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2020-DNA4 Single-Family Loan Level Dataset (SFLLD) Historical - PowerPoint PPT Presentation

STACR REMIC 2020-DNA4 Single-Family Loan Level Dataset (SFLLD) Historical Performance Presentation August 2020 Investors are directed to Disclaimer section at the end of the presentation Index 1. Net Loss Comparison DN/A vs. HQ/A 3-4 2.


  1. STACR REMIC 2020-DNA4 Single-Family Loan Level Dataset (SFLLD) Historical Performance Presentation August 2020 Investors are directed to Disclaimer section at the end of the presentation

  2. Index 1. Net Loss Comparison DN/A vs. HQ/A 3-4 2. DN/A 60.01-80% OLTV Historical Performance 5-14 3. HQ/A 80.01-97% OLTV Historical Performance 15-24 4. Appendix 25-31 Freddie Mac | 2020 2

  3. Net Loss Net Loss Comparison DN/A vs. HQ/A

  4. Net Loss Comparison Net Loss Analysis 80.01-97% LTV (HQ/HQA Series) 60.01-80% LTV (DN/DNA Series) Timeline Timeline Origination Loan Default Severity Net Loss Origination Loan Default Severity Net Loss Net Loss Ratio DDLPI to DDLPI to Year Count* Rate Rate Rate Year Count* Rate Rate Rate (DNA/HQA) Disposition Disposition 0.56 1999-2004 89,863 3.60% 24.60% 0.90% 19 1999-2004 93,869 1.40% 36.50% 0.50% 20 0.75 2005 24,174 12.00% 33.60% 4.00% 21 2005 67,971 6.90% 43.90% 3.00% 20 0.85 2006 23,136 15.80% 34.70% 5.50% 21 2006 73,780 9.80% 47.60% 4.70% 20 0.80 2007 34,571 18.40% 32.70% 6.00% 21 2007 69,894 10.20% 46.80% 4.80% 20 0.71 2008 21,755 10.90% 28.50% 3.10% 20 2008 34,621 5.20% 43.50% 2.20% 20 1.00 2009 2,408 1.70% 18.00% 0.30% 18 2009 9,859 0.80% 35.80% 0.30% 20 1.00 2010 766 0.70% 14.60% 0.10% 17 2010 3,176 0.30% 31.60% 0.10% 19 2011 441 0.40% 11.50% 0.00% 16 1.00 2011 1,148 0.20% 27.70% 0.00% 16 1.00 2012-2018 2,109 0.10% 7.30% 0.00% 15 2012-2018 1,938 0.00% 21.40% 0.00% 16 Grand Total 199,223 3.20% 29.10% 0.90% 20 Grand Total 356,256 1.00 2.0% 43.5% 0.90% 20 Notes: Data included in tables were derived from Freddie Mac’s Single -Family Loan Level Dataset (SF LLD) as of April 2020 refresh: Originations: 1999-December 31, 2018. Performance data: 1999 – June 30, 2019. STACR DN-DNA Series (issued beginning in 2013) and STACR HQ-HQA Series (issued beginning in 2014) reference 60.01- 80% LTV and 80.01-97% LTV, respectively, and 241 – 360 months fixed rate collateral. STACR reference pools are a subset of the population of loans in the above table. The net loss rates for the HQ/HQA Series above are based on MI recovery, while MI Credit for STACR Investors is based on MI claim amount. *Loan count represents loans that went to loss Freddie Mac | 2020 4

  5. Historical Performance DN/A (60.01-80% OLTV) Historical Performance

  6. DN/A Historical Performance STACR DN/A M-1 Ratings Upgrade History M-1 Bond Moody’s Fitch Kroll DBRS/MSTR S&P Original Current Original Current Original Current Original Current Original Current Series Rating Rating Rating Rating Rating Rating Rating Rating Rating Rating 13-DN2 BBB- sf AAA sf Baa1 (sf) Aa1 (sf) 14-DN2 A sf AAA sf A (sf) Aa (sf) 14-DN3 A- sf A sf A1 (sf) Aaa (sf) 14-DN4 A- sf A sf A1 (sf) Aaa (sf) 15-DN1 A2 (sf) Aa1 (sf) A (sf) A(high) (sf) 15-DNA1 AA- sf AAA sf A3 (sf) Aa1 (sf) 15-DNA3 A- sf A sf A(high) (sf) AA (sf) 16-DNA1 BBB sf AAA sf Baa2 (sf) Aaa (sf) 16-DNA2 Baa1 (sf) Aa1 (sf) 16-DNA3 BBB sf AA sf A(low) (sf) AA (sf) 16-DNA4 BBB sf AA- sf A- (sf) AA+ (sf) 17-DNA1 BBB- sf AA sf BBB (sf) A+ (sf) 17-DNA2 BBB- sf AA- sf BBB(high) (sf) AA(low) (sf) 17-DNA3 BBB- sf A+ sf BBB(low) (sf) A(high) (sf) 18-DNA1 BBB- sf A sf BBB+ (sf) A+ (sf) 18-DNA2 A- (sf) A (sf) BBB+ (sf) A (sf) 18-DNA3 BBB+ (sf) A (sf) 19-DNA1 BBB (sf) A (sf) BBB+ (sf) A (sf) 19-DNA2 BBB- sf A- sf Notes: Current ratings as of August 5, 2020 or immediately prior to the related bond being paid in full, as applicable. Freddie Mac | 2020 6

