structured agency credit risk - freddie mac · this document is not an offer to sell any freddie...

April 2015

Structured Agency Credit Risk (“STACR”) Debt Notes, 2015-DNA1 Roadshow Investor Presentation

© Freddie Mac 2015

Disclaimer

Notice to United States Investors:

This document is not an offer to sell any Freddie Mac securities. Offers for any given security are made only through applicable offering circulars and any related supplements, which

incorporate Freddie Mac's Annual Report on Form 10-K for the year ended December 31, 2013, filed with the SEC on February 27, 2014, and Quarterly Report on Form 10-Q for the quarter

ended September 30, 2014, filed with the SEC on November 6, 2014, and all documents that Freddie Mac files with the SEC pursuant to Section 13(a), 13(c) or 14 of the Exchange Act,

excluding any information "furnished" to the SEC on Form 8-K. Content in this presentation is not reflective of current markets/spreads and is not indicative of any future Freddie MAC

offerings. Please use this deck for informational purposes only.

Notice to United Kingdom Investors:

This document is only being distributed to and is directed at: (a) investment professionals falling within Article 19 of the Financial Services and Markets Act 2000 (Financial Promotion)

Order 2005 (the "FPO"); (b) high net worth entities falling within Article 49 of the FPO; and (c) other persons in respect of whom exemptions under the FPO are available. The investments

to which this document relates are available only to, and any agreement to acquire such investments, will be made only with, such persons. Any other person should not act or rely on this

document or any of its contents.

This document is not intended to be an offer of transferable securities to the public in the United Kingdom or any European Union jurisdiction, in accordance with the Prospectus Directive

(2003/71/EC, as amended). In any event, this document is made available only in circumstances in which a prospectus requirement under such Directive does not apply, including but not

limited to the distribution of this document to qualified investors only.

Notice to Canadian Investors:

The Presentation (the “Presentation”) is confidential and may not be reproduced or transferred, in whole or in part, to any other party that is not an employee, officer, director, or

authorized agent of the recipient without the express written consent of Freddie Mac. Each person accepting these materials agrees to return them promptly upon request.

The material provided herein is for informational purposes only and delivered solely as reference material with respect to Freddie Mac. The Presentation does not constitute an offer to

sell or a solicitation of an offer to buy any securities of Freddie Mac. Any offering of securities of Freddie Mac will occur only in accordance with the terms and conditions set forth in an

offering circular (“Offering Circular”). Investors are strongly urged to carefully review Offering Circular (including the risk factors described therein) and to discuss any prospective

investment in Freddie Mac with their legal and tax advisers in order to make an independent determination of the suitability and consequences of an investment.

No person has been authorized to give any information or to make any representation, warranty, statement or assurance not contained in the Offering Circular and, if given or made, such

other information or representation, warranty, statement or assurance must not be relied upon.

Prospective investors should inform themselves and take appropriate advice as to any applicable legal requirements and any applicable taxation and exchange control regulations in the

countries of their citizenship, residence or domicile which might be relevant to the subscription, purchase, holding, exchange, redemption or disposal of any securities of Freddie Mac.

Targets are objectives and should not be construed as providing any assurance or guarantee as to the results that may be realized in the future from investment in any asset or asset class

described in the Presentation. Please be advised that any targets shown in the Presentation are subject to change at any time and are current as of the date of this presentation only. In

addition, the information contained therein includes observations and/or assumptions and involves significant elements of subjective judgment and analysis. No representations are made

as to the accuracy of such observations and assumptions and there can be no assurances that actual events will not differ materially from those assumed. In the event any of the

assumptions used in the Presentation do not prove to be true, results are likely to vary substantially from those discussed therein.

A prospective investor in securities of Freddie Mac must conduct its own independent review and due diligence to make its own assessment of the merits and risks of making an

investment in , perform its own legal, accounting and tax analysis and conclude that the investment in the securities of Freddie Mac (i) is fully consistent with the investor’s financial

requirements and financial condition, investment objectives and risk tolerance; (ii) complies and is fully consistent with all investment policies, guidelines and restrictions applicable to

the investor; and (iii) is a fit, proper and suitable investment for the investor.

2

© Freddie Mac 2015

Agenda 1. Executive Summary 4

2. STACR Transactions Comparison 15

3. STACR 2015-DNA1: Cohort and Historical Analysis 18

4. STACR 2015-DNA1: Key Terms & Structure Overview 26

5. STACR Investor Participation 30

Appendices

1. Freddie Mac Corporate Summary 33

A. Single Family Business Overview 39

B. Underwriting and Quality Control 42

C. Single Family Servicing Oversight and Control 48

2. Data and Market Transparency 51

3. STACR 2015-DNA1: Trigger Details 56

4. STACR 2015-DNA1: Reference Pool Overview 58

5. STACR 2015-DNA1: Prepayment / Default Sensitivity 64

6. Key Contacts 71

7. Freddie Mac & Bloomberg STACR Event 73

3

© Freddie Mac 2015

1. Executive Summary

4

© Freddie Mac 2015 5

Freddie Mac: Building Today for the Future

Freddie Mac is innovating to create a new and better housing finance system today to help borrowers,

renters, taxpayers and lenders

» Innovating to benefit taxpayers – something all policy makers want

– Leading the industry in transferring credit risk to private investors, away from taxpayers

– Developing greater expense and capital efficiency

– Returning funds to taxpayers – $91.0 billion (including December 2014 dividend obligation), $19.6 billion more than what was received

» Creating a better customer experience – for lenders of all sizes

» Responsibly shrinking our retained portfolio

» All while providing constant support to renters and borrowers

– Provided $201 billion of liquidity to the mortgage market during the first nine months of 2014

– Helped nearly 94,000 borrowers avoid foreclosure during the first nine months of 2014

5

Note: All numbers referenced are rounded.

© Freddie Mac 2015

Executive Summary

STACR is the leading product in the recently formed GSE Risk Transfer Market

The GSEs have issued a combined total of ~$16bn of credit debt securities to date

STACR Notes are unsecured general obligations of Freddie Mac, which are also subject to the credit risk of a certain pool of residential mortgage loans (the “Reference Obligations”) guaranteed by Freddie Mac

Prior STACR transactions were designed to furnish credit protection to Freddie Mac with respect to Reference Obligations which become 180 days or more delinquent1. The STACR 2015-DNA1 transaction provides credit protection to Freddie Mac with respect to the Reference Obligations by reducing the outstanding Class Principal Balance of the Notes in an amount based on the actual realized losses on the Reference Obligations

» The Notes are issued at par and are uncapped LIBOR-based floaters, and include a 12.5 year final maturity with an optional redemption at the earlier of a 10% pool factor or 10 years

» Although the Notes are unsecured general obligations of Freddie Mac, the payment characteristics have been designed so that the Notes are paid principal similarly to securities in a senior/subordinate private label residential mortgage backed securities (“RMBS”) structure

» Freddie Mac will make monthly payments of principal and accrued interest to the Noteholders

– Actual cash flows from the Reference Obligations will not be paid or otherwise made available to the holders of the Notes

1 As determined using the MBA delinquency method. For a period of 18 months, Freddie Mac will not declare a Credit Event based on a delinquency of 180 days or more with respect to any Reference Obligation that is in natural disaster forbearance.

