STACR REMIC 2020-DNA4 · 2020. 8. 25. · Freddie Mac | 2020 Net Loss Analysis Net Loss Comparison...

Single-Family Loan Level Dataset (SFLLD)

Historical Performance Presentation

October 2020

STACR REMIC2020-DNA5

Investors are directed to Disclaimer section at the end of the presentation

Freddie Mac | 2020

Index

2

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

2. DN/A 60.01-80% OLTV Historical Performance

3. HQ/A 80.01-97% OLTV Historical Performance

4. Appendix

3-4

5-14

15-24

25-31

Net Loss Comparison DN/A vs. HQ/A

Net Loss

Freddie Mac | 2020

Net Loss Analysis

Net Loss Comparison

4

Notes:Data included in tables w ere derived from Freddie Mac’s Single-Family Loan Level Dataset (SF LLD) as of July 2020 refresh: Originations: 1999-June 30, 2019.

Performance data: 1999 – December 31, 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 f ixed 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 bas ed on MI claim amount.

*Loan count represents loans that w ent to loss

80.01-97% LTV (HQ/HQA Series)

Origination

Year

Loan

Count*

Default

Rate

Severity

Rate

Net Loss

Rate

Timeline

DDLPI to Disposition

1999-2004 92,344 3.8% 21.7% 0.9% 19

2005 24,991 12.4% 32.9% 4.1% 21

2006 23,869 16.3% 34.1% 5.5% 21

2007 35,713 19.0% 32.0% 6.1% 20

2008 22,518 11.3% 27.8% 3.1% 20

2009 2,512 1.8% 17.7% 0.3% 18

2010 818 0.8% 13.7% 0.1% 16

2011 510 0.5% 10.2% 0.1% 15

2012-2018 2,996 0.1% 5.7% 0.0% 14

Grand Total 206,271 2.9% 28.3% 0.8% 20

60.01-80% LTV (DN/DNA Series)

Origination

Year

Loan

Count*

Default

Rate

Severity

Rate

Net Loss

Rate

Timeline

DDLPI to Disposition

1999-2004 97,435 1.4% 33.8% 0.5% 20

2005 70,405 7.1% 42.6% 3.0% 19

2006 76,340 10.2% 46.3% 4.7% 19

2007 72,498 10.6% 45.4% 4.8% 19

2008 36,167 5.4% 42.0% 2.3% 20

2009 10,466 0.9% 34.3% 0.3% 19

2010 3,478 0.4% 29.4% 0.1% 18

2011 1,326 0.2% 23.9% 0.0% 15

2012-2018 2,596 0.0% 14.7% 0.0% 14

Grand Total 370,711 2.2% 42.1% 0.9% 19

Net Loss Ratio

(DNA/HQA)

0.55

0.73

0.85

0.77

0.71

1.00

1.00

0.00

1.00

1.13

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

Historical Performance

Freddie Mac | 2020

Loss Components by Disposition Year

DN/A Historical Performance

6

Notes: Cumulativ e Losses do not include modif ication losses; Loans with 60.00 < LTV ≤ 80.00%

Source: Data included in tables were deriv ed f rom Freddie Mac’s Single-Family Loan Lev el Dataset (SF LLD) as of July 2020 ref resh: Originations: 1999-June 30, 2019. Perf ormance data: 1999 –

December 31, 2019. https://clarity .freddiemac.com/historical/performance/severity -details

Loss Components (Disposition)

Disposition Year Default % Severity % Collat Loss % Interest Exp % Expenses % Misc. Credits % MI Credits % Loss Rate %

1999 0% 0% 0% 0% 0% 0%

2000 0% 7% 12% 6% 4% -14% -1% 0%

2001 0% 10% 20% 8% 6% -22% -1% 0%

2002 0% 14% 16% 9% 6% -16% 0% 0%

2003 0% 14% 20% 9% 7% -20% 0% 0%

2004 1% 16% 23% 9% 7% -21% 0% 0%

2005 1% 23% 18% 9% 8% -8% 0% 0%

2006 1% 27% 17% 8% 7% -6% 0% 0%

2007 1% 26% 19% 7% 7% -7% 0% 0%

2008 2% 32% 27% 7% 6% -7% 0% 1%

2009 2% 40% 36% 7% 5% -6% 0% 1%

2010 4% 46% 40% 8% 5% -5% 0% 2%

2011 6% 52% 41% 9% 6% -3% 0% 3%

2012 4% 50% 37% 9% 7% -3% 0% 2%

2013 4% 50% 30% 12% 11% -2% 0% 2%

2014 6% 56% 28% 15% 15% -2% 0% 3%

2015 3% 56% 27% 16% 15% -2% 0% 2%

2016 2% 52% 25% 14% 14% -1% 0% 1%

2017 3% 23% 12% 5% 7% -1% 0% 1%

2018 5% 15% 8% 3% 4% 0% 0% 1%

2019 3% 7% 3% 2% 2% 0% 0% 0%

Total 2% 42% 29% 9% 8% -3% 0% 1%

Freddie Mac | 2020

Loss Components by Origination Year


7




Loss Component (Origination)

Vintage Default % Severity % Collat Loss % Interest Exp % Expenses % Misc. Credits % MI Credits % Loss Rate %

1999 1% 26% 12% 10% 11% -7% -1% 0%

2000 1% 32% 21% 12% 11% -10% 0% 0%

2001 1% 36% 24% 10% 12% -8% 0% 0%

2002 1% 38% 25% 10% 12% -7% 0% 0%

2003 2% 33% 16% 9% 11% -3% 0% 1%

2004 3% 37% 21% 9% 10% -2% 0% 1%

2005 7% 43% 29% 9% 8% -2% 0% 3%

2006 10% 46% 33% 9% 7% -3% 0% 5%

2007 11% 45% 33% 9% 7% -3% 0% 5%

2008 5% 42% 30% 9% 7% -4% 0% 2%

2009 1% 34% 21% 8% 8% -3% 0% 0%

2010 0% 28% 14% 7% 9% -2% 0% 0%

2011 0% 24% 12% 6% 8% -2% 0% 0%

2012 0% 21% 10% 4% 9% -1% 0% 0%

2013 0% 21% 10% 5% 8% -2% 0% 0%

2014 0% 20% 9% 5% 8% -1% 0% 0%

2015 0% 18% 9% 4% 7% -2% 0% 0%

2016 0% 9% 3% 3% 5% -2% 0% 0%

2017 0% 6% 2% 3% 3% -1% 0% 0%

2018 0% 8% 12% 4% -4% -1% 0% 0%

2019 0% 0% 0% 0% 0% 0%

Total 2% 42% 29% 9% 8% -3% 0% 1%

Freddie Mac | 2020

Severity Rates Timelines (All Loans with 60.00 < LTV ≤ 80.00%)


8

Notes: Cumulativ e Losses do not include modif ication losses; Loans with 60.00 < LTV ≤ 80.00% St=State J=Judicial NJ=Non-Judicial. No sev erity for 2019 v intages.


