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September 2015
Structured Agency Credit Risk (“STACR”) Debt Notes, 2015-HQA1 Roadshow Investor Presentation
© Freddie Mac 2015
Structured Agency Credit Risk (STACR®)
Debt Notes, Series 2015-DN1
STACR 2015-DN1
$880,000,000
Global Capital
Best RMBS Deal of the Year award for
2015 US Securitization Awards
2
© Freddie Mac 2015
Disclaimer Notice to United States Investors:
This document is not an offer to sell any Freddie Mac securities. Offers for any given security are made only through applicable offering circulars and any related supplements, which incorporate Freddie Mac's
Annual Report on Form 10-K for the year ended December 31, 2014, filed with the SEC on February 19, 2015, and Quarterly Reports on Form 10-Q for the quarters ended March 31, 2015 and June 30, 2015, filed with
the SEC on May 5, 2015 and August 4, 2015, respectively, and all documents that Freddie Mac files with the SEC pursuant to Section 13(a), 13(c) or 14 of the Exchange Act, excluding any information "furnished" to
the SEC on Form 8-K. Content in this presentation is not reflective of current markets/spreads and is not indicative of any future Freddie Mac offerings. Please use this deck for informational purposes only.
Notice to United Kingdom Investors:
This document is only being distributed to and is directed at: (a) investment professionals falling within Article 19 of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (the "FPO"); (b)
high net worth entities falling within Article 49 of the FPO; and (c) other persons in respect of whom exemptions under the FPO are available. The investments to which this document relates are available only to,
and any agreement to acquire such investments, will be made only with, such persons. Any other person should not act or rely on this document or any of its contents.
This document is not intended to be an offer of transferable securities to the public in the United Kingdom or any European Union jurisdiction, in accordance with the Prospectus Directive (2003/71/EC, as
amended). In any event, this document is made available only in circumstances in which a prospectus requirement under such Directive does not apply, including but not limited to the distribution of this document
to qualified investors only.
Notice to Canadian Investors:
The Presentation (the “Presentation”) is confidential and may not be reproduced or transferred, in whole or in part, to any other party that is not an employee, officer, director, or authorized agent of the recipient
without the express written consent of Freddie Mac. Each person accepting these materials agrees to return them promptly upon request.
The material provided herein is for informational purposes only and delivered solely as reference material with respect to Freddie Mac. The Presentation does not constitute an offer to sell or a solicitation of an offer
to buy any securities of Freddie Mac. Any offering of securities of Freddie Mac will occur only in accordance with the terms and conditions set forth in an offering circular (“Offering Circular”). Investors are strongly
urged to carefully review Offering Circular (including the risk factors described therein) and to discuss any prospective investment in Freddie Mac with their legal and tax advisers in order to make an independent
determination of the suitability and consequences of an investment.
No person has been authorized to give any information or to make any representation, warranty, statement or assurance not contained in the Offering Circular and, if given or made, such other information or
representation, warranty, statement or assurance must not be relied upon.
Prospective investors should inform themselves and take appropriate advice as to any applicable legal requirements and any applicable taxation and exchange control regulations in the countries of their citizenship,
residence or domicile which might be relevant to the subscription, purchase, holding, exchange, redemption or disposal of any securities of Freddie Mac.
Targets are objectives and should not be construed as providing any assurance or guarantee as to the results that may be realized in the future from investment in any asset or asset class described in the
Presentation. Please be advised that any targets shown in the Presentation are subject to change at any time and are current as of the date of this presentation only. In addition, the information contained therein
includes observations and/or assumptions and involves significant elements of subjective judgment and analysis. No representations are made as to the accuracy of such observations and assumptions and there can
be no assurances that actual events will not differ materially from those assumed. In the event any of the assumptions used in the Presentation do not prove to be true, results are likely to vary substantially from
those discussed therein.
A prospective investor in securities of Freddie Mac must conduct its own independent review and due diligence to make its own assessment of the merits and risks of making an investment in , perform its own legal,
accounting and tax analysis and conclude that the investment in the securities of Freddie Mac (i) is fully consistent with the investor’s financial requirements and financial condition, investment objectives and risk
tolerance; (ii) complies and is fully consistent with all investment policies, guidelines and restrictions applicable to the investor; and (iii) is a fit, proper and suitable investment for the investor.
Notice to Spain Investors:
No action has been or will be taken by Freddie Mac that would permit a public offering of the STACR securities in Spain. Neither the STACR securities nor the offering have been or will be registered or approved by
the Spanish Securities Market Commission (Comisión Nacional del Mercado de Valores) and, therefore, no prospectus has been or will be registered or approved by the CNMV for the purposes of this offering.
3
© Freddie Mac 2015
Agenda
4
1. Freddie Mac’s Role in US Housing Finance 5
2. STACR Evolution to Actual Loss 10
3. STACR 2015-HQA1: Key Terms and Structure Overview 13
4. STACR Transactions Comparison 20
5. STACR 2015-HQA1: Reference Pool Overview 22
6. STACR 2015-HQA1: WAL Prepayment / Default Sensitivity 25
7. Remittance and Total Returns 26
8. Historical Loss Summary 28
9. STACR 2015-HQA1: Historical Cohort Performance 34
10. STACR Investor Participation 40
11. STACR Loan Level Disclosures 41
12. STACR Dealer Research 44
13. Key Contacts 45
© Freddie Mac 2015
US Residential Housing Market Size Overview As of Q1 2015, total debt and mortgages stands at $9.86 trillion, while household equity is $12.34 trillion, bringing the total value of the
housing market to $22.20 trillion. Agency MBS makes up 57.4% of the total mortgage market, private-label securities make up 6.9% and
unsecuritized first liens at the GSEs, commercial banks, savings institutions, and credit unions make up 29.0%. Second liens comprise the
remaining 6.7% of the total.
5 Data as of August 26, 2015
© Freddie Mac 2015
Securitization Volume and Composition
Agency/Non-Agency Share of Residential MBS Issuance
6
Sources: Inside Mortgage Finance and Urban Institute. Data as of August 26, 2015
© Freddie Mac 2015
Credit Availability for Purchase Loans
Access to credit has become extremely tight, especially for borrowers with low FICO scores. The
mean and median FICO scores on new originations have both drifted up about 45 and 50 points over
the last decade.
7
Data as of August 26, 2015
© Freddie Mac 2015
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
CoreLogic Year-over-Year HPI Growth
-0.20% 0.00% 0.20% 0.40% 0.60% 0.80% 1.00% 1.20% 1.40% 1.60% 1.80%
2014 2015 2015 2015 2015 2015 2015
Home Price Index
National Year-Over-Year HPI Growth
8
Sources: BofAML Global Research, CoreLogic. Data reflects August data release
12/ 1/ 2/ 3/ 4/ 5/ 6/
© Freddie Mac 2015
Serious Delinquency Rates
Serious Delinquency Rates: Single-Family Loans
9
Data as of August 26, 2015
© Freddie Mac 2015
STACR Evolution
10
Freddie Mac has issued fourteen STACR transactions to date:
Transaction Issuance Date Issuance Volume Key Highlights
STACR 2013-DN1 July 26, 2013 $500,000,000 -Inaugural STACR Transaction
STACR 2013-DN2 November 12, 2013 $630,000,000 -First Risk Share Transaction Rated by two Rating Agencies
STACR 2014-DN1 February 12, 2014 $1,008,000,000 -New M1 'A' Rated Bond Added
STACR 2014-DN2 April 9, 2014 $966,000,000
STACR 2014-DN3 August 11, 2014 $672,000,000 -Introduced EU Risk Retention -Introduced Natural Disaster Forbearance -Introduced 100% Review for Credit Events
STACR 2014-HQ1 August 11, 2014 $460,000,000 -First HQ (High LTV) Transaction
STACR 2014-HQ2 September 15, 2014 $770,000,000 -Catch Up Transaction -First STACR Transaction to Receive NAIC Designation -First deal listed on Irish Stock Exchange
STACR 2014-DN4 October 28, 2014 $611,000,000
STACR 2014-HQ3 October 28, 2014 $429,400,000
STACR 2015-DN1 February 3, 2015 $800,000,000 -Inaugural Selling of First Loss -First Time Rating M3 Bond -Offered Canadian Wrapper on Transaction
STACR 2015-HQ1 March 31, 2015 $860,000,000
STACR 2015-DNA1 April 28, 2015 $1,010,000,000 -First Actual Loss Transaction with Seasoned Collateral -DTC Eligible Class B Bond
STACR 2015-HQ2 June 9, 2015 $425,600,000 -Last Fixed Severity Transaction -Seasoned Collateral
STACR 2015-DNA2 June 29, 2015 $950,000,000 -First Actual Loss Transaction with “On the Run” Collateral
STACR 2015-HQA1* September 2015 $872,000,000 -First Actual Loss Transaction with “On the Run” High LTV Collateral
* Pending market conditions
© Freddie Mac 2014 CONFIDENTIAL 11
Fixed Severity (HQ) vs. Actual Loss (HQA)
Investors share loss experience in the following:
Fixed Severity Actual Loss
• 180 Days (“D180”) Delinquent • Pre-D180 Short Sale • Pre-D180 Third Party Sale • Pre-D180 Deed-in-Lieu • Pre-D180 REO
At Property Disposition • Collateral deficiency • Delinquent interest • Expenses (such as legal fees, taxes, maintenance cost, etc.) net of any
recoveries • Principal forgiveness due to modification(2)
At Loan Modification • Interest Shortfall • Bankruptcy cramdown (may occur at property disposition)
Investors do not share Freddie Mac loss experience in the following:
Fixed Severity Actual Loss
• Underwriting defect • Loans that become ineligible
• Underwriting defect • Major servicing defect (repurchase/make whole) • Loans that become ineligible • Counterparty risk(1) (such as lack of MI payment) • Master servicing cost (such as compensatory and incentive fees) • Principal forgiveness(2) (if loan becomes a credit event, forgiven UPB
is passed as loss at disposition)
(1) The Reference Obligations in STACR 2015-HQA1 Reference Pool will generally have mortgage insurance coverage (2) Principal forgiveness is not currently part of the Freddie Mac Single-Family Seller/Servicer Guide
© Freddie Mac 2014 CONFIDENTIAL 12
Calculation for Actual Loss
Actual Loss Calculation
Losses at Disposition
1 (+) UPB at time of removal from the Reference Pool (including prior principal forgiveness)
2 (-) Net Sales Proceeds
3 (+) Delinquent Accrued Interest Interest Bearing UPB * min(Note Rate – 35bps, Accounting Net Yield) * (# of Months Delinquent/12)
4 (+) Taxes and Insurance
5 (+) Legal Costs
6 (+) Maintenance and Preservation Costs e.g. Property Inspection, Homeowner’s Association, Utilities, Rental Receipts, REO Management, etc.
