Investor Presentaiton

CONFIDENTIAL 100 200 201707 201710 201801 201804 201807 201810 0 3 2 1 201707 201710 201801 201804 4 5 Cohort Historical Performance by LTV Liquidation Rate(1) 201807 201810 201901 201904 201907 201910 AVM LTV<=60 202001 202004 202007 202010 202101 202104 202107 60< AVM LTV <=80 Liquidation Severity (2) 201901 201904 201907 201910 202001 202004 202007 202010 202101 202104 202107 202110 202201 AVM LTV>80 AVM LTV <=60 Liquidation count (RHS) 60<AVM LTV<=80 60<AVM LTV<=80 liquidation count (RHS) AVM LTV<=60 AVM LTV>=80 202204 202207 202210 202301 0 202110 202201 202204 AVM LTV>80 20 20 80 70 60 201707 201710 40 40 202207 202210 110 100 90 202301 0 20 25 15 10 201707 201710 201801 201804 201807 201810 AVM LTV<=60 201901 201904 201907 201910 (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 37 SLST 2023-1 AVM LTV<=60 202001 202004 202007 202010 60< AVM LTV <=80 Payoff Rate 202101 202104 202107 202110 202201 202204 202207 202210 AVM LTV>80 Cashflowing Rate (3) الله MAMMAN MAW 201801 201804 201807 201810 201901 201904 201907 201910 202001 202004 202007 202010 202101 60<AVM LTV<=80 202104 202107 202110 Prepared by Investments and Capital Freddie Mac Markets 202201 202204 202207 202210 202301 AVM LTV>=80 202301

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