principal Balance of the Notes; or • Specified events of bankruptcy, insolvency or similar proceedings involving Freddie Mac.
The appointment of a conservator (or other similar official) by a regulator having jurisdiction over Freddie Mac, whether or not Freddie Mac consent to such appointment, will not constitute an Event of Default
Rights Upon Event of Default If an Event of Default (“EoD”) continues unremedied, Holders of 50% or more of the outstanding principal amount of Notes to which such EoD relates may declare such Notes due and payable.
No Holder has any right to institute any action or proceeding at law or in equity or in bankruptcy or otherwise, or for the appointment of a receiver or trustee, or for any other remedy, unless:
a) Holder previously has given Freddie Mac written notice of an EoD;
b) Holders of 50% or greater of the outstanding Class Principal Balance of the Notes to which such EoD relates have given Freddie Mac written notice of the EoD; and
c) The EoD continues uncured for 60 days following such notice.
The Holders of 50% or greater of the outstanding Class Principal Balance of Notes may waive, rescind or annul an EoD at any time.
ERISA Considerations Employee benefit plans and entities holding the assets of any such plan may purchase the Notes only if purchasing and holding the Notes will not result in a nonexempt prohibited transaction under the Employee Retirement Income Security Act of 1974, as amended (“ERISA”), the Internal Revenue Code of 1986, as amended (the “Code”), or any similar federal, state or local law.
45
Key STACR 2014-DN4/HQ3 Terms (cont.)
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014 46
STACR 2014-DN4 and HQ3 Structure Illustration
Reference Pool
Specified Credit Events
Freddie Mac pays coupon on Notes, and its obligation to repay principal on the Notes is reduced for credit events on the Reference Pool based on a fixed severity approach
Actual Principal Payments
For illustration purposes only
*Freddie Mac may sell a portion of their retained vertical slice, but will always maintain ownership of at least 5% of the M tranches. Note the size of the retained vertical slice varies between the DN4 and HQ3 deals.
Class A-H
Catastrophic losses
STACR Debt Notes
Tranche M-1
STACR Debt Notes
Tranche M-2
STACR Debt Notes
Tranche M-3
Class B-H
First Loss Position
Vertical Slice Interest
Alignment
STACR Issued Notes Retained
Referen
ce Poo
l
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Appendix 4. STACR 2014-DN4 & HQ3: Reference Pool Overview
47
© Freddie Mac 2014
STACR 2014-DN4 Initial Cohort Pool to Reference Pool
48
1) Excludes Long-term Standby (LTSB). 2) Other filters include: inclusion in PC, and exclusions such as loans with MI, loans originated under Home Possible® or other affordable mortgage programs of Freddie Mac, government guaranteed loans, IO only, balloons, etc. 3) Out of the 823 loans that were excluded from the Reference Pool due to being ever reported 30 days or more delinquent, 586 of those loans were reported to be currently performing as of 8/31/2014. 4) Loans removed because reconciliation with the related sellers regarding certain data they provided has not yet been completed or loans removed because data corrections made the loans ineligible.
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
» No government guaranteed loans
» No IOs or Balloons
» No LTV > 80% or <=60%
Category Aggregate Original Loan Balance ($ Billion)
All non-HARP loans funded in Q1 2014 39.6
Non-HARP loans, fixed 37.1
Non-HARP loans, fixed 30 Year 29.5
Non-HARP loans, fixed 30 Year, 60% < LTV <= 80% 17.2
Non-HARP loans, fixed 30 Year, 60% < LTV <= 80% & other filters (2) 17.1
Category Loan Count Aggregate Original Loan Balance ($)
Average Original Loan Balance ($)
Non-Zero Weighted Average Credit Score
Weighted Average LTV
Ratio (%)
Non-Zero Weighted Average
DTI (%)
Initial Cohort Pool 73,661 17,073,228,000 231,781 753 76 35
less loans that were removed due to incomplete data reconciliation or corrected data(4)
6 2,318,000 386,333 752 77 30
less quality control removals 147 33,113,000 225,259 740 75 37
less loans that paid in full 2,902 866,068,000 298,438 755 75 36
less loans that were ever reported 30 or more days delinquent (3)
823 190,886,000 231,939 723 75 37
less loans removed from PC Pools 3 560,000 186,667 783 68 42
Reference Pool 69,780 15,980,283,000 229,010 753 76 35
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014 49
DN4 Reference Pool – Selected Stratifications
State or Territory Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance
(%)
California 11,952 3,831,482,618 24.34
Texas 5,124 1,063,027,953 6.75
Florida 4,570 837,507,259 5.32
Virginia 2,553 703,162,636 4.47
New York 2,560 680,248,497 4.32
Illinois 2,606 506,981,016 3.22
Colorado 1,908 447,971,445 2.85
Washington 1,812 445,317,192 2.83
Massachusetts 1,581 435,124,111 2.76
North Carolina 2,253 427,859,381 2.72
Other 32,861 6,362,027,070 40.42
Total: 69,780 15,740,709,177 100.00
Top 10 States / Territories Top 10 Sellers
Seller Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance
(%)
Wells Fargo Bank 9,141 1,945,710,005 12.36