December 31, 2019. https://clarity .freddiemac.com/historical/performance/disposition-timeline-year

Severity Rates by Disposition and Origination YearOrigination Year / State TypeVintage State Type 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Total

J 0% 6% 13% 21% 22% 25% 28% 28% 38% 46% 49% 46% 62% 58% 76% 74% 65% 79% 56% 13% 9% 33%

NJ 0% 8% 9% 14% 14% 14% 18% 16% 26% 36% 43% 36% 46% 51% 43% 50% 44% 46% 18% 7% 2% 20%

Total 0% 8% 10% 17% 17% 18% 22% 22% 32% 40% 45% 39% 52% 54% 58% 63% 56% 66% 41% 10% 5% 26%

J 4% 11% 20% 22% 26% 32% 43% 59% 53% 69% 83% 70% 75% 71% 76% 66% 81% 58% 27% 9% 41%

NJ 0% 10% 11% 17% 19% 24% 28% 27% 50% 49% 50% 60% 54% 53% 57% 49% 51% 25% 7% 7% 25%

Total 4% 10% 14% 19% 22% 28% 36% 42% 51% 58% 63% 64% 64% 63% 68% 60% 72% 50% 16% 8% 32%

J 7% 7% 12% 21% 33% 44% 48% 52% 58% 61% 70% 65% 63% 69% 71% 67% 50% 23% 8% 44%

NJ 8% 5% 9% 13% 19% 27% 30% 46% 48% 51% 55% 53% 47% 56% 46% 57% 41% 9% 4% 31%

Total 8% 6% 10% 16% 25% 34% 38% 48% 52% 55% 60% 57% 54% 62% 61% 63% 46% 16% 6% 36%

J 26% 7% 16% 33% 39% 46% 51% 49% 54% 62% 58% 54% 62% 55% 64% 51% 18% 6% 43%

NJ 0% 8% 13% 22% 27% 31% 39% 43% 43% 50% 47% 46% 49% 44% 44% 29% 11% 6% 34%

Total 26% 8% 14% 27% 32% 38% 43% 45% 47% 54% 51% 50% 56% 51% 55% 41% 14% 6% 38%

J 0% 9% 21% 29% 28% 33% 38% 42% 47% 48% 46% 48% 51% 52% 47% 15% 6% 38%

NJ 0% 10% 13% 17% 21% 30% 33% 36% 40% 38% 33% 38% 38% 35% 23% 7% 2% 30%

Total 0% 9% 16% 22% 24% 31% 34% 38% 42% 41% 39% 43% 46% 46% 37% 11% 4% 33%

J 1% 10% 22% 29% 34% 40% 44% 47% 49% 51% 57% 58% 59% 42% 14% 7% 42%

NJ 0% 8% 13% 19% 31% 35% 41% 44% 41% 37% 41% 38% 34% 17% 6% 3% 34%

Total 0% 9% 16% 23% 32% 37% 42% 45% 44% 43% 49% 51% 50% 30% 10% 5% 37%

J 0% 16% 22% 32% 44% 49% 54% 55% 57% 64% 63% 59% 33% 17% 7% 47%

NJ 3% 8% 16% 32% 43% 47% 52% 48% 41% 43% 44% 34% 15% 8% 4% 40%

Total 2% 10% 18% 32% 43% 48% 52% 50% 48% 55% 55% 48% 23% 12% 5% 43%

J 0% 16% 30% 42% 51% 58% 61% 64% 71% 70% 65% 29% 19% 9% 51%

NJ 0% 14% 28% 43% 49% 55% 51% 47% 50% 50% 37% 14% 10% 5% 43%

Total 0% 14% 29% 42% 50% 56% 55% 55% 62% 63% 53% 21% 14% 7% 46%

J 1% 25% 37% 48% 58% 61% 64% 71% 71% 67% 28% 21% 9% 51%

NJ 11% 22% 38% 46% 53% 50% 46% 51% 51% 43% 13% 11% 6% 42%

Total 10% 23% 37% 46% 54% 54% 54% 62% 63% 58% 20% 16% 7% 45%

J 30% 26% 42% 55% 56% 61% 68% 68% 65% 29% 23% 10% 48%

NJ 32% 31% 40% 46% 44% 43% 48% 50% 43% 13% 12% 6% 37%

Total 31% 30% 40% 48% 48% 51% 59% 61% 58% 21% 18% 8% 42%

J 40% 28% 38% 42% 41% 48% 50% 52% 42% 22% 11% 39%

NJ 14% 30% 31% 33% 32% 35% 36% 37% 28% 14% 5% 29%

Total 21% 29% 33% 36% 36% 41% 43% 46% 35% 19% 8% 34%

J 6% 29% 28% 35% 43% 45% 45% 45% 20% 9% 32%

NJ 19% 23% 25% 26% 31% 32% 35% 31% 11% 2% 23%

Total 10% 24% 26% 30% 37% 39% 41% 39% 16% 6% 28%

J 64% 18% 24% 36% 44% 45% 43% 16% 4% 27%

NJ 2% 19% 31% 31% 31% 32% 30% 10% 2% 20%

Total 26% 19% 28% 34% 37% 40% 38% 13% 3% 24%

J 0% 34% 31% 38% 36% 38% 17% 10% 25%

NJ 0% 10% 27% 33% 28% 26% 9% 5% 18%

Total 0% 16% 29% 36% 32% 32% 13% 7% 21%

J 0% 34% 35% 37% 36% 24% 10% 25%

NJ 0% 22% 23% 27% 21% 13% 7% 17%

Total 0% 25% 28% 32% 28% 18% 8% 21%

J 0% 33% 42% 39% 23% 12% 23%

NJ 59% 33% 23% 25% 20% 7% 18%

Total 59% 33% 29% 31% 22% 10% 20%

J 0% 32% 31% 24% 18% 22%

NJ 0% 23% 27% 18% 9% 16%

Total 0% 25% 28% 20% 13% 18%

J 31% 13% 24% 3% 7%

NJ 0% 13% 14% 9% 11%

Total 31% 13% 18% 6% 9%

J 0% 19% 1% 2%

NJ 0% 18% 9% 10%

Total 0% 18% 4% 6%

J 22% 9% 16%

NJ 0% 6% 6%

Total 22% 7% 8%

1999

2000

2001

2002

2003

2004

2005

2006

2007

2017

2018

2008

2009

2010

2011

2012

2013

2014

2015

2016

Freddie Mac | 2020

Disposition Timelines (All Loans with 60.00 < LTV ≤ 80.00%)


9

Notes: Cumulativ e Losses do not include modif ication losses; Loans with 60.00 < LTV ≤ 80.00% St=State J=Judicial NJ=Non-Judicial. No 2019 v intages at disposition.