6

© Freddie Mac 2015

STACR Evolution

7

Freddie Mac has issued eleven STACR transactions to date:

Transaction Issuance Date Issuance Volume Key Highlights

STACR 2013-DN1 July 26, 2013 $500,000,000 -Inaugural STACR Transaction

STACR 2013-DN2 November 12, 2013 $630,000,000 -First Risk Share Transaction Rated by two Rating Agencies

STACR 2014-DN1 February 12, 2014 $1,008,000,000 -New M1 'A' Rated Bond Added

STACR 2014-DN2 April 9, 2014 $966,000,000

STACR 2014-DN3 August 11, 2014 $672,000,000 -Introduced EU Risk Retention -Introduced Natural Disaster Forbearance -Introduced 100% Review for Credit Events

STACR 2014-HQ1 August 11, 2014 $460,000,000 -First HQ (High LTV) Transaction

STACR 2014-HQ2 September 15, 2014 $770,000,000 -Catch Up Transaction -First STACR Transaction to Receive NAIC Designation -First deal listed on Irish Stock Exchange

STACR 2014-DN4 October 28, 2014 $611,000,000

STACR 2014-HQ3 October 28, 2014 $429,400,000

STACR 2015-DN1 February 3, 2015 $800,000,000 -Inaugural Selling of First Loss -First Time Rating M3 Bond -Offered Canadian Wrapper on Transaction

STACR 2015-HQ1 March 31, 2015 $860,000,000

STACR 2015-DNA1 April 28, 2015 $720,000,000 -First Actual Loss Transaction -DTC Eligible Class B Bond

© Freddie Mac 2014 CONFIDENTIAL 8

Fixed Severity (Current) vs. Actual Loss (Proposed)

Investors share loss experience in the following:

Fixed Severity Actual Loss

• 180 Days (“D180”) Delinquent • Pre-D180 Short Sale • Pre-D180 Third Party Sale • Pre-D180 Deed-in-Lieu • Pre-D180 REO

At Property Disposition • Collateral deficiency • Delinquent interest • Expenses (such as legal fees, taxes, maintenance cost, etc.) net

of any recoveries • Principal forgiveness due to modification(2)

At Loan Modification • Interest Shortfall • Bankruptcy cramdown (may occur at property disposition)

Investors do not share Freddie Mac loss experience in the following:

Fixed Severity Actual Loss

• Underwriting defect • Loans that become ineligible

• Underwriting defect • Major servicing defect (repurchase/make whole) • Loans that become ineligible • Counterparty risk(1) (such as lack of MI payment) • Master servicing cost (such as compensatory and incentive

fees) • Principal forgiveness(2) (if loan becomes a credit event,

forgiven UPB is passed as loss at disposition)

(1) No Reference Obligations in the STACR 2015-DNA1 Reference Pool have mortgage insurance coverage (2) Principal forgiveness is not currently part of the Freddie Mac Single-Family Seller/Servicer Guide


Calculation for Actual Loss

Actual Loss Calculation

Losses at Disposition

1 (+) UPB at time of removal from the Reference Pool (including prior principal forgiveness)

2 (-) Net Sales Proceeds

3 (+) Delinquent Accrued Interest (Non-Capitalized) Interest Bearing UPB * min(Note Rate – 35bps, Accounting Net Yield) * (# of Months Delinquent/12)

4 (+) Taxes and Insurance

5 (+) Legal Costs

6 (+) Maintenance and Preservation Costs e.g. Property Inspection, Homeowner’s Association, Utilities, Rental Receipts, REO Management, etc.

7 (-) MI Credit(1)

Total Claim Amount * Coverage %

8 (+) Miscellaneous Expenses e.g. BPO, other sales expenses not include in item 2 above

9 (-) Miscellaneous Credits e.g. Positive Escrow, Insurance Refunds, Hazard Claim Proceeds, Make Whole Events, etc.

Losses at Modification

10 (+) Modification Costs e.g. Interest Short Fall (Passed to investors on a monthly basis)

11 (+) Bankruptcy Cramdown Costs (Passed to investors on a monthly basis)

(1) No Reference Obligations in the STACR 2015-DNA1 Reference Pool have mortgage insurance coverage


STACR 2015-DNA1 - Actual Loss Waterfall

First - Class B Note and B-H Reference Tranche – Write-down

Second - Class M-3 Note and Class M-3H Reference Tranches – Write-down

Third - Class M-2 Note and Class M-2H Reference Tranches – Write-down

Fourth - Class M-1 Note Class M-1H Reference Tranches – Write-down

Allocation of Write-down Amounts

First - Class B Note and B-H Reference Tranche – Interest Amount

Second - Class B Note and B-H Reference Tranche – Write-down

Third - Class M-3 Note and Class M-3H Reference Tranches – Interest Amount

Fourth - Class M-3 Note and Class M-3H Reference Tranches – Write-down

Fifth - Class M-2 Note and Class M-2H Reference Tranches – Interest Amount

Sixth - Class M-2 Note Class M-2H Reference Tranches – Write-down

Seventh - Class M-1 Note Class M-1H Reference Tranches – Interest Amount

Eighth - Class M-1 Note Class M-1H Reference Tranches – Write-down

Allocation of Modification Loss Amounts

Modification Loss Amount = Modification Shortfall minus Modification Excess » Modification Shortfall / Excess [1/12* (original interest rate - 35 bps) * Current Actual UPB] - [1/12*(current interest rate -35 bps) * Current Interest Bearing UPB]

Freddie Mac will utilize the below waterfalls to allocate actual losses

Fifth - Class A-H Reference Tranche – Write-down

© Freddie Mac 2015

STACR 2015-DNA1 Structure Illustration

For illustration purposes only

*Freddie Mac may sell a portion of their retained vertical slice, but will always maintain ownership of at least 5% of the M tranches and 50% of the B tranches. Note that the amount of the retained vertical slice varies between the M tranches and B tranche.

Reference Pool

Specified Credit Events

Freddie Mac pays coupon on Notes, which could be reduced due to loan modifications. Its obligation to repay principal on the Notes is reduced by credit events, and in certain instances modifications on the Reference Pool based on an actual loss approach.

Actual Principal Payments

Class A-H

(Reference Tranche Only)

STACR Issued Notes Retained

Class M-1 (Note and Corresponding

Reference Tranche)


Reference Tranche)


Reference Tranche)

Class B (Note and Corresponding

Reference Tranche)

Class M-1H (Reference

Tranche only)

Class M-2H

(Reference

Tranche only)

Class M-3H

(Reference

Tranche only)

Class B-H

(Reference

Tranche only)

Referen

ce Poo

l

11


Actual losses instead of fixed severity

» Losses are passed at disposition, except for modification shortfalls and bankruptcy cramdowns, which are passed on a monthly basis.

Seasoned collateral acquired during Q4 2012

Adding investor protection from servicing defects

» Major Servicing Defect (repurchase or make whole are removed from reference pool and treated as prepayments or result in a reversal of a credit event)

» Minor Servicing Defect (share reimbursement proceeds with investors)

12.5 year final maturity, with optional redemption at 10 years

4 Bond Structure (Fitch/Moody’s)

» M1 (AA-(sf)/A3(sf) or better) CE 3.25%

» M2 (A(sf)/Baa3(sf) or better) CE 2.25%

» M3 (BB+(sf)/B1(sf) or better) CE 1%

» B (NR/NR)

Selling first loss Class B bond (retaining at least 50% of B and 5% of each M bond)

Allow loans with delinquency history of up to 2x 30 Days Delinquent. All loans have a minimum 12 month clean pay history and have never been

60+ Days Delinquent

Removal of loans from initial reference pool where borrower has filed for bankruptcy

All bonds are issued in book entry form

The Class B bond should be treated as derivative for U.S. federal income tax purposes (except with respect to Non-U.S. Beneficial Owners for

purposes of U.S. federal withholding tax). Freddie Mac intends to withhold on Non-U.S. Beneficial Owners of Class B Notes with respect to non-

principal Class B payments. However, depending on the residence of a Non-U.S. Beneficial Owner, Treaty rates may apply to reduce the

withholding rate.

Disaster Forbearance- provision for 18 month 'grace period' present in other STACR transactions has been removed since loans are not removed at a 180 Days Delinquent “D180”

Modification losses will be allocated to the notes to reduce interest paid and/or cause principal write-downs

2015 DNA1 - Structure

© Freddie Mac 2015

2015-DNA1 Capital Structure Overview

13

*Calculated Weighted Average Life (“WAL”) assume 0 CDR. WAL (years) to Early Redemption Date

STACR 2015-DNA1

Expected Ratings WAL (yrs.)* WAL (yrs.)* Loss

Tranche Moody’s Fitch Balance ($) 10% CPR 5% CPR Attach Detach

M-1 A3(sf) AA-(sf) 200,000,000 1.89 3.14 3.25% 4.25%

M-2 Baa3(sf) A(sf) 200,000,000 4.33 7.19 2.25% 3.25%

M-3 B1(sf) BB+(sf) 250,000,000 8.17 9.97 1.00% 2.25%

B NR NR 70,000,000 9.99 9.99 0.00% 1.00%

Total 720,000,000

Min C/E Test: 4.75%

Cohort is based on a pool of 135,794 loans with a UPB of $31.9bn, LTV range: 60% < LTV <=80%

October 1st – December 31st , 2012 Acquisitions

Cumulative Net Loss % Threshold: Year 1: 0.10%, with 0.10% step-ups each year

Delinquency Test: 50% of subordinate balance

© Freddie Mac 2015

Class B Tax Considerations

14

The Class B Notes should be treated as derivatives for U.S. federal income tax purposes

Freddie Mac will treat the Class B Notes as a contingent notional principal contract (“NPC”) (except with respect to Non-U.S. Beneficial Owners for purposes of U.S. federal withholding tax) and will bind investors to such treatment

Freddie Mac (and holders, unless a holder already has chosen another method) will tax account for the Class B Notes under a mark-to-market method and will be required to treat the initial payment for the Class B Notes as a deemed loan pursuant to the NPC accounting rules (tax accounting guidance will be provided in the Offering Circular)

The Class B Notes will be issued as DTC Eligible Notes

Freddie Mac intends to withhold on Non-U.S. Beneficial Owners of Class B Notes with respect to non-principal Class B payments. However, depending on the residence of a Non-U.S. Beneficial Owner, Treaty rates may apply to reduce the withholding rate.

