Freddie Mac STACR 101 · Mortgage-Related Investments Portfolio (PCs, REMICs and Other...
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Freddie Mac STACR 101 January 2019
Transcript of Freddie Mac STACR 101 · Mortgage-Related Investments Portfolio (PCs, REMICs and Other...
Freddie Mac STACR 101
January 2019
© Freddie Mac 2
Notice to all Investors:
This presentation (“Presentation”) 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, 2017, filed with the SEC on February 15, 2018, 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 Presentation for informational purposes only.
Notice to United Kingdom Investors:
This Presentation 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 Presentation 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 Presentation or any of its contents.
This Presentation 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 Presentation 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
Presentation to qualified investors only.
Notice to Canadian Investors:
This 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 the 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 shown in this Presentation 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 herein 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.
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.
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.
Disclaimer
© Freddie Mac 3
A Better Freddie Mac …and a better housing finance system
For families
...innovating to improve the liquidity, stability and
affordability of mortgage markets
For customers
...competing to earn their business
For taxpayers
...reducing their exposure to mortgage risks, innovating to
access private capital
© Freddie Mac 4
Agenda
1. Freddie Mac Overview 5
2. Credit Guarantee Business 14
3. U.S. Housing Market 18
4. Risk Management Framework 23
5. Credit Risk Transfer (CRT) Overview 29
6. STACR Overview 34
7. Collateral Performance 44
8. Data Resources 51
© Freddie Mac 5
Freddie Mac Overview
© Freddie Mac 6
Freddie Mac’s Role in US Housing Finance
PC Investors• Federal
Reserve
• Money
managers
• Hedge funds
• Banks/Credit
unions
• Other
• Underwriting standards
• Quality control
• Servicing policy
• Servicing monitoring
• Counterparty management
• REO disposition
• Securitization
Banks
Credit Unions
Mortgage Brokers
Others
Loans
STACR
CRT Investors• Money
managers
• Hedge funds
• Reinsurers
• REITs
• Insurance
companies
• Others
ACIS
PC
Interest Rate Risk
Credit Risk
Freddie Mac acts as a credit risk manager for capital markets and reinsurance investors
© Freddie Mac 7
▪ We continue to operate under the conservatorship that commenced on September 6, 2008, under the direction of the Federal Housing Finance Agency (FHFA) as 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
▪ Our ability to access funds from the Treasury under the Purchase Agreement is critical to keeping us solvent.
▪ There is significant uncertainty as to whether or when we will emerge from conservatorship, as it has no specified termination date.
▪ Our future structure and role will be determined by the Administration and Congress, and it is possible, and perhaps likely, that there will be significant changes beyond the near term.
Conservatorship
© Freddie Mac 8
FHFA Strategic Plan – Fiscal Years 2018 - 2022
▪ On January 29, 2018, FHFA released the FHFA Strategic Plan: Fiscal Years 2018-2022,
which reflects the Agency’s priorities as regulator and conservator of Freddie Mac and
Fannie Mae (the Enterprises).
▪ FHFA’s Strategic Plan sets forth three goals for the Agency:
» Ensure safe and sound regulated entities
» Ensure liquidity, stability and access in housing finance
» Manage the Enterprises’ ongoing conservatorships
▪ FHFA, acting as conservator and regulator, must follow the mandates assigned to it by
statute and oversee the missions assigned to the Enterprises by their charters until such
time as Congress revises those mandates and missions.
© Freddie Mac 9
▪ On August 17, 2012, the Conservator, acting on our behalf, and Treasury entered into a third
amendment to the Purchase Agreement.
▪ The principal changes included:
» Replacement of the fixed dividend rate with a net worth sweep dividend beginning in the
first quarter of 2013
» Accelerated wind-down of the retained portfolio
» Submission of an annual risk management plan to Treasury
» Suspension of the periodic commitment fee
Amended Purchase Agreement
© Freddie Mac 10
▪ On December 21, 2017, the Conservator, acting on our behalf, entered into a Letter
Agreement with Treasury.
▪ The principal changes pursuant to the Letter Agreement are as follows:
» The senior preferred stock dividend for the dividend period from October 1, 2017
through and including December 31, 2017 was reduced to $2.25 billion.
» The applicable Capital Reserve Amount from January 1, 2018 and thereafter will be
$3.0 billion, rather than zero as previously provided. If for any reason we were not to
pay our dividend requirement on the senior preferred stock in full in any future period,
the applicable Capital Reserve Amount would thereafter be zero.
» The liquidation preference of the senior preferred stock increased by $3.0 billion, to
$75.3 billion, on December 31, 2017.
2017 Letter Agreement
© Freddie Mac 11
$71.3
$0.3
$71.6
$96.5
$5.0$10.9
$1.6
$114.0
2008 - 2015 2016 2017 YTD 2018 Cumulative Total
Draw Requests from Treasury Dividend Payments to Treasury
Treasury Draw Requests and Dividend Payments
Treasury draw requests and dividend payments$ Billions
Data as of September 30, 2018.
Note: Totals may not add due to rounding.
1
*
*
© Freddie Mac 12
Market Presence
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 YTD 2018
Enterprises &
Ginnie Mae62% 95% 97% 96% 98% 99% 98% 95% 95% 97% 96% 95%
Private Label 38% 5% 3% 4% 2% 1% 2% 5% 5% 3% 4% 5%
$1.9
$1.2
$1.7
$1.4$1.2
$1.7 $1.6
$1.0
$1.3$1.5
$1.4
$0.9
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 YTD2018
Freddie Mac Fannie Mae Ginnie Mae Private Label
MBS Issuance Volume$ Trillions
Data as of October 13, 2018.
Source: Inside MBS & ABS.
*
*
© Freddie Mac 1313© Freddie Mac
Number of single-family loan workouts3
In Thousands
Housing Market Support
Number of families Freddie Mac helped
to own or rent a home2
In Thousands
Note: Totals may not add due to rounding.
*As of September 30.
Home
Retention
Actions
Foreclosure
Alternatives
4
4
4
4
© Freddie Mac 14
Credit Guarantee Business
© Freddie Mac 15
$106
$122
$1924
$1,827
$2,103
$2,207$2,251
$2,165$2,075
$1,956$1,915 $1,910 $1,942
$2,011$2,098
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 YTD 2018
$ Billions
Outstanding Freddie Mac Mortgage-Related Securities and Other Mortgage-Related Guarantees
Mortgage-Related Investments Portfolio (PCs, REMICs and Other Securitization Products)
Mortgage-Related Investments Portfolio (Non-Freddie Mac Mortgage-Related Securities & Mortgage Loans)
$2,045
Total Mortgage Portfolio
$228
* Data as of September 30, 2018.
Note: Totals may not add due to rounding.