U.S. Bank 6,230 1,439,343,063 9.14
JPM Chase Bank 4,200 959,152,453 6.09
BB&T 4,156 776,856,770 4.94
Suntrust Mortgage 2,501 610,019,271 3.88
Bank of America 2,715 594,805,462 3.78
Caliber Home Loans Inc 1,748 444,471,637 2.82
PennyMac Corp 1,528 431,437,585 2.74
Flagstar Bank FSB 1,434 377,546,316 2.40
Citi Mortgage Inc 1,593 377,309,003 2.40
Other 34,534 7,784,057,612 49.45
Total: 69,780 15,740,709,177 100.00
Range of Credit Scores Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance
(%)
Not Available 1 187,652 0.00
600 to 619 25 4,135,870 0.03
620 to 639 730 144,271,844 0.92
640 to 659 1,515 294,565,108 1.87
660 to 679 2,536 520,417,103 3.31
680 to 699 4,991 1,059,491,858 6.73
700 to 719 6,894 1,542,279,672 9.80
720 to 739 7,886 1,846,194,736 11.73
740 to 759 9,471 2,207,071,238 14.02
760 to 779 12,233 2,881,792,614 18.31
780 to 799 15,020 3,470,877,118 22.05
800 to 819 8,290 1,734,700,180 11.02
820 to 839 188 34,724,184 0.22
Total: 69,780 15,740,709,177 100.00
Credit Scores at Origination Loan-to-Value Ratios at Origination
Range of Original Loan-to-Value Ratios (%)
Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance
(%)
61 to 65 5,032 1,162,556,196 7.39
66 to 70 8,317 1,964,575,686 12.48
71 to 75 14,701 3,352,405,627 21.30
76 to 80 41,730 9,261,171,668 58.84
Total: 69,780 15,740,709,177 100.00
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
DN4 Reference Pool – Selected Stratifications
Range of Original Principal Balances ($)
Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance (%)
0.01 to 25,000.00 37 771,253 0.00
25,001.01 to 50,000.00 948 39,213,350 0.25
50,001.01 to 75,000.00 3,149 199,514,324 1.27
75,001.01 to 100,000.00 5,430 478,597,406 3.04
100,001.01 to 125,000.00 6,350 708,967,351 4.50
125,001.01 to 150,000.00 6,615 899,258,827 5.71
150,001.01 to 200,000.00 12,007 2,077,925,611 13.20
200,001.01 to 250,000.00 9,425 2,091,292,679 13.29
250,001.01to 300,000.00 7,823 2,122,333,793 13.48
300,001.01 to 350,000.00 5,623 1,800,576,438 11.44
350,001.01 to 400,000.00 4,651 1,725,440,081 10.96
400,001.01 to 450,000.00 4,209 1,730,648,842 10.99
450,001.01 to 500,000.00 1,256 591,836,520 3.76
500,001.01 to 550,000.00 996 517,208,599 3.29
550,001.01 to 600,000.00 617 350,805,071 2.23
600,001.01 to 650,000.00 562 344,836,742 2.19
650,001.01 to 700,000.00 24 16,062,319 0.10
700,001.01 to 750,000.00 18 12,869,371 0.08
750,001.01 to 800,000.00 19 14,649,245 0.09
800,001.01to 850,000.00 11 8,846,695 0.06
850,001.01 to 900,000.00 4 3,412,591 0.02
900,001.01 and greater 6 5,642,071 0.04
Total: 69,780 15,740,709,177 100.00
Original Principal Balances
Range of Debt-to-Income Ratios (%)
Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance (%)
Not Available 53 17,923,769 0.11
1 to 20 6,293 1,229,717,368 7.81
21 to 25 7,194 1,501,272,395 9.54
26 to 30 9,699 2,137,898,871 13.58
31 to 35 11,424 2,590,434,453 16.46
36 to 40 13,237 3,029,948,391 19.25
41 to 45 16,754 3,943,440,878 25.05
46 to 50 5,126 1,290,073,052 8.20
Total: 69,780 15,740,709,177 100.00
Debt-to-Income Ratios
Range of Gross Mortgage Rates
Range of Gross Mortgage Rates (%)
Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance
(%)
3.375 to 3.499 5 1,371,429 0.01
3.500 to 3.624 6 2,047,677 0.01
3.625 to 3.749 5 933,932 0.01
3.750 to 3.874 44 12,007,797 0.08
3.875 to 3.999 152 42,192,837 0.27
4.000 to 4.124 632 168,954,671 1.07
4.125 to 4.249 2,478 620,713,515 3.94
4.250 to 4.374 6,109 1,501,648,290 9.54
4.375 to 4.499 8,859 2,064,500,283 13.12
4.500 to 4.624 16,718 3,994,766,027 25.38
4.625 to 4.749 14,172 3,256,093,053 20.69
4.750 to 4.874 8,317 1,834,888,197 11.66
4.875 to 4.999 4,715 951,548,051 6.05
5.000 to 5.124 2,060 394,582,406 2.51
5.125 to 5.249 2,521 442,893,208 2.81
5.250 to 5.374 2,040 320,151,454 2.03
5.375 to 5.499 738 103,905,098 0.66
5.500 to 5.624 139 18,737,657 0.12
5.625 to 5.749 31 4,415,403 0.03
5.750 to 5.874 24 3,172,649 0.02
5.875 to 5.999 11 927,936 0.01
6.000 to 6.124 3 211,427 0.00
6.125 to 6.249 1 46,179 0.00
Total: 69,780 15,740,709,177 100.00
50
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
STACR 2014-HQ3 Initial Cohort Pool to Reference Pool
51
1) Excludes Long-term Standby (LTSB). 2) Other filters include: inclusion in PC, and exclusions such as loans originated under Home Possible® or other affordable mortgage programs of Freddie Mac, government guaranteed loans, IO only, balloons, etc. 3) Out of the 337 loans that were excluded from the Reference Pool due to being ever reported 30 days or more delinquent, 217 of those loans were reported to be currently performing as of 8/31/2014
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
» No government guaranteed loans
» No IOs or Balloons
» No LTV > 95% or <=80%
Category Aggregate Original Loan Balance ($ Billion)
All non-HARP loans funded in Q1 2014 39.6
Non-HARP loans, fixed 37.1
Non-HARP loans, fixed 30 Year 29.5
Non-HARP loans, fixed 30 Year, 80% < LTV <= 95% 8.6
Non-HARP loans, fixed 30 Year, 80% < LTV <= 95% & other filters (2) 8.4
Category Loan Count Aggregate Original Loan Balance ($)
Average Original Loan Balance ($)
Non-Zero Weighted Average Credit Score