© Freddie Mac 2015

2. STACR Transactions Comparison

15

© Freddie Mac 2015

Comparison of 2015-DNA1 and prior STACR DN deals

STACR 2014-DN3 STACR 2014-DN4 STACR 2015-DN1 STACR 2015-DNA1

Ratings

(Fitch / Moody’s) (Fitch / Moody’s) (DBRS / Moody’s) (Fitch / Moody’s, expected)

Credit Enhancement M-1: 3.60%, M-2: 2.40%, M-3: 0.40% M-1: 4.20%, M-2: 2.90%, M-3: 0.50% M-1: 3.50%, M-2: 2.50%, M-3: 1.00%, B: 0.00% M-1: 3.25%, M-2: 2.25%, M-3: 1.00%, B: 0.00%

NAIC Designation N/A M-1: 1 , M-2: 4 , M-3: 4 N/A N/A

Initial Vertical Slice of the Class M or Class B Notes Retained by Freddie Mac

M-1H: 19%, M-2H: 19%, M-3H: 19% M-1H: 17%, M-2H: 17%, M-3H: 17% M-1H: 17%, M-2H: 17%, M-3H: 17%, B-H: 72% M-1H: 37%, M-2H: 37%, M-3H: 37%, B-H: 78%

MAC Notes* Exchangeable classes allowing stripping or

combinations of bonds (M-1F, M-1I, M-2F, M-2I, M-3F, M-3I, M-12, MA)

No Change No Change No Change

Loss Severity Schedule No Change No Change N/A – Actual Loss Transaction

Minimum Credit Enhancement Test

Credit Enhancement must be greater than 5.1% (initially 4.6%)

Credit Enhancement must be greater than 5.7% (initially 5.2%)

Credit Enhancement must be greater than 5.0%

(initially 4.5%)

Credit Enhancement must be greater than 4.75%

(initially 4.25%)

Cumulative Net Credit Event/Loss Test

Cumulative Net Credit Event % threshold: Year 1: 0.25%, with 0.25% step-ups each year

No Change No Change Cumulative Net Loss % Threshold: Year 1:0.10%,

with 0.10% step-ups each year

Delinquency Test N/A N/A N/A

For any Payment Date:

(a)the sum of the Distressed Principal Balance for current and prior five Payment Dates div by

six is less than

(b) 50% of the amount by which:

(i) the product of the Sub Percentage and Reference Obligations; exceeds

(ii) the Principal Loss Amount.

Early Redemption Option 10.00% 10.00% 10.00% earlier of: (a) 10% pool factor or (b) at 10 year maturity

Valuation Due Diligence AVMs obtained on 600 loans, with a subset

subject to desk review and field review AVMs obtained on 601 loans, with a subset

subject to desk review and field review AVMs obtained on 604 loans, with a subset

subject to desk review and field review BPOs obtained on 816 loans and HVE ordered

on entire pool

Summary Reference Pool Characteristics

Aggregate Principal Balance: $19.7BN

Average Principal Balance: $226.4K

Original LTV: 76%

Weighted Average Original FICO: 755

Acquisition Period: Q4 2013



Original LTV: 76%





Original LTV: 76%


Acquisition Period: Apr 1-Jul 31, 2014



Original LTV: 74%



Representation and Warranty Framework

Reference Obligations subject to revised Representation and Warranty Framework:

bifurcated for loans acquired prior and post 7/1/2014

No Change No Change Same as 2013-DN1. No sunset provisions.

M-1: A-sf/ A1(sf) M-2: BBB-sf/ A3(sf) M-3: Unrated

M-12: BBB-sf/A2(sf)

M-1: Asf / A(sf) M-2: BBB-sf / BBB(sf) M-3: Unrated

M-12: BBB-sf /BBB(sf)

M-1: A-sf/ A1(sf) M-2: BBB-sf/ A3(sf) M-3: Unrated /Ba1(sf)

M-12: BBB-sf/A2(sf)

Cum. Net Credit Events Applicable

Severity

Less than or equal to 1% 15%

Greater than 1% to 2% 25%

Greater than 2% 40%

* Class B notes are not exchangeable

M-1: AA-(sf) / A3(sf) M-2: A(sf) / Baa3(sf) M-3: BB+(sf) / B1(sf)

M-12: BBB+(sf) /Baa2(sf)

16

© Freddie Mac 2015

STACR 2014-DN3 STACR 2014-DN4 STACR 2015-DN1 STACR 2015-DNA1

UPB at Closing $19,746,233,187 $15,740,709,177 $27,643,543,181 $31,875,735,613

Number of Loans 87,222 69,780 121,129 135,794

Average Balance $226,391 ($1,947 - $1,191,960)

$225,576 ($809 - $956,364)

$228,216

($204- $992,547)

$234,736

($744 - $1,039,143)

Weighted Average Original LTV

76% (61% - 80%)

76% (61% - 80%)

76% (61% - 80%)

74% (61%-80%)

Weighted Average Coupon

4.548% (3.250% - 6.250%)

4.571% (3.375% - 6.125%)

4.519% (3.375% - 5.875%)

3.667% (2.750% - 5.750%)

Weighted Average Credit Score

755 (600 - 839)

753 (600 - 831)

753 (603 - 835)

766 (600-839)

Weighted Average Debt to Income Ratio

35% (1% - 50%)

35% (2% - 50%)

35% (1% - 50%)

32% (1% - 50%)

Acquisition Period Fourth Quarter 2013 First Quarter 2014 April 1 – July 31, 2014 Fourth Quarter 2012

Weighted Average Loan Age 7 months 7 months 7 months 28 months

Weighted Average Original Term 360 360 360 360

Percent Owner Occupied 86.30% 85.40% 85.73% 89.20%

Loan Purpose Purchase (64%), No Cash-out Refinance (19%), Cash-out Refinance (17%)

Purchase (61%), No Cash-out Refinance (20%), Cash-out Refinance (19%)

Purchase (66%), No Cash-out Refinance (16%), Cash-out Refinance (17%),

Purchase (31%), No Cash-out Refinance (51%), Cash-out Refinance (18%)

Percent Single Family 63% 63% 62% 70%

Top Three Sellers JPM Chase (14%), Wells Fargo (10%), BB&T (9%)

Wells Fargo (12%), US Bank (9%), JPM Chase (6%)

Wells Fargo (13%), JPM Chase (5%), US Bank (5%)

Wells Fargo (25%), US Bank (13%), JPM Chase (9%)

Top Three States California (23%), Texas (6%), New York

(5%) California (24%), Texas (7%), Florida (5%) California (25%), Texas (7%), Florida (6%)

California (25%), Massachusetts (5%), Illinois (5%)

Current UPB* $18,273,757,447 $15,171,194,408 $27,643,543,181 $31,875,735,613

# of Credit Events* 6 0 0 NA

% of Loans 60+ Delinquent* 0.09% 0.04% 0.00% 0.00%

Comparison of 2015-DNA1 and prior STACR DN deals (cont.)

* Values indicated are as of the March 2015 remittance report.