$2,151
*
© Freddie Mac 16
Freddie Mac Share of PC/MBS IssuancesPercent (%)
Freddie Mac’s GSE Market Share
37%
38%
35% 35%
38%
41%
43%
41%
42%
41%
2009 2010 2011 2012 2013 2014 2015 2016 2017 YTD2018
Data as of September 30, 2018.
Source: Freddie Mac and Fannie Mae Monthly Volume Summaries.
.
*
*
© Freddie Mac 1717© Freddie Mac
Single-family Financial Highlights and
Key Metrics
Single-family segment earnings$ Millions
Credit guarantee portfolio$ Billions
New funding volume$ Billions
Guarantee fees charged on new acquisitions (bps)5
+4% YoY
increase
Note: Totals may not add due to rounding.
(77%) (78%) (79%) (80%) (81%)
Serious delinquency rates
© Freddie Mac 18
U.S. Housing Market
19© Freddie Mac
Source: Freddie Mac September 2018 Economic and Housing Research Outlook.
Refi
Purchase
Total value of U.S. real estate held by households7
$ Trillions
Source: Federal Reserve Board’s Flow of Funds Accounts, Table B. 101. Data as of June 30, 2018.
Annual Single-family mortgage originations6
$ Trillions
Total cash-out dollars as a percentage of aggregate
refinanced originations UPB
Source: Freddie Mac Economic & Housing Research Quarterly Refinance Statistics 2Q18.
Total home equity cashed out $ Billions
Source: Freddie Mac Economic & Housing Research Quarterly Refinance Statistics 2Q18.
Housing Market Trends
Value of Housing Stock
$10.2
$15.2
$25.4
Home Equity
Single-family Mortgage Debt Outstanding
0
5
10
15
20
25
1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018
Home Equity
Single-family Mortgage Debt Outstanding
6.0%
31.2%
8.1%
2.6%
8.0%
21.8%
2Q03 2Q06 2Q09 2Q12 2Q15 2Q18
$38.8
$84.0
$24.7
$5.9 $11.7
$15.8
2Q03 2Q06 2Q09 2Q12 2Q15 2Q18
0.60.8 0.8 0.9 1.0 1.1 1.2 1.2
1.4
1.5 1.1
0.5
0.8
1.0 0.7 0.5 0.40.2
2.1T
1.9T
1.3T
1.7T
2.0T
1.8T1.7T
1.6T 1.6T
2012 2013 2014 2015 2016 2017 2018F 2019F 2020F
20© Freddie Mac
Vacant Housing Over/Undersupply8
Housing Market Trends, continued
Source: Freddie Mac calculations using US Census Bureau data. 2018 data as of August 31, 2018.
Source: US Census Bureau, Freddie Mac September 2018 Economic and Housing Research
Outlook.
Note: Dashed line indicates forecasted data
Source: US Census Bureau, Freddie Mac September 2018 Economic and Housing Research
Outlook
Note: Dashed line indicates forecasted data
Source: US Census Bureau
Note: Data as of June 30, 2018.
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
8.0
8.5
9.0
1999 2000 2002 2003 2005 2006 2008 2009 2011 2012 2014 2015 20172018F
Mill
ion U
nits
Home Sales (Existing + New)
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
2.0
2.2
1990 1993 1996 1999 2002 2005 2008 2011 2014 2017
Housing Starts (millions)
62
63
64
65
66
67
68
69
70
Homeownership Rate (percent)
Homeownership rates are low despite
low unemployment levels:
• Many more millennial renters
• High student debt loan burden
• Limited access to credit
• Affordability
• Prices increasing quicker than wages
64.3%
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2000 2001 2003 2004 2006 2007 2009 2010 2012 2013 2015 2016 2018
For-Rent Inventory(Millions)
For-Sale Inventory(Millions)
-0.8
© Freddie Mac 2121© Freddie Mac
National home prices have surpassed the 2006 peak
Key Economic Indicators
National home prices increased by an average of 5.9% over the past year
Quarterly ending interest rates
Unemployment rate and job creation
Freddie Mac House Price Index (December 2000 = 100)
(2006 Peak)
Data as of September 30, 2018.
Data as of September 30, 2018.
© Freddie Mac 22
Economic and Housing Market Forecast
Note: Quarterly and annual forecasts (or estimates) are shown in shaded areas; totals may not add due to rounding; annual forecast data are averages of quarterly values; annual historical data are reported as Q4 over Q4.a. Calculations based on quarterly averages of monthly index levels; index levels based on the seasonally-adjusted, all-urban consumer price index; reported as an annual rate.b. Quarterly average of monthly unemployment rates (seasonally-adjusted); Quarterly average of monthly interest rates (not seasonally-adjusted); reported as an annual rate.c. Millions of housing units; quarterly averages of monthly, seasonally-adjusted levels (reported at an annual rate).d. Millions of housing units; total sales are the sum of new and existing detached single-family homes; quarterly averages of monthly, seasonally-adjusted levels (reported at an annual rate).e. Quarterly growth rate of Freddie Mac's House Price Index; seasonally-adjusted; annual rates for yearly data.f. Billions of dollars (not seasonally-adjusted). Includes only 1st lien mortgage originations. g. Home Mortgage Disclosure Act for all single-family mortgages (not seasonally-adjusted); Annual share is dollar-weighted average of quarterly shares.h. Federal Reserve Board; growth rate of residential mortgage debt, the sum of single-family and multifamily mortgages (not seasonally-adjusted, reported as Q4 over Q4). Prepared by Office of the Economic & Housing Research group as of November 9, 2018; Send comments and questions to [email protected]://www.freddiemac.com/research/pdf/201811-Forecast-04.pdf
2017 2018 2019 Annual Totals
Major Economic Indicators Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 2017 2018 2019 2020
Real GDP Growth (%) 1.8 3.0 2.8 2.3 2.2 4.2 3.5 2.6 2.6 2.5 2.4 2.3 2.5 3.0 2.4 1.8
Consumer Prices (%)a 3.0 0.1 2.1 3.3 3.5 1.7 2.0 2.2 2.2 2.3 2.4 2.5 2.1 2.4 2.3 2.4
Unemployment Rate (%)b 4.7 4.4 4.3 4.1 4.1 3.9 3.8 3.7 3.7 3.6 3.6 3.5 4.4 3.9 3.6 4.0
30-Year Fixed Mtg. Rate (%)b 4.2 4.0 3.9 3.9 4.3 4.5 4.6 4.8 4.9 5.0 5.2 5.3 4.0 4.6 5.1 5.6
5/1 Hybrid Treas. Indexed ARM Rate (%)b 3.2 3.1 3.2 3.3 3.6 3.8 3.9 4.1 4.3 4.4 4.6 4.7 3.2 3.8 4.5 5.0
10-Year Const. Mat. Treas. Rate (%)b 2.4 2.3 2.2 2.4 2.8 2.9 2.9 3.2 3.3 3.5 3.5 3.6 2.3 3.0 3.5 3.9
1-Year Const. Mat. Treas. Rate (%)b 0.9 1.1 1.3 1.6 1.9 2.3 2.5 2.4 2.6 2.8 2.9 3.1 1.2 2.3 2.9 3.4
2017 2018 2019 Annual Totals
Housing & Mortgage Markets Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 2017 2018 2019 2020
Housing Startsc 1.23 1.17 1.17 1.26 1.32 1.26 1.22 1.25 1.29 1.28 1.30 1.31 1.20 1.26 1.30 1.40
Total Home Sales (Incl. Condos)d 6.22 6.15 5.99 6.25 6.16 6.05 5.85 6.00 6.00 6.05 6.10 6.15 6.12 6.02 6.08 6.20
FMHPI House Price Appreciation (%)e 1.7 1.7 1.7 1.9 2.1 0.9 0.9 1.1 1.1 1.1 1.1 0.9 7.2 5.1 4.3 2.9
1-4 Family Mortgage Originationsf
Conventional ($) 270 354 385 373 284 346 331 282 249 336 347 300 1,382 1,243 1,232 1,230
FHA & VA ($) 107 106 112 103 93 106 99 89 80 104 107 92 428 387 383 370
Total ($) 377 460 497 476 377 452 430 371 329 440 454 392 1,810 1,630 1,615 1,600
Refinancing Share - Originations (%)g 44 30 33 41 40 29 24 23 30 23 23 24 37 29 25 15
Residential Mortgage Debt (%)h 2.4 3.8 4.0 4.3 2.0 3.0 3.2 3.4 3.6 3.8 4.0 4.2 3.6 2.9 3.9 3.9
© Freddie Mac 23
Risk Management Framework
© Freddie Mac 24
Credit Risk Management Overview
Optimized 3-pronged risk management infrastructure ensures high quality
loans and transparent data are passed on to credit risk investors.