Weighted Average LTV
Ratio (%)
Non-Zero Weighted Average
DTI (%)
Initial Cohort Pool 37,498 8,433,545,000 224,907 749 92 35
less quality control removals 56 10,868,000 194,071 736 93 35
less loans that paid in full 877 237,608,000 270,933 757 91 36
less loans that were ever reported 30 or more days delinquent (3)
337 76,858,000 228,065 729 92 37
less loans removed from PC Pools 2 244,000 122,000 799 95 33
Reference Pool 36,226 8,107,967,000 223,816 749 92 35
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014 52
HQ3 Reference Pool – Selected Stratifications
State or Territory Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance
(%)
California 2,701 841,626,445 10.52
Texas 3,254 697,326,800 8.72
Florida 2,075 439,024,649 5.49
Virginia 1,241 350,912,141 4.39
Illinois 1,545 306,405,873 3.83
North Carolina 1,409 291,742,972 3.65
Georgia 1,270 273,266,021 3.42
Ohio 1,550 264,119,846 3.3
Minnesota 1,217 258,066,173 3.23
Colorado 1,019 252,158,177 3.15
Other 18,945 4,025,961,250 50.33
Total: 36,226 8,000,610,348 100.00
Top 10 States / Territories Top 10 Sellers
Seller Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance
(%)
Wells Fargo Bank 5,519 1,223,303,363 15.29
U.S. Bank 3,711 833,258,560 10.41
BB&T 2,706 547,370,693 6.84
JPM Chase Bank 2,149 480,365,641 6.00
Franklin American Mortgage 1,354 278,486,964 3.48
Suntrust Mortgage 1,100 274,131,225 3.43
PennyMac Corp 959 255,058,594 3.19
Caliber Home Loans Inc 927 220,751,592 2.76
Stonegate Mortgage Corp 910 200,682,594 2.51
Bank of America 892 199,574,249 2.49
Other 15,999 3,487,626,872 43.59
Total: 36,226 8,000,610,348 100.00
Range of Credit Scores Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance
(%)
620 to 639 162 34,426,620 0.43
640 to 659 403 83,273,753 1.04
660 to 679 1,082 228,342,447 2.85
680 to 699 2,867 615,984,094 7.70
700 to 719 3,789 824,889,841 10.31
720 to 739 5,292 1,150,803,140 14.38
740 to 759 6,510 1,450,666,792 18.13
760 to 779 7,025 1,585,886,656 19.82
780 to 799 6,446 1,471,031,212 18.39
800 to 819 2,627 551,277,250 6.89
820 to 839 23 4,028,543 0.05
Total: 36,226 8,000,610,348 100.00
Credit Scores at Origination Loan-to-Value Ratios at Origination
Range of Original Loan-to-Value Ratios (%)
Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance
(%)
81 to 85 3,087 707,872,266 8.85
86 to 90 10,241 2,452,403,245 30.65
91 to 95 22,898 4,840,334,838 60.50
Total: 36,226 8,000,610,348 100.00
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014 53
HQ3 Reference Pool – Selected Stratifications
Range of Original Principal Balances ($)
Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance
(%)
0.01 to 25,000.00 9 186,886 0.00
25,000.01 to 50,000.00 196 8,177,087 0.10
50,000.01 to 75,000.00 1,039 66,507,430 0.83
75,000.01 to 100,000.00 1,788 156,459,694 1.96
100,000.01 to 125,000.00 2,860 322,166,134 4.03
125,000.01 to 150,000.00 3,594 490,575,945 6.13
150,000.01 to 200,000.00 7,453 1,283,812,665 16.05
200,000.01 to 250,000.00 6,455 1,430,678,965 17.88
250,000.01 to 300,000.00 4,693 1,271,005,065 15.89
300,000.01 to 350,000.00 3,534 1,130,873,386 14.13
350,000.01 to 400,000.00 2,660 981,835,973 12.27
400,000.01 to 450,000.00 1,396 572,026,425 7.15
450,000.01 to 500,000.00 215 101,250,440 1.27
500,000.01 to 550,000.00 156 80,708,420 1.01
550,000.01 to 600,000.00 105 59,629,828 0.75
600,000.01 to 650,000.00 73 44,716,007 0.56
Total: 36,226 8,000,610,348 100.00
Original Principal Balances
Range of Debt-to-Income Ratios (%)
Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance
(%)
Not Available 1 286,132 0.00
1 to 20 1,720 319,226,586 3.99
21 to 25 3,519 708,859,342 8.86
26 to 30 5,729 1,216,962,515 15.21
31 to 35 7,028 1,563,445,769 19.54
36 to 40 8,290 1,866,718,953 23.33
41 to 45 9,531 2,217,095,019 27.71
46 to 50 408 108,016,033 1.35
Total: 36,226 8,000,610,348 100.00
Debt-to-Income Ratios
Range of Gross Mortgage Rates
Range of Gross Mortgage Rates (%)
Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance
(%)
3.500 to 3.624 2 391,896 0.00
3.625 to 3.749 5 1,236,177 0.02
3.750 to 3.874 15 4,162,704 0.05
3.875 to 3.999 74 20,232,342 0.25
4.000 to 4.124 217 52,760,708 0.66
4.125 to 4.249 1,076 255,507,988 3.19
4.250 to 4.374 3,139 716,309,769 8.95
4.375 to 4.499 4,630 1,025,383,705 12.82
4.500 to 4.624 9,478 2,125,708,233 26.57
4.625 to 4.749 8,359 1,835,807,792 22.95
4.750 to 4.874 4,454 967,523,824 12.09
4.875 to 4.999 2,312 488,410,334 6.10
5.000 to 5.124 844 179,946,120 2.25
5.125 to 5.249 835 174,884,627 2.19
5.250 to 5.374 580 113,079,828 1.41
5.375 to 5.499 163 31,274,589 0.39
5.500 to 5.624 28 5,707,584 0.07
5.625 to 5.749 7 1,289,322 0.02
5.750 to 5.874 5 838,503 0.01
5.875 to 5.999 2 103,795 0.00
6.000 to 6.124 1 50,511 0.00
Total: 36,226 8,000,610,348 100.00
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Appendix 5. STACR 2014-DN4: Prepayment / Default Sensitivity
54
© Freddie Mac 2014 55
DN4 Credit Event Sensitivity Table
Note: “CER” is Credit Event Rate, which is the assumed constant rate of Reference Obligations becoming Credit Event Reference
Obligations each month relative to the then outstanding aggregate principal balance of Reference Obligations.