17

© Freddie Mac 2015

3. STACR 2015-DNA1: Cohort and Historical Analysis

18


DNA1 Seasoned Cohort Performance

(1) Source: Freddie Mac Single Family Loan-Level Dataset Note: Performance reflects activity through March 2014 using the March 2015 data release on loans with LTV > 60 and <=80. (2) Source: U.S. Cumulative HPA calculated using CoreLogic Aggregated HPI at each month since Jan 2000 and up to February 2015

Seasoned Cohort Performance (60% < LTV <= 80%)(1)

Cohort Total Orig Balance Loan count Avg

Balance WAC % LTV CBLTV FICO DTI FTB % Refi % Owner Occ %

12 Month Cum D180 (bps)

24 Month Cum D180 (bps)

2011 Q1 18,555,096,960 81,048 228,940 4.86 74.7 75.8 760 34.1 12.1 58.4 86.4 2.5 11.9

2011 Q2 19,325,623,952 83,686 230,930 4.89 75.8 76.7 761 34.2 17.5 37.5 85.8 2.0 12.0

2011 Q3 23,790,988,072 97,779 243,314 4.51 75.4 76.2 763 33.5 12.4 52.4 88.7 1.0 8.3

2011 Q4 22,901,301,976 91,661 249,848 4.16 74.4 75.4 767 32.6 8.0 69.9 90.2 0.9 7.3

2012 Q1 19,718,998,952 79,167 249,081 4.02 74.2 75.2 768 32.4 6.5 74.4 91.0 1.5 N/A

2012 Q2 25,497,164,032 105,053 242,708 3.99 75.1 76.0 767 32.6 11.6 55.4 89.7 0.9 N/A

2012 Q3 35,336,529,032 142,154 248,579 3.76 74.6 75.6 766 32.0 9.2 65.5 89.0 1.1 N/A

2012 Q4 37,072,449,064 150,393 246,504 3.62 74.3 75.4 764 32.1 7.2 72.2 88.7 0.4 N/A

2013 Q1 34,687,839,920 145,393 238,580 3.64 74.4 75.4 763 32.3 8.2 70.0 87.1 0.6 N/A

2013 Q2 36,171,791,040 148,690 243,270 3.76 75.0 76.0 760 32.9 12.5 55.3 86.9 N/A N/A

100

110

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190

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Historical Home Price Appreciation(2)

+18%

Performance History

0.00

5.00

10.00

15.00

20.00

25.00

30.00

7 9 11 13 15 17 19 21 23 25 27 29 31 33 35

(bps) Cumulative D180 by Cohort Age

2011 Q1

2011 Q2

2011 Q3

2011 Q4

2012 Q1

2012 Q2

2012 Q3

2012 Q4

2013 Q1

2013 Q2


DNA1 Historical Cohort Performance (60% < LTV <= 80%)

Source: Freddie Mac Single Family Loan-Level Dataset Notes: Performance reflects activity through March 2014 using the March 2015 data release on loans with LTV > 60 and <=80. Cumulative Losses do not include modification losses

Historical performance of cohorts with LTVs between 60%

and 80% has varied significantly by credit score and

vintage

2% of the loans in the Reference Pool have a credit score

of less than 680 and 44% of the loans have a credit score

of 780 and greater

Repurchases that occur after Credit Events are netted

from Cumulative Credit Events

Summary collateral characteristics for the different vintages are seen below

Analysis and stratifications only include loans with LTVs between 60% and 80%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 STACR 13-DN1

STACR 13-DN2

STACR 14-DN1

STACR 14-DN2

STACR 14-DN3

STACR 14-DN4

STACR 15-DN1

STACR 15-DNA1

Orig UPB ($BN) 50 139 143 184 113 150 127 121 118 201 109 79 104 23 36 33 28 20 16 28 32

WA FICO 686 699 705 715 707 708 701 702 715 755 756 759 766 766 764 761 760 755 753 753 766

WA DTI (%) 34 33 34 34 36 38 39 40 40 35 34 34 32 32 32 33 33 35 35 35 32

WA OCLTV (%) 76 76 76 76 77 78 79 79 77 76 76 76 76 76 75 76 76 77 77 77 76

WA OLTV (%) 76 76 75 75 76 76 76 76 75 75 75 75 75 75 74 75 75 76 76 76 74

% Owner Occupied 85 88 88 92 90 91 90 88 83 89 87 86 89 89 89 86 88 86 85 86 89

FICO Score Range

0-679 24% 23% 23% 19% 23% 22% 22% 22% 14% 3% 4% 3% 2% 2% 2% 3% 3% 5% 6% 6% 2%

680-719 22% 23% 23% 22% 23% 22% 22% 22% 20% 11% 12% 12% 10% 10% 11% 13% 14% 16% 17% 17% 11%

720-759 29% 28% 28% 29% 27% 25% 24% 23% 25% 26% 25% 24% 23% 22% 24% 24% 25% 26% 26% 25% 23%

760-779 15% 15% 15% 17% 15% 14% 14% 14% 17% 22% 20% 20% 21% 20% 21% 20% 20% 19% 18% 18% 21%

780 and Greater 10% 11% 11% 13% 12% 17% 18% 19% 25% 38% 39% 41% 44% 45% 42% 40% 38% 34% 33% 35% 44%

0.0 0.0 0.1 0.1 0.3 0.9

1.4 1.3

0.5 0.1 0.0 0.0 0.0 0.0

2.0

4.0

6.0

8.0

10.0C

um

Net

Lo

ss E

xclu

din

g R

epu

rch

ases

%

Credit Scores 780 and Greater (44% of the Reference Pool)


DNA1 Historical Cohort Performance (60% < LTV <= 80%)

Source: Freddie Mac Single Family Loan-Level Dataset Notes: Performance reflects activity through March 2014 using the March 2015 data release on loans with LTV > 60 and <=80. Cumulative Losses do not include modification losses

0.0 0.0 0.1 0.1 0.4 1.3

2.1 2.1

0.9 0.1 0.0 0.0 0.0 0.0

2.0

4.0

6.0

8.0

10.0

Cu

m N

et L

oss

Exc

lud

ing

Rep

urc

has

es %

Credit Scores Between 760 and 779 (21% of the Reference Pool)

0.0 0.1 0.2 0.3 0.6

2.1

3.2 3.2

1.5 0.2 0.0 0.0 0.0

0.0

2.0

4.0

6.0

8.0

10.0

Cu

m N

et L

oss

Exc

lud

ing

Rep

urc

has

es %


0.1 0.2 0.3 0.5 1.0

3.0

4.6 4.5

2.3

0.3 0.1 0.0 0.0 0.0

2.0

4.0

6.0

8.0

10.0

Cu

m N

et L

oss

Exc

lud

ing

Rep

urc

has

es %


0.4 0.5 0.7 0.9 1.6

4.1

5.9 5.8

3.8

0.8 0.2 0.0 0.0

0.0

2.0

4.0

6.0

8.0

10.0

Cu

m N

et L

oss

Exc

lud

ing

Rep

urc

has

es %

Credit Scores Less than 680 (2% of the Reference Pool)

© Freddie Mac 2015

0.0 0.1 0.1 0.2

0.5

1.5

2.4 2.3

1.1

0.1

0.0 0.0 0.0 0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Cu

m. L

oss

Exc

lud

ing

Re

pu

rch

ase

s (%

)

Reference Pool Proxy

22

2015-DNA1 Proxy Cohort Performance

Source: Freddie Mac Single Family Loan-Level Dataset Notes: Performance reflects activity through March 2014 using the March 2015 data release on loans with LTV > 60 and <=80. Cumulative Losses do not include modification losses Data is weighted in proportion to 2015-DNA1 FICO cohorts (1) Assuming no principal payments

Class M-1 takes 100% loss(1)


Class B takes 100% loss(1)


Reference Pool proxy represents the historical cum losses from the prior 2 pages, weighted by FICO distribution of STACR 2015-DNA1

Reference Pool


Proxy Cohort Historical Cure Rates

Vintage Liquidated D180+ Cured Cum D180 Cure Rate

2000 0.15% 0.02% 0.13% 0.30% 42.70%

2001 0.21% 0.03% 0.15% 0.38% 39.29%

2002 0.33% 0.07% 0.23% 0.63% 37.22%

2003 0.62% 0.17% 0.49% 1.28% 38.26%

2004 1.23% 0.28% 0.77% 2.28% 33.61%

2005 3.32% 0.60% 1.41% 5.33% 26.41%

2006 4.62% 0.78% 1.77% 7.17% 24.69%

2007 4.57% 0.84% 2.05% 7.46% 27.42%

2008 2.21% 0.62% 1.46% 4.30% 34.06%

2009 0.37% 0.22% 0.32% 0.91% 34.62%

2010 0.10% 0.12% 0.13% 0.36% 36.92%

2011 0.02% 0.07% 0.06% 0.15% 37.91%

2012 0.00% 0.02% 0.01% 0.03% 30.36%

Source: Freddie Mac Single Family Loan-Level Dataset Notes: Performance reflects activity through March 2014 using the March 2015 data release on loans with LTV > 60 and <=80. Cumulative Losses do not include modification losses Data is weighted in proportion to 2015-DNA1 FICO cohorts Cured loans are no longer D180 and borrower status is either paid-off or less than D180.