7 (-) MI Credit Amount(1)
MI Company selected amount between (Total Claim Amount * Coverage %) or (Total Claim Amount minus net sales proceeds)
8 (+) Miscellaneous Expenses e.g. BPO, other sales expenses not included in item 2 above
9 (-) Miscellaneous Credits e.g. Positive Escrow, Insurance Refunds, Hazard Claim Proceeds, Make Whole Events, etc.
Losses at Modification
10 (+) Modification Costs e.g. Interest Short Fall (Passed to investors on a monthly basis included in modification loss amount)
11 (+) Bankruptcy Cramdown Costs (Passed to investors on a monthly basis included in write down loss amount)
(1) Reference Obligations in the STACR 2015-HQA1 Reference Pool will generally have mortgage insurance coverage
© Freddie Mac 2014 CONFIDENTIAL 13
STACR 2015-HQA1 - Actual Loss Waterfall
First - Class B Note and B-H Reference Tranche – Write-down
Second - Class M-3 Note and Class M-3H Reference Tranches – Write-down
Third - Class M-2 Note and Class M-2H Reference Tranches – Write-down
Fourth - Class M-1 Note Class M-1H Reference Tranches – Write-down
Allocation of Write-down Amounts
First - Class B Note and B-H Reference Tranche – Interest Amount
Second - Class B Note and B-H Reference Tranche – Write-down
Third - Class M-3 Note and Class M-3H Reference Tranches – Interest Amount
Fourth - Class M-3 Note and Class M-3H Reference Tranches – Write-down
Fifth - Class M-2 Note and Class M-2H Reference Tranches – Interest Amount
Sixth - Class M-2 Note Class M-2H Reference Tranches – Write-down
Seventh - Class M-1 Note Class M-1H Reference Tranches – Interest Amount
Eighth - Class M-1 Note Class M-1H Reference Tranches – Write-down
Allocation of Modification Loss Amounts
Modification Loss Amount = Modification Shortfall minus Modification Excess » Modification Shortfall / Excess [1/12* (original interest rate - 35 bps) * Current Actual UPB] - [1/12*(current interest rate -35 bps) * Current Interest Bearing UPB]
Freddie Mac will utilize the below waterfalls to allocate actual losses
Fifth - Class A-H Reference Tranche – Write-down
© Freddie Mac 2015
STACR 2015-HQA1 Structure Illustration
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 and 50% of the B tranches. Note that the amount of the retained vertical slice varies between the M tranches and B tranche.
Reference Pool
Specified Credit Events
Freddie Mac pays coupon on Notes, which could be reduced due to loan modifications. Its obligation to repay principal on the Notes is reduced by credit events, and in certain instances modifications on the Reference Pool based on an actual loss approach.
Actual Principal Payments
Class A-H
(Reference Tranche Only)
STACR Issued Notes Retained
Class M-1 (Note and Corresponding
Reference Tranche)
Class M-2 (Note and Corresponding
Reference Tranche)
Class M-3 (Note and Corresponding
Reference Tranche)
Class B (Note and Corresponding
Reference Tranche)
Class M-1H (Reference
Tranche only)
Class M-2H (Reference
Tranche only)
Class M-3H (Reference
Tranche only)
Class B-H (Reference
Tranche only)
Referen
ce Poo
l
14
© Freddie Mac 2015
2015-HQA1 Capital Structure Overview
15
*Calculated Weighted Average Life (“WAL”) assume 0 CDR. WAL (years) to Early Redemption Date
STACR 2015-HQA1
Expected Ratings WAL (yrs.)* WAL (yrs.)* Loss
Tranche Fitch Kroll Balance ($) 10% CPR 5% CPR Attach Detach
M-1 A-sf A-(sf) 160,000,000 1.44 2.38 4.95% 5.95%
M-2 BBB-sf BBB-(sf) 360,000,000 4.38 7.24 2.70% 4.95%
M-3 B+sf B+(sf) 272,000,000 9.14 9.99 1.00% 2.70%
B NR NR 80,000,000 9.99 9.99 0.00% 1.00%
Total 872,000,000
Min C/E Test: 6.45%
Cohort is based on a pool of 89,103 loans with a UPB of $19.3bn, LTV range: 80% < LTV <=95%
August 1st – November 30th, 2014 Acquisitions
Cumulative Net Loss % Threshold: Year 1: 0.10%, with 0.10% step-ups each year
Delinquency Test: 50% of subordinate balance
© Freddie Mac 2015
Issuer Freddie Mac
Master Servicer Freddie Mac
Reference Pool Pool of all mortgage loans acquired by Freddie Mac between August 1, 2014 and November 30, 2014 and securitized in a mortgage participation certificate (“PC”) by February 28, 2015 and remained in such PC as of September 2, 2015, that meet the Eligibility Criteria, and have not been prepaid in full, have passed delinquency criteria as of July 31, 2015, have not been repurchased and do not have any outstanding repurchase letters, and servicer has not reported that the borrower has filed for bankruptcy
Credit Event Credit Event means any of the following events: (a) a short sale is settled, (b) the related Mortgage Note is sold to a third party, (c) the related Mortgage Note is sold during the foreclosure process, (d) an REO disposition occurs, or (e) a charge-off occurs.
Modifications Reference Obligations will not be removed from the Reference Pool if they undergo a temporary or permanent modification and they do not meet any other criteria to be a Reference Pool Removal.
• Any negative adjustment to the principal balance of a Reference Obligation as the result of a modification will be treated as Unscheduled Principal. • However, if such Reference Obligation becomes a Credit Event Reference Obligation, the related negative adjustment will be included in the Credit Event Net
Loss. • Any positive adjustment to the principal balance of a Reference Obligation as the result of a modification will be treated as an offset to Unscheduled Principal.
Maturity 12.5 year legal final maturity
Early Redemption Option The earlier of (a) on or after the Payment Date on which the aggregate unpaid balance of the Reference Obligations is less than or equal to 10% of the Cut-off Date Balance of the Reference Obligations; or (b) on or after the Payment Date in September 2025
Allocation of Principal and Write-downs
Sequential pay among subordinate classes
Allocation of Modification Loss Amount
Reference Pool Removals Credit Event; payment in full of the Reference Obligation; Underwriting Defect or Major Servicing Defects; 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 or major servicing defect has been confirmed
16
Key STACR 2015-HQA1 Terms
M-1 & M-1H
M-2 & M-2H
M-3 & M-3H
B & B-H
Write-downs are allocated reverse sequentially
Modification loss amount is allocated sequentially
1. B & B-H – Interest Amount
2. B & B-H – Write-down
3. M-3 & M-3H– Interest Amount
4. M-3 & M-3H– Write-down
5. M-2 & M-2H – Interest Amount
6. M-2 & M-2H – Write-down
7. M-1 & M-1H – Interest Amount
8. M-1 & M-1H – Write-down
© Freddie Mac 2015
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, issue debt or enter into agreements that will result in the transfer of more than a 95% pro rata share of the credit risk of the Class M Tranches and more than a 50% pro rata share of the credit risk of the Class B Tranche
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 • Class B Notes should be treated as derivatives for U.S. federal income tax purposes (see p19 for more detail)
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.
Dealers Lead Managers: Merrill Lynch, Pierce, Fenner & Smith Incorporated and Nomura Securities International, Inc.
Co-Managers: BNP Paribas Securities Corp. and Deutsche Bank Securities Inc.
Selling Group Member: The Williams Capital Group, L.P.
Liquidation Proceeds With respect to any Credit Event Reference Obligation, all cash amounts (including sales proceeds net of selling expenses), received in connection with the liquidation of the Credit Event Reference Obligation.
Key STACR 2015-HQA1 Terms (cont.)
17
© Freddie Mac 2015
Net Liquidation Proceeds With respect to each Payment Date and any Credit Event Reference Obligation, the sum of the related Liquidation Proceeds, any Mortgage Insurance Credit Amount, and proceeds received from the related servicer in connection with a Minor Servicing Defect, less related expenses and credits, including but not limited to taxes and insurance, legal costs, maintenance and preservation costs, provided, however, to the extent that any such proceeds are received in connection with a Minor Servicing Defect resulting from a servicer’s handling of a mortgage insurance claim, such proceeds will not be included in the Net Liquidation Proceeds. If such Minor Servicing Defect is related to inappropriately canceling mortgage insurance, and results in no Mortgage Insurance Credit Amount, such proceeds will be included in the Net Liquidation Proceeds.
Mortgage Insurance Credit Amount With respect to each Payment Date and any Credit Event Reference Obligation, the amount that Freddie Mac reports is payable under any effective mortgage insurance policy relating to such Credit Event Reference Obligation. If it is subsequently determined that the Mortgage Insurance Credit Amount with respect to any previous Payment Date should have been a different amount based upon additional information received by Freddie Mac after such Payment Date, such difference will be treated as a subsequent loss (if the amount should have been lower) or a subsequent recovery (if the amount should have been higher). Any Mortgage Insurance Credit Amount reported by Freddie Mac will be included in the definition of Net Liquidation Proceeds irrespective of Freddie Mac’s receipt of such amounts from the related mortgage insurance company.
Net Loss With respect to any Credit Event Reference Obligation, an amount equal to the excess, if any, of
a) the sum of: (i) the related Credit Event UPB, (ii) the total amount of prior principal forgiveness modifications on the related Credit Event Reference Obligation; and (iii) delinquent accrued interest thereon, calculated at the related Current Accrual Rate from the related last paid interest date through the date Freddie Mac determines such Reference Obligation to be a Credit Event; over
b) the related Net Liquidation Proceeds.