  7. DN/A Historical Performance STACR DN/A M-2 Ratings Upgrade History M-2 Bond Moody’s Fitch Kroll DBRS/MSTR S&P Original Current Original Current Original Current Original Current Original Current Series Rating Rating Rating Rating Rating Rating Rating Rating Rating Rating 13-DN2 NR BBB sf 14-DN1 Baa1 (sf) Aaa (sf) BBB (sf) AAA (sf) 14-DN2 BBB- sf AAA sf BBB (sf) AAA (sf) 14-DN3 BBB- sf AAA sf A3 (sf) Aa2 (sf) 14-DN4 BBB- sf AA- sf A3 (sf) Aa2 (sf) 15-DN1 Baa1 (sf) Aaa (sf) BBB (sf) AAA (sf) 15-DNA1 A sf AAA sf Baa3 (sf) Aaa (sf) 15-DNA2 Baa3 (sf) Aa1 (sf) BBB (sf) AAA (sf) 15-DNA3 BBB- sf AAA sf BBB (sf) AA(low) (sf) 16-DNA1 NR BBB(high) (sf) BBB- sf AAA sf Baa3 (sf) Aa1 (sf) 16-DNA2 Baa3 (sf) Aa1 (sf) BBB- (sf) AA- (sf) 16-DNA3 BBB- sf AAA sf BBB (sf) AA (sf) 16-DNA4 BBB- sf AA+ sf BBB+ (sf) A+ (sf) 17-DNA1 B+ sf BBB sf BB (sf) BBB- (sf) 17-DNA2 B+ sf BBB sf BB(high) (sf) BBB(high) (sf) 17-DNA3 B+ sf BBB- sf B(high) (sf) BBB(low) (sf) 18-DNA1 B sf BB sf BB- (sf) BB (sf) 18-DNA2 18-DNA3 BB- (sf) BB (sf) B+ (sf) BB- (sf) 19-DNA1 NR BB (sf) B+ (sf) BB- (sf) 19-DNA2 B+ (sf) BB- (sf) Notes: Current ratings as of August 5, 2020 or immediately prior to the related bond being paid in full, as applicable. Freddie Mac | 2020 7

  8. DN/A Historical Performance STACR DN/A M-3 Ratings Upgrade History M-3 Bond Moody’s Fitch Kroll DBRS/MSTR S&P Original Current Original Current Original Current Original Current Original Current Series Rating Rating Rating Rating Rating Rating Rating Rating Rating Rating 14-DN2 NR BBB sf 14-DN3 NR A- sf 14-DN4 NR A sf 15-DN1 Ba1 (sf) Aaa (sf) NR AA(low) (sf) 15-DNA1 BB+ sf AAA sf B1 (sf) Aa3 (sf) 15-DNA2 B1 (sf) A1 (sf) BB+ (sf) A- (sf) 15-DNA3 B sf A+ sf NR A (sf) 16-DNA1 B sf A+ sf B1 (sf) Baa1 (sf) 16-DNA2 B1 (sf) Baa1 (sf) B (sf) BBB (sf) 16-DNA3 B sf BBB+ sf NR BBB (sf) 16-DNA4 B sf BBB+ sf BB- (sf) BBB- (sf) ✓ 0 bonds have been downgraded ✓ 93 upgrades from original to current rating ✓ 35 M-1, 39 M-2, & 19 M-3 upgrades Notes: Current ratings as of August 5, 2020 or immediately prior to the related bond being paid in full, as applicable. Freddie Mac | 2020 8

  9. DN/A Historical Performance Loss Components by Disposition Year Source : Data included in tables were derived from Freddie Mac’s Single -Family Loan Level Dataset (SF LLD) as of April 2020 refresh: Originations: 1999-December 31, 2018. Performance data: 1999 – June 30, 2019. Notes: Cumulative Losses do not include modification losses; Loans with 60.00 < LTV ≤ 80.00% Freddie Mac | 2020 9

  10. DN/A Historical Performance Loss Components by Origination Year Source : Data included in tables were derived from Freddie Mac’s Single -Family Loan Level Dataset (SF LLD) as of April 2020 refresh: Originations: 1999-December 31, 2018. Performance data: 1999 – June 30, 2019. Notes: Cumulative Losses do not include modification losses; Loans with 60.00 < LTV ≤ 80.00% Freddie Mac | 2020 10

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