▪ Following the crisis, 100% of the loans Freddie Mac purchases are required to have full documentation,
naturally constraining the type of pre-crisis fraud experienced during 2005-2008. We are prohibited from
purchasing loans where the borrower has no documented assets or income.
▪ Freddie Mac is also subject to and enforcing appraisal independence rules, which insulate the appraiser
from influence by other parties involved in processing or originating the loan.
▪ Data Enhancements: Expanded mortgage data collection, with enhanced quality and standardization
enables Freddie Mac to identify anomalous activity more quickly and effectively.
Post-Crisis
Enhancements
❖ Seller In-House Quality Control
❖ Seller Servicer Approval Standards
❖ Loan Servicer Performance Monitoring
and Scorecard
❖ CORE Reviews
❖ Documentation Standards and Credit
Eligibility Requirements
❖ Delegated Underwriting Guidelines
❖ Seller Representations and Warranties
❖ Loan Advisor Suite
❖ Post-Close Credit Review
❖ Quality Assurance
❖ Compliance Review
❖ Performing Loan Quality Control Review
❖ Non-Performing Loan Quality Control
Review
❖ Underwriting Defects Repurchase Process
Loan Quality ControlSeller / Servicer
ManagementUnderwriting
© Freddie Mac 25
Credit Policy and Underwriting
Standards
Reducing risk through high-quality underwriting standards, data and innovative tools
▪ Freddie Mac’s automated underwriting system, Loan Product Advisor®, provides lenders with access
to credit requirements and generates an assessment of a loan’s eligibility for sale to Freddie Mac.
▪ Corporate credit policy pillars: i) Minimum credit score requirements, ii) Maximum debt-to-income
ratio limits, iii) Maximum loan-to-value and total-loan-to-value ratio limits, iv) Elimination of risky
products such as interest-only loans, pay option ARMs, reduced documentation, and balloons.
Credit
▪ Require the seller-servicer to repurchase the loan if there is a material underwriting defect
discovered, subject to certain limits. In lieu of repurchase, an alternative remedy (such as
indemnification) can be mutually agreed or Freddie Mac can elect to waive the enforcement of a
remedy.
Reps &
Warrants
(R&Ws)
▪ Vast majority of the loans sold to Freddie Mac require an appraisal. We have recently developed
innovative tools leveraging algorithms and big data advanced analytics to streamline appraisal
requirements for certain loans.
▪ Freddie Mac can evaluate the quality of the appraisal and provide feedback to the lender, allowing
focus on appraisals with the highest risk.
Collateral
▪ Loans sold to Freddie Mac must have documented evidence of the mortgagor’s ability to repay and
of the value of the property.Capacity
© Freddie Mac 26
Loan Advisor Suite
Loan Advisor Suite helps build the manufacturing quality required for greater certainty
▪ Using big data, advanced analytics and automation to greatly improve the loan production process while reducing risk.
▪ Upfront data and quality validation and tight adherence to Freddie Mac’s Credit Policy guidelines.
▪ Loan Advisor Suite reduces delegated underwriting and enhances certainty of lending for loan originators.
© Freddie Mac 27
Quality Control (QC) Process
Losses are mitigated through a comprehensive QC program across performing /
non-performing loans, including third-party QC processes by lenders
▪ Regularly perform QC on a random and targeted basis to test the quality of recently
purchased loans, including added focus on key elements of particular interest or
concern (e.g., loan attributes or sellers).
▪ Freddie Mac benchmarks every loan we purchase against our valuation model and
appraisals are assessed within our automated system, Loan Collateral Advisor® for
instantaneous feedback to the originator.
Performing
Loan QC
Non-
Performing
Loan QC
▪ Each loan seller must have an in-house QC program that has written procedures and
operates independently of the sellers’ origination and underwriting functions.
▪ Freddie Mac reviews, monitors, and provides feedback on sellers’ QC and origination
practices, including performing on-site reviews of its largest sellers.
Seller In-
House QC
▪ Freddie Mac also reviews 100% of mortgage loans that default within the first few years
after purchase or guarantee.
© Freddie Mac 28
Seller/Servicer Management
Freddie Mac believes that a well-rounded view of servicing performance supports a
broad and in-depth analysis of performing and non-performing loans
▪ Focused on covered National, Regional and Community Servicers, Independent
Mortgage Bankers, Specialty Servicers, Master Servicers, and Subservicers.
▪ Sets goals and objectives, establishes agreed-upon action plans and milestones.
Account Plans
File Reviews,
Rewards, and
Remedies
▪ Performance evaluation specific to servicer segments (ranked groups), uses synthetics
and ranks.
▪ Provides loan level data and analyses.
Scorecard
▪ Identifies servicing performance gaps and trends, encourages and rewards quality
servicing.
▪ Helps identify and resolve issues and provides consequences for poor data quality and
servicing processes.
▪ Identifies SF counterparty operational risk issues and monitors remediation.
▪ Provides assessment of Counterparty’s compliance with Guide Requirements.