Net Gain With respect to any Credit Event Reference Obligation, an amount equal to the excess, if any, of
a) the related Net Liquidation Proceeds; over
b) the sum of: (i) the related Credit Event UPB; (ii) the total amount of prior principal forgiveness modifications on the related Credit Event Reference Obligation; and (iii) delinquent accrued interest thereon, calculated at the related Current Accrual Rate from the related last paid interest date through the date Freddie Mac determines such Reference Obligation to be a Credit Event.
Cramdowns The aggregate amount of court-approved principal reductions on the Reference Obligations in the related Reporting Period.
Minor Servicing Defect With respect to each Payment Date and any Reference Obligation for which Freddie Mac has determined the existence of an Unconfirmed Servicing Defect, the occurrence of an remedy, other than repurchase or a Make-Whole, that is mutually agreed upon by both Freddie Mac and the related servicer that results in a recovery of damages sustained by Freddie Mac as a result of the Unconfirmed Servicing Defect
Major Servicing Defect
With respect to each Payment Date and any Reference Obligation for which Freddie Mac has determined the existence of an Unconfirmed Servicing Defect, and the occurrence of any of the following:
a) the related servicer repurchased such Reference Obligation or made Freddie Mac whole resulting in a full recovery of losses incurred (i.e., Make Whole) during the related Reporting Period;
b) the party responsible for the representations and warranties and/or servicing obligations or liabilities with respect to the Reference Obligation becomes subject to a bankruptcy, an insolvency proceeding or a receivership.
Projected Recovery Amount On the Termination Date, Freddie Mac will determine the fair value of estimated future subsequent recoveries on the Credit Event Reference Obligations. This amount will be included in the Principal Recovery Amount on the Termination Date.
Key STACR 2015-HQA1 Terms (cont.)
18
© Freddie Mac 2015
Class B Tax Considerations
19
The Class B Notes should be treated as derivatives for U.S. federal income tax purposes
Freddie Mac will treat the Class B Notes as a contingent notional principal contract (“NPC”) (except with respect to Non-U.S. Beneficial Owners for purposes of U.S. federal withholding tax) and will bind investors to such treatment
Freddie Mac (and holders, unless a holder already has chosen another method) will tax account for the Class B Notes under a mark-to-market method and will be required to treat the initial payment for the Class B Notes as a deemed loan pursuant to the NPC accounting rules (tax accounting guidance will be provided in the Offering Circular)
The Class B Notes will be issued as DTC Eligible Notes
Freddie Mac intends to withhold on Non-U.S. Beneficial Owners of Class B Notes with respect to non-principal Class B payments. However, depending on the residence of a Non-U.S. Beneficial Owner, Treaty rates may apply to reduce the withholding rate
Sample Treaty rates:
» United Kingdom: 0% for Business Profits, 0% for Other Income
» Spain: 0% for Business Profits, 0% for Other Income
» Luxembourg: 0% for Business Profits, 0% for Other Income
© Freddie Mac 2015
Comparison of 2015-HQA1 and prior STACR deals STACR 2014-HQ3 STACR 2015-HQ1 STACR 2015-HQ2 STACR 2015-HQA1
Ratings
(Fitch / Moody’s) (Kroll/ Moody’s) (Fitch / Moody’s) (Fitch/Kroll, expected)
Credit Enhancement M-1: 4.75%, M-2: 3.10%, M-3: 0.85% M-1: 4.75%, M-2: 3.00%, M-3: 1.50%, B: 0.00% M-1: 4.10%, M-2: 2.25%, M-3: 1.00%, B: 0.00% M-1: 4.95%, M-2: 2.70%, M-3: 1.00%, B: 0.00%
NAIC Designation M-1: 3, M-2: 4, M-3: 4 N/A N/A N/A
Initial Vertical Slice of the Class M or Class B Notes Retained by Freddie Mac
M-1H: 5%, M-2H: 5%, M-3H: 5% M-1H: 8%, M-2H: 8%, M-3H: 8%, B-H: 60% M-1H: 5.7%, M-2H: 5.7%, M-3H: 5.7%, B-H: 75% M-1H: 17%, M-2H: 17%, M-3H: 17%, B-H: 59%
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 First High LTV Actual Loss Transaction
Minimum Credit Enhancement Test
Credit Enhancement must be greater than 7.0% (initially 6.5%)
Credit Enhancement must be greater than 7.0% (initially 6.5%)
Credit Enhancement must be greater than 6.1% (initially 5.6%)
Credit Enhancement must be greater than 6.45%
(initially 5.95%)
Cumulative Net Credit Event/Loss Test
Cumulative Net Credit Event % threshold:
Year 1: 0.40%, with 0.40% step-ups each year No Change No Change
Cumulative Net Loss % Threshold: Year 1:0.10%, with 0.10% step-ups each year up to 1.30%
Delinquency Test N/A N/A N/A
For any Payment Date:
(a)the sum of the Distressed Principal Balance for current and prior five Payment Dates div by
six is less than
(b) 50% of the amount by which:
(i) the product of the Sub Percentage and Reference Obligations; exceeds
(ii) the Principal Loss Amount.
Early Redemption Option 10.00% 10.00% 10.00% Earlier of: (a) 10% or less pool factor or (b) on or after Sept. 2025 payment date
Eminent Domain Reference Obligation to be removed if seized
pursuant to any special eminent domain proceedings
No Change No Change No Change
Summary Reference Pool Characteristics
Aggregate Principal Balance: $8.0BN
Average Principal Balance: $220.9K
Original LTV: 92%
Weighted Average FICO: 749
Acquisition Period: Q1 2014
Aggregate Principal Balance: $16.6BN
Average Principal Balance: $219.2K
Original LTV: 92%
Weighted Average FICO: 748
Acquisition Period: Apr 1-Jul 31, 2014
Aggregate Principal Balance: $30.3BN
Average Principal Balance: $220.9K
Original LTV: 92%
Weighted Average FICO: 757
Acquisition Period: Jan 1 – Sept 30, 2013
Aggregate Principal Balance: $19.3BN
Average Principal Balance: $217.5K
Original LTV: 92%
Non-Zero Weighted Average Original FICO: 747
Acquisition Period: Aug 1 - Nov 30, 2014
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
Reference Obligations subject to revised Representation and Warranty Framework:
bifurcated for loans acquired prior and post 7/1/2014
No Change
Reference Obligations subject to revised Representation and Warranty Framework:
bifurcated for loans acquired prior and post 7/1/2014. No change from 15-DNA2
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/ A3(sf) M-3: Unrated /Ba1(sf)
M-12: BBB-sf/A2(sf)
* Class B notes are not exchangeable
M-1: AA-sf / A3(sf) M-2: Asf / Baa3(sf) M-3: BB+sf / B1(sf)
M-12: Asf /Baa2(sf)
20
M-1: A-sf / A-(sf) M-2: BBB-sf / BBB-(sf) M-3: B+sf / B+(sf)
M-12: BBB-sf /BBB-(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%
© Freddie Mac 2015
STACR 2014-HQ3 STACR 2015-HQ1 STACR 2015-HQ2 STACR 2015-HQA1
UPB at Closing $8,000,610,348 $16,551,596,968 $30,324,753,064 $19,376,912,431
Number of Loans 36,226 75,508 137,280 89,103
Average Balance $220,853 ($431 - $621,534)
$219,203
($2,046- $620,411)
$220,897
($794 - $610,191)
$217,466
($449 - $619,116)
Weighted Average Original LTV
92% (81% - 95%)
92% (81% - 95%)
92% (81%-95%)
92% (81% - 95%)
Weighted Average Coupon
4.569% (3.500% - 6.000%)
4.543% (3.250% - 5.875%)
3.799% (2.750% - 5.750%)
4.416% (3.500% - 5.875%)
Weighted Average Credit Score
749 (620 - 826)
748 (620 - 830)
757 (620 - 832)
747 (617 – 829)
Weighted Average Debt to Income Ratio
35% (4% - 50%)
35% (3% - 50%)
33% (1% - 50%)
35% (3% - 50%)
Acquisition Period First Quarter 2014 April 1 – July 31, 2014 First Quarter 2013 – Third Quarter 2013
August 1 – November 30, 2014
Weighted Average Loan Age 7 months 8 months 23 months 11 months
Weighted Average Original Term 360 360 360 360
Percent Owner Occupied 99.5% 99.5% 99.6% 99.4%
Loan Purpose Purchase (90%), No Cash-out Refinance
(10%), Cash-out Refinance (0%) Purchase (92%), No Cash-out Refinance
(8%), Cash-out Refinance (0%) Purchase (72%), No Cash-out Refinance
(28%), Cash-out Refinance (0%) Purchase (90%), No Cash-out Refinance
(10%), Cash-out Refinance (0%)
Percent Single Family 59% 60% 62% 61%
Top Three Sellers Wells Fargo (15%), US Bank (10%),
BB&T (7%) Wells Fargo (17%), BB&T (5%), US Bank
(5%) Wells Fargo (21%), US Bank (12%), BB&T
(9%) Wells Fargo (16%), US Bank (7%), JPM
Chase (6%)
Top Three States California (11%), Texas (9%), Florida (5%) California (10%), Texas (9%), Florida (6%) California (9%), Texas (7%), Virginia (5%) California (9%), Texas (8%), Florida (5%)
Comparison of 2015-HQA1 and prior STACR deals (cont.)
21
© Freddie Mac 2015
HQA1 Initial Cohort Pool to Reference Pool
22
1) 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. 2) 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. 3) Out of the 1,631 loans that were excluded from the Reference Pool due to failing delinquency criteria or having filed for bankruptcy, 1,272 of those loans were reported to be currently performing as of July 31, 2015.