Disposition Timelines (# months delinquent at disposition)

Vintage State Type 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Total

J 10 14 17 18 19 21 18 22 19 22 22 28 32 35 41 39 47 37 7 11 21

NJ 10 13 14 14 15 16 16 18 15 16 15 19 23 25 28 27 29 14 5 4 15

Total 10 13 15 16 17 18 17 20 16 18 17 22 27 30 35 34 40 27 6 7 18

J 4 10 15 18 18 19 21 20 20 26 23 26 30 29 35 39 34 26 13 4 21

NJ 12 12 14 15 17 17 15 17 15 17 18 22 27 25 32 25 16 4 4 15

Total 4 11 13 15 16 18 19 18 18 20 19 21 26 28 31 36 31 24 8 4 18

J 7 12 14 16 18 20 19 18 20 22 24 28 31 39 41 40 24 13 5 22

NJ 8 11 13 14 15 16 16 16 15 16 19 22 25 26 25 29 22 5 3 16

Total 8 11 13 15 16 18 17 17 17 18 21 24 27 32 34 36 23 9 4 18

J 5 12 15 17 18 18 19 19 21 25 28 31 35 40 36 29 11 6 23

NJ 11 13 14 15 15 15 15 16 18 20 23 25 28 26 18 7 3 16

Total 5 11 13 15 17 17 16 16 18 20 23 27 30 35 32 24 9 4 19

J 13 15 16 16 17 19 20 23 27 31 37 43 39 35 12 7 25

NJ 7 10 12 13 14 14 14 15 18 20 21 26 28 23 18 5 3 16

Total 7 11 13 15 15 15 15 17 19 22 25 31 37 33 28 8 5 20

J 6 10 14 16 17 18 20 22 27 30 38 44 43 29 9 6 26

NJ 6 10 11 13 14 14 15 17 18 21 27 30 23 12 4 2 16

Total 6 10 12 14 15 15 17 19 21 25 33 39 36 21 6 4 20

J 6 10 14 15 15 18 21 25 31 40 43 38 20 10 5 25

NJ 4 9 11 12 13 14 17 18 20 28 29 21 7 4 3 16

Total 4 9 12 13 14 15 18 20 25 34 37 31 13 7 4 19

J 11 13 14 17 21 25 31 41 43 40 14 9 5 25

NJ 7 9 11 13 14 17 18 20 29 30 20 6 4 3 16

Total 7 10 12 13 15 18 20 25 36 38 32 10 6 4 19

J 7 9 13 17 20 25 30 40 42 41 13 11 5 24

NJ 6 10 12 15 17 18 20 29 30 25 5 4 3 16

Total 6 10 12 15 18 20 25 35 37 35 8 7 4 19

J 5 10 15 19 23 30 39 42 43 14 13 6 25

NJ 4 11 13 16 17 21 28 30 26 6 6 3 16

Total 5 10 14 17 19 25 34 37 37 10 10 5 20

J 5 10 14 16 21 27 31 34 28 16 12 23

NJ 4 11 12 14 17 21 23 25 19 11 7 16

Total 4 10 12 15 19 24 27 30 24 14 10 19

J 7 9 13 18 23 27 28 28 15 10 20

NJ 7 9 12 15 19 21 22 22 10 5 15

Total 7 9 12 16 21 24 25 26 13 8 18

J 4 10 12 19 21 25 25 11 8 16

NJ 6 11 14 18 19 20 22 9 5 13

Total 5 11 13 19 20 23 24 10 6 15

J 10 14 19 20 22 15 12 16

NJ 5 9 14 15 19 18 11 7 13

Total 5 9 14 17 19 20 13 10 15

J 12 16 19 20 18 11 16

NJ 10 13 16 17 14 8 13

Total 11 14 18 18 16 9 14

J 10 16 17 16 14 15

NJ 8 10 14 16 16 11 13

Total 8 10 15 16 16 12 14

J 9 15 16 13 14

NJ 8 14 15 11 13

Total 8 14 15 12 13

J 9 8 15 7 8

NJ 10 14 11 12

Total 9 9 14 9 10

J 14 5 6

NJ 10 10 10

Total 11 7 7

J 4 14 8

NJ 10 10

Total 4 10 10

2009

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2016

2017

2018

2010

2011

2012

2013

2014

2015

Freddie Mac | 2020

Severity Rates and Disposition Timelines (REO Loans)


10



December 31, 2019.

Freddie Mac | 2020

Severity Rates and Disposition Timelines (Foreclosure Alternatives)


11



December 31, 2019.

HQ/A (80.01-97% OLTV) Historical Performance


Freddie Mac | 2020

Loss Components by Disposition Year

HQ/A Historical Performance

13




Loss Components (Disposition)

Disposition Year Default % Severity % Collateral Loss % Interest Exp % Expenses % Misc. Credits % MI Credits % Loss Rate %