▪ Conducts on-site due diligence of Servicers’ preparedness for large MSR transfers.
▪ Works closely with account managers to ensure review scope addresses new/
emerging risks.
CORE
© Freddie Mac 29
Credit Risk Transfer (CRT) Overview
© Freddie Mac 30
CRT: Growth of an Asset Class
2014Building Tools:
- Introduced STACR HQ series
(>80% LTV)
- Selling risk higher up the
capital structure
2011 & 2012Inception:
- Freddie Mac establishes team
to pioneer CRT concepts
- FHFA publishes strategic plan
for CRT and guidelines
governing GSE risk sharing
2015Achieve Scale & Depth:
- New CRT tools added – Seller
Risk Retention, Whole Loan
Securities (WLS)
- Enhanced all CRT programs to
transfer actual loss
- Begin transferring first loss risk
2013Establish the Market:
- Historical loan level data
released
- First STACR transaction (debt)
- Focused on 60-80% LTV fixed
rate collateral
2017Further Development:
- HARP Historical Data release
- Inaugural STACR SPI
transaction
- Inaugural STACR HRP
“SHRP” transaction
2018Continued Expansion:
- Inaugural STACR Trust
transaction
- Extended term to 30 years and
selling Class B-2 notes with 10
bps CE
2019Future State:
- STACR REMIC
Freddie Mac Issued the First GSE Credit Risk Transfer Transaction in 2013, STACR 13DN01
© Freddie Mac 31
CRT Market Offerings
Credit Risk Transfer (CRT) has become a fundamental component of Freddie Mac’s
operating model while enabling us to address strategic objectives.
Freddie Mac’s CRT Market Offerings and Access to Diversified Investor Markets
STACR® STACR Trust STACR SPISM ACIS ACIS AFRM
Seller Facing
Forward Risk
Transfer
SCRT/SLST
Issuance
TypeDebt notes Trust notes
Cash
Securitization/
REMIC
Reinsurance
Policy
Reinsurance
Policy
Debt
Notes/Other
Cash
Securitization/
REMIC
Primary
Investor
Base
Money Managers, Hedge Funds, REITs,
Sovereign Funds & Insurance Companies
Reinsurance/
Insurance
Reinsurance/
Insurance
Seller/
Servicers
Money
Managers,
Hedge Funds,
REITs, Banks &
Insurance
Companies
Offerings
(Multi Class)
Investment Grade
Non-Investment Grade
Not Rated
(Multi Class)
Front end
Insurance Policy
Front end risk
sharing
(Multi Class)
Guaranteed &
Non-Guaranteed
Non-Investment
Grade
Not Rated
© Freddie Mac 3232© Freddie Mac
Single-family Credit Risk Transfer –
STACR / ACIS / Deep MI
Total Single-family credit guarantee portfolio with
transferred credit risk$ Billions
Cumulative Single-family transferred credit risk
based on outstanding balance at period end$ Billions
Outstanding reference pool UPB as a
percentage of total Single-family portfolio
*As of September 30, 2018.
© Freddie Mac 33
2019 STACR Issuance Calendar
Expected Issuance Window
STACR 2019-DNA1 Q1 2019
STACR 2019-HQA1 Q1 2019
STACR 2019-DNA2* Q1/Q2 2019
STACR 2019-HQA2* Q2 2019
STACR 2019-DNA3* Q2/Q2 2019
STACR 2019-HQA3* Q3 2019
STACR 2019-DNA4* Q3/Q4 2019
STACR 2019-HQA4* Q4 2019
Source: https://crt.freddiemac.com/docs/offerings/2019-stacr-issuance-calendar-final-2.pdf
Freddie Mac retains sole discretion over whether or not the STACR issuances come to market and the timing thereof, which may be impacted by market conditions. As such, the
information contained in this document does not guarantee the timing of any future Freddie Mac offerings or the amount of such offerings. This document may be amended,
superseded or replaced. Please use this STACR issuance calendar for informational purposes only. This document is not an offer to sell any Freddie Mac securities.
*Starting with STACR 2019-DNA2, Freddie Mac intends to issue deals as REMIC
© Freddie Mac 34
STACR Overview(DNA, HQA, and HRP)
© Freddie Mac 35
STACR Structure Illustration(On the run transactions- Example Purposes Only)
Allocation of principal payments
Specified Credit and Modification Events
Freddie Mac STACR Trust
Eligible Investments
Reference Pool
Class M-1H
Class M-2H
Class B-1H
Class B-2H
Class B-3H (Reference Tranche Only)
Credit ProtectionPayments
Credit PremiumPayments and Credit
ProtectionReimbursement
Payments
Earnings on andliquidation proceeds
of EligibleInvestments
Proceeds of saleof Notes
Proceeds of saleof Notes
Payments ofprincipal and
interest on theNotes
Offered at Closing Retained Credit Risk
Class A-H(Reference Tranche Only)
Class M-1
Class M-2
Class B-1
Class B-2
(1) The Class M-2A and Class M-2B Notes and corresponding Reference Tranches relate to the Class M-2 Notes. The Class M-2A and Class M-2B Notes are exchangeable for the Class M-2 Notes, and vice versa, as further described in the Term Sheet and Preliminary PPM. In addition, certain Classes of MAC Notes can be further exchanged for other Classes of MAC Notes, and vice versa, as further described in the Term Sheet and Preliminary PPM.
(2) The Class B-1A and Class B-1B Notes and corresponding Reference Tranches relate to the Class B-1 Notes. The Class B-1A and Class B-1B Notes are exchangeable for the Class B-1 Notes, and vice versa, as further described in the Term Sheet and Preliminary PPM. In addition, certain Classes of MAC Notes can be further exchanged for other Classes of MAC Notes, and vice versa, as further described in the Term Sheet and Preliminary PPM.
(3) The Class B-2A and Class B-2B Notes and corresponding Reference Tranches relate to the Class B-2 Notes. The Class B-2A and Class B-2B Notes are exchangeable for the Class B-2 Notes, and vice versa, as further described in the Term Sheet and Preliminary PPM. In addition, certain Classes of MAC Notes can be further exchanged for other Classes of MAC Notes, and vice versa, as further described in the Term Sheet and Preliminary PPM.
© Freddie Mac 36
Allocation of Principal Payment Among Subordinate Classes
Stated Principal:
▪ Pro rata between senior and subordinate if all triggers pass. Sequential pay among
subordinate classes.
▪ Sequential between senior and subordinate if any trigger fails. Sequential pay
among subordinate classes.