Cumulative Credit Events (as % of Cut-Off Date Balance)
CER 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR
0.10% ..................................... 0.9% 0.7% 0.6% 0.5% 0.3% 0.2%
0.20% ..................................... 1.8% 1.4% 1.1% 0.9% 0.6% 0.4%
0.30% ..................................... 2.7% 2.1% 1.7% 1.4% 0.9% 0.7%
0.40% ..................................... 3.6% 2.8% 2.3% 1.8% 1.2% 0.9%
0.50% ..................................... 4.4% 3.5% 2.8% 2.3% 1.6% 1.1%
0.75% ..................................... 6.6% 5.2% 4.2% 3.4% 2.3% 1.7%
1.00% ..................................... 8.7% 6.9% 5.5% 4.5% 3.1% 2.2%
1.25% ..................................... 10.7% 8.5% 6.9% 5.6% 3.8% 2.7%
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014 56
DN4 M-1 Cumulative Note Write-down, Yield, WAL
M-1 & M-1F Cumulative Write-down Amount (as % of Original Balance) M-1 Pre-Tax Yield (Price = 100%)
CER 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR
0.10%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.66% 1.66% 1.66% 1.66% 1.66% 1.66%
0.20%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.66% 1.66% 1.66% 1.66% 1.66% 1.66%
0.30%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.66% 1.66% 1.66% 1.66% 1.66% 1.66%
0.40%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.66% 1.66% 1.66% 1.66% 1.66% 1.66%
0.50%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.66% 1.66% 1.66% 1.66% 1.66% 1.66%
0.75%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.66% 1.66% 1.66% 1.66% 1.66% 1.66%
1.00%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.66% 1.66% 1.66% 1.66% 1.66% 1.66%
1.25%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.66% 1.66% 1.66% 1.66% 1.66% 1.66%
M-1 Weighted Average Life
CER 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR
0.10%. . . . . . 5.18 2.85 1.64 1.13 0.69 0.51
0.20%. . . . . . 5.23 2.92 1.69 1.18 0.69 0.51
0.30%. . . . . . 5.30 3.16 1.77 1.32 0.73 0.51
0.40%. . . . . . 5.40 5.34 3.53 2.11 0.83 0.54
0.50%. . . . . . 5.50 5.43 5.37 4.56 1.87 0.71
0.75%. . . . . . 5.80 5.68 5.59 5.51 5.15 3.46
1.00%. . . . . . 6.10 5.95 5.82 5.71 5.53 4.86
1.25%. . . . . . 6.41 6.22 6.06 5.92 5.70 4.93
Note: “CER” is Credit Event Rate, which is the assumed constant rate of Reference Obligations becoming Credit Event Reference
Obligations each month relative to the then outstanding aggregate principal balance of Reference Obligations.
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014 57
DN4 M-2 Cumulative Note Write-down, Yield, WAL
M-2 & M-2F Cumulative Write-down Amount (as % of Original Balance) M-2 Pre-Tax Yield (Price = 100%)
CER 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR
0.10%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.47% 2.47% 2.47% 2.47% 2.47% 2.47%
0.20%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.47% 2.47% 2.47% 2.47% 2.47% 2.47%
0.30%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.47% 2.47% 2.47% 2.47% 2.47% 2.47%
0.40%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.47% 2.47% 2.47% 2.47% 2.47% 2.47%
0.50%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.47% 2.47% 2.47% 2.47% 2.47% 2.47%
0.75%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.47% 2.47% 2.47% 2.47% 2.47% 2.47%
1.00%. . . . . . 13.3% 0.0% 0.0% 0.0% 0.0% 0.0% 1.22% 2.47% 2.47% 2.47% 2.47% 2.47%
1.25%. . . . . . 76.5% 8.9% 0.0% 0.0% 0.0% 0.0% (9.56%) 1.64% 2.47% 2.47% 2.47% 2.47%
M-2 Weighted Average Life
CER 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR
0.10%. . . . . . 9.99 6.96 4.03 2.79 1.63 1.14
0.20%. . . . . . 9.99 7.25 4.10 2.81 1.69 1.15
0.30%. . . . . . 9.99 7.75 4.30 3.05 1.79 1.15
0.40%. . . . . . 9.99 9.99 8.59 5.35 2.43 1.50
0.50%. . . . . . 9.99 9.99 9.99 9.14 5.03 2.58
0.75%. . . . . . 9.99 9.99 9.99 9.99 9.48 6.60
1.00%. . . . . . 9.96 9.99 9.99 9.99 9.99 7.58
1.25%. . . . . . 8.99 9.97 9.99 9.99 9.99 7.69
Note: “CER” is Credit Event Rate, which is the assumed constant rate of Reference Obligations becoming Credit Event Reference
Obligations each month relative to the then outstanding aggregate principal balance of Reference Obligations.