1999 0% 0% 0% 0% 2% -1% -10% 0%

2000 1% 1% 31% 6% 4% -18% -23% 0%

2001 0% 3% 32% 8% 6% -21% -22% 0%

2002 1% 4% 28% 8% 7% -16% -22% 0%

2003 1% 6% 29% 9% 7% -17% -21% 0%

2004 3% 8% 32% 9% 8% -18% -22% 0%

2005 3% 12% 23% 9% 9% -8% -19% 0%

2006 4% 13% 20% 9% 9% -5% -20% 1%

2007 5% 15% 24% 8% 9% -6% -21% 1%

2008 7% 18% 35% 7% 7% -8% -22% 1%

2009 8% 24% 44% 7% 6% -12% -20% 2%

2010 12% 29% 46% 8% 7% -11% -20% 3%

2011 15% 34% 46% 9% 8% -7% -20% 5%

2012 9% 35% 42% 10% 9% -5% -20% 3%

2013 7% 36% 37% 12% 12% -3% -20% 3%

2014 8% 42% 35% 14% 16% -3% -19% 3%

2015 4% 45% 34% 15% 17% -2% -18% 2%

2016 3% 51% 33% 15% 17% -2% -12% 1%

2017 4% 25% 17% 7% 9% -1% -7% 1%

2018 5% 15% 11% 4% 5% -1% -4% 1%

2019 3% 8% 5% 3% 3% -1% -2% 0%

Grand Total 3% 28% 33% 9% 9% -6% -17% 1%

Freddie Mac | 2020

Loss Components by Origination Year


14




Loss Component (Origination)

Vintage Default % Severity % Collat Loss % Interest Exp % Expenses % Misc. Credits % MI Credits % Loss Rate %

1999 2% 12% 18% 10% 10% -6% -20% 0%

2000 2% 16% 27% 11% 10% -10% -22% 0%

2001 3% 20% 30% 10% 10% -10% -19% 1%

2002 4% 25% 32% 10% 11% -9% -18% 1%

2003 5% 28% 28% 9% 12% -4% -16% 1%

2004 8% 29% 30% 9% 11% -4% -17% 2%

2005 12% 33% 37% 9% 10% -4% -19% 4%

2006 16% 34% 41% 10% 9% -5% -19% 6%

2007 19% 32% 41% 10% 8% -6% -17% 6%

2008 11% 28% 36% 9% 8% -7% -16% 3%

2009 3% 25% 23% 7% 7% -3% -9% 1%

2010 2% 26% 18% 6% 7% -2% -4% 1%

2011 1% 23% 15% 6% 8% -1% -5% 0%

2012 1% 21% 15% 5% 8% -1% -5% 0%

2013 0% 19% 14% 5% 9% -1% -7% 0%

2014 0% 14% 14% 5% 8% -1% -12% 0%

2015 0% 8% 10% 5% 7% -2% -12% 0%

2016 0% 5% 8% 4% 5% -1% -10% 0%

2017 0% 3% 6% 3% 3% -1% -7% 0%

2018 0% 5% 9% 4% 3% 0% -8% 0%

2019 0% 0% 0% 2% 0% 0% 0% 0%

Grand Total 3% 28% 33% 9% 9% -6% -17% 1%

Freddie Mac | 2020

Severity Rates Timelines (All Loans 80.00 < LTV ≤ 97.00%)


15

Notes: Cumulativ e Losses do not include modif ication losses; Loans with 80.00 < LTV ≤ 97.00%. No sev erity f or 2019 v intages.



Severity Rates by Disposition and Origination YearOrigination Year / State Type


J 0% 0% 4% 5% 7% 10% 14% 13% 21% 24% 35% 39% 52% 42% 58% 58% 63% 65% 36% 14% 8% 16%

NJ 0% 1% 3% 4% 5% 7% 6% 8% 11% 15% 24% 29% 30% 32% 34% 43% 33% 42% 19% 8% 4% 9%

Total 0% 1% 3% 4% 6% 8% 10% 10% 15% 19% 29% 33% 38% 36% 43% 51% 50% 55% 29% 11% 6% 12%

J 1% 3% 6% 9% 14% 19% 21% 31% 36% 45% 50% 58% 54% 60% 64% 73% 72% 45% 26% 7% 21%

NJ -3% 2% 4% 8% 10% 13% 11% 18% 21% 27% 37% 38% 42% 44% 40% 39% 67% 43% 8% 5% 13%

Total -1% 2% 5% 8% 11% 16% 16% 24% 27% 34% 41% 45% 47% 51% 51% 59% 70% 44% 17% 6% 16%

J -14% 3% 6% 11% 17% 22% 26% 30% 40% 42% 49% 52% 55% 58% 63% 63% 48% 23% 7% 25%

NJ -1% 3% 4% 8% 9% 12% 17% 27% 34% 36% 45% 39% 47% 51% 44% 52% 28% 12% 7% 17%

Total -5% 3% 5% 9% 13% 17% 21% 28% 36% 38% 46% 44% 51% 55% 55% 59% 38% 17% 7% 20%

