Investor Presentaiton

CONFIDENTIAL 0 150 100 50 201707 16 14 12 10 4 222286 +20 201707 Cohort Historical Performance by Delinquency Status Liquidation Rate (1) Payoff Rate 201710 201801 201804 201807 201810 201901 201904 201907 201910 202001 202004 202007 202010 202101 C1-5 D30-D60 202104 202107 202110 202201 202204 202207 202210 202301 ⚫D90-D150 Liquidation Severity (2) 201710 201801 201804 201807 201810 201901 201904 201907 201910 202001 C1-5 Liquidation count (RHS) D90-D150 D30-D60 202004 202007 202010 202101 202104 202107 202110 202201 202204 202207 202210 202301 D30-D60 liquidation count (RHS) C1-5 D90-D150 40 110 105 30 100 95 90 20 85 80 10 75 70 0 65 60 5 10 15 20 201707 201707 201710 201801 201804 201807 201810 201901 201904 201907 201710 201801 201804 201807 201810 201901 201910 202001 202004 202007 202010 202101 202104 202107 Cashflowing Rate (3) C1-5 D30-D60 201904 201907 201910 202001 202004 202007 202010 202101 202110 D90-D150 202104 202107 202110 202201 202201 202204 202204 202207 202207 202210 202210 202301 202301 (1) Cohort excludes repurchases. Data set includes loans similar in characteristics/delinquency status to those in the SLST program, based on the cohort on page 35 (2) Delinquent interest at liquidation is excluded from the severity in SFLLD in order to be consistent with SLST remittance and reporting. Severity is floored at 0 (3) It is assumed that: (a) if a loan is modified or liquidated in the current cycle, no payment is made; (b) actual number of payments made is calculated as number of months due date moved forward compared to prior cycle SLST 2023-1 C1-5 ⚫D30-D60 D90-D150 Prepared by Investments and Capital Freddie Mac Markets 36

View entire presentation