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014 58
DN4 M-3 Cumulative Note Write-down, Yield, WAL
M-3 & M-3F Cumulative Write-down Amount (as % of Original Balance) M-3 Pre-Tax Yield (Price = 100%)
CER 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR
0.10%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 4.19% 4.19% 4.19% 4.19% 4.19% 4.19%
0.20%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 4.19% 4.19% 4.19% 4.19% 4.19% 4.19%
0.30%. . . . . . 7.2% 0.0% 0.0% 0.0% 0.0% 0.0% 3.56% 4.19% 4.19% 4.19% 4.19% 4.19%
0.40%. . . . . . 21.9% 9.6% 0.2% 0.0% 0.0% 0.0% 2.05% 3.33% 4.17% 4.19% 4.19% 4.19%
0.50%. . . . . . 36.4% 21.1% 9.5% 0.6% 0.0% 0.0% 0.20% 2.10% 3.33% 4.14% 4.19% 4.19%
0.75%. . . . . . 72.2% 49.6% 32.3% 19.2% 1.2% 0.0% (6.96%) (2.02%) 0.59% 2.23% 4.09% 4.19%
1.00%. . . . . . 100.0% 77.5% 54.8% 37.5% 13.8% 0.0% (30.87%) (9.01%) (3.20%) (0.27%) 2.78% 4.19%
1.25%. . . . . . 100.0% 100.0% 76.9% 55.5% 26.2% 8.3% (42.97%) (33.01%) (9.17%) (3.54%) 1.19% 3.31%
M-3 Weighted Average Life
CER 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR
0.10%. . . . . . 9.99 9.99 8.77 7.08 4.44 3.01
0.20%. . . . . . 9.99 9.99 8.88 7.20 4.51 3.05
0.30%. . . . . . 9.93 9.99 9.06 7.42 4.65 3.10
0.40%. . . . . . 9.56 9.86 9.99 9.04 5.69 3.67
0.50%. . . . . . 9.02 9.49 9.83 9.99 8.00 5.00
0.75%. . . . . . 7.44 8.22 8.86 9.36 9.98 8.58
1.00%. . . . . . 5.75 6.79 7.66 8.38 9.44 9.34
1.25%. . . . . . 4.54 5.32 6.40 7.30 8.68 9.10
Note: “CER” is Credit Event Rate, which is the assumed constant rate of Reference Obligations becoming Credit Event Reference
Obligations each month relative to the then outstanding aggregate principal balance of Reference Obligations.
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Appendix 6. STACR 2014-HQ3: Prepayment / Default Sensitivity
59
© Freddie Mac 2014 60
HQ3 Credit Event Sensitivity Table
Note: “CER” is Credit Event Rate, which is the assumed constant rate of Reference Obligations becoming Credit Event Reference
Obligations each month relative to the then outstanding aggregate principal balance of Reference Obligations.
Cumulative Credit Events (as % of Cut-Off Date Balance)
CER 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR
0.25% ..................................... 2.2% 1.8% 1.4% 1.2% 0.8% 0.6%
0.50% ..................................... 4.4% 3.5% 2.8% 2.3% 1.6% 1.1%
0.75% ..................................... 6.6% 5.2% 4.2% 3.4% 2.3% 1.7%
1.00% ..................................... 8.7% 6.9% 5.5% 4.5% 3.1% 2.2%
1.25% ..................................... 10.7% 8.5% 6.9% 5.6% 3.8% 2.7%
1.50% ..................................... 12.7% 10.1% 8.2% 6.6% 4.6% 3.3%
2.00% ..................................... 16.6% 13.3% 10.7% 8.7% 6.0% 4.3%
2.50% ..................................... 20.4% 16.3% 13.2% 10.7% 7.4% 5.4%
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014 61
HQ3 M-1 Cumulative Note Write-down, Yield, WAL
M-1 & M-1F Cumulative Write-down Amount (as % of Original Balance) M-1 Pre-Tax Yield (Price = 100%)
CER 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR
0.25%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71%
0.50%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71%
0.75%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71%
1.00%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71%
1.25%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71%
1.50%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71%
2.00%. . . . . . 51.8% 0.0% 0.0% 0.0% 0.0% 0.0% (9.20%) 1.71% 1.71% 1.71% 1.71% 1.71%
2.50%. . . . . . 69.4% 43.6% 0.0% 0.0% 0.0% 0.0% (22.72%) (6.05%) 1.71% 1.71% 1.71% 1.71%
M-1 Weighted Average Life
CER 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR
0.25%. . . . . . 6.57 3.29 1.88 1.31 0.84 0.61
0.50%. . . . . . 6.66 4.03 2.18 1.47 0.91 0.61
0.75%. . . . . . 6.76 6.72 6.41 4.91 1.90 0.80
1.00%. . . . . . 6.90 6.82 6.77 6.73 4.66 2.73
1.25%. . . . . . 7.05 6.95 6.87 6.81 6.49 4.28
1.50%. . . . . . 7.20 7.08 6.98 6.90 6.72 5.23
2.00%. . . . . . 7.12 7.36 7.22 7.10 6.90 5.28
2.50%. . . . . . 6.04 7.26 7.48 7.33 7.09 5.35
Note: “CER” is Credit Event Rate, which is the assumed constant rate of Reference Obligations becoming Credit Event Reference
Obligations each month relative to the then outstanding aggregate principal balance of Reference Obligations.