STACR – Allocation of Principal
First – M1 and M-1H Reference Tranche
– Principal payment
Second – M2 and M-2H Reference Tranche (MACR Option
Available)– Principal payment
Third – B1 and B1-H Reference Tranche (MACR Option
Available)– Principal payment
Fourth – B2 and B2-H Reference Tranche (MACR Option
Available)– Principal payment
Fifth – B3-H Reference Tranche
– Principal payment
© Freddie Mac 37
STACR — Actual Loss Waterfall
▪ Modification Loss Amount = (Modification Shortfall) – (Modification Excess)
▪ Modification Shortfall = (1/12 * Original Accrual Rate * Reference Obligation
UPB) – (1/12 * Current Accrual Rate * Reference Obligation Interest-Bearing
UPB)
▪ Modification Excess = (1/12 * Current Accrual Rate * Reference Obligation
Interest-Bearing UPB) – (1/12 * Original Accrual Rate * Reference Obligation UPB)
First - Class B-3H Reference Tranche– Write-down
Third - Class B-2A and Class B-2AH Reference Tranches, pro rata – Write-down
Fifth - Class B-1A and Class B-1AH Reference Tranches, pro rata – Write-down
Sixth - Class M-2B and Class M-2BH Reference Tranches, pro rata – Write-down
Allocation of Loss on Dispositions
Seventh - Class M-2A and Class M-2AH Reference Tranches, pro rata – Write-down
Fourth - Class B-1B and Class B-1BH Reference Tranches, pro rata – Write-down
Second - Class B-2B and Class B-2BH Reference Tranches, pro rata – Write-down
Eighth - Class M-1 and Class M-1H Reference Tranches, pro rata – Write-down
Ninth - Class A-H Reference Tranche – Write-down
Freddie Mac will utilize the below waterfalls to allocate actual lossesAllocation of Modification Loss Amounts
Third – Class B-2B and Class B-2BH Reference Tranches, pro rata– Interest Amount
Fourth – Class B-2A and Class B-2AH Reference Tranches, pro rata– Interest Amount
Fifth - Class B-2B and Class B-2BH Reference Tranches, pro rata – Write-down
Seventh - Class B-1B and Class B-1BH Reference Tranches, pro rata– Interest Amount
Ninth - Class B-1B and Class B-1BH Reference Tranches, pro rata – Write down
Tenth - Class B-1A and Class B-1AH Reference Tranches, pro rata – Write-down
Eleventh - Class M-2B and Class M-2BH Reference Tranches, pro rata – Interest Amount
Twelfth - Class M-2A and Class M-2AH Reference Tranches, pro rata – Interest Amount
Eighth - Class B-1A and Class B-1AH Reference Tranches, pro rata – Interest Amount
Sixth - Class B-2A and Class B-2AH Reference Tranches, pro rata – Write-down
First – Class B-3H Reference Tranche– Interest Amount
Second – Class B-3H Reference Tranche– Write-down
Thirteenth - Class M-2B and Class M-2BH Reference Tranches, pro rata – Write down
Fourteenth - Class M-2A and Class M-2AH Reference Tranches, pro rata – Write-down
Fifteenth - Class M-1 and Class M-1H Reference Tranches, pro rata – Interest Amount
Sixteenth - Class M-1 and Class M-1H Reference Tranches, pro rata– Write-down
© Freddie Mac 38
Calculation for Actual Loss
STACR – Actual Loss Calculation
Losses atDisposition
1 (+) UPB at time of removal from the Reference Pool (including prior principal forgiveness)
2 (-) Net Sales Proceeds
3 (+)Delinquent Accrued Interest (Non-Capitalized)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 Costse.g. Property Inspection, Homeowner’s Association, Utilities, Rental Receipts, REO Management, etc.
7 (-)MI ProceedsTotal Claim Amount * Coverage %
8 (+)Miscellaneous Expensese.g. BPO, other sales expenses not included in item 2 above
9 (-)Miscellaneous Creditse.g. Positive Escrow, Insurance Refunds, Hazard Claim Proceeds, Make Whole Events, etc.
Losses at Modification
10 (+)Modification Costse.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)
© Freddie Mac 39
STACR 2019-DNA1 Capital Structure Overview
STACR 2019-DNA1
Early Redemption* Maturity*
Tranche Loss Coverage Expected Ratings Balance ($) WAL Principal Window WAL Principal Window
Attach Detach S&P DBRS 10% 5% 10% 5% 10% 5% 10% 5%
M-1 3.00% 4.25%BBB+
(sf)BBB (sf) $215,000,000 1.78 3.21 6-39 11-69 1.78 3.21 6-39 11-69
M-2 1.10% 3.00% B+ (sf) B (high) (sf) $327,000,000 6.50 9.02 39-120 69-120 6.54 10.87 39-131 69-205
B-1 0.60% 1.10% B- (sf) B (low) (sf) $86,000,000 9.99 9.99 120-120 120-120 12.83 19.31 131-181 205-261
B-2 0.10% 0.60% NR NR $86,000,000 9.99 9.99 120-120 120-120 18.77 24.62 181-291 261-335
Total $714,000,000
Acquisition Period: April 1, 2018 – June 30, 2018
Reference Pool is based on a pool of loans with a UPB of $24,607,756,165, LTV range: 60% < LTV <= 80%
Min C/E Test: 4.50%
Cumulative Net Loss % Threshold: Year 1: 0.10%, with 0.10% step-ups each year up to 1.30%
Delinquency Test: 50% of subordinate balance
Minimum Denomination: $10,000 and QIB requirement
144A Compliant
Maturity Date: Jan. 25, 2049
Early Redemption Date: Earlier of: (a) 10% or less pool factor or (b) on or after 120th payment date
The first payment date on the Reference Tranches begins on February 2019 and will include principal payments for 2 reporting periods. This may result in a faster CPR for the pool in that
month as compared to principal payments based on a single reporting period
*Assumption uses CPR & 0 CDR; WAL in years, principal window in months
© Freddie Mac 40
STACR 2019-DNA1:
Initial Cohort Pool to Reference Pool
Category Loan CountAggregate Original
Loan Balance ($)(1)
Average Original
Loan Balance ($)(1)
Non-Zero Weighted
Average Original
Credit Score
Weighted Average
Original LTV Ratio
(%)
Non-Zero Weighted
Average Original DTI
(%)
Initial Cohort Pool 110,862 26,083,222,000 235,276 747 76 37
less loans that were removed due to
incomplete data reconciliation or
corrected data(2)
267 59,980,000 224,644 751 75 36
less mortgage loans that were
repurchased or removed by quality
control process(3)
75 17,562,000 234,160 719 75 42
less mortgage loans that were paid in
full2,545 632,416,000 248,494 757 76 37
less mortgage loans that were removed
due to having failed delinquency criteria
or the borrower having filed for
bankruptcy(4)
1,548 365,995,000 236,431 718 75 38
Reference Pool 106,427 25,007,269,000 234,971 747 76 37
$83.8 billion
Reference PoolEligibility Criteria
Total Non-HARP Loans funded from April 2018 – June 2018
Initial Cohort Pool
▪ 100% never delinquent▪ 100% fully amortizing,
fixed-rate, 1-to-4 unit, first lien mortgage loans with original terms of 241 to 360 months
▪ No loans originated under Relief Refinance program (including HARP)
▪ No LTV > 80% or <=60%
Additional Fallout Loans
1) The original UPB of each Reference Obligation is rounded to the nearest $1,000.2) 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) Includes loans removed as a result of the findings of the Third-Party Diligence Provider, if applicable. Also includes Mortgage Loans repurchased by the seller/servicer as a result of their internal quality control process and/or
voluntarily repurchased by the seller/servicer.4) Out of the 1,548 loans that were excluded from the Reference Pool due to failing delinquency criteria or having filed for bankruptcy, 1,131 of those loans were reported to be currently performing as of October 31, 2018.