Cumulative D180 credit events can be separated into the portion of loans that have:

» Liquidated for a loss

» Remain in D180 / REO bucket

» All other loans have “cured” status of paid in full or < 180 days delinquent

43% 39% 37% 38%

34%

26% 25% 27%

34% 35% 37% 38%

0%

10%

20%

30%

40%

50%

60%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

Cumulative D180 by Vintage

Cured D180+ Liquidated Cure Rate (right Axis)


Proxy Cohort Historical Severities

Vintage

Cum D180 (A)

Liquidated (B)

Severity (C)

Cum Loss (D=B*C)

D180 Severity (Cum Losses / Cum D180)

(E=D/A)

Calculated Severity (F)

Calculated Cum Loss (G = A*F)

2000 0.3% 0.2% 30% 0.0% 15.1% 15.0% 0.0%

2001 0.4% 0.2% 36% 0.1% 19.3% 15.0% 0.1%

2002 0.6% 0.3% 41% 0.1% 21.1% 15.0% 0.1%

2003 1.3% 0.6% 35% 0.2% 17.0% 17.2% 0.2%

2004 2.3% 1.2% 39% 0.5% 21.3% 22.5% 0.5%

2005 5.3% 3.3% 47% 1.5% 29.0% 32.5% 1.7%

2006 7.2% 4.6% 51% 2.4% 33.0% 34.4% 2.5%

2007 7.5% 4.6% 51% 2.3% 31.1% 34.6% 2.6%

2008 4.3% 2.2% 48% 1.1% 24.5% 30.7% 1.3%

2009 0.9% 0.4% 37% 0.1% 15.2% 15.0% 0.1%

2010 0.4% 0.1% 31% 0.0% 8.9% 15.0% 0.1%

2011 0.2% 0.0% 29% 0.0% 4.7% 15.0% 0.0%

2012 0.0% 0.0% 10% 0.0% 0.7% 15.0% 0.0%

Source: Freddie Mac Single Family Loan-Level Dataset Notes: Performance reflects activity through March 2014 using the March 2015 data release on loans with LTV > 60 and <=80. Cumulative Losses do not include modification losses Data is weighted in proportion to 2015-DNA1 FICO cohorts

Using 2015-DN1 Severity Schedule

2004

2005

2006

2007 2008

2012

0%

10%

20%

30%

40%

50%

60%

0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0%

Seve

rtiy

Cumulative Default Percentage

2004

2005

2006 2007

2008

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5%

Act

ual

Cu

m L

oss

Cum Loss Per Severity Schedule on D180

© Freddie Mac 2015

Proxy Cohort Historical Modifications

Source: Freddie Mac Single Family Loan-Level Dataset Notes: Performance reflects activity through March 2014 using the March 2015 data release on loans with LTV > 60 and <=80. Cum Prin Loss do not include modification losses Data is weighted in proportion to 2015-DNA1 FICO cohorts (1) Cumulative losses attributable to interest rate and forbearance modifications using same methodology as 2015-DNA1 transaction.

Vintage Current Pool

Factor Cum Prin Loss Cum Mod

Loss(1)

Mod Loss as % of Prin Loss Ever modified % Orig WAC Current WAC

Current Mod WAC SF

2000 0.41% 0.05% 0.00% 4% 0.06% 7.90% 7.78% 0.13%

2001 1.30% 0.07% 0.00% 5% 0.09% 6.81% 6.71% 0.10%

2002 3.01% 0.13% 0.01% 7% 0.18% 6.31% 6.20% 0.11%

2003 8.39% 0.22% 0.02% 10% 0.44% 5.62% 5.53% 0.09%

2004 9.79% 0.49% 0.05% 10% 0.87% 5.75% 5.59% 0.17%

2005 12.16% 1.55% 0.13% 8% 2.03% 5.79% 5.43% 0.36%

2006 9.74% 2.37% 0.23% 10% 2.84% 6.36% 5.59% 0.76%

2007 11.55% 2.32% 0.26% 11% 3.30% 6.28% 5.53% 0.76%

2008 11.55% 1.05% 0.16% 16% 2.30% 5.98% 5.48% 0.51%

2009 28.92% 0.14% 0.00% 3% 0.33% 4.99% 4.98% 0.01%

2010 41.59% 0.03% 0.00% 2% 0.12% 4.73% 4.73% 0.00%

2011 50.29% 0.01% 0.00% 3% 0.05% 4.52% 4.51% 0.00%

2012 84.27% 0.00% 0.00% 0% 0.00% 3.79% 3.79% 0.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

Orig WAC

Current WAC

25

Proxy Cohort Stats as of March 31, 2014

© Freddie Mac 2015

4. STACR 2015-DNA1: Key Terms & Structure Overview

26

© Freddie Mac 2015

Issuer Freddie Mac

Master Servicer Freddie Mac

Reference Pool Pool of all mortgage loans acquired by Freddie Mac between October 1, 2012 and December 31, 2012 and securitized in a mortgage participation certificate (“PC”) by December 31, 2014 and remained in such PC as of April 2, 2015, that meet the Eligibility Criteria, and have not been prepaid in full, have passed delinquency criteria as of February 28, 2015, have not been repurchased and do not have any outstanding repurchase letters , and servicer has not reported that the borrower has filed for bankruptcy

Credit Event Credit Event means any of the following events: (a) a short sale is settled, (b) the related Mortgage Note is sold to a third party, (c) the related Mortgage Note is sold during the foreclosure process, (d) an REO disposition occurs, or (e) a charge-off occurs.

Modifications Reference Obligations will not be removed from the Reference Pool if they undergo a temporary or permanent modification and they do not meet any other criteria to be a Reference Pool Removal.

• Any negative adjustment to the principal balance of a Reference Obligation as the result of a modification will be treated as Unscheduled Principal. • However, if such Reference Obligation becomes a Credit Event Reference Obligation, the related negative adjustment will be included in the Credit Event

Net Loss. • Any positive adjustment to the principal balance of a Reference Obligation as the result of a modification will be treated as an offset to Unscheduled

Principal.

Maturity 12.5 year legal final maturity

Early Redemption Option The earlier of (a) on or after the Payment Date on which the aggregate unpaid balance of the Reference Obligations is less than or equal to 10% of the Cut-off Date Balance of the Reference Obligations; or (b) on or after the Payment Date in April 2025

Allocation of Principal and Write-downs

Sequential pay among subordinate classes

Allocation of Modification Loss Amount

Reference Pool Removals Credit Event; payment in full of the Reference Obligation; Underwriting Defect or Major Servicing Defects; discovery of a violation of the Eligibility Criteria; Reference Obligation is seized pursuant to any special eminent domain proceeding brought by any federal, state or local government instrumentality with the intent to provide relief to financially-distressed borrowers with negative equity in the underlying mortgage loan.