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 between August 1, 2014 and November 30, 2014 93.0
Non-HARP loans, fixed 86.8
Non-HARP loans, fixed 30 Year 71.0
Non-HARP loans, fixed 30 Year, 80% < LTV <= 95% 22.2
Non-HARP loans, fixed 30 Year, 80% < LTV <= 95% & other filters (1) 21.9
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 96,914 21,890,988,000 225,881 747 92 35
less loans that were removed due to incomplete data reconciliation or corrected data(2)
1 268,000 268,000 796 87 26
less loans that were repurchased or removed by quality control
105 22,429,000 213,610 729 92 37
less loans that were paid in full 6,071 1,740,939,000 286,763 753 91 36 less loans that were removed due to having failed delinquency criteria or the borrower having filed for bankruptcy(3)
1,631 365,958,000 224,376 719 92 37
less loans that were removed from Freddie Mac PC pools
3 679,000 226,333 764 94 39
Reference Pool 89,103 19,760,715,000 221,774 748 92 35
© Freddie Mac 2015
Servicer Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance
(%)
Wells Fargo Bank 14,249 3,137,008,658.73 16.19
US Bank 5,865 1,266,968,707.04 6.54
JPM Chase Bank 4,999 1,197,378,690.19 6.18
Branch Banking & Trust 5,319 1,050,147,810.19 5.42
Quicken Loans 3,625 777,945,566.85 4.01
Franklin American Mortgage 3,861 708,316,829.52 3.66
PennyMac Corp 2,539 618,072,802.01 3.19
Nation Star Mortgage 2,676 611,853,619.65 3.16
Bank of America 2,362 534,349,223.31 2.76
Caliber Home Loans 2,062 466,599,873.17 2.41
Other 41,546 9,008,270,650.67 46.49
Total: 89,103 19,376,912,431.33 100.00
HQA1 Reference Pool – Selected Stratifications
State or Territory Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance
(%)
California 5,682 1,787,953,249.19 9.23
Texas 7,690 1,621,643,563.23 8.37
Florida 5,006 1,053,044,722.92 5.43
Illinois 3,715 777,087,357.18 4.01
Pennsylvania 3,658 749,524,351.07 3.87
Minnesota 3,307 698,724,177.20 3.61
Ohio 4,154 693,958,033.63 3.58
Virginia 2,478 692,633,032.31 3.57
Georgia 3,052 632,341,867.24 3.26
Colorado 2,498 626,731,351.13 3.23
Other 47,863 10,043,270,726.23 51.83
Total: 89,103 19,376,912,431.33 100.00
Top 10 Sellers
Seller Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance
(%)
Wells Fargo Bank 14,249 3,137,008,658.73 16.19
US Bank 5,865 1,266,968,707.04 6.54
JPM Chase Bank 4,999 1,197,378,690.19 6.18
Branch Banking & Trust 5,319 1,050,147,810.19 5.42
Franklin American Mortgage 4,243 818,557,915.21 4.22
Quicken Loans 3,625 777,945,566.85 4.01
PennyMac Corp 2,539 618,072,802.01 3.19
Bank of America 2,362 534,349,223.31 2.76
Flagstar Bank FSB 2,128 485,804,343.07 2.51
Caliber Home Loans 2,062 466,599,873.17 2.41
Other 41,712 9,024,078,841.56 46.57
Total: 89,103 19,376,912,431.33 100.00
Top 10 States / Territories
23
Top 10 Servicers
Range of Credit Scores Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance
(%)
Not Available 4 525,412.92 0.00
600 - 619 2 252,714.90 0.00
620 - 639 444 91,885,058.20 0.47
640 - 659 1,350 289,649,336.21 1.49
660 - 679 3,416 722,788,770.75 3.73
680 - 699 7,801 1,658,823,162.01 8.56
700 - 719 9,501 2,009,782,794.17 10.37
720 - 739 12,845 2,781,227,102.26 14.35
740 - 759 15,046 3,285,577,080.67 16.96
760 - 779 16,384 3,654,293,330.51 18.86
780 - 799 15,362 3,428,535,071.23 17.69
800 - 819 6,867 1,439,170,554.07 7.43
820 - 839 81 14,402,043.43 0.07
Total: 89,103 19,376,912,431.33 100.00
Credit Scores at Origination
© Freddie Mac 2015
Original Principal Balances
HQA1 Reference Pool – Selected Stratifications
Range of Original Principal Balances ($)
Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance (%)
0.01 - 25,000.00 18 383,000.01 0.00
25,000.01 - 50,000.00 470 19,649,917.21 0.10
50,000.01 - 75,000.00 2,127 135,461,648.30 0.70
75,000.01 - 100,000.00 4,328 376,818,410.66 1.94
100,000.01 - 125,000.00 7,152 800,225,302.92 4.13
125,000.01 - 150,000.00 9,203 1,249,519,904.40 6.45
150,000.01 - 200,000.00 19,035 3,261,551,866.66 16.83
200,000.01 - 250,000.00 16,024 3,524,576,914.93 18.19
250,000.01 - 300,000.00 11,964 3,219,370,105.39 16.61
300,000.01 - 350,000.00 8,306 2,638,273,984.82 13.62
350,000.01 - 400,000.00 6,108 2,240,990,636.58 11.57
400,000.01 - 450,000.00 3,161 1,287,249,359.94 6.64
450,000.01 - 500,000.00 498 233,302,949.43 1.20
500,000.01 - 550,000.00 329 168,855,953.80 0.87
550,000.01 - 600,000.00 225 126,483,200.02 0.65
600,000.01 - 650,000.00 155 94,199,276.26 0.49
Total: 89,103 19,376,912,431.33 100.00
Range of Gross Mortgage Rates
Range of Gross Mortgage Rates (%)
Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance
(%)
3.500 - 3.624 3 731,484.64 0.00
3.625 - 3.749 13 3,068,282.76 0.02
3.750 - 3.874 121 27,389,271.54 0.14
3.875 - 3.999 582 136,431,627.30 0.70
4.000 - 4.124 2,042 466,980,115.98 2.41
4.125 - 4.249 11,883 2,623,056,027.80 13.54
4.250 - 4.374 22,266 4,908,957,738.33 25.33
4.375 - 4.499 13,876 3,007,121,526.95 15.52
4.500 - 4.624 13,428 2,938,303,281.19 15.16
4.625 - 4.749 12,080 2,629,365,510.82 13.57
4.750 - 4.874 7,100 1,482,770,921.64 7.65
4.875 - 4.999 3,415 696,595,691.39 3.59
5.000 - 5.124 745 148,686,247.63 0.77
5.125 - 5.249 752 154,016,904.36 0.79
5.250 - 5.374 590 114,955,350.67 0.59
5.375 - 5.499 181 34,978,617.59 0.18
5.500 - 5.624 20 2,459,947.25 0.01
5.625 - 5.749 4 752,055.84 0.00
5.750 - 5.874 1 154,906.01 0.00
5.875 - 5.999 1 136,921.64 0.00
Total: 89,103 19,376,912,431.33 100.00
24
Range of Debt-to-Income Ratios (%)
Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance (%)
Not Available 7 1,718,065.88 0.01
1 - 20 4,529 821,508,977.28 4.24
21 - 25 8,722 1,761,496,715.60 9.09
26 - 30 13,998 2,946,842,932.55 15.21
31 - 35 17,467 3,763,693,232.93 19.42
36 - 40 20,228 4,489,259,634.53 23.17
41 - 45 22,496 5,174,060,241.75 26.70
46 - 50 1,656 418,332,630.81 2.16
Total: 89,103 19,376,912,431.33 100.00
Debt-to-Income Ratios
Loan-to-Value Ratios at Origination
Range of Original Loan-to-Value Ratios (%)
Number of Mortgage
Loans
Aggregate Principal Balance ($)
Aggregate Principal Balance
(%)
81 - 85 7,727 1,754,974,868.82 9.06
86 - 90 24,870 5,855,854,287.10 30.22
91 - 95 56,506 11,766,083,275.41 60.72
Total: 89,103 19,376,912,431.33 100.00
Mortgage Insurance
Mortgage Insurance (Lender or Borrower Paid) Aggregate Principal Balance (%)
Borrower Paid 78.4
Lender Paid 20.8
No Mortgage Insurance or Unknown 0.8
Total: 100.00
© Freddie Mac 2015
HQA1 WAL Tables
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.
