Investor Presentaiton

Cohort Stratifications (1)(5) C1-5 D30-D60 D90-D150 Data as of Date Loan Count % of Loans Modified 6/30/2017 6/30/207 6/30/2017 7,963 7,398 2,127 92% 93% 76% % of Loans on a Forbearance Plan 0% 0% 1% Total UPB (including forborne UPB) in millions 1,378 1,288 370 Forborne UPB in millions 115 117 27 % UPB Forborne % Loans with a Forbearance Modification Avg. Loan Size Weighted Average Mortgage Rate at Origination(2) Weighted Average Current Mortgage Rate (2) 8.3% 9% 7.3% 46% 49% 39% 173,073 174,099 174,158 5.9% 6.0% 5.6% 4.0% 4.0% 4.1% Weighted Average Effective Mortgage Rate (3) 3.7% 3.6% 3.8% Weighted Average Remaining Maturity (months) 407 404 388 Weighted Average Loan Age from Origination (months) 117 121 107 Weighted Average Age Since Modification (months) 31 36 25 Weighted Average LTV at Origination 81 80 81 Weighted Average AVM (HVE) LTV 74 Weighted Average Updated LTV based on FHFA Index(4) 79 FP 75 79 Weighted Average Credit Score at Origination 686 682 684 % of Loans with I/O Term at Origination - - % of Loans with Mortgage Insurance Avg Number of Months Clean Pay 27% 26% 27% 3 0 0 % of Loans w/ 1-5 Months Clean Pay History 100% 0% 0% % of Loans w/ 6-11 Months Clean Pay History 0% 0% 0% % of Loans at Least 12 Months Clean Pay History 0% 0% 0% % of Loans at D30 0% 73% 0% % of Loans at D60 0% 27% 0% % of Loans at D90-D150 0% 0% 100% (1) Cohort is constructed from Freddie Mac's Standard Single-Family Loan-Level Dataset, with certain assumptions as of June 2017, using loans with characteristics similar to those in the SLST program (2) Note rates are weighted by Interest Bearing Unpaid Principal Balance (3) Note rate multiplied by ratio of the aggregate unpaid interest bearing balance over the aggregate UPB of the mortgage loans as of the prior month (4) Updated LTVS estimated based on the FHFA Home Price Index values available at that time (5) Freddie Mac's Standard Single-Family Loan-Level Dataset excludes adjustable-rate mortgage loans CONFIDENTIAL SLST 2023-1 35 Prepared by Investments and Capital © Freddie Mac Markets

View entire presentation