J 0% 4% 7% 15% 19% 23% 28% 36% 39% 46% 45% 47% 53% 58% 66% 44% 17% 9% 29%

NJ 3% 2% 6% 11% 13% 17% 24% 29% 35% 37% 39% 39% 42% 45% 50% 31% 12% 7% 21%

Total 3% 3% 7% 12% 16% 20% 26% 32% 37% 40% 41% 43% 48% 53% 61% 39% 15% 8% 25%

J 0% 3% 11% 13% 16% 23% 25% 31% 38% 41% 44% 48% 53% 63% 48% 18% 8% 32%

NJ -27% 2% 6% 8% 13% 21% 26% 31% 36% 35% 32% 36% 38% 40% 32% 8% 3% 25%

Total -9% 2% 8% 10% 14% 22% 25% 31% 37% 37% 39% 43% 47% 54% 42% 13% 6% 28%

J 19% 5% 11% 13% 19% 24% 32% 38% 38% 40% 47% 49% 62% 35% 17% 8% 33%

NJ 0% 3% 6% 11% 17% 24% 28% 35% 33% 32% 34% 37% 35% 21% 10% 5% 26%

Total 7% 4% 8% 12% 18% 24% 30% 36% 35% 37% 42% 45% 53% 29% 14% 7% 29%

J -1% 5% 8% 14% 27% 33% 40% 42% 42% 49% 54% 63% 36% 20% 9% 36%

NJ 17% 3% 7% 16% 26% 31% 37% 37% 34% 37% 39% 42% 19% 11% 5% 29%

Total 9% 4% 8% 15% 27% 32% 38% 39% 39% 45% 50% 57% 30% 16% 8% 33%

J 0% 5% 13% 23% 34% 41% 44% 46% 53% 56% 69% 32% 21% 13% 38%

NJ -3% 7% 13% 24% 31% 36% 37% 35% 38% 40% 46% 20% 11% 7% 30%

Total -2% 6% 13% 24% 32% 38% 40% 41% 48% 51% 61% 27% 17% 11% 34%

J 0% 10% 18% 28% 37% 39% 46% 52% 57% 67% 29% 22% 13% 37%

NJ 2% 11% 22% 27% 32% 33% 31% 36% 38% 41% 17% 11% 7% 28%

Total 1% 11% 21% 27% 34% 36% 38% 45% 49% 58% 23% 17% 10% 32%

J 7% 14% 23% 32% 36% 42% 48% 53% 66% 26% 22% 13% 35%

NJ 1% 19% 21% 26% 26% 25% 29% 29% 35% 12% 10% 5% 23%

Total 4% 18% 21% 28% 29% 33% 40% 43% 54% 19% 17% 9% 28%

J 0% 14% 21% 26% 28% 38% 40% 43% 32% 14% 9% 29%

NJ 2% 19% 24% 22% 22% 27% 28% 28% 17% 8% 3% 22%

Total 2% 18% 23% 24% 25% 32% 35% 37% 26% 12% 6% 25%

J 22% 20% 27% 32% 40% 40% 43% 35% 14% 9% 30%

NJ 13% 22% 23% 24% 28% 27% 29% 22% 7% 5% 21%

Total 19% 22% 24% 27% 34% 35% 37% 30% 11% 7% 26%

J 18% 20% 25% 33% 37% 43% 35% 16% 6% 27%

NJ 28% 16% 19% 24% 27% 28% 21% 11% 3% 18%

Total 23% 17% 22% 29% 33% 37% 28% 14% 5% 23%

J 72% 24% 27% 31% 38% 32% 18% 6% 23%

NJ 0% 19% 22% 28% 25% 24% 11% 3% 18%

Total 72% 21% 24% 29% 32% 28% 15% 4% 21%

J 0% 15% 31% 28% 23% 24% 11% 21%

NJ 0% 21% 23% 22% 19% 13% 8% 17%

Total 0% 19% 26% 24% 21% 18% 10% 19%

J 0% 25% 23% 20% 20% 12% 18%

NJ 58% 13% 15% 11% 10% 5% 10%

Total 58% 16% 17% 15% 15% 9% 14%

J 0% 7% 8% 13% 7% 9%

NJ 52% 15% 6% 6% 5% 6%

Total 52% 12% 7% 9% 6% 8%

J 0% 13% 10% 4% 6%

NJ -1% 3% 6% 3% 4%

Total -1% 6% 7% 3% 5%

J 0% 15% 2% 3%

NJ 0% 9% 3% 4%

Total 0% 11% 3% 3%

J 0% 3% 3%

NJ 0% 5% 5%

Total 0% 5% 5%

2010

1999

2000

2001

2002

2003

2004

2017

2018

2011

2012

2013

2014

2015

2016

2005

2006

2007

2008

2009

Freddie Mac | 2020

Disposition Timelines (All Loans 80.00 < LTV ≤ 97.00%)


16





J 7 10 14 16 18 19 21 21 21 19 21 23 31 30 34 39 45 46 20 9 10 20

NJ 5 10 12 14 14 15 15 17 17 18 17 17 18 23 26 29 31 23 15 5 5 15

Total 5 10 13 15 15 17 18 19 19 19 19 19 22 26 29 34 39 36 18 7 8 17

J 4 11 14 17 19 20 21 22 22 22 24 29 31 40 38 38 38 20 10 4 20

NJ 4 10 12 14 16 17 17 17 16 15 17 21 24 23 26 23 28 18 4 6 15

Total 4 11 13 15 17 18 19 19 18 18 19 24 27 31 32 31 34 19 7 5 17

J 1 11 15 17 19 20 20 19 21 22 25 28 30 37 34 35 25 13 6 20

NJ 4 10 13 14 15 16 17 16 16 17 20 21 23 26 26 26 14 6 4 15

Total 3 10 13 15 17 18 18 17 18 19 22 24 27 32 30 31 19 10 5 17

J 12 15 17 18 19 19 21 22 25 27 30 36 39 41 30 12 6 21

NJ 5 11 13 14 16 16 16 16 16 18 20 22 24 26 25 14 8 3 15

Total 5 11 14 16 17 17 17 18 18 21 23 26 30 34 35 24 10 5 18

J 3 11 15 17 18 18 19 20 23 27 30 35 39 42 32 13 7 23

NJ 6 10 12 14 15 14 15 15 19 19 21 25 25 24 18 5 4 16

Total 4 10 13 15 16 16 16 17 20 22 26 31 33 36 27 9 6 19

J 5 12 15 16 17 18 20 23 27 30 39 41 44 22 11 8 24

NJ 7 10 12 13 14 14 16 18 19 21 25 26 24 10 6 3 16

Total 6 11 13 14 15 16 17 20 22 26 34 36 37 18 9 6 20

J 4 10 13 15 17 19 23 26 31 39 41 43 24 11 7 24

NJ 0 10 12 13 14 15 18 19 21 26 27 29 13 5 4 17

Total 2 10 12 14 15 17 20 22 27 34 36 39 20 9 5 21

J 3 10 13 16 18 22 26 31 39 41 45 19 12 11 24

NJ 10 10 12 13 16 18 19 21 25 28 29 10 4 4 17

Total 8 10 12 14 17 20 22 27 34 36 40 15 9 8 21

J 4 10 14 18 21 25 31 39 43 46 17 12 9 25

NJ 9 10 13 15 18 19 20 27 30 29 9 5 5 17

Total 6 10 13 16 19 22 26 34 37 40 13 9 7 20

J 6 11 17 20 23 29 37 41 48 17 15 11 25

NJ 6 11 14 17 18 20 25 27 29 8 5 3 16

Total 6 11 15 18 19 24 32 35 41 13 11 7 20

J 6 9 12 15 18 25 30 30 24 12 9 20

NJ 5 10 12 13 15 19 24 22 18 10 5 15

Total 5 9 12 14 17 22 28 27 21 11 8 17

J 6 8 11 16 23 26 28 27 13 8 18

NJ 7 9 11 14 19 20 20 18 7 7 14

Total 6 8 11 15 21 23 24 24 10 7 16

J 8 8 13 19 23 25 22 13 9 17

NJ 4 8 12 16 18 19 21 10 5 13

Total 6 8 13 17 21 23 22 12 7 15

J 2 8 13 19 21 22 15 8 16

NJ 9 13 15 19 19 9 6 13

Total 2 8 13 17 20 21 13 7 14

J 9 15 19 19 21 12 17

NJ 9 12 16 17 14 11 14

Total 9 13 18 18 17 12 15

J 12 14 18 21 15 17

NJ 4 9 12 15 15 12 13

Total 4 10 13 16 18 14 15

J 11 14 17 15 15

NJ 8 10 12 13 14 13

Total 8 10 13 15 15 14

J 9 15 11 12

NJ 4 10 12 12 12

Total 4 10 13 11 12

J 9 7 7

NJ 5 10 11 11

Total 5 10 8 9

J 11 11

NJ 10 10

Total 10 10

J 6 6

NJ 7 7

Total 6 6

2017

2018

2019

2011

2012

2013

2014

2015

2016

2005

2006

2007

2008

2009

2010

1999

2000

2001

2002

2003

2004

Disposition Timelines (# months delinquent at disposition)

Freddie Mac | 2020

Severity Rates and Disposition Timelines (REO Loans)


17



December 31, 2019.