25
M-1 Weighted Average Life to Maturity (in Years) M-2 Weighted Average Life to Maturity (in Years)
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%. . . . . . 4.47 2.52 1.45 1.04 0.64 0.47 11.97 7.90 4.56 3.12 1.85 1.30
0.50%. . . . . . 4.55 2.67 1.50 1.05 0.64 0.47 12.05 8.48 4.77 3.22 1.89 1.30
0.75%. . . . . . 4.63 2.83 1.59 1.09 0.64 0.47 12.13 9.04 5.00 3.33 1.93 1.31
1.00%. . . . . . 4.73 4.67 2.19 1.44 0.76 0.47 12.20 11.77 7.46 4.79 2.45 1.55
1.25%. . . . . . 4.83 4.77 4.37 3.47 1.09 0.53 12.27 12.21 11.44 8.54 4.24 2.15
1.50%. . . . . . 4.94 4.86 4.80 4.75 3.17 1.17 12.33 12.27 12.21 10.84 6.54 4.06
2.00%. . . . . . 5.20 5.07 4.97 4.89 4.71 2.84 12.37 12.37 12.30 12.25 9.24 6.64
2.50%. . . . . . 5.55 5.31 5.16 5.05 4.90 4.40 11.71 12.44 12.38 12.32 10.79 7.38
M-3 Weighted Average Life to Maturity (in Years) B Weighted Average Life to Maturity (in Years)
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%. . . . . . 12.49 12.49 10.39 7.46 4.40 3.00 9.84 10.30 10.65 10.75 8.38 6.11
0.20%. . . . . . 12.49 12.49 10.87 7.92 4.56 3.06 7.23 8.13 8.84 9.39 7.87 5.89
0.30%. . . . . . 12.37 12.49 11.30 8.47 4.73 3.15 4.87 6.00 7.05 7.89 7.33 5.63
0.40%. . . . . . 11.65 12.34 12.29 9.97 5.39 3.49 3.58 4.17 5.29 6.39 6.87 5.48
0.50%. . . . . . 10.63 11.71 12.38 12.23 7.55 4.47 2.84 3.18 3.74 4.91 6.70 5.71
0.75%. . . . . . 9.48 10.86 11.86 12.45 9.92 6.30 2.35 2.57 2.90 3.51 5.79 6.16
1.00%. . . . . . 7.13 8.94 10.40 11.51 12.02 8.95 1.76 1.87 2.02 2.24 3.63 5.62
1.25%. . . . . . 5.58 6.91 8.74 10.19 12.14 9.81 1.40 1.47 1.56 1.67 2.10 4.07
© Freddie Mac 2015
August Remittance Report Summary
26
STACR Deal Remit
30D (%)
60D (%)
90D (%)
120D (%)
150D (%)
Cur CE Count
Cur CE Bal ($)
Cum CE %
Cur Severity
(%) Senior
% Sub %
Prepay Lockout
1moCPR
14-HQ1 Jun-15 0.40 0.04 0.04 0.02 0.01 8 $1580K 0.06 10 92.91 7.09 No 22.3
Jul-15 0.47 0.07 0.03 0.02 0.02 3 $438K 0.06 10 92.91 7.09 No 21.9
Aug-15 0.51 0.06 0.04 0.03 0.01 4 $889K 0.09 10 92.91 7.09 No 18.7
14-HQ2 Jun-15 0.22 0.03 0.02 0.01 0.01 6 $1547K 0.02 10 93.44 6.56 Yes 12.8
Jul-15 0.29 0.04 0.02 0.02 0.01 9 $1537K 0.03 10 93.36 6.64 No 13.2
Aug-15 0.28 0.04 0.02 0.02 0.01 12 $2125K 0.04 10 93.36 6.64 No 12.3
14-HQ3 Jun-15 0.31 0.06 0.03 0.04 0.01 4 $631K 0.03 10 92.97 7.03 No 21.3
Jul-15 0.45 0.06 0.02 0.03 0.03 4 $1042K 0.04 10 92.97 7.03 No 19.9
Aug-15 0.41 0.06 0.02 0.02 0.02 6 $1459K 0.07 10 92.97 7.03 No 15.4
15-HQ1 Jun-15 0.18 0.01 0.00 0.00 0.00 0 $0 0.00 0 93.22 6.78 Yes 17.5
Jul-15 0.24 0.01 0.01 0.00 0.00 0 $0 0.00 0 93.11 6.89 Yes 15.7
Aug-15 0.27 0.04 0.01 0.01 0.00 0 $0 0.00 0 93.01 6.99 Yes 13.3
15-HQ2 Jun-15 0.10 0.00 0.00 0.00 0.00 0 $0 0.00 0 94.40 5.60 Yes 12.8
Jul-15 0.15 0.01 0.00 0.00 0.00 0 $0 0.00 0 94.34 5.66 Yes 13.1
Aug-15 0.17 0.01 0.01 0.00 0.00 0 $0 0.00 0 94.27 5.73 Yes 12.7
Sources: Monthly remittance reports available on Global Agent’s website, IntexCalc
© Freddie Mac 2015 27
STACR Series Tranche Settle Date Principal Returned + Price Change Return from Interest August Return YTD 2015 Return 2014 Return
2013-DN1 M1 July 2013 -0.1% 0.3% 0.1% 1.1% 2.8% 2013-DN1 M2 July 2013 -1.0% 0.5% -0.5% 1.0% 7.0% 2013-DN2 M1 November 2013 0.0% 0.1% 0.1% 1.4% 1.4% 2013-DN2 M2 November 2013 -0.9% 0.4% -0.5% 1.6% 6.9% 2014-DN1 M1 February 2014 -0.1% 0.1% 0.0% 0.9% -1.2% 2014-DN1 M2 February 2014 -0.2% 0.2% 0.0% 4.0% -1.9% 2014-DN1 M3 February 2014 -1.2% 0.4% -0.9% 4.6% 0.1% 2014-DN2 M1 April 2014 0.2% 0.1% 0.3% 1.4% -0.1% 2014-DN2 M2 April 2014 0.0% 0.1% 0.2% 4.2% -3.2% 2014-DN2 M3 April 2014 -1.9% 0.3% -1.6% 4.6% -8.2% 2014-HQ1 M1 August 2014 0.0% 0.1% 0.1% 1.2% 0.0% 2014-HQ1 M2 August 2014 -0.5% 0.2% -0.2% 3.7% -2.2% 2014-HQ1 M3 August 2014 -1.3% 0.4% -0.9% 4.5% -8.0% 2014-DN3 M1 August 2014 0.0% 0.1% 0.1% 1.1% 0.6% 2014-DN3 M2 August 2014 -0.3% 0.2% -0.1% 3.0% -0.4% 2014-DN3 M3 August 2014 -0.9% 0.3% -0.5% 5.2% -5.4% 2014-HQ2 M1 September 2014 0.1% 0.1% 0.2% 1.5% 0.5% 2014-HQ2 M2 September 2014 -0.3% 0.2% -0.1% 4.2% -1.2% 2014-HQ2 M3 September 2014 -1.7% 0.3% -1.4% 6.2% -5.7% 2014-DN4 M1 October 2014 0.0% 0.1% 0.1% 1.0% 0.2% 2014-DN4 M2 October 2014 0.1% 0.2% 0.3% 3.2% 0.1% 2014-DN4 M3 October 2014 -1.2% 0.4% -0.8% 4.7% -0.3% 2014-HQ3 M1 October 2014 0.0% 0.1% 0.1% 1.2% 0.3% 2014-HQ3 M2 October 2014 -0.5% 0.2% -0.2% 4.1% 0.1% 2014-HQ3 M3 October 2014 0.0% 0.4% 0.4% 6.4% 0.0% 2015-DN1 M1 January 2015 0.0% 0.1% 0.1% 0.8% 2015-DN1 M2 January 2015 0.3% 0.2% 0.5% 2.7% 2015-DN1 M3 January 2015 -0.6% 0.3% -0.2% 1.2% 2015-DN1 B January 2015 -2.1% 0.8% -1.3% 1.5% 2015-HQ1 M1 March 2015 0.0% 0.1% 0.1% 0.1% 2015-HQ1 M2 March 2015 0.1% 0.2% 0.3% 0.6% 2015-HQ1 M3 March 2015 -0.9% 0.3% -0.6% -2.0% 2015-DNA1 M1 April 2015 -0.1% 0.1% 0.0% -0.1% 2015-DNA1 M2 April 2015 -0.1% 0.2% 0.1% 0.0% 2015-DNA1 M3 April 2015 -1.6% 0.3% -1.3% -3.7% 2015-DNA1 B April 2015 -1.3% 0.6% -0.6% 6.9% 2015-HQ2 M1 June 2015 0.0% 0.1% 0.1% -0.2% 2015-HQ2 M2 June 2015 -0.3% 0.2% -0.1% -1.0% 2015-HQ2 M3 June 2015 -2.1% 0.3% -1.8% -5.2% 2015-HQ2 B June 2015 -0.8% 0.6% -0.2% 2.3% 2015-DNA2 M1 July 2015 -0.1% 0.1% 0.0% 0.0% 2015-DNA2 M2 July 2015 -0.7% 0.2% -0.5% 1.0% 2015-DNA2 M3 July 2015 -1.2% 0.3% -0.9% -1.0% 2015-DNA2 B July 2015 -0.7% 0.6% -0.1% 0.1%
STACR Notes Total Returns to Date
Source: BofAML Research; Credit Risk Transfer Monitor: August Remittance, September 1, 2015
© Freddie Mac 2015
Historical Loss Summary Assumptions for Summary Severity/ Timelines /Loss Components
To assist investors with their understanding of Freddie Mac’s historical loss experience, on the following slides we provide loss severity and liquidation timelines by origination year and judicial/non-judicial states
Additionally, we have summarized the contributions from each of the components of net loss
» Net loss calculated as follows: Collateral Deficiency + Delinquent Interest + Expenses – MI Recoveries – Non MI Recoveries
Data included in tables were derived from Freddie Mac’s Single Family Loan Level Dataset (SF LLD) as of June 2015 refresh: Originations 1999-1Q2014 Performance data: 1999-3Q2014
Assumptions/Calculations:
» Population includes only disposed loans with OLTV between 80-95%
» Removed loans where Repurchase flag = Y
» “FA” references liquidations through foreclosure alternatives
» “J” indicates judicial states; “NJ” indicates non-judicial states
» Timelines are in months weighted by default UPB
» If default UPB on last record is zero, the prior period default UPB was used
» Calculation for Collateral Deficiency: default UPB – net sales proceeds
» Calculation for Delinquent Interest is = default UPB * (current interest rate – 0.35%) * days delinquent / 360 /100)
» For Net Sales proceeds = “C”; set Net Sales Proceeds equal to Collateral Deficiency and Delinquent Interest
» For Net Sales proceeds = “U”; removed from population if applicable
» Severity is net loss/default UPB
» Judicial states: CT,DE,FL,HI,IA,IL,IN,KS,KY,LA,ME,ND,NE,NJ,NM,NY,OH,OK,OR,PA,PR,SC,SD,VI,WI
28
© Freddie Mac 2015 29
Severity Rates and Disposition Timelines (All 80-95% LTV)
All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ Total
99-04 8 10 7 8
2005 13 18 10 10 0 18 13
2006 15 18 11 4 5 3 (2) 0 (3) 14
2007 18 21 15 9 10 9 8 7 9 3 (0) 11 17
2008 24 26 23 17 17 18 18 19 18 18 16 19 7 10 3 21
2009 29 31 28 30 31 29 30 31 29 33 29 34 32 26 34 3 - 3 30
2010 35 37 33 35 37 34 37 39 36 36 39 35 31 36 29 15 11 17 13 13 - 35
2011 40 43 38 41 44 38 43 46 40 40 43 39 34 40 32 18 17 19 5 13 2 39
2012 40 44 37 42 45 39 44 48 41 42 47 39 34 41 30 17 19 16 10 12 9 6 1 7 39
2013 42 46 37 42 46 36 45 50 37 43 52 34 36 47 28 18 20 17 13 14 12 6 8 5 11 7 16 40
Total 26 31 23 37 41 34 40 44 36 41 47 37 35 44 31 20 22 18 14 18 10 11 16 8 19 28 15 7 0 8 34
Total
All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ
99-04 14 16 13 14
2005 16 18 14 2 5 - 16
2006 17 18 15 10 10 10 8 3 10 17
2007 17 18 15 12 13 12 9 9 9 5 4 9 16
2008 16 18 15 13 14 12 12 12 11 9 9 9 5 5 4 14
2009 17 19 15 15 16 14 14 15 13 12 13 12 10 10 11 5 - 5 14
2010 18 20 16 17 19 15 17 18 15 16 17 15 14 15 13 10 8 10 - - - 16
2011 20 24 19 20 22 17 20 22 18 19 21 18 17 19 17 13 12 13 9 8 9 19
2012 23 27 20 22 25 19 22 26 19 21 25 19 19 23 18 13 14 12 11 12 10 6 6 7 21
2013 26 30 22 27 31 21 26 30 21 25 31 20 24 29 20 17 18 16 14 15 14 12 13 12 11 11 10 25
Total 19 22 16 21 24 17 21 24 17 21 25 18 20 24 17 15 17 14 14 16 13 13 15 12 12 15 11 9 5 9 20
* Does not include repurchase.