Credit Event Reversals Principal balance of STACR note previously written down due to Credit Events on mortgage loans in the Reference Pool will be restored in the event that Freddie Mac determines, subsequent to the Credit Event, that an underwriting defect or major servicing defect has been confirmed

27

Key STACR 2015-DNA1 Terms

M-1 & M-1H

M-2 & M-2H

M-3 & M-3H

B & B-H

Write-downs are allocated reverse sequentially

Modification loss amount is allocated sequentially

1. B & B-H – Interest Amount

2. B & B-H – Write-down

3. M-3 & M-3H– Interest Amount

4. M-3 & M-3H– Write-down

5. M-2 & M-2H – Interest Amount

6. M-2 & M-2H – Write-down

7. M-1 & M-1H – Interest Amount

8. M-1 & M-1H – Write-down

© Freddie Mac 2015

MAC Notes The Holders of the Class M-1, Class M-2 and Class M-3 Notes can exchange all or part of those Classes for proportionate interests in the related Classes of Modifiable and Combinable Notes (Classes M-1F, M-1I, M-2F, M-2I, M-3F, M-3I, M-12 and MA), and vice versa, at any time on or after 15 days after the Closing Date

Offering Type Exempt

Risk Retention Freddie Mac will not, through this transaction or any subsequent transactions, issue debt or enter into agreements that will result in the transfer of more than a 95% pro rata share of the credit risk of the Class M Tranches and more than a 50% pro rata share of the credit risk of the Class B Tranche

United States Federal Tax Consequences Freddie Mac will receive an opinion from its tax counsel that, although the matter is not free from doubt: • Class M-1 Notes will be characterized as indebtedness for U.S. federal income tax purposes • Class M-2 Notes will be characterized as indebtedness for U.S. federal income tax purposes • Class M-3 Notes will be characterized as indebtedness for U.S. federal income tax purposes • Class B Notes should be treated as derivatives for U.S. federal income tax purposes (see p14 for more detail)

Events of Default • Any failure by Freddie Mac to pay principal or interest that continues unremedied for 30 days; • Any failure by Freddie Mac to perform in any material way any other obligation under the Debt Agreement if the failure continues unremedied for

60 days after receiving notification by the Holders of at least 25% of the outstanding Class Principal Balance of the Notes; or • Specified events of bankruptcy, insolvency or similar proceedings involving Freddie Mac.

• The appointment of a conservator (or other similar official) by a regulator having jurisdiction over Freddie Mac, whether or not Freddie Mac

consent to such appointment, will not constitute an Event of Default

Rights Upon Event of Default If an Event of Default (“EoD”) continues unremedied, Holders of 50% or more of the outstanding principal amount of Notes to which such EoD relates may declare such Notes due and payable.

No Holder has any right to institute any action or proceeding at law or in equity or in bankruptcy or otherwise, or for the appointment of a receiver or trustee, or for any other remedy, unless:

a) Holder previously has given Freddie Mac written notice of an EoD;

b) Holders of 50% or greater of the outstanding Class Principal Balance of the Notes to which such EoD relates have given Freddie Mac written notice of the EoD; and

c) The EoD continues uncured for 60 days following such notice.

The Holders of 50% or greater of the outstanding Class Principal Balance of Notes may waive, rescind or annul an EoD at any time.

ERISA Considerations Employee benefit plans and entities holding the assets of any such plan may purchase the Notes only if purchasing and holding the Notes will not result in a nonexempt prohibited transaction under the Employee Retirement Income Security Act of 1974, as amended (“ERISA”), the Internal Revenue Code of 1986, as amended (the “Code”), or any similar federal, state or local law.

Dealers Lead Managers: Credit Suisse Securities (USA) LLC (Structuring Lead) and Citigroup Global Markets Inc.

Co-Managers: J.P. Morgan Securities LLC and Merrill Lynch, Pierce, Fenner & Smith Incorporated

Selling Group Member: Bonwick Capital Partners LLC

Key STACR 2015-DNA1 Terms (cont.)

28

© Freddie Mac 2015

Liquidation Proceeds With respect to any Credit Event Reference Obligation, all cash amounts (including sales proceeds net of selling expenses), received in connection with the liquidation of the Credit Event Reference Obligation.

Net Liquidation Proceeds With respect to any Credit Event Reference Obligation, the related Liquidation Proceeds, net of related expenses and credits, including but not limited to taxes and insurance, legal costs, maintenance and preservation costs, the mortgage insurance credit amount and proceeds from the related servicer in connection with a Minor Servicing Defect (except for those included in Modification Excess).

Net Loss With respect to any Credit Event Reference Obligation, an amount equal to the excess, if any, of

a) the sum of: (i) the related Credit Event UPB, (ii) the total amount of prior principal forgiveness modifications on the related Credit Event Reference Obligation; and (iii) delinquent accrued interest thereon, calculated at the related Current Accrual Rate from the related last paid interest date through the date Freddie Mac determines such Reference Obligation to be a Credit Event; over

b) the related Net Liquidation Proceeds.

Net Gain With respect to any Credit Event Reference Obligation, an amount equal to the excess, if any, of

a) the related Net Liquidation Proceeds; over

b) the sum of: (i) the related Credit Event UPB; (ii) the total amount of prior principal forgiveness modifications on the related Credit Event Reference Obligation; and (iii) delinquent accrued interest thereon, calculated at the related Current Accrual Rate from the related last paid interest date through the date Freddie Mac determines such Reference Obligation to be a Credit Event.

Cramdowns The aggregate amount of court-approved principal reductions on the Reference Obligations in the related Reporting Period.

Minor Servicing Defect With respect to each Payment Date and any Reference Obligation for which Freddie Mac has determined the existence of an Unconfirmed Servicing Defect, the occurrence of an remedy, other than repurchase or a Make-Whole, that is mutually agreed upon by both Freddie Mac and the servicer that resulted in a recovery of damages sustained by Freddie Mac as a result of the Unconfirmed Servicing Defect

Major Servicing Defect

With respect to each Payment Date and any Reference Obligation for which Freddie Mac has determined the existence of an Unconfirmed Servicing Defect, and the occurrence of any of the following:

a) the related servicer repurchased such Reference Obligation or made Freddie Mac whole resulting in a full recovery of losses incurred (i.e., Make Whole) during the related Reporting Period;

b) the party responsible for the representations and warranties and/or servicing obligations or liabilities with respect to the Reference Obligation becomes subject to a bankruptcy, an insolvency proceeding or a receivership.

Projected Recovery Amount On the Termination Date, Freddie Mac will determine the fair value of estimated future subsequent recoveries on the Credit Event Reference Obligations. This amount will be included in the Principal Recovery Amount on the Termination Date.

Key STACR 2015-DNA1 Terms (cont.)

29

© Freddie Mac 2015

5. STACR Investor Participation

30

© Freddie Mac 2015

8%

62%

26%

4%

64%

26%

10%

20%

63%

7%

11%

Sovereign Fund REIT Money Manager Insurance Hedge Fund Bank / Credit Union

Investor Participation

31 Note: Institution type is our best estimate based on information provided to Freddie Mac from the underwriting syndicate as some institutions may be involved in multiple lines of business.

STACR 2015-DN1: M3 STACR 2015-DN1: M2 STACR 2015-DN1: M1



61%

5%

16%

18%

51%

36%

14%

11%

56%

9%

24% 7%

29% 64%

11%

56%

9%

24% 18%

29%

2%

51%

STACR 2015-DN1: B

21%

79%


Appendices


Appendix 1. Freddie Mac Corporate Summary


Corporate Overview

Founded By Congress in 1970 to provide liquidity, stability and affordability to the U.S. housing market

Corporate Headquarters McLean, VA with regional offices in Atlanta, Chicago, Dallas, Los Angeles and New York

Employees 5,014 (as of February 2015)

CEO Donald H. Layton (since May 2012)

Business Lines Single-Family Credit Guarantee Multifamily Investments

Conservatorship Operating under conservatorship that commenced on September 6, 2008, under the direction of Federal Housing Finance Agency (FHFA), our Conservator

FHFA as our Conservator: » Assumed all powers of the Board, management and shareholders » Has directed and will continue to direct certain of our business activities and strategies » Delegated certain authority to our Board of Directors to oversee, and to management to conduct,

day-to-day operations

Freddie Mac has several years of consistent underwriting and management history

Due to Freddie Mac’s strong, consistent, and transparent approach to underwriting and quality control, they have been able to make historical loan-level data publically available to investors, broker-dealers and rating agencies » This systematic approach has allowed Freddie to produce data that is not only robust, but also reliable

At least 4 broker dealers have models available for investors to analyze credit risk transfer transactions

© Freddie Mac 2015

Conservatorship At the time the GSEs were placed into conservatorship, FHFA indicated that the goals of the conservatorship

included:

» Restoring confidence in the GSEs

» Enhancing the GSEs’ capacity to fulfill their missions

» Mitigating the systemic risk that has contributed to market instability

At that time, FHFA indicated that a GSE’s conservatorship will end when the Director determines that FHFA’s plan

to restore the GSE to a safe and solvent condition has been completed

On May 13, 2014, FHFA released its 2014 Strategic Plan, which provides an updated vision of FHFA’s implementation of its obligations as Conservator of Freddie Mac and Fannie Mae (the Enterprises). The plan sets forth three re-formulated strategic goals:

» Maintain, in a safe and sound manner, foreclosure prevention activities and credit availability for new and refinanced mortgages to foster liquid, efficient, competitive and resilient national housing finance markets.