Freddie Mac | 2020

Severity Rates and Disposition Timelines (Foreclosure Alternatives)


18



December 31, 2019.

Appendix


Freddie Mac | 2020

Historical Loss Summary

Appendix

20

Assumptions for Summary Severity / Timelines / Loss Components

▪ To assist investors with their understanding of Freddie Mac’s historical loss experience, 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

▪ Source: Data included in tables were derived from Freddie Mac’s Single-Family Loan Level Dataset (SF LLD) as of July 2020 refresh: Originations: 1999-June 30, 2019. Performance data: 1999 – December 31, 2019.

▪ Assumptions/Calculations:

» Population includes only disposed loans with original LTV ratios between 60.01-97%

» Populations for this analysis = Fixed 30 loans (identified by loans with original loan term between 301 and 419 months)

» Loans with Repurchase flag = Y have been set to zero loss

» “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 loss = zero

» 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, NJ, NM, NY, OH, OK, PA, PR, SC, SD, VI, VT, WI

Freddie Mac | 2020

Disclosed Loan-Level Fields

Appendix

21

For more information on file layout and field definition, please refer to the STACR Reference Pool Disclosure Guide

# Attribute NameActual

Loss

Fixed

SeverityHistorical # Attribute Name

Actual

Loss

Fixed

SeverityHistorical

1 Ref erence Pool Number X X 16 Property Ty pe X X X

2 Loan Identif ier X X X 17 Number of Units X X X

3 Amortization Ty pe 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 Homebuy er Indicator X X X

6 Postal Code X X X 21 Prepay ment Penalty Indicator X X X

7 Metropolitan Statistical Area (MSA) X X X 22 Credit Score X X X

8 First Pay ment 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 Ty pe X

15 Channel X X X 30 Filler

https://crt.freddiemac.com/_assets/docs/offerings/stacr/stacr-reference-pool-disclosure-file-layouts.pdf

Freddie Mac | 2020


Appendix

22


Loss

Fixed


Actual

Loss

Fixed

SeverityHistorical

31 Disaster Forbearance Status X 46 Loan in Eligible Disaster Area X

32 Serv icer 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 Ref erred 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 Pay ment 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 Preserv ation Costs X X

40 Current Interest Bearing UPB X X 55 Bankruptcy Cramdown Costs X

41 UPB at Time of Remov al f rom the Ref erence Pool X X 56 Miscellaneous Expenses X X

42 Zero Balance Code X X X 57 Miscellaneous Credits X X

43 Zero Balance Ef f ective Date X X X 58 Mortgage Insurance Cancellation Indicator X

44 Underwriting Def ect and Major Serv icing Def ect Settlement Date X X 59 Estimated Loan-To-Value (ELTV) - Quarterly X X

45 Modif ication Flag X X 60 Forecast Standard Dev iation (FSD) X X

Freddie Mac | 2020


Appendix

23


Loss

Fixed


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 Modif ications X X 78 Fif th Step Rate Adjustment Date X X

64 Modif ication Program X X 79 Fif th Step Rate X X

65 Modif ication Ty pe X X 80 Delinquent Accrued Interest X

66 Modif ication First Pay ment Date X X 81 Modif ication Costs X X

67 Modif ication Debt-to-Income (DTI) X X 82 Updated Credit Score #3 - Quarterly X X

68 Total Capitalized Amount X X 83 Alternativ e Appraisal Ty pe X X

69 Interest Rate Step Indicator X X 84 Group Number X X X

70 First Step Rate Adjustment Date X X 85 Enhanced Relief Ref i Indicator X

71 First Step Rate X X 86 Borrower Assistance Plan X X

72 Second Step Rate Adjustment Date X X 87 Pay ment Def erral Flag X X

73 Second Step Rate X X

74 Third Step Rate Adjustment Date X X

75 Third Step Rate X X

Freddie Mac | 2020

Freddie Mac Key Contacts

Appendix

24

Mike Reynolds Vice President, CRT

[email protected](571) 382-4852

Christian ValenciaVice President, CRT


Charlotte Gladwin Director, CRT


Hemachandra MantralaManager, Costing and Analytics


Freddie Mac | 2020

Disclaimer

Appendix

25

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 private placement memoranda and any related supplements, which incorporate Freddie Mac's Annual Report on Form 10-K for the year ended December 31, 2019, filed with the SEC on February 13, 2020, 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 Investors in the European Economic Area and the United Kingdom:THIS PRESENTATION IS NOT A PROSPECTUS FOR THE PURPOSES OF THE PROSPECTUS REGULATION (AS DEFINED BELOW). THE NOTES ARE NOT INT ENDED TO BE OFFERED, SOLD OR OTHERWISE MADE AVAILABLE TO AND SHOULD NOT BE OFFERED, SOLD OR OTHERWISE MADE AVAILABLE TO ANY RETAIL INVESTOR IN THE EUROPEAN ECONOMIC AREA (THE “EEA”) OR IN THE UNITED KINGDOM (THE “UK”). FOR THESE PURPOSES, A RETAIL INVESTOR MEANS A PERSON WHO IS ONE (OR MORE) OF THE FOLLOWING: (I) A RETAIL CLIENT AS DEFINED IN POINT (11) OF ARTICLE 4(1) OF DIRECTIVE 2014/65/EU (AS AMENDED, “MIFID II”); OR (II) A CUSTOMER WITHIN THE MEANING OF DIRECTIVE (EU) 2016/97 (AS AMENDED OR SUPERSEDED, THE "INSURANCE DISTRIBUTION DIRECTIVE), WHERE THAT CUSTOMER WOULD NOT QUALIFY AS A

PROFESSIONAL CLIENT AS DEFINED IN POINT (10) OF ARTICLE 4(1) OF MIFID II; OR (III) NOT A QUALIFIED INVESTOR AS DEFINED IN REGULATION (EU) 2017/1129 (AS AMENDED, THE “PROSPECTUS REGULATION”).