Dis
po
siti
on
Yr
2010 2011 2012 201399-04 2005 2006 2007 2008 2009
Disposition Timelines (# months delinquent at disposition)
Origination Year
Dis
po
siti
on
Yr
201399-04 2005 2006 2007 2008 2009 2010 2011 2012
Origination Year
All Defaulted 80-95 LTV Loans
Severity Rates by Disposition & Origination Year
© Freddie Mac 2015 30
Severity Rates and Disposition Timelines (REO 80-95% LTV)
All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ Total
99-04 11 14 9 11
2005 15 21 12 - - - 15
2006 17 21 13 5 9 4 (3) - (3) 16
2007 20 24 17 12 14 11 13 12 13 11 - 11 19
2008 26 28 25 21 22 20 23 26 21 26 31 25 16 - 16 25
2009 32 34 31 33 35 31 35 39 33 40 42 39 45 56 43 2 - 2 35
2010 37 40 35 38 42 35 41 46 38 41 48 38 39 50 36 23 22 23 39
2011 42 46 39 44 49 40 46 51 42 45 52 43 40 52 36 25 29 24 9 31 5 43
2012 44 50 41 46 50 42 48 54 44 47 55 43 40 52 36 24 30 21 19 20 18 8 - 8 45
2013 48 53 43 46 52 39 50 57 41 49 59 39 44 57 33 23 27 21 16 16 15 8 8 8 19 11 23 47
Total 29 34 25 40 45 35 44 51 39 46 55 41 42 54 36 25 31 22 17 20 14 13 16 11 16 16 16 3 - 3 37
All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ Total
99-04 10 13 9 10
2005 10 13 8 10
2006 11 13 9 7 9 7 7 - 7 11
2007 11 14 8 8 11 7 7 9 7 5 - 5 10
2008 10 13 8 9 11 8 9 11 7 8 10 7 6 - 6 10
2009 11 15 9 11 14 9 11 14 9 10 13 9 9 12 9 6 - 6 11
2010 13 16 11 14 17 11 13 17 11 13 16 12 11 14 10 8 11 7 13
2011 14 18 12 15 19 12 15 19 13 15 18 13 14 17 13 10 12 10 8 10 7 15
2012 17 21 14 18 23 15 18 23 15 18 23 15 16 21 14 11 15 10 9 10 8 8 - 8 17
2013 20 24 15 23 28 16 22 27 16 21 27 16 20 25 16 14 18 12 11 12 10 10 12 9 11 13 9 21
Total 13 17 10 16 21 12 17 22 13 17 23 14 16 23 13 13 17 11 11 14 9 11 14 9 12 14 11 7 - 7 15
All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ Total
99-04 6 6 6 6
2005 7 7 7 7
2006 7 7 7 5 4 5 3 - 3 7
2007 7 6 8 5 5 6 4 4 5 4 - 4 7
2008 7 6 8 6 5 6 5 5 5 4 4 4 2 - 2 6
2009 7 6 7 6 5 6 5 5 6 5 5 5 4 4 4 2 - 2 6
2010 6 6 7 6 5 6 6 5 6 6 6 6 6 5 6 5 3 5 6
2011 8 8 8 7 8 7 7 7 7 7 8 7 7 7 7 6 7 6 4 5 4 7
2012 8 9 8 8 7 8 7 7 7 8 8 7 7 8 7 6 6 6 6 5 6 4 - 4 8
2013 9 8 9 8 8 9 8 8 8 8 8 8 9 9 8 7 8 7 7 6 8 6 5 6 4 6 3 8
Total 7 7 7 7 7 7 7 7 7 7 8 7 7 8 7 7 7 7 7 6 7 7 7 6 4 6 4 4 - 4 7
* Does not include repurchase.
2009 2010 2011 2012 2013
Dis
posi
tion
Yr
Dis
posi
tion
Yr
Disposition Timelines (# months REO acquisition to disposition)
Origination Year
99-04 2005 2006 2007 2008
2012 20132006 2007 2008 2009 2010 201199-04 2005
Disposition Timelines (# months ddlpi to REO acquisition)
Origination Year
Dis
posi
tion
Yr
2009 2010 2011 2012 201399-04 2005 2006 2007 2008
Origination Year
REOs 80-95 LTV
Severity Rates by Disposition & Origination Year
© Freddie Mac 2015 31
Severity Rates and Disposition Timelines (FA 80-95% LTV)
All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ Total
99-04 2 3 1 2
2005 5 6 3 10 0 18 5
2006 4 5 3 2 3 1 0 0 - 4
2007 6 9 4 1 2 0 2 2 1 (0) (0) - 5
2008 10 12 6 7 7 8 9 9 8 11 11 11 6 10 (1) 9
2009 16 16 16 22 24 20 21 21 20 21 19 23 19 15 21 3 - 3 20
2010 28 27 29 29 29 29 29 29 29 30 30 30 22 24 21 9 10 9 28
2011 34 34 34 34 35 34 36 38 34 31 32 30 25 27 23 11 10 12 2 6 0 31
2012 30 32 28 36 37 33 38 42 34 35 37 33 26 31 23 12 12 12 6 9 4 5 1 7 31
2013 27 31 23 35 37 30 37 41 29 35 42 28 28 35 21 13 14 11 10 11 9 4 8 3 2 3 1 31
Total 19 21 17 31 33 29 33 35 30 33 36 30 27 33 23 14 15 14 10 16 7 10 16 5 21 33 14 9 0 11 27
All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ All J NJ Total
99-04 9 10 8 9
2005 10 12 9 2 5 - 10
2006 11 12 9 7 7 6 3 3 - 10
2007 10 12 9 8 9 7 6 5 6 4 4 - 9
2008 10 12 8 8 9 7 7 8 6 6 7 6 4 5 3 8
2009 10 12 9 10 11 9 9 10 8 9 9 8 8 7 8 3 - 3 9
2010 12 14 11 12 13 10 12 13 11 12 13 11 10 11 10 8 8 8 12
2011 14 17 12 13 15 11 14 15 12 13 15 12 12 14 11 8 8 8 6 5 7 13
2012 16 21 13 16 19 12 17 20 13 16 19 14 14 17 13 9 10 8 9 11 8 6 6 5 15
2013 20 25 15 21 24 15 20 24 14 19 25 14 19 24 15 11 12 11 10 9 11 9 9 9 6 5 6 19
Total 13 16 11 15 18 12 15 17 12 15 18 13 15 18 12 10 12 10 10 11 10 9 10 8 11 13 10 8 5 8 14
* Does not include repurchase.
Dis
po
siti
on
Yr
2008 2009 2010 2011 2012 201399-04 2005 2006 2007
Disposition Timelines (# months delinquent at disposition)
Origination Year
2011 2012 2013
Dis
po
siti
on
Yr
2005 2006 2007 2008 2009 201099-04
Origination Year
FA Loans 60-80 LTV
Severity Rates by Disposition & Origination Year
© Freddie Mac 2015 32
Loss Components by Disposition & Origination Year (All 80-95% LTV)
Disposition Yr Loan Count Default UPB (millions) Net Loss (millions) MI Recoveries (millions) Severity % Collateral Loss Expenses MI RecoveriesNon-MI
Recoveries
Delinquent
Interest
Timeline
(months)
99-04 11,429 1,301,102,296 107,517,436 317,228,878 8% 234% 94% -295% -28% 95% 14
2005 6,183 658,138,217 88,727,388 133,406,281 13% 125% 75% -150% -14% 65% 16
2006 5,546 586,436,220 84,021,758 122,369,680 14% 126% 76% -146% -17% 61% 17
2007 5,000 544,779,715 90,526,926 116,387,112 17% 131% 61% -129% -12% 49% 16
2008 6,111 791,352,286 168,030,182 185,081,891 21% 145% 39% -110% -7% 34% 14
2009 9,846 1,503,691,069 455,995,005 341,834,443 30% 132% 24% -75% -5% 24% 14
2010 16,508 2,618,879,374 916,732,843 583,492,924 35% 123% 22% -64% -5% 23% 16
2011 20,024 3,263,458,675 1,279,783,228 724,241,069 39% 114% 24% -57% -5% 24% 19
2012 21,629 3,507,701,771 1,377,282,974 734,990,578 39% 107% 27% -53% -6% 26% 21
2013 17,073 2,602,590,452 1,051,854,544 532,340,624 40% 93% 34% -51% -6% 30% 25
Total 129,705 18,866,077,671 6,360,734,946 4,054,221,368 34% 111% 31% -64% -6% 29% 20
Origination Yr Loan Count Default UPB (millions) Net Loss (millions) MI Recoveries (millions) Severity % Collateral Loss Expenses MI Recoveries
Non-MI
Recoveries
Delinquent
InterestTimeline
(months)
99-04 63,363 6,985,193,581 1,849,991,688 1,472,346,646 26% 107% 46% -80% -9% 35% 19
2005 16,215 2,548,002,159 942,485,818 570,810,026 37% 112% 28% -61% -5% 25% 21
2006 14,882 2,550,047,107 1,024,216,222 586,428,084 40% 113% 24% -57% -5% 26% 21
2007 20,717 3,835,393,810 1,567,960,662 832,709,025 41% 111% 22% -53% -5% 25% 21
2008 12,719 2,581,759,193 909,848,743 523,130,327 35% 112% 23% -57% -5% 27% 20
2009 1,350 278,039,049 54,708,225 52,344,976 20% 137% 37% -96% -8% 30% 15
2010 302 57,313,961 7,756,412 11,027,245 14% 159% 57% -142% -12% 38% 14
2011 125 24,582,605 2,782,382 4,484,337 11% 166% 65% -161% -11% 42% 13
2012 26 4,684,965 906,624 791,965 19% 145% 26% -87% -4% 20% 12
2013 6 1,061,241 78,172 148,737 7% 208% 58% -190% -13% 37% 9
Total 129,705 18,866,077,671 6,360,734,946 4,054,221,368 34% 111% 31% -64% -6% 29% 20
* Does not include repurchase.
