Investor Presentaiton
CONFIDENTIAL
Pay History
LTV/Credit Score
Note Rate
General
Historical SLST Collateral (at Settle)
Description
SLST 2019-1 SLST 2019-2 SLST 2019-3 SLST 2020-1 SLST 2020-2 SLST 2020-3 SLST 2021-1 SLST 2021-2 SLST 2022-1 SLST 2022-2
As of Date
4/30/2019
8/31/2019
10/31/2019
% Modified
100%
100%
100%
6/30/2020
100%
8/31/2020
10/31/2020
89%
89%
4/30/2021
66%
6/30/2021
88%
4/30/2022
86%
9/30/2022
94%
% Freddie Mac PDP Only
0%
0%
0%
0%
6%
5%
8%
6%
7%
3%
Loan Count
7,604
7,073
8,121
6,026
10,185
4,486
6,814
5,139
2,731
1,326
Total UPB (including forborne UPB) in millions of USD
Forborne UPB in millions of USD
$1,217
$1,220
$1,326
$948
$1,508
$638
$809
$772
$386
$230
$82
$96
$80
$64
$105
$41
$35
$66
$27
$20
% UPB Forborne
6.7%
7.9%
6.0%
6.8%
7.0%
6.4%
4.3%
8.6%
7.1%
8.8%
% of Loans with a Forbearance UPB
33.8%
42.5%
32.3%
34.7%
44.5%
45.3%
33.8%
55.0%
49.4%
49.8%
Avg. Loan Size in thousands of USD
$160
$173
$163
$157
$148
$142
$119
$150
$141
$174
Weighted Average Note Rate at Origination
(1)
6.1%
6.2%
5.9%
5.8%
6.2%
5.9%
5.7%
6.1%
5.6%
6.0%
Weighted Average Current Note Rate (1)
4.5%
4.5%
4.5%
4.6%
4.7%
4.7%
5.0%
4.6%
4.6%
4.2%
Weighted Average Effective Note Rate (2)
4.2%
4.1%
4.3%
4.2%
4.4%
4.4%
4.8%
4.2%
4.3%
3.8%
Weighted Average Terminal Note Rate (1)(3)
Weighted Average Terminal Effective Note Rate (2)(3)
Weighted Average Loan Age from Origination (months) (6)
Weighted Average Loan Age from Modification (months) (4)(6)
Weighted Average Remaining Term to Maturity (months) (6)
Weighted Average Updated LTV (FHFA Indexed) (5)
Weighted Average AVM Current LTV
% of Loans with AVM Current LTV > 105%
Weighted Average BPO Current LTV
% of Loans with BPO Current LTV > 105%
4.6%
4.6%
4.6%
4.6%
4.7%
4.8%
5.1%
4.7%
4.7%
4.2%
4.3%
4.2%
4.3%
4.3%
4.4%
4.5%
4.8%
4.3%
4.3%
3.8%
150
153
147
151
160
159
160
168
161
173
55
64
51
54
50
42
34
38
30
27
405
393
408
405
367
370
326
371
376
410
63%
64%
61%
60%
60%
57%
51%
59%
48%
51%
67%
68%
66%
62%
65%
58%
49%
54%
46%
57%
5.5%
5.8%
4.9%
4.2%
4.9%
3.6%
1.0%
2.0%
1.0%
4.9%
75%
75%
72%
70%
71%
65%
55%
63%
52%
58%
11.8%
12.2%
10.7%
9.5%
10.2%
8.4%
3.6%
6.5%
2.3%
6.0%
Non-Zero Weighted Average Credit Score at Origination
Non-Zero Weighted Average Current Credit Score
672
671
676
674
667
673
677
671
679
673
582
600
590
588
607
612
605
619
588
619
% of Loans in Judicial Foreclosure State
% of Loans with MI
44.9%
45.8%
49.6%
46.1%
45.2%
51.4%
46.0%
48.2%
46.9%
49.1%
15.6%
14.5%
16.8%
17.9%
15.7%
15.5%
15.8%
15.3%
18.5%
18.4%
% of Loans with Step-Rate at Modification
21.8%
29.8%
15.2%
14.3%
15.1%
11.6%
5.4%
12.4%
5.1%
6.7%
Weighted Average Number of Months Clean Pay History
3
4
4
3
3
3
3
3
1
2
% of Loans with 1-5 Months Clean Pay History
% of Loans with 6-11 Months Clean Pay History
% of Loans with 12+ Months Clean Pay History
% of Loans that are Current
% of Loans that are 30-59 Days Delinquent
% of Loans that are 60-89 Days Delinquent
% of Loans that are 90+ Days Delinquent
Servicer
32%
28%
27%
28%
40%
42%
48%
43%
32%
33%
25%
30%
31%
31%
21%
16%
21%
18%
8%
16%
0%
2%
3%
2%
2%
3%
2%
2%
0%
1%
57%
59%
61%
60%
63%
61%
70%
63%
41%
50%
32%
29%
28%
20%
22%
25%
21%
24%
27%
18%
11%
12%
11%
10%
11%
10%
8%
11%
16%
13%
0%
0%
0%
10%
4%
4%
1%
2%
17%
18%
SLS,
SPS
SPS
SPS
SLS
SPS
Shellpoint
SLS
SPS, CLS
RPS, SPS
Shellpoint
(1) Weighted by Interest Bearing Unpaid Principal Balance only
(2) Note rate multiplied by the ratio of the aggregate Interest Bearing Unpaid Principal Balance over the aggregate Unpaid Principal Balance
(3) Weighted average of the fixed or maximum step-rate over the life of each Mortgage Loan. Excludes any adjustable-rate Mortgage Loans
(4) Modification date is based on the later of the PDP and non-PDP for deals up to and including SLST 2018-2. Beginning with SLST 2019-1, modification date excludes any PDPs
(5) The updated LTVs were estimated based on the FHFA Home Price Index values as of the Cut-Off Date
(6) Calculated based on the next due date
SLST 2023-1
Prepared by Investments and Capital
© Freddie Mac
Markets
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