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014 62
HQ3 M-2 Cumulative Note Write-down, Yield, WAL
M-2 & M-2F Cumulative Write-down Amount (as % of Original Balance) M-2 Pre-Tax Yield (Price = 100%)
CER 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR
0.25%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.52% 2.52% 2.52% 2.52% 2.52% 2.52%
0.50%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.52% 2.52% 2.52% 2.52% 2.52% 2.52%
0.75%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.52% 2.52% 2.52% 2.52% 2.52% 2.52%
1.00%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.52% 2.52% 2.52% 2.52% 2.52% 2.52%
1.25%. . . . . . 11.8% 0.0% 0.0% 0.0% 0.0% 0.0% 1.42% 2.52% 2.52% 2.52% 2.52% 2.52%
1.50%. . . . . . 60.5% 0.0% 0.0% 0.0% 0.0% 0.0% (5.42%) 2.52% 2.52% 2.52% 2.52% 2.52%
2.00%. . . . . . 100.0% 73.4% 11.0% 0.0% 0.0% 0.0% (35.01%) (8.69%) 1.49% 2.52% 2.52% 2.52%
2.50%. . . . . . 100.0% 100.0% 70.4% 12.1% 0.0% 0.0% (47.81%) (37.65%) (8.02%) 1.38% 2.52% 2.52%
M-2 Weighted Average Life
CER 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR
0.25%. . . . . . 9.99 8.35 4.88 3.35 2.04 1.42
0.50%. . . . . . 9.99 9.13 5.42 3.68 2.21 1.51
0.75%. . . . . . 9.99 9.99 9.99 8.89 4.75 2.56
1.00%. . . . . . 9.99 9.99 9.99 9.99 7.91 4.94
1.25%. . . . . . 9.97 9.99 9.99 9.99 9.91 6.92
1.50%. . . . . . 9.31 9.99 9.99 9.99 9.99 7.31
2.00%. . . . . . 7.00 8.77 9.95 9.99 9.99 7.40
2.50%. . . . . . 5.50 6.58 8.53 9.91 9.99 7.54
Note: “CER” is Credit Event Rate, which is the assumed constant rate of Reference Obligations becoming Credit Event Reference
Obligations each month relative to the then outstanding aggregate principal balance of Reference Obligations.
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014 63
HQ3 M-3 Cumulative Note Write-down, Yield, WAL
M-3 & M-3F Cumulative Write-down Amount (as % of Original Balance) M-3 Pre-Tax Yield (Price = 100%)
CER 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR
0.25%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 4.24% 4.24% 4.24% 4.24% 4.24% 4.24%
0.50%. . . . . . 0.4% 0.0% 0.0% 0.0% 0.0% 0.0% 4.21% 4.24% 4.24% 4.24% 4.24% 4.24%
0.75%. . . . . . 34.8% 10.7% 0.0% 0.0% 0.0% 0.0% 0.65% 3.30% 4.24% 4.24% 4.24% 4.24%
1.00%. . . . . . 72.1% 40.4% 16.2% 1.1% 0.0% 0.0% (6.32%) (0.21%) 2.72% 4.15% 4.24% 4.24%
1.25%. . . . . . 100.0% 69.6% 39.8% 17.0% 0.0% 0.0% (27.01%) (5.92%) (0.23%) 2.61% 4.24% 4.24%
1.50%. . . . . . 100.0% 98.2% 63.0% 35.9% 1.8% 0.0% (36.17%) (22.70%) (4.53%) 0.23% 4.09% 4.24%
2.00%. . . . . . 100.0% 100.0% 100.0% 72.9% 24.7% 0.0% (54.19%) (45.17%) (33.54%) (7.57%) 1.57% 4.24%
2.50%. . . . . . 100.0% 100.0% 100.0% 100.0% 50.0% 13.4% (71.24%) (62.99%) (52.73%) (38.72%) (2.44%) 2.78%
M-3 Weighted Average Life
CER 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR
0.25%. . . . . . 9.99 9.99 9.22 7.37 4.50 3.10
0.50%. . . . . . 9.99 9.99 9.51 7.81 4.75 3.21
0.75%. . . . . . 9.41 9.89 9.99 9.99 7.48 4.58
1.00%. . . . . . 8.13 9.08 9.73 9.99 9.75 6.88
1.25%. . . . . . 6.61 7.89 8.90 9.63 9.99 8.79
1.50%. . . . . . 5.43 6.54 7.83 8.85 9.98 9.13
2.00%. . . . . . 4.01 4.55 5.46 6.88 9.03 9.30
2.50%. . . . . . 3.18 3.50 3.96 4.79 7.52 8.91
Note: “CER” is Credit Event Rate, which is the assumed constant rate of Reference Obligations becoming Credit Event Reference
Obligations each month relative to the then outstanding aggregate principal balance of Reference Obligations.