As Percentage of Net Loss
As Percentage of Net Loss
© Freddie Mac 2015 33
Net Loss Analysis (All 80-95% LTV vs. 60-80% LTV)
Loan
Count
Default
Rate
Severity
Rate
Net Loss
Rate
Timeline
DDLPI to
Disposition
Loan
Count
Default
Rate
Severity
Rate
Net Loss
Rate
Timeline
DDLPI to
Disposition
1999-2004 63,363 2.67% 26.48% 0.71% 19 67,267 1.00% 40.89% 0.41% 20 1.72x
2005 16,215 9.17% 36.99% 3.39% 21 47,520 5.41% 50.37% 2.73% 19 1.24x
2006 14,882 11.11% 40.16% 4.46% 21 51,235 7.35% 55.42% 4.07% 20 1.10x
2007 20,717 11.93% 40.88% 4.88% 21 46,136 7.22% 55.69% 4.02% 20 1.21x
2008 12,719 6.95% 35.24% 2.45% 20 21,116 3.47% 52.22% 1.81% 20 1.35x
2009 1,350 1.06% 19.68% 0.21% 15 4,979 0.47% 39.51% 0.18% 17 1.13x
2010 302 0.35% 13.53% 0.05% 14 1,015 0.14% 34.94% 0.05% 16 0.96x
2011 125 0.14% 11.32% 0.02% 13 197 0.04% 31.01% 0.01% 15 1.41x
2012 - 2013 32 0.01% 17.14% 0.00% 10 49 0.00% 30.64% 0.00% 11 0.65x
Grand Total 129,705 3.63% 33.72% 1.22% 20 239,514 2.07% 50.81% 1.05% 20 1.16x
* Does not include repurchases
Origination
Year
80-95 LTV (HQ & HQA Series) 60-80 LTV (DN & DNA Series) Net Loss
Ratios
(80-95 LTV/
60-80 LTV)
© Freddie Mac 2015
0.1 0.1 0.3 0.5 0.8 1.9 2.1 2.4
1.0 0.1 0.0 0.0 0.0 0.0
0.0
2.0
4.0
6.0
8.0
10.0
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
20
12
20
13
Cu
m. N
et
Loss
Exc
lud
ing
Re
pu
rch
ase
s %
Credit Scores Greater than 780 (25% of the Reference Pool)
34
STACR 2015-HQA1 Historical Cohort Performance (80% < LTV <= 95%)
Source: Freddie Mac Single Family Loan-Level Dataset Notes: Performance reflects activity through September 2014 using the June 2015 data release on loans with
LTV > 80 and <=95. Cumulative Losses do not include modification losses Data is weighted in proportion to 2015-HQA1 FICO and LTV cohorts
Historical performance of cohorts with LTVs between 80%
and 95% has varied by credit score and vintage, as seen in
the table on right for loans with credit scores of 780 and
greater
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%
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 STACR
14-HQ1 STACR
14-HQ2 STACR
14-HQ3 STACR
15-HQ1 STACR
15-HQ2 STACR
15-HQA1
Orig UPB ($BN) 50 139 143 184 113 150 127 121 118 201 109 79 104 10 33 8 16 30 19
WA FICO 686 699 705 715 707 708 701 702 715 755 756 759 766 752 757 749 748 757 747
WA DTI (%) 34 33 34 34 36 38 39 40 40 35 34 34 32 35 33 35 35 33 35
WA OCLTV (%) 76 76 76 76 77 78 79 79 77 76 76 76 76 92 92 92 92 92 92
WA OLTV (%) 76 76 75 75 76 76 76 76 75 75 75 75 75 92 92 92 92 92 92
% Owner Occupied 85 88 88 92 90 91 90 88 83 89 87 86 89 100 100 100 100 100 99
FICO Score Range
<680 24% 23% 23% 19% 23% 22% 22% 22% 14% 3% 4% 3% 2% 3% 2% 5% 5% 2% 6%
680-719 22% 23% 23% 22% 23% 22% 22% 22% 20% 11% 12% 12% 10% 16% 14% 18% 19% 13% 19%
720-759 29% 28% 28% 29% 27% 25% 24% 23% 25% 26% 25% 24% 23% 32% 32% 33% 32% 31% 31%
760-779 15% 15% 15% 17% 15% 14% 14% 14% 17% 22% 20% 20% 21% 21% 21% 19% 19% 22% 19%
780 and Greater 10% 11% 11% 13% 12% 17% 18% 19% 25% 38% 39% 41% 44% 28% 31% 25% 25% 31% 25%
© Freddie Mac 2015
0.5 0.8 1.1 1.4 2.0
4.1 5.4
6.2
4.4
1.2 0.2 0.0 0.0 0.0
0.0
2.0
4.0
6.0
8.0
10.0
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
20
12
20
13
Cu
m. N
et
Loss
Exc
lud
ing
Re
pu
rch
ase
s %
Credit Scores Less than 680 (6% of the Reference Pool)
0.2 0.3 0.6 1.0 1.6
3.4 4.6
5.2
2.9
0.4 0.1 0.0 0.0 0.0 0.0
2.0
4.0
6.0
8.0
10.0
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
20
12
20
13
Cu
m. N
et
Loss
Exc
lud
ing
Re
pu
rch
ase
s %
Credit Scores Between 680 and 719 (19% of the Reference Pool)
0.1 0.2 0.4 0.7 1.1
2.7 3.7 4.2
1.8
0.2 0.1 0.0 0.0 0.0 0.0
2.0
4.0
6.0
8.0
10.0
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
20
12
20
13
Cu
m. N
et
Loss
Exc
lud
ing
Re
pu
rch
ase
s %
Credit Scores Between 720 and 759 (31% of the Reference Pool)
0.1 0.1 0.2 0.4 0.8
2.2 2.9 3.2
1.3 0.1 0.0 0.0 0.0 0.0
0.0
2.0
4.0
6.0
8.0
10.0
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
20
12
20
13
Cu
m. N
et
Loss
Exc
lud
ing
Re
pu
rch
ase
s %
Credit Scores Between 760 and 779 (19% of the Reference Pool)
35
HQA1 Historical Cohort Performance (80% < LTV <= 95%)
Source: Freddie Mac Single Family Loan-Level Dataset Notes: Performance reflects activity through September 2014 using the June 2015 data release on loans with LTV > 80 and <=95. Cumulative Losses do not include modification losses Data is weighted in proportion to 2015-HQA1 FICO and LTV cohorts
© Freddie Mac 2015
0.1 0.2 0.4
0.7
1.1
2.6
3.4
3.8
1.9
0.3 0.1 0.0 0.0 0.0
0.0
1.0
2.0
3.0
4.0
5.0
6.0
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
20
12
20
13
Cu
m. N
et
Loss
Exc
lud
ing
Re
pu
rch
ase
s %
Reference Pool Proxy
36
2015-HQA1 Proxy Cohort Performance
Source: Freddie Mac Single Family Loan-Level Dataset Notes: Performance reflects activity through September 2014 using the June 2015 data release on loans with LTV > 80 and <=95. Cumulative Losses do not include modification losses Data is weighted in proportion to 2015-HQA1 FICO and LTV cohorts (1) Assuming no principal payments
Class M-1 takes 100% loss(1)
Class M-2 takes 100% loss(1)
Class B takes 100% loss(1)
Class M-3 takes 100% loss(1)
Reference Pool proxy represents the historical cum losses from the prior 2 pages, weighted by FICO and LTV distribution of STACR
2015-HQA1 Reference Pool
© Freddie Mac 2015 37
Proxy Cohort Historical Cure Rates
Vintage Liquidated D180+ Cured Cum D180 Cure Rate
2000 0.9% 0.0% 0.1% 1.0% 8.6%
2001 1.2% 0.0% 0.2% 1.4% 13.4%
2002 1.7% 0.1% 0.4% 2.1% 18.3%
2003 2.4% 0.1% 0.8% 3.4% 25.0%
2004 3.6% 0.2% 1.5% 5.3% 27.5%
2005 7.7% 0.4% 2.3% 10.3% 22.2%
2006 9.6% 0.5% 2.6% 12.8% 20.7%
2007 11.0% 0.5% 3.7% 15.3% 24.3%
2008 6.7% 0.4% 2.9% 10.0% 29.4%
2009 1.5% 0.1% 0.6% 2.3% 27.1%
2010 0.5% 0.0% 0.3% 0.8% 33.4%
2011 0.2% 0.0% 0.2% 0.4% 42.4%
2012 0.0% 0.0% 0.0% 0.1% 51.3%
Source: Freddie Mac Single Family Loan-Level Dataset Notes: Performance reflects activity through September 2014 using the June 2015 data release on loans with LTV > 80 and <=95. Cumulative Losses do not include modification losses Data is weighted in proportion to 2015-HQA1 FICO and LTV cohorts Cured loans are no longer D180 and borrower status is either paid-off, repurchased or less than D180.