» Reduce taxpayer risk by increasing the role of private capital in the mortgage market.

» Build a new single-family securitization infrastructure for use by the Enterprises and adaptable for use by other participants in the secondary mortgage market in the future.

FHFA’s 2014 Strategic Plan adheres to its existing statutory mandate of overseeing the conservatorships of the Enterprises in their current state and ensuring that the Enterprises’ infrastructure meets the needs of their current credit guarantee businesses and other operations.

35

© Freddie Mac 2015

Housing Market Support

Purchase and Issuance Volume

(Single-Family and Multifamily) $ Billions

Freddie Mac has provided $2.5 trillion in liquidity to the market since 2009 through its purchases of loans and issuances of mortgage-related securities.

Freddie Mac has helped 1.1 million borrowers avoid foreclosure since 2009 with 8 out of every 10 families retaining their homes.

Foreclosure Prevention Activities Number of Loans (in thousands)

36

Cumulative Since 2009: $2.5T Cumulative Since 2009: 1,073

$546

$406

$349

$456 $453

$291

0

100

200

300

400

500

600

2009 2010 2011 2012 2013 2014

133

275

208

169 168

120

0

50

100

150

200

250

300

2009 2010 2011 2012 2013 2014

© Freddie Mac 2015

$5.7 $7.0

$4.4

$30.4

$9.8

$4.5

$1.9 $2.8 $0.3

4Q12 1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14 4Q14

Net income

Total other comprehensive income (loss), net of taxes

Comprehensive income

37

Comprehensive Income

1

$ Billions

1 Net income and Comprehensive income include $23.9 billion non-cash benefit from releasing the valuation allowance on deferred tax assets.

2 Consists of the after-tax changes in: (a) the unrealized gains and losses on available-for-sale securities; (b) the effective portion of derivatives previously designated as cash flow hedges; and (c) defined benefit plans.

2

($ Billions)2012 2013 2014

Net Income $11.0 $48.7 $7.7

Comprehensive Income $16.0 $51.6 $9.4

© Freddie Mac 2015

$44.6

$6.1

$13.0

$7.6

$0.02 $0.0 $0.0

2008 2009 2010 2011 2012 2013 2014

$0.2 $4.1 $5.7 $6.5 $7.2

$47.6

$19.6

2008 2009 2010 2011 2012 2013 2014

Senior preferred stock outstanding and held by Treasury remained $72.3 billion at December 31, 20141

» Dividend payments do not offset prior Treasury draws

» Any future draws will increase the balance of senior preferred stock outstanding

Since entering conservatorship in September 2008, Freddie Mac has:

» Paid aggregate cash dividends to Treasury of $91.8 billion including the March 2015 dividend obligation

» Received cumulative cash draws of $71.3 billion from Treasury

The amount of remaining Treasury funding currently available to Freddie Mac under the Purchase Agreement is $140.5 billion. Any future draws will reduce this amount.

Dividend Payments to Treasury Draw Requests from Treasury

38

Treasury Draws and Dividends

$ Billions

Draws From Treasury Dividend Payments to Treasury

1 The initial $1 billion liquidation preference of senior preferred stock was issued to Treasury in September 2008 as consideration for Treasury’s funding commitment. The company received no cash proceeds as a result of issuing this initial $1 billion liquidation preference of senior preferred stock.

2 Amounts may not add due to rounding.

Cumulative

Total

Dividend Payments as of 12/31/14 $91.0

1Q15 Dividend Obligation $0.9

Total Dividend Payments2 $91.8

Cumulative

Total

Total Senior Preferred Stock

Outstanding$72.3

Less: Initial Liquidation Preference1 $1.0

Treasury Draws $71.3

© Freddie Mac 2015

Appendix 1 – Part A. Single Family Business Overview

39

© Freddie Mac 2015

Single-Family Loan Purchase Activity

Single-Family Purchase and Issuance Volume (Excludes Relief Refinance Mortgages)1

$BB

40

1 Due to rounding, the purchase and issuance volumes (excluding relief refinance mortgages) may not add exactly to financials

78

58

70

98 99 98

76

51

40

52

71

65

0

20

40

60

80

100

120

Q1 2012 Q2 2012 Q3 2012 Q4 2012 Q1 2013 Q2 2013 Q3 2013 Q4 2013 Q1 2014 Q2 2014 Q3 2014 Q4 2014

© Freddie Mac 2015

Approved Sellers and Servicers

Freddie Mac approves sellers and servicers of mortgage loans based on a number of factors, including their

financial condition, operational capability and origination and servicing experience

In approving sellers and servicers, Freddie Mac verifies references and performs a background review,

functional area reviews – such as quality control, originations and underwriting – servicing and privacy

compliance prior to approving an entity as a seller or servicer

Freddie Mac acquires a significant portion of its single-family mortgage purchase volume from several large

lenders or sellers/servicers

» Freddie Mac’s top 10 single-family sellers provided approximately 50% of Freddie Mac’s single-family purchase volume during 2014

» Wells Fargo Bank, N.A accounted for 13% of Freddie Mac’s single-family mortgage purchase volume and was the only single-family seller that comprised 10% or more of Freddie Mac’s purchase volume during 2014

41

Seller Distribution

13%

87%

Wells Fargo Bank, N.A.

Other

© Freddie Mac 2015

Appendix 1 – Part B. Underwriting and Quality Control

42

© Freddie Mac 2015

Loan Limits and Requirements

Property Type

Maximum Base Conforming Loan Limits for properties NOT located in Alaska, Hawaii, Guam & U.S.

Virgin Islands

Maximum Base Conforming Loan Limits for properties located in Alaska, Hawaii, Guam & U.S.

Virgin Islands

1-unit $417,000 $625,500

2-unit $533,850 $800,775

3-unit $645,300 $967,950

4-unit $801,950 $1,202,925

2015 Base Conforming Loan Limits Remain the Same as 2014 Levels (Applicable through December 31, 2015)

Units Minimum/Maximum Original Loan Amount

Properties in Alaska, Hawaii, Guam and the U.S Virgin Islands

Minimum Loan Amount

Maximum Loan Amount

Minimum Loan Amount

Maximum Loan Amount

1 >$417,000 $625,500 >$625,500 $938,250

2 >$533,850 $800,775 >$800,775 $1,201,150

3 >$645,300 $967,950 >$967,950 $1,451,925

4 >$801,950 $1,202,925 >$1,202,925 $1,804,375

2015 Loan Limits for High-cost Areas and Freddie Mac's Super Conforming Mortgages Remain the Same as 2014 (Applicable through December 31, 2015)

43

Source: http://www.freddiemac.com/singlefamily/selbultn/limit.htm

The Freddie Mac Act establishes requirements for and limitations

on the mortgage loans that Freddie Mac may purchase:

» “Single-family mortgages”: Mortgage Loans that are secured by one- to four-

unit residential properties

» Upper limitation (“conforming loan limit”) on the original principal balance of

mortgage loans

» Maximum LTV ratio limit of 80% unless there is one or more of the following

credit protections, which are designed to offset any additional credit losses

that may be associated with higher LTVs:

– Mortgage insurance on the portion of the original principal balance above

80% from a qualified mortgage insurer

– Seller’s agreement to repurchase or replace (for periods and under

conditions as Freddie Mac may determine) any mortgage loan that has

defaulted; or

– Retention by the seller of at least a 10% participation interest in such

mortgage loans

In addition to the standards in the Freddie Mac Act, Freddie Mac

seeks to manage the credit risk with respect to purchased

mortgage loans through its underwriting and servicing standards

reflected in the Freddie Mac Single-Family Seller/Servicer Guide

(the “Guide”) and associated purchase agreements

» The Guide provides the underwriting standards for loans acceptable for

purchase by Freddie Mac and details its requirements for servicing mortgage

loans

» The terms of the Guide are revised from time to time, usually several times a

year, through bulletins, and the Guide, bulletins and other information about

underwriting and servicing requirements can be accessed through

www.allregs.com or www.freddiemac.com

© Freddie Mac 2015

Underwriting Standards

44

Delegated Underwriting » Freddie Mac uses a process of delegated underwriting whereby loans are purchased from seller/servicers that make representations and warranties

that the loans meet the standards and requirements of their contracts with Freddie Mac