CONSEQUENTLY, NO KEY INFORMATION DOCUMENT REQUIRED BY REGULATION (EU) NO 1286/2014 (AS AMENDED, THE “PRIIPS REGULATION”) FOR OFFERING OR SELLING THE NOTES OR OTHERWISE MAKING THEM AVAILABLE TO RETAIL INVESTORS IN THE EEA OR IN THE UK HAS BEEN PREPARED AND THEREFORE OFFERING OR SELLING THE NOTES OR OTHERW ISE MAKING THEM AVAILABLE TO ANY RETAIL INVESTOR IN THE EEA OR IN THE UK MAY BE UNLAWFUL UNDER THE PRIIPS REGULATION.

MIFID II PRODUCT GOVERNANCE

ANY DISTRIBUTOR SUBJECT TO MIFID II THAT IS OFFERING, SELLING OR RECOMMENDING THE NOTES IS RESPONSIBLE FOR UNDERTAKING ITS OW N TARGET MARKET ASSESSMENT IN RESPECT OF THE NOTES AND DETERMINING ITS OWN DISTRIBUTION CHANNELS FOR THE PURPOSES OF THE MIFID II PRODUCT GOVERNANCE RULES UNDER COMMISSION DELEGATED DIRECTIVE (EU) 2017/593 (AS AMENDED, THE “DELEGATED DIRECTIVE”). NONE OF THE TRUST, THE SPONSOR OR ANY OF THE INITIAL PURCHASERS MAKES ANY REPRESENTATIONS OR WARRANTIES AS TO A DISTRIBUTOR’S COMPLIANCE WITH THE DELEGATED DIRECTIVE.

NOTICE TO UNITED KINGDOM INVESTORS

THE TRUST MAY CONSTITUTE A “COLLECTIVE INVESTMENT SCHEME” AS DEFINED BY SECTION 235 OF THE FSMA THAT IS NOT A “RECOGNIZED COLLECTIVE INVESTMENT SCHEME” FOR THE PURPOSES OF THE FSMA AND THAT HAS NOT BEEN AUTHORIZED, REGULATED OR OTHERWISE RECOGNIZED OR APPROVED. AS AN UNREGULATED SCHEME, THE NOTES CAN NOT BE MARKETED IN THE UNITED KINGDOM TO THE GENERAL PUBLIC, EXCEPT IN ACCORDANCE WITH THE FSMA.

THE DISTRIBUTION OF THIS PRESENTATION (A) IF MADE BY A PERSON WHO IS NOT AN AUTHORIZED PERSON UNDER THE FSMA, IS BEING MADE ONLY TO, OR DIRECTED ONLY AT, PERSONS WHO (I) ARE OUTSIDE THE UNITED KINGDOM, OR (II) HAVE PROFESSIONAL EXPERIENCE IN MATTERS RELATING TO INVESTMENTS AND QUALIFY AS INVESTMENT PROFESSIONALS IN ACCORDANCE WITH ARTICLE 19(5) OF THE FINANCIAL SERVICES AND MARKETS ACT 2000 (FINANCIAL PROMOTION) ORDER 2005 (THE “FINANCIAL PROMOTION ORDER”), OR (III) ARE PERSONS FALLIN G WITHIN ARTICLE 49(2)(A) THROUGH (D) (HIGH NET WORTH COMPANIES, UNINCORPORATED ASSOCIATIONS, ETC.) OF THE FINANCIAL PROMOTION ORDER (ALL SUCH PERSONS TOGETHER BEING REFERRED TO AS “FPO PERSONS”); AND (B) IF MADE BY A PERSON WHO IS AN AUTHORIZED PERSON UNDER THE FSMA, IS BEING MADE ONLY TO, OR DIRECTED ONLY AT, PERSONS WHO (I) ARE OUTSIDE THE UNITED KINGDOM, OR (II) HAVE PROFESSIONAL EXPERIENCE IN MATTERS RELATING TO INVESTMENTS AND QUALIFY AS INVESTMENT PROFESSIONALS IN ACCORDANCE WITH ARTICLE 14(5) OF THE FINANCIAL SERVICES AND MARKETS ACT 2000 (PROMOTION OF COLLECTIVE INVESTMENT SCHEMES) (EXEMPTIONS) ORDER 2001 (AS AMENDED) (THE “PROMOTION OF COLLECTIVE INVESTMENT SCHEMES EXEMPTIONS ORDER”), OR (III) ARE PERSON S FALLING WITHIN ARTICLE 22(2)(A) THROUGH (D) (“HIGH NET WORTH COMPANIES, UNINCORPORATED ASSOCIATIONS, ETC.”) OF THE PROMOTION OF COLLECTIVE INVESTMENT SCHEMES EXEMPTIONS ORDER, OR ( IV) ARE PERSONS TO WHOM THE TRUST MAY LAWFULLY BE PROMOTED IN ACCORDANCE WITH CHAPTER 4.12 OF THE U.K. FINANCIAL CONDUCT AUTHORITY’S CONDUCT OF BUSINESS SOURCEBOOK (ALL SUCH PERSONS TOGETHER BEING REFERRED TO AS “PCIS PERSONS” AND, TOGETHER WITH THE FPO PERSONS, THE “RELEVANT PERSONS”).

THIS PRESENTATION MUST NOT BE ACTED ON OR RELIED ON BY PERSONS WHO ARE NOT RELEVANT PERSONS. ANY INVESTMENT OR INVESTMENT ACT IVITY TO WHICH THIS PRESENTATION RELATES, INCLUDING THE NOTES, IS AVAILABLE ONLY TO RELEVANT PERSONS AND WILL BE ENGAGED IN ONLY WITH RELEVANT PERSONS. ANY PERSONS OTHER THAN RELEVANT PERSONS SHOULD NOT ACT OR RELY ON THIS PRESENTATION. POTENTIAL INVESTORS IN THE UNITED KINGDOM ARE ADVISED THAT ALL, OR MOST, OF THE PROTECTIONS AFFORDED BY THE UNITED KINGDOM REGULATORY SYSTEM WILL NOT APPLY TO AN INVESTMENT IN THE NOTES AND THAT COMPENSATION WILL NOT BE AVAILABLE UNDER THE UNITED KINGDOM FINANCIAL SERVICES COMPENSATION SCHEME.