Reference Pool
$26.1 billion $25.0 billion
▪ Incomplete data▪ Paid in full▪ Bankruptcy▪ See details below
© Freddie Mac 41
Class B Tax Considerations
▪ The Original Class B Notes, including Notes sold by virtue of a sale of related MAC Notes, will be treated in part as a limited recourse guarantee contract and in part as an interest-bearing collateral arrangement to the extent of the principal balance of the Original Class B Notes for U.S. federal income tax purposes
▪ Freddie Mac, the Trust and each Beneficial Owner, by acceptance of an Original Class B Note, will agree to treat such Note in the manner described above unless a change in law or administrative practice requires a Note to be treated in some other manner
▪ To the extent payments on the Original Class B Notes (and related MAC Notes) are treated as interest with respect to the interest-bearing collateral arrangement, such interest will be eligible for the portfolio interest exemption, subject to certain exceptions and requirements. To the extent payments on the Original Class B Notes (and related MAC Notes) are treated as guarantee fees, Shearman & Sterling LLP is of the opinion that such payments generally will be foreign source for Non-U.S. Beneficial Owners that are not engaged in the conduct of a U.S. trade or business. Accordingly, Shearman & Sterling LLP is of the opinion that such payments will not be subject to U.S. withholding tax
▪ The characterization of the guarantee fees as foreign source income for Non-U.S. Beneficial Owners not engaged in the conduct of a U.S. trade or business and as not subject to U.S. withholding tax is not binding on the IRS or withholding agents. Accordingly, there can be no assurance that a paying agent that does not agree with such characterization will not withhold on payments with respect to the Original Class B Notes
© Freddie Mac 42
STACR Investor Participation at Issuance
Money ManagerHedge Fund Insurance REIT Sovereign Fund Bank/Credit Union
32%
67% 72%
62%
33% 24%
6% 4%
2017 DNA 2017 HQA 2018 DNA
B-2
43%56%
46%
83%
49%
41%
40%
17%8%2%
14%1%
2017 DNA 2017 HQA 2018 DNA 2018 HQA
B-1
4% 10% 6%
74%76% 82% 92%
17%7%
12% 8%4% 6%1%
2017 DNA 2017 HQA 2018 DNA 2018 HQA
M-1
29%
51% 47% 42%
51%
37% 47%47%
3%
17% 13%6% 12%
2017 DNA 2017 HQA 2018 DNA 2018 HQA
M-2
© Freddie Mac 43
STACR Evolution
Date Transaction # Deal Size Description
July 2013 1 2013-DN1 $500M Inaugural STACR transaction
February 2014 3 2014-DN1 $1,008M Introduced 3 “M” bond structure
August 2014 6 2014-HQ1 $460M New series “HQ” (80-95% LTV collateral)
September 2014 7 2014-HQ2 $770M Seasoned deal
February 2015 10 2015-DN1 $880M Sold “B” bond for first time, “M-3” now rated
April 2015 12 2015-DNA1 $1,010M New series “DNA” – actual loss, seasoned collateral
September 2015 15 2015-HQA1 $872M New series “HQA” – actual loss (80-95% LTV collateral)
May 2016 20 2016-DNA2 $916M Introduced new M-3 MAC notes
October 2016 25 2016-HQA4 $478M Up to 97% LTV collateral loans not backing PCs eligible
February 2017 26 2017-DNA1 $802M New M-1, M-2, B-1, B-2 structure; new MAC notes
October 2017 32 2017-SPI1 $50M Inaugural SPI transaction
December 2017 33 2017-HRP1 $200M Inaugural STACR HRP “SHRP”
January 2018 34 2018-DNA1 $900M Minimum denominations reduced to $10k, offering limited to QIBs
May 2018 37 2018-HRP1 $880MInaugural STACR Trust transaction, combined scheduled and unscheduled
principal
September 2018 40 2018-DNA3 $820MExtended term to 30 years and re-introduced sale of Class B-2 notes, now
with 10 bps CE
▪ Freddie Mac has issued 44 STACR transactions to date:
© Freddie Mac 44
Collateral Performance
© Freddie Mac 45
Returns Summary
-6% -3% 0% 3% 6% 9% 12% 15% 18%
Bloomberg BarclaysUS Corp HY Index
S&P Index
CRTx Subordinate
CRTx Lower Mezzanine
CRTx Upper Mezzanine
Total Return Annualized
CRT Return Summary as of 01/08/2019
1 Y 3 Y
CRTx Indices are sourced from Mark Fontanilla & Co., LLC. and are Rolling New Issues (RNI) indices which tracks CRT securities issued in the most recent 12 monthsSPX Index & Corp HY Index are sourced from Bloomberg
© Freddie Mac 46
Credit Quality of Portfolio – Serious
Delinquencies
▪ Performance of 2009 and 2010 vintages is dramatically better despite falling
house prices in their early years
Source: Data included in tables were derived from Freddie Mac’s Single Family Loan Level Dataset (SF LLD) as of June 2018 refresh: Originations 1999-June 30, 2017. Performance data: 1999-December 31, 2017, losses reported for loans liquidated as of 3Q2017. (1) Loans with an LTV between 60% and 97%, Fixed Rate with term between 241-360, and 7 months seasoned.
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
18.0%
1 6 11 16 21 26 31 36 41 46 51 56 61 66 71 76 81 86 91 96
Pre-Crisis Cumulative D90 by Vintage
1999 2000 2001 2002 2003
2004 2005 2006 2007 2008
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
1 6 11 16 21 26 31 36 41 46 51 56 61 66 71 76 81 86 91 96
Post-Crisis Cumulative D90 by Vintage
2002 2009 2010 2011 2012
2013 2014 2015 2016 2017
2002
2009
2010
2011
20122013
2014
2015
2016
2017
2002
2003
2004
2008
2005
2006
2007
20012000
1999
© Freddie Mac 47
STACR Historical Performance
0.000.100.200.300.400.500.600.700.800.901.00
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44
Cumulative Net Losses (bps)15-DNA1
15-DNA2
15-DNA3
16-DNA1
16-DNA2
16-DNA3
16-DNA4
17-DNA1
17-DNA2
17-DNA3
18-DNA1
18-DNA2
18-DNA3
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
1 mo. Voluntary Prepayment Rate (by Balance) 13-DN113-DN214-DN114-DN214-DN314-DN415-DN115-DNA115-DNA215-DNA316-DNA116-DNA216-DNA316-DNA417-DNA117-DNA217-DNA318-DNA118-DNA218-DNA3
0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
90+ Days Delinquent(1) (by Current Balance)
90-119 days 120-179 days 180+ days BK/ REO/ FCL
Source: Freddie Mac monthly remittance data as of December 2018. (1) D90+ includes bankruptcy, foreclosure and REO.