» Approximately 650 out of more than 1,100 active mortgage sellers approved by Freddie Mac are provided negotiated terms of business (“TOB”) which may amend, waive or otherwise alter certain terms of the Guide

– Prior to approving a TOB, Freddie Mac engages in a review process to assess potential implications and impacts of any proposed TOB across Freddie Mac and monitors TOBs on a go forward basis

» Ninety-eight percent of the loans purchased by Freddie Mac are underwritten using an automated underwriting system (“AUS”), either Freddie Mac’s proprietary system, Loan Prospector® (“LP”), the seller/servicer’s own system, or Fannie Mae’s proprietary system, Desktop Underwriter® (“DU”)

– In permitting a seller to use an AUS other than LP, Freddie Mac requires a number of additional credit standards for mortgage loans evaluated by such other AUS

Underwriting Standards » Mortgage loans sold to Freddie Mac must, at a minimum, have documented property values and a mortgage file which reflects an acceptable level of

documentation and evidence of the mortgagor’s ability to repay

» Freddie Mac requires a seller to obtain credit scores through credit bureaus when underwriting a mortgage Loan

– The Guide requires a minimum credit score of 620 for manually underwritten loans

– LP evaluates the borrower’s credit profile and determines if it is acceptable and in some cases, LP may accept credit scores below 620 based on compensating factors

» Other factors considered in the underwriting are the applicant’s credit history, the amount of the applicant’s debts compared to gross monthly income, the intended occupancy of the subject property, the property type, and the purpose of the loan transaction

» Freddie Mac requires the seller to conduct a valuation of the mortgaged property as collateral for each mortgage

– With few exceptions this collateral valuation is determined by an appraisal report where the mortgaged property and the neighborhood are inspected by an appraiser and the value of the mortgaged property is estimated by the appraiser

Documentation Standards » Freddie Mac requires the Seller to obtain verifications and documentation for each source of qualifying income and assets identified by the Mortgagor in

the application

– Streamlined Accept Documentation: qualifying income for a salaried Mortgagor would require documentation that includes a verification of employment, a year-to-date paystub or evidence of thirty (30) days of income, and W-2 form(s) for the most recent year. Assets listed on the application and required to qualify for the mortgage loan that are in a checking account would require a bank statement covering the most recent one month

– Standard Documentation: qualifying income for a salaried Mortgagor would require documentation that includes a verification of employment, a year-to-date paystub or evidence of thirty (30) days of income, and W-2 form(s) for the most recent two years. Assets listed on the application and required to qualify for the mortgage loan that are in a checking account and would require a bank statement covering the most recent two months

© Freddie Mac 2015

Representations and Warranties

» Freddie Mac relies on representations and warranties of each seller covering such matters as, but not limited to:

– The accuracy of the information provided by the mortgagor and seller,

– The validity of each mortgage loan as a first lien,

– The fact that payments are current on each mortgage loan,

– The physical condition of the Mortgaged Property,

– The originator’s compliance with applicable laws, including state anti-predatory lending statutes.

Performing Loan Quality Control Review

» Each month Freddie Mac selects a sample of the single-family mortgage loans it acquired in the previous month in order to conduct a quality control review of performing mortgage loans, with supplemental targeted sampling to focus on loan attributes or sellers that may be of particular interest or concern

» Freddie Mac verifies that each mortgage loan complies with Freddie Mac’s underwriting guidelines and other requirements set forth in the Guide as may be modified in any applicable TOBs

Non-Performing Loan Quality Control Review

» In addition to reviewing samples of newly-acquired mortgage loans, Freddie Mac also reviews a significant portion of the mortgage loans that default within the first few years after purchase or guarantee by Freddie Mac

» The review of non-performing mortgage loans follows a similar process as the on-going quality control reviews performed on samples of newly purchased loans

» Freddie Mac plans to review every loan that suffers a Credit Event for a STACR transaction

Seller In-House Quality Control (QC)

» Freddie Mac requires each seller to have an in-house QC program that has written procedures, operates independently of the origination and underwriting functions, includes re-verification and/or re-underwriting processes, regularly monitors the overall quality of mortgage production, and employs effective sampling and reporting procedures under which sellers agreed to sell mortgage loans to Freddie Mac

» Freddie Mac reviews, monitors and provides feedback on sellers, QC and origination practices in a variety of ways, including performing on-site reviews of its largest sellers

Quality Control Overview

45

© Freddie Mac 2015

Credit Review

» For mortgage loans selected to be reviewed, files are sent to vendors to re-verify factual information and then the files are placed in a queue for review.

» All mortgage loans reviewed are compared against the underwriting standards set forth in the Guide and as may be modified by any applicable TOBs in effect at the time of purchase by Freddie Mac, including a review of the original appraisals of the Mortgaged Properties that were obtained in connection with the origination of those mortgage loans.

» The original appraisal value of the Mortgaged Property is reviewed against a value from Freddie Mac’s automated valuation model, Home Value Explorer (“HVE”), when available, as well as a desk review by an underwriter, in order to assess if the original appraisal report supported the value and marketability of the subject property.

– To the extent HVE indicates that the original appraisal report significantly exceeded the actual value, Freddie Mac uses other tools, including review appraisals, to determine if value and marketability of the Mortgaged Property was supported.

» Freddie Mac also captures the names of parties to the sampled mortgage loan transactions and compares them to Freddie Mac’s exclusionary list, which is comprised of individuals and companies that are prohibited from participating in transactions involving Freddie Mac, either directly or indirectly, due to lack of integrity or business competency.

Compliance Review

» Some mortgage loans are selected for anti-predatory lending reviews and are reviewed to assess whether those mortgage loans were originated in compliance with certain applicable laws and regulations.

» This assessment includes, for example, whether the mortgage loans reviewed met the definition of “high cost” loans under HOEPA or similar state or local laws.

» Mortgage loans in the sample that violate Freddie Mac’s charter or anti-predatory laws are required to be repurchased by the applicable seller.

Quality Assurance

» A Quality Assurance review is a secondary review performed on a small percentage of the mortgage loans in the Quality Control process, to evaluate quality and consistency of the Quality Control underwriters’ and third-party vendors’ decisions and processes with Freddie Mac’s credit policies and procedures.

Quality Control Review Process

46

© Freddie Mac 2015

Underwriting Defects

» In its sole discretion, Freddie Mac determines that a loan has an underwriting defect, through the identification of one of the following:

– a material violation of the underwriting guidelines and other requirements in the Guide and may be modified by the related seller contract with respect

to such loan,

– inadequate collateral securing such loan; or

– as of the origination date, repayment in full cannot be expected

» The most common underwriting defects found in the reviews of loans purchased in 2013 related to insufficient income and inadequate or

missing documentation to support Mortgagor qualification. Other common defects include LP requirements not met and inappropriate

comparables used to support appraisal value

Underwriting Defects Repurchase Process

» Freddie Mac may require or permit the seller or servicer of a Mortgage Loan to repurchase any such loan if there is an underwriting defect

discovered through the credit review, compliance review, or quality assurance process

» To the extent that Freddie Mac determines that the origination of a Mortgage Loan has an underwriting defect relating to a representation or

warranty given by a seller, the applicable seller or servicer generally will be obligated to repurchase the Mortgage Loan within 60 days after

receipt of notice from Freddie Mac of such defect

» Upon receipt of a repurchase notice, the seller or servicer may file an appeal if it has additional supporting information and/or documentation

that may affect Freddie Mac’s decision. The appeal must be filed within 60 days from the date of Freddie Mac’s notice requiring repurchase

» An underwriting defect becomes confirmed when:

– Such loan is repurchased by the related seller or servicer,

– In lieu of repurchase, an alternative remedy (such as indemnification) is mutually agreed upon by both Freddie Mac and the seller or servicer; or

– Freddie Mac, in its sole discretion, elects to waive the enforcement of a remedy against the seller or servicer in respect of such underwriting defect

Quality Control Review Process (cont.)

47

© Freddie Mac 2015

Appendix 1 – Part C. Single Family Servicing Oversight and

Control

48

© Freddie Mac 2015

Servicing Standards

49

Servicing Overview

» Servicers are required to perform customary mortgage loan servicing functions, including:

– collection of