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Appendix 7. Comparison of STACR 2013-DN1, 2013-DN2,
2014-DN1, 2014-DN2 & 2014-HQ2
64
© Freddie Mac 2014 65
STACR 2013-DN1, 2013-DN2, 2014-DN1, 2014-DN2 and STACR 2014-HQ2 Overview
STACR 2013-DN1 STACR 2013-DN2 STACR 2014-DN1 STACR 2014-DN2 STACR 2014-HQ2
Ratings M-1: Unrated M-2: Unrated
(Fitch / Moody’s)
(Moody’s / Kroll)
(Fitch / Kroll) (Fitch / Moody’s)
Credit Enhancement M-1: 1.65% M-2: 0.30%
M-1: 1.95% M-2: 0.30%
M-1: 3.50% M-2: 2.00% M-3: 0.30%
M-1: 3.50% M-2: 2.00% M-3: 0.30%
M-1: 4.10% M-2: 2.25% M-3: 0.60%
NAIC Designation N/A N/A N/A N/A M-1: 2 M-2: 4 M-3: 4
Initial Vertical Slice of the Class M Notes Retained by Freddie Mac
M-1H: 18%
M-2H: 18%
M-1H: 34%
M-2H: 34%
M-1H: 26%
M-2H: 26%
M-3H: 26%
M-1H: 18%
M-2H: 18%
M-3H: 18%
M-1H: 58%
M-2H: 58%
M-3H: 58%
MAC Notes None Exchangeable classes allowing
stripping or combinations of bonds (M-1F, M-1I, M-2F, M-2I, MA)
Exchangeable classes allowing stripping or combinations of bonds (M-
1F, M-1I, M-2F, M-2I, M-3F, M-3I, M-12, MA)
No Change No Change
Loss Severity Schedule
No Change
No Change
No Change
Minimum Credit Enhancement Test
Credit Enhancement must be greater than 3.0%
No Change Credit Enhancement must be greater
than 5.0% (initially 4.5%) No Change
Credit Enhancement must be greater than 6.6% (initially 6.1%)
Cumulative Net Credit Event Test
Cumulative Net Credit Event % threshold:
Year 1: 0.25%, with 0.25% step-ups each year
No Change No Change No Change
Cumulative Net Credit Event % threshold:
Year 1: 0.40%, with 0.40% step-ups each year
Summary Reference Pool Characteristics
Aggregate Principal Balance: $22.6BN
Average Principal Balance: $234.3K
Original LTV: 75%
Weighted Average FICO: 766
Acquisition Period: Q3 2012
Aggregate Principal Balance: $35.3BN
Average Principal Balance: $242.6K
Original LTV: 74%
Weighted Average FICO: 764
Acquisition Period: Q1 2013
Aggregate Principal Balance: $32.4BN
Average Principal Balance: $232.5K
Original LTV: 75%
Weighted Average FICO: 761
Acquisition Period: Q2 2013
Aggregate Principal Balance: $28.1BN
Average Principal Balance: $241.2K
Original LTV: 75%
Weighted Average FICO: 760
Acquisition Period: Q3 2013
Aggregate Principal Balance: $33.4BN
Average Principal Balance: $226.3K
Original LTV: 92%
Weighted Average FICO: 757
Acquisition Period: Q1-Q3 2013
Eminent Domain Reference Obligation will not be
removed if seized pursuant to any special eminent domain proceedings
Reference Obligation to be removed if seized pursuant to any special
eminent domain proceedings No Change No Change No Change
Representation and Warranty Framework
Reference Obligations subject to previous Representation and Warranty
Framework
Reference Obligations subject to updated Representation and
Warranty Framework laid out by the FHFA on 9/11/2012, effective for
loans acquired after 1/1/2013
No Change
No Change
No Change
M-1: A-sf/ A2(sf) M-2: BBB-sf/ Baa2(sf) M-3: Unrated
M-12: BBB-sf / Baa1(sf)
Cum. Net Credit Events Applicable
Severity
Less than or equal to 1% 10%
Greater than 1% and ≤3% 20%
Greater than 3% and ≤5% 25%
Greater than 5% 40%
M-1: A1(sf) / A(sf) M-2: Baa1(sf) / BBB(sf) M-3: Unrated
M-12: A3 (sf) /BBB(sf)
Cum. Net Credit Events Applicable
Severity
Less than or equal to 1% 15%
Greater than 1% to 2% 25%
Greater than 2% 40%
M-1: Asf / A(sf) M-2: BBB-sf / BBB(sf) M-3: Unrated
M-12: BBB-sf /BBB(sf)
M-1: BBB-sf / Baa1(sf) M-2: Unrated
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
STACR 2013-DN1 STACR 2013-DN2 STACR 2014-DN1 STACR 2014-DN2 STACR 2014-HQ2
UPB at Closing $22,584,361,520 $35,327,316,632 $32,440,675,486 $28,146,981,246 $33,434,425,351
Number of Loans 96,389 145,598 139,513 116,677 147,771
Average Balance $234,304
($6,251 - $941,372)
$242,636
($2,174 - $1,185,062)
$232,528
($4,286 - $1,077,900) $241,238
($2,879 - $992,547) $226,258
($1,262 - $617,975)
Weighted Average Original LTV
75%
(61% - 80%)
74%
(61% - 80%)
75% (61% - 80%)
75% (61% - 80%)
92% (81% - 95%)
Weighted Average Coupon
3.838%
(3.125% - 6.000%)
3.599%
(2.750% - 5.750%)
3.724%
(2.750% - 5.500%)
4.019%
(2.750% - 5.875%)
3.816%
(2.750% - 5.750%)
Weighted Average Credit Score
766
(601 - 839)
764
(600 - 839)
761
