Investor Presentaiton
CONFIDENTIAL
Pay History
LTV/Credit Score
Note Rate
General
SLST Collateral - 2020-2023 Deals
Description
SLST 2020-2
at Settle
As of Date
% Modified
% Freddie Mac PDP Only (1)
% Adjustable-Rate Mortgage Loan
Loan Count
Total UPB (including forborne UPB) in millions of USD
Forborne UPB in millions of USD
August 31, 2020
89%
SLST 2020-3
at Settle
October 31, 2020
89%
SLST 2021-1
at Settle
April 30, 2021
SLST 2021-2
at Settle
June 30, 2021
SLST 2022-1
at Settle
April 30, 2022
SLST 2022-2
at Settle
SLST 2023-1
at Offering
September 30, 2022
August 31, 2023 !
66%
88%
86%
94%
89%
6%
5%
8%
6%
7%
3%
6%
2.7%
0.7%
3.3%
2.6%
1.2%
0.7%
1.1%
10,185
4,486
6,814
5,139
2,731
1,326
2,155
$1,508
$638
$809
$772
$386
$230
$320
$105
$41
$35
$66
$27
$20
$14
% UPB Forborne
7.0%
6.4%
4.3%
8.6%
7.1%
8.8%
4.5%
% of Loans with a Forbearance (non-interest bearing) UPB
% of Loans in a Temporary Forbearance Plan and Current
% of Loans in a Temporary Forbearance Plan and Delinquent
Avg. Loan Size in thousands of USD
44.5%
45.3%
33.8%
55.0%
49.4%
49.8%
33.0%
3.7%
5.0%
1.5%
1.6%
0.6%
0.5%
N/A
11.8%
12.9%
5.7%
5.5%
4.3%
8.9%
N/A
$148
$142
$119
$150
$141
$174
$149
Weighted Average Note Rate at Origination (2)
6.2%
5.9%
5.7%
6.1%
5.6%
6.0%
5.3%
Weighted Average Current Note Rate (2)
4.7%
4.7%
5.0%
4.6%
4.6%
4.2%
4.3%
Weighted Average Effective Note Rate (3)
Weighted Average Terminal Note Rate (2)(4)
Weighted Average Terminal Effective Note Rate (3)(4)
Weighted Average Loan Age from Origination (months)(5)
Weighted Average Loan Age from Modification (months)
Weighted Average Remaining Term to Maturity (months) (5)
Weighted Average Updated LTV (FHFA Indexed)
4.4%
4.4%
4.8%
4.2%
4.3%
3.8%
4.1%
4.7%
4.8%
5.1%
4.7%
4.7%
4.2%
4.3%
4.4%
4.5%
4.8%
4.3%
4.3%
3.8%
4.1%
160
159
160
168
161
173
150
(5)
50
42
34
38
30
27
29
367
370
326
371
376
410
401
60%
57%
51%
59%
48%
51%
42%
Weighted Average AVM Current LTV
% of Loans with AVM Current LTV > 105%
Weighted Average BPO Current LTV
65%
58%
49%
54%
46%
57%
44%
4.9%
3.6%
1.0%
2.0%
1.0%
4.9%
0.5%
71%
65%
54%
63%
52%
58%
47%
% of Loans with BPO Current LTV > 105%
10.2%
8.4%
3.5%
6.5%
2.3%
6.0%
1.3%
Non-Zero Weighted Average Credit Score at Origination
667
673
677
671
679
673
685
Non-Zero Weighted Average Current Credit Score
607
612
605
619
588
619
590
% of Loans in Judicial Foreclosure State
% of Loans with MI
45.2%
51.4%
46.1%
48.2%
46.9%
49.1%
42.7%
15.7%
15.5%
15.5%
15.3%
18.5%
18.4%
23.1%
% of Loans with Step-Rate at Modification
15.1%
11.6%
5.5%
12.4%
5.1%
6.7%
2.2%
Weighted Average Number of Months Clean Pay History
3
3
3
3
1
2
3
% of Loans with 1-5 Months Clean Pay History
40%
42%
48%
43%
32%
33%
25%
% 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
21%
16%
21%
18%
8%
16%
27%
2%
3%
2%
2%
0%
1%
1%
63%
61%
70%
63%
41%
50%
53%
22%
25%
21%
24%
27%
18%
24%
11%
10%
8%
11%
16%
13%
13%
4%
4%
1%
2%
17%
18%
10%
SPS
Shellpoint
SLS
SPS, CLS
SLS, Shellpoint
RPS, SPS
SLS, SMS
(1)% Freddie Mac PDP only is a subset of % Modified
(2) Note rates are weighted by Interest Bearing Unpaid Principal Balance only
(3) Note rate multiplied by ratio of the aggregate Interest Bearing Unpaid Principal Balance over aggregate UPB
(4) Weighted average of fixed-rate or maximum step-rate over the life of each Mortgage Loan. Excludes any ARMS
(5) Calculated based on next due date
SLST 2023-1
Prepared by Investments and Capital
© Freddie Mac
Markets
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