Cumulative D180 credit events can be separated into the portion of loans that have:
» Liquidated for a loss
» Remain in D180 / REO bucket
» All other loans have “cured” status of paid in full or < 180 days delinquent
9% 13%
18%
25% 27%
22% 21%
24% 29% 27%
33%
42%
51%
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
18.0%
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
20
12
Cumulative D180 by Vintage
Liquidated D180+ Cured Cure Rate (Right Axis)
© Freddie Mac 2015
0%
5%
10%
15%
20%
25%
30%
35%
40%
0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00%
Seve
rity
Cum. Default Percentage
38
Proxy Cohort Historical Severities
Vintage
Cum D180 (A)
Liquidated (B)
Severity (C)
Cum Loss (D=B*C)
D180 Severity (Cum Losses / Cum D180)
(E=D/A)
Calculated Severity (F)
Calculated Cum Loss (G = A*F)
2000 1.0% 0.9% 13% 0.1% 12.1% 10.0% 0.1%
2001 1.4% 1.2% 18% 0.2% 15.3% 12.9% 0.2%
2002 2.1% 1.7% 23% 0.4% 18.5% 15.2% 0.3%
2003 3.4% 2.4% 28% 0.7% 19.8% 17.7% 0.6%
2004 5.3% 3.6% 30% 1.1% 20.7% 21.1% 1.1%
2005 10.3% 7.7% 34% 2.6% 25.5% 30.3% 3.1%
2006 12.8% 9.6% 35% 3.4% 26.6% 32.2% 4.1%
2007 15.3% 11.0% 35% 3.8% 25.1% 33.5% 5.1%
2008 10.0% 6.7% 28% 1.9% 18.8% 30.0% 3.0%
2009 2.3% 1.5% 16% 0.3% 11.0% 15.7% 0.4%
2010 0.8% 0.5% 12% 0.1% 7.2% 10.0% 0.1%
2011 0.4% 0.2% 8% 0.0% 3.8% 10.0% 0.0%
2012 0.1% 0.0% 11% 0.0% 2.1% 10.0% 0.0%
Source: Freddie Mac Single Family Loan-Level Dataset Notes: Performance reflects activity through September 2014 using the June 2015 data release on loans with LTV > 80 and <=95. Cumulative Losses do not include modification losses Data is weighted in proportion to 2015-HQA1 FICO and LTV cohorts
Using 2015-HQ1 Severity Schedule
2008 2007 2006
2005
2004
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0%
Act
ual
Cu
m. L
oss
Cum. Loss Per Severity Schedule on D180
2007
2006 2005
2008 2004
© Freddie Mac 2015
Proxy Cohort Historical Modifications
Source: Freddie Mac Single Family Loan-Level Dataset Notes: Performance reflects activity through September 2014 using the June 2015 data release on loans with LTV > 80 and <=95. Cum Prin Loss do not include modification losses Data is weighted in proportion to 2015-HQA1 FICO and LTV cohorts (1) Cumulative losses attributable to interest rate and forbearance modifications using same methodology as 2015-HQA1 transaction.
Vintage Current Pool
Factor Cum Prin Loss Cum Mod
Loss(1)
Mod Loss as % of Prin Loss Ever modified % Orig WAC Current WAC
Current Mod WAC SF
2000 0.59% 0.12% 0.02% 13% 0.27% 8.16% 8.15% 0.01%
2001 1.71% 0.21% 0.03% 15% 0.41% 7.03% 7.02% 0.01%
2002 4.02% 0.39% 0.06% 14% 0.66% 6.61% 6.59% 0.02%
2003 10.17% 0.67% 0.10% 14% 1.17% 5.84% 5.81% 0.03%
2004 12.91% 1.10% 0.19% 17% 2.09% 5.91% 5.86% 0.05%
2005 15.53% 2.62% 0.39% 15% 3.51% 5.93% 5.84% 0.10%
2006 13.05% 3.40% 0.61% 18% 4.66% 6.50% 6.34% 0.15%
2007 15.20% 3.84% 0.77% 20% 6.40% 6.47% 6.26% 0.21%
2008 14.94% 1.88% 0.52% 27% 5.30% 6.17% 6.01% 0.16%
2009 31.52% 0.25% 0.02% 6% 0.84% 5.08% 5.07% 0.01%
2010 46.28% 0.06% 0.00% 5% 0.41% 4.77% 4.77% 0.00%
2011 57.39% 0.02% 0.00% 6% 0.28% 4.62% 4.62% 0.00%
2012 85.39% 0.00% 0.00% 1% 0.06% 3.83% 3.83% 0.00%
39
Proxy Cohort Stats as of March 31, 2014
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
% Orig WAC
Curr WAC
© Freddie Mac 2015
Sovereign Fund REIT Money Manager Insurance Hedge Fund Bank / Credit Union
Investor Participation
40 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.
STACR 2014-HQ3: M3 STACR 2014-HQ3: M2 STACR 2014-HQ3: M1
STACR 2014-HQ2: M3 STACR 2014-HQ2: M2 STACR 2014-HQ2: M1
7%
90%
3%
59%
2%
34%
5% 6% 2%
51%
37%
4%
8%
92%
73%
27%
6%
57%
37%
STACR 2015-HQ1: M3 STACR 2015-HQ1: M2 STACR 2015-HQ1: M1
87%
9% 4% 8%
51%
1%
40%
15%
48%
2%
29%
6%
STACR 2015-HQ1: B
78%
22%
STACR 2015-HQ2: M1 STACR 2015-HQ2: M2
85%
15%
STACR 2015-HQ2: M3
12%
80%
1% 7%
STACR 2015-HQ2: B
5%
66% 1%
28%
99%
1%
© Freddie Mac 2015
Disclosed Loan-Level Fields
# Field Name Historical Actual Loss
STACR
# Field Name Historical Actual Loss
STACR
1 Adjusted Remaining Months to Maturity (aka RMM) X 15 Modification Flag X X
2 Channel (aka TPO Flag) X X 16 Mortgage Insurance Percentage (MI %) X X
3 Credit Score X X 17 Number of Borrowers X X
4 Current Actual UPB X X 18 Number of Units X X
5 Current Interest Rate X X 19 Occupancy Status X X
6 Current Loan Delinquency Status X X 20 Original Combined Loan-to-Value (CLTV) X X
7 First Payment Date X X 21 Original Debt-to-Income Ratio (DTI) X X
8 First Time Homebuyer X X 22 Original Interest Rate (aka Note Rate) X X
9 Current Interest Bearing UPB (for modified loans) X 23 Original Loan-to-Value (LTV) X X
10 Loan Age X X 24 Original Loan Term X X
11 Loan Purpose X X 25 Original UPB (aka Mortgage Loan Amount) X X
12 Loan Identifier (aka Loan Sequence Number) X X 26 Payment History1 D X
13 Maturity Date X X 27 Postal Code (3 digit) X X
14 Metropolitan Statistical Area (MSA) X X 28 Prepayment Penalty Indicator (aka PPM Flag) X X
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1. Extended to show 24 months of payment history D = not disclosed, but derivable from other disclosed fields.
© Freddie Mac 2015
Disclosed Loan-Level Fields (cont.)
# Field Name Historical Actual Loss
STACR
# Field Name Historical Actual Loss
STACR
29 Product Type X X 45 Non MI Recoveries X
30 Property State X X 46 Expenses X
31 Property Type X X 47 Taxes and Insurance* X
32 Remaining Months to Legal Maturity X X 48 Legal Costs* X
33 Underwriting Defect or Major Servicing Defect Settlement Date*
X 49 Maintenance and Preservation Costs* X
34 Repurchase Flag X 50 Bankruptcy Cramdown Costs* X
35 Seller Name X X 51 Miscellaneous Expenses* X
36 Servicer Name X X 52 Miscellaneous Credits* X
37 UPB at Issuance X 53 Loan in Eligible Disaster Area* X
38 UPB at Time of Removal from the Reference Pool D X 54 Bankruptcy Flag* X
39 Zero Balance Code X X 55 Date Referred to Foreclosure* X
40 Zero Balance Effective Date X X 56 MI Credit* X
41 Current Deferred UPB X 57 Estimated LTV* (at issuance for seasoned collateral only) X
42 Due Date of Last Paid Installment* X X 58 Updated Credit Score* (at issuance for seasoned collateral only) X
43 MI Recoveries X 59 Mortgage Insurance Cancellation Indicator*
X
44 Net Sales Proceeds* X X
42
D = not disclosed, but derivable from other disclosed fields. * New fields added to account for actual losses implemented starting from the STACR 2015-DNA1 and STACR 2015-HQA1 transaction.
© Freddie Mac 2015
Enhancements Made to Disclosures
Freddie Mac has added additional mortgage insurance data for the STACR actual loss transactions
» Pool Level: Lender Paid Mortgage Insurance and Borrower Paid Mortgage Insurance
» Loan Level: Mortgage Insurance Cancellation Flag
– Modifications have been made to how we disclose mortgage insurance % (an existing field) based on the Mortgage Insurance Cancellation Indicator (a new field). If the mortgage insurance policy on a loan has been cancelled, the Mortgage Insurance Percentage will be updated to 0% with the corresponding Mortgage Insurance Cancellation Indicator populated as “Y”
Preliminary reference pool payment disclosure will be available on the 4th business day of the month following the release of PC disclosures instead of the 25th
43
© Freddie Mac 2015
Research Articles on CRT
44
BAML: Credit Risk Transfer Monitor Monthly BAML: Non-agency MBS Weekly Weekly Barclays: Securitized Products Weekly Weekly BNP Paribas: CRT Report Monthly Citi: Mortgage Credit Weekly Weekly Credit Suisse: Agency Credit Loss Severity Drivers 4/6/2015 Credit Suisse: Agency Loan Modification Loss Drivers 5/14/2015 Credit Suisse: The CS CRT Compendium 8/5/2015 Deutsche Bank: Make room for risk transfer in MBS portfolios 4/15/2015 JP Morgan: GSE Risk-sharing Deals Analytics -- Non-agency RMBS Analytics Package Daily JP Morgan: Securitized Products Weekly Weekly MS: Risk Transfer Insights Monthly MS: Resi Credit Insights Risk Transfer: As Clean As It Gets 8/19/2015 Nomura: Securitized Products Weekly Weekly
© Freddie Mac 2015
Freddie Mac Key Contacts
Team Member Email Address Business Phone
Kevin Palmer Vice President
[email protected] (571) 382-4313
Michael S Reynolds Vice President
[email protected] (571) 382-4852
Dirk Niese STACR Deal Manager
[email protected] (571) 382-4738
Greg Kerr Transaction Management Director, STACR Deal Manager
[email protected] (571) 382-3340
Kathleen Reuther Transaction Management Director, STACR Deal Manager
[email protected] (571) 382-5578
Christian Valencia Associate Director
[email protected] (571) 382-3727
Charles Trombley Portfolio Manager, Sr
[email protected] (571) 382-3711
Sonya Sheth Portfolio Manager, Sr
[email protected] (571) 382-4376
Peter Wu Portfolio Manager, Sr
[email protected] (571) 382-5367
Charlotte Gladwin Portfolio Manager, Sr
[email protected] (571) 382-3732
Michael Murai Portfolio Manager, Manager
[email protected] (571) 382-5702
45