© Freddie Mac 48
STACR 2019-DNA1 Proxy Cohort
Performance
3.7% 3.7%
Notes: Data included in tables were derived from Freddie Mac’s Single Family Loan Level Dataset (SF LLD) as of October 2018 refresh: Originations 1999-September 30, 2017. Performance data: 1999- March 31, 2018 losses reported for loans liquidated as of Q42017. Cumulative Losses do not include modification losses.Data is weighted in proportion to 2019-DNA1 FICO and LTV cohorts.For a net loss calculation reference the slide titled “Actual Loss Waterfall”
(1) Assuming no principal payments
0.2%0.2%
0.4%
0.9%
2.6%
3.8% 3.9%
2.2%
0.4%
0.2%0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Class B-1 takes 100% loss (1)
Class M-2 takes 100% loss(1)
Class M-1 takes 100% loss(1)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Cu
mu
lati
ve N
et
Loss
Reference Pool Proxy
Class B-2 takes 100% loss (1)
© Freddie Mac 49
0%
20%
40%
60%
80%
100%
2000 2002 2004 2006 2008 2010 2012 2014<660 660 - 700 >700
680
690
700
710
720
730
740
750
760
Evolution in Mortgage Credit Quality
Borrower Mix by FICO Scores Over Time
Credit quality of mortgages underlying CRT and other post-crisis RMBS
transactions has improved materially vs. pre-crisis originations
0
2
4
6
8
10
12
14
16
18
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
(%)
Product Risk
Borrower risk
Default Risk Taken by the Mortgage Market
Source: Freddie Mac, Intex, Loan Performance, Urban Institute and Barclays Research
© Freddie Mac 50
Improved Collateral Performance Over Time
Source: Freddie Mac, Intex, Loan Performance, Urban Institute and Barclays Research
Cumulative 60+ Delinquencies 18 months post origination
Underwriting WA FICO WA CLTV WA DTI ALS GWAC Non 30Y Fixed % Full Doc. % Owner Occ. % Purchase %
Alt-A (1998–2008) 711 79% 36% $288,276 5.30% 69% 26% 81% 47%
Subprime (1998–2008) 623 84% 41% $161,799 7.90% 74% 61% 93% 37%
Non-Prime (2015–2016) 697 75% 37% $384,812 7.00% 3% 84% 88% 85%
All STACR 756 81% 34% $232,394 4.08% 0% 100% 91% 58%
1.2%
0.4%
0.6%
3.4%
0.0%
2.0%
4.0%
6.0%
1 3 5 7 9 11 13 15 17
Ramps up to 21% by month 18Ramps up to 9% by month 18
© Freddie Mac 51
Data Resources
© Freddie Mac 52
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 26.3 million
loans are in the “full” Single-Family Loan-Level Dataset
▪ 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.
» Actual loss data was first made available in November 2014.
© Freddie Mac 53
STACR Disclosed Loan-Level Fields
For more information on file layout and field definition, please refer to the STACR Reference Pool Disclosure Guide
(https://crt.freddiemac.com/docs/reference_pool_disclosure_file_layouts.pdf) .
# Attribute NameActual
Loss
Fixed
SeverityHistorical # Attribute Name
Actual
Loss
Fixed
SeverityHistorical
1 Reference Pool Number X X 16 Property Type X X X
2 Loan Identifier X X X 17 Number of Units X X X
3 Amortization Type X X X 18 Occupancy Status X X X
4 Seller Name X X X 19 Number of Borrowers X X X
5 Property State X X X 20 First Time Homebuyer Indicator X X X
6 Postal Code X X X 21 Prepayment Penalty Indicator X X X
7 Metropolitan Statistical Area (MSA) X X X 22 Credit Score X X X
8 First Payment Date X X X 23 Original Loan-To-Value (LTV) X X X
9 Maturity Date X X X 24 Original Combined Loan-To-Value (CLTV) X X X
10 Original Loan Term X X X 25 Original Debt-To-Income (DTI) X X X
11 Original Interest Rate X X X 26 Mortgage Insurance Percent (MI %) X X X
12 Original UPB X X X 27 Updated Credit Score at Issuance X X
13 UPB at Issuance X X X 28 Program Indicator X X
14 Loan Purpose X X X 29 Mortgage Insurance Type X
15 Channel X X X 30 Filler
© Freddie Mac 54
STACR Disclosed Loan-Level Fields (cont.)
# Attribute NameActual
Loss
Fixed
SeverityHistorical # Attribute Name
Actual
Loss
Fixed
SeverityHistorical
31 Disaster Forbearance Status X 46 Loan in Eligible Disaster Area X
32 Servicer Name X X X 47 Due Date of Last Paid Installment (DDLPI) X X
33 Loan Age X X X 48 Bankruptcy Flag X
34 Remaining Months to Legal Maturity X X X 49 Date Referred to Foreclosure X
35 Adjusted Remaining Months to Maturity (RMM) X X 50 Net Sales Proceeds X X
36 Current Loan Delinquency Status X X X 51 MI Credit X
37 Loan Payment History X X 52 Taxes and Insurance X X
38 Current Interest Rate X X X 53 Legal Costs X X
39 Current Actual UPB X X X 54 Maintenance and Preservation Costs X X
40 Current Interest Bearing UPB X X 55 Bankruptcy Cramdown Costs X
41 UPB at Time of Removal from the Reference Pool X X 56 Miscellaneous Expenses X X
42 Zero Balance Code X X X 57 Miscellaneous Credits X X
43 Zero Balance Effective Date X X X 58 Mortgage Insurance Cancellation Indicator X
44 Underwriting Defect and Major Servicing Defect Settlement Date X X 59 Estimated Loan-To-Value (ELTV) - Quarterly X X
45 Modification Flag X X 60 Forecast Standard Deviation (FSD) X X
© Freddie Mac 55
STACR Disclosed Loan-Level Fields (cont.)