Notice to Canadian Investors:The Notes may be sold only to purchasers purchasing, or deemed to be purchasing, as principal that are accredited investors, as defined in National Instrument 45-106 Prospectus Exemptions or subsection 73.3(1) of the Securities Act (Ontario), and are permitted clients, as defined in National Instrument 31-103 Registration Requirements, Exemptions and Ongoing Registrant Obligations. Any resale of the Notes must be made in accordance with an exemption from, or in a transaction not subject to, the prospectus requirements of applicable securities laws.

Freddie Mac | 2020

Disclaimer

Appendix

Notice to Spanish Investors:No action has been or will be taken by Freddie Mac that would permit a public offering of the Notes in Spain non-exempted from the prospectus requirement. Neither the Notes nor the offering have been or will be registered or

approved by the Spanish Securities Market Commission (Comisión Nacional del Mercado de Valores) ("CNMV") and, therefore, no prospectus has been or will be registered or approved by the CNMV for the purposes of this

offering.

Notice to Japanese Investors:

The Notes have not been and will not be registered under FIEA and, accordingly, each Initial Purchaser undertakes that it wil l not offer or sell any Notes directly or indirectly, in Japan or to, or for the benefit of, any resident of

Japan or to others for re-offering or resale, directly or indirectly, in Japan or to any resident of Japan except pursuant to an exemption from the registration requirements of, and otherwise in compliance with the FIEA and other relevant laws and regulations of Japan. As used in this paragraph, “resident of Japan” means any person resident in Japan, including any corporation or other entity organized under the laws of Japan.

Notice to Korean Investors:

The Trust is not making any representation with respect to eligibility of any recipients of this Presentation to acquire the Notes referred to herein under the laws of Korea. The Notes offered under this Presentation have not been and will not be registered with the Financial Services Commission of Korea for public offering in Korea under FSCMA and are therefore subject to certain transfer restrictions. The Notes may not be offered, sold or delivered,

directly or indirectly, or offered or sold to any person for re-offering or resale, directly or indirectly, in Korea or to any resident of Korea (as defined in the Foreign Exchange Transaction Law of Korea) except pursuant to the applicable laws and regulations of Korea, including the FSCMA and the Foreign Exchange Transaction Law and the decrees and regulations thereunder.

Notice to Investors in the People's Republic of China ("PRC", for the sole purpose herein, excluding Hong Kong, Macau and Taiwan):

The Notes may not be offered or sold directly or indirectly within the PRC. The offering material or information contained herein relating to the Notes, which has not been and will not be submitted to or approved/verified by or registered with any relevant governmental authorities in the PRC (including but not limited to the China Securities Regulator y Commission ("CSRC")), may not be supplied to the public in the PRC or used in connection with any

offer for the subscription or sale of the Notes in the PRC. The offering material or information contained herein relating to the Notes does not constitute an offer to sell or the solicitation of an offer to buy any securities in the PRC.

The Notes may only be invested by PRC investors that are authorized to engage in the purchase of notes of the type being offered or sold, including but not limited to those that are authorized to engage in the purchase and sale of foreign exchange for themselves and on behalf of their customers and/or the purchase and sale of government bonds or financial bonds and/or the purchase and sale of debt securities denominated in foreign currency other

than stocks. PRC investors are responsible for informing themselves about and observing all legal and regulatory restrictions, obtaining all relevant approvals/licenses, verification and/or registrations themselves from relevant governmental authorities (including but not limited to the People's Bank of China, CSRC, the State Administration of Foreign Exchange, the China Banking and Insurance Regulatory Commission and other relevant regulatory

bodies), and complying with all relevant PRC regulations, including, but not limited to, all relevant foreign exchange regulations and/or foreign investment regulations.

Notice to Singaporean Investors:SECTION 309B(1)(C) NOTIFICATION UNDER THE SECURITIES AND FUTURES ACT, CHAPTER 289 OF SINGAPORE: THE NOTES ARE CAPITAL MARKETS PRODUCTS OTHER THAN PRESCRIBED CAPITAL

MARKETS PRODUCTS (AS DEFINED IN THE SECURITIES AND FUTURES (CAPITAL MARKETS PRODUCTS) REGULATIONS 2018 OF SINGAPORE) AND SPEC IFIED INVESTMENT PRODUCTS (AS DEFINED IN MAS

NOTICE SFA 04-N12: NOTICE ON THE SALE OF INVESTMENT PRODUCTS AND MAS NOTICE FAA-N16: NOTICE ON RECOMMENDATIONS ON INVESTMENT PRODUCTS). This Presentation has not been, and will not be, registered as a prospectus with the Monetary Authority of Singapore, and the Notes will be offered pursuant to exemptions under the Securities and Futures Act (Chapter 289 of Singapore) (the “SFA”). Accordingly, this

Presentation or any document or material in connection with the offer or sale, or invitation for subscription or purchase, of the Notes may not be circulated or distributed, nor may the Notes be offered or sold, or be made the subject of an invitation for subscription or purchase, whether directly or indirectly, to any persons in Singapore other than (i) to an institutional investor (as defined in Section 4A of the SFA) pursuant to Section 274 of the SFA, (ii)

to a relevant person (as defined in Section 275(2) of the SFA) pursuant to Section 275(1) of the SFA, or any person pursuant to Section 275(1A) of the SFA, and in accordance with the conditions specified in Section 275 of the

SFA and (where applicable) Regulation 3 of the Securities and Futures (Classes of Investors) Regulations 2018 of Singapore or (iii) otherwise pursuant to, and in accordance with the conditions of, any other applicable provision of the SFA.

Notice to Taiwanese Investors:

The Notes have not been and will not be registered with the Financial Supervisory Commission of Taiwan, the Republic of China pursuant to relevant securities laws and regulations and may not be offered or sold in Taiwan, the Republic of China through a public offering or in circumstance which constitutes an offer within the meaning of the Securities and Exchange Act of Taiwan, the Republic of China that requires a registration or approval of the

Financial Supervisory Commission of Taiwan, the Republic of China. No person or entity in Taiwan, the Republic of China has been authorized to offer or sell the Notes in Taiwan, the Republic of China.

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.

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STACR REMIC 2020-DNA4 · 2020. 8. 25. · Freddie Mac | 2020 Net Loss Analysis Net Loss Comparison...

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