(600 - 832)
760 (601 - 832)
757
(620 - 832)
Weighted Average Debt to Income Ratio
32%
(1% - 50%)
32%
(1% - 50%)
33%
(1% - 50%) 33%
(1% - 50%) 33%
(1% - 50%)
Acquisition Period
Third Quarter 2012 First Quarter 2013 Second Quarter 2013 Third Quarter 2013 First through Third Quarters
2013
Weighted Average Loan Age
10 months 7 months 7 months 6 months 14 months
Weighted Average Original Term
360 360 360 360 360
Percent Owner Occupied
89% 89% 86% 88% 100%
Loan Purpose
No cash-out Refinance (43%), Purchase (40%),
Cash-out Refinance (17%)
No cash-out Refinance (53%), Purchase (27%),
Cash-out Refinance (20%)
Purchase (41%), No Cash-out Refinance (40%),
Cash-out Refinance (19%)
Purchase (53%), No Cash-out Refinance (30%),
Cash-out Refinance (17%)
Purchase (72%), No Cash-out Refinance (28%), Cash-out
Refinance (0%)
Percent Single Family
71% 67% 65% 63% 62%
Top Three Sellers Wells Fargo (27%), US Bank
(16%), Provident (8%) Wells Fargo (21%), US Bank
(12%), JPM Chase (12%) Wells Fargo (22%), US Bank (9%),
JPM Chase (9%) JPM Chase (19%), US Bank (10%),
BB&T (6%) Wells Fargo (21%), US Bank
(11%), JPM Chase (10%)
Top Three States California (22%), Virginia (5%),
Illinois (5%) California (24%), Virginia (5%),
Massachusetts (5%) California (23%), Virginia (5%),
Texas (5%) California (21%), Texas (6%),
Illinois (5%) California (10%), Texas (7%),
Virginia (5%)
Current UPB $20,661,413,864 $33,260,667,915 $31,050,238,878 $26,852,074,923 $33,434,425,351
# of Credit Events*
30 20 4 5 0
% of Loans 60+ Delinquent*
0.04% 0.04% 0.04% 0.03% 0.00%
66
STACR 2013-DN1, 2013-DN2, 2014-DN1, 2014-DN2 and STACR 2014-HQ2 Overview (cont.)
* Values indicated are as of September 2014 remittance report.
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Appendix 8. Historical Home Price Appreciation
67
© Freddie Mac 2014
0%
20%
40%
60%
80%
100%
120%
2014Q2
Historical Home Price Appreciation
68
Source: U.S. Cumulative HPA calculated using CoreLogic Aggregated HPI at each quarter end since 12/31/1999 U.S. Cumulative HPA
0.00%
1.00%
2.00%
3.00%
4.00%
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
69
Appendix 9. Key Contacts
© Freddie Mac 2014
Freddie Mac Key Contacts
70
Team Member Email Address Business Phone
Kevin Palmer Vice President
[email protected] (571) 382-4313
Michael S Reynolds Director
[email protected] (571) 623-5039
Dirk Niese Director
[email protected] (571) 382-4738
Kathleen Reuther Director
[email protected] (571) 382-5578
Christian Valencia Associate Director
[email protected] (571) 382-3727
Charles Trombley Portfolio Manager
[email protected] (571) 382-3711
Sonya Sheth Portfolio Manager
[email protected] (571) 382-4376
Peter Wu Portfolio Manager
[email protected] (571) 382-5367
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
© Freddie Mac 2014
Bank of America Merrill Lynch Key Contacts
71
Team Member Email Address Business Phone
Baron Silverstein Managing Director, Head of Mortgage Finance
[email protected] (646) 855-1237
Mary Stone Managing Director
[email protected] (646) 855-0926
Mark Michael Managing Director
[email protected] (646) 855-6404
Nicholas Stimola Vice President
[email protected] (646) 855-3246
Brian Szilagyi Associate
[email protected] (646) 743-2204
Jennifer Yang Analyst
[email protected] (646) 743-2145
This
do
cum
ent
is n
ot
an o
ffer
to
sel
l an
y F
reddie
Mac
sec
uri
ties
. O
ffer
s fo
r an
y g
iven
sec
uri
ty a
re m
ade
only
thro
ugh a
pplica
ble
off
erin
g c
ircu
lars
and a
ny r
elat
ed s
upple
men
ts,
whic
h i
nco
rpo
rate
Fre
ddie
Mac
's A
nnual
Rep
ort
on F
orm
10
-K f
or
the
yea
r en
ded
Dec
ember
31, 2013, fi
led w
ith t
he
SE
C o
n F
ebru
ary 2
7, 2014, an
d Q
uar
terl
y R
epo
rt o
n F
orm
10-Q
fo
r th
e quar
ter
ended
June
30, 2014, fi
led w
ith t
he
SE
C o
n A
ugust
7, 2014, an
d
all
do
cum
ents
that
Fre
ddie
Mac
files
wit
h t
he
SE
C p
urs
uan
t to
Sec
tio
n 1
3(a
), 1
3(c
) o
r 14 o
f th
e “E
xch
ange
Act
, ex
cludin
g a
ny i
nfo
rmat
ion "
furn
ished
" to
the
SE
C o
n F
orm
8-K
. C
onte
nt
in t
his
pre
senta
tio
n is
no
t re
flec
tive
of
curr
ent
mar
ket
s/sp
read
s an
d is
no
t in
dic
ativ
e o
f an
y f
utu
re F
reddie
MA
C o
ffer
ings.
Ple
ase
use
this
dec
k f
or
info
rmat
ional
purp
ose
s o
nly
.