# Attribute NameActual
Loss
Fixed
SeverityHistorical # Attribute Name
Actual
Loss
Fixed
SeverityHistorical
61 Updated Credit Score #1 - Quarterly X X 76 Fourth Step Rate Adjustment Date X X
62 Updated Credit Score #2 - Quarterly X X 77 Fourth Step Rate X X
63 Number of Modifications X X 78 Fifth Step Rate Adjustment Date X X
64 Modification Program X X 79 Fifth Step Rate X X
65 Modification Type X X 80 Delinquent Accrued Interest X
66 Modification First Payment Date X X 81 Modification Costs X X
67 Modification Debt-to-Income (DTI) X X 82 Updated Credit Score #3 - Quarterly X X
68 Total Capitalized Amount X X 83 Super Conforming Flag X
69 Interest Rate Step Indicator X X 84 Pre-HARP Loan Sequence Number X
70 First Step Rate Adjustment Date X X 85 Repurchase Flag X
71 First Step Rate X X 86 Current Deferred UPB X
72 Second Step Rate Adjustment Date X X 87 MI Recoveries X
73 Second Step Rate X X 88 Non MI Recoveries X
74 Third Step Rate Adjustment Date X X 89 Expenses X
75 Third Step Rate X X 90 Actual Loss Calculation X
© Freddie Mac 56
Freddie Mac Key Contacts
Michael S. Reynolds Vice President
(571) 382-4852
Christian ValenciaDirector
(571) 382-3727
Sonya ShethFixed Income Marketing, Manager
(571) 382-4376
Charlotte Gladwin Senior Portfolio Manager
(571) 382-3732
Michael MuraiSenior Portfolio Manager
(571) 382-5702
Ian CarrFixed Income Marketing
(571) 382-4954
Peter WuSenior Portfolio Manager
(571) 382-5367
Jantsen RoneyPortfolio Manager
(571) 382-3711
Adam TrusnerSenior Transaction Manager
(571) 382-3188
Josie TwomeyAnalyst
(571) 382-5122
© Freddie Mac 57
CRT Resources
In addition, we have the following presentations available on our website
at:
https://crt.freddiemac.com/index.aspx
▪ Historical Performance Presentation – In depth analysis of the Freddie
MAC historical dataset that includes loans originated between January 1,
1999 and September 30, 2017
▪ STACR Investor Participation – Investor type participation summary for all
STACR bonds issued to date
STACR Issuance Calendar can be found at the following website:
https://crt.freddiemac.com/docs/offerings/stacr/resources/2019-stacr-
issuance-calendar-final-2.pdf
© Freddie Mac 58
Endnotes
1 Excludes the initial $1 billion liquidation preference of senior preferred stock issued to Treasury in September 2008 as consideration for Treasury’s funding commitment and the $3.0
billion increase in the aggregate liquidation preference of the senior preferred stock pursuant to the December 21, 2017 Letter Agreement. The company received no cash proceeds as
a result of issuing the initial $1 billion liquidation preference of senior preferred stock or the $3.0 billion increase on December 31, 2017.
2 Based on the company’s purchases of loans and issuances of mortgage-related securities. For the periods presented, a borrower may be counted more than once if the company purchased
more than one loan (purchase or refinance mortgage) relating to the same borrower.
3 Consists of both home retention actions and foreclosure alternatives.
4 Categories are not mutually exclusive, and a borrower in one category may also be included in another category in the same or another period. For example, a borrower helped through a home
retention action in one period may subsequently lose his or her home through a foreclosure alternative in a later period.
5 Represents the estimated average rate of guarantee fees for new acquisitions during the period assuming amortization of upfront delivery fees using the estimated life of the related loans rather
than the original contractual maturity date of the related loans. Includes the effect of fee adjustments that are based on the price performance of Freddie Mac’s PCs relative to comparable
Fannie Mae securities. Net of legislated 10 basis point guarantee fee remitted to Treasury as part of the Temporary Payroll Tax Cut Continuation Act of 2011.
6 Estimates and forecasts by the Economic and Housing Research Department do not necessarily represent the views of Freddie Mac or its management, should not be construed as indicating
Freddie Mac's business prospects or expected results, and are subject to change without notice.
7 Value of U.S. housing stock includes homes with and without underlying mortgages. U.S. home equity is the difference between the value of the U.S. housing stock and the amount of U.S.
single-family mortgage debt outstanding.
8 Negative values reflect undersupply. The under/oversupply of vacant housing was estimated based on the average vacancy rate from 1Q 1994 to 4Q 2003.
© Freddie Mac 59
Safe Harbor Statements
Freddie Mac obligations
Freddie Mac’s securities are obligations of Freddie Mac only. The securities, including any interest or return of discount on the securities, are not guaranteed by and are not debts or obligations of the United States or any federal agency or instrumentality other than Freddie Mac.
No offer or solicitation of securities
This presentation includes information related to, or referenced in the offering documentation for, certain Freddie Mac securities, including offering circulars and related supplements and agreements. Freddie Mac securities may not be eligible for offer or sale in certain jurisdictions or to certain persons. This information is provided for your general information only, is current only as of its specified date and does not constitute an offer to sell or a solicitation of an offer to buy securities. The information does not constitute a sufficient basis for making a decision with respect to the purchase or sale of any security. All information regarding or relating to Freddie Mac securities is qualified in its entirety by the relevant offering circular and any related supplements. Investors should review the relevant offering circular and any related supplements before making a decision with respect to the purchase or sale of any security. In addition, before purchasing any security, please consult your legal and financial advisors for information about and analysis of the security, its risks and its suitability as an investment in your particular circumstances.
Forward-looking statements
Freddie Mac's presentations may contain forward-looking statements, which may include statements pertaining to the conservatorship, the company’s current expectations and objectives for its Single-family Guarantee, Multifamily and Capital Markets segments, its efforts to assist the housing market, liquidity and capital management, economic and market conditions and trends, market share, the effect of legislative and regulatory developments and new accounting guidance, credit quality of loans the company owns or guarantees, the costs and benefits of the company’s credit risk transfer transactions, and results of operations and financial condition on a GAAP, Segment Earnings, non-GAAP and fair value basis. Forward-looking statements involve known and unknown risks and uncertainties, some of which are beyond the company’s control. Management’s expectations for the company’s future necessarily involve a number of assumptions, judgments and estimates, and various factors, including changes in market conditions, liquidity, mortgage spreads, credit outlook, actions by the U.S. government (including FHFA, Treasury and Congress), and the impacts of legislation or regulations and new or amended accounting guidance, could cause actual results to differ materially from these expectations. These assumptions, judgments, estimates and factors are discussed in the company’s Annual Report on Form 10-K for the year ended December 31, 2017, Quarterly Reports on Form 10-Q for the quarters ended March 31, 2018 and June 30, 2018, and Current Reports on Form 8-K, which are available on the Investor Relations page of the company’s website at www.freddiemac.com/investors and the SEC’s website at www.sec.gov. The company undertakes no obligation to update forward-looking statements it makes to reflect events or circumstances occurring after the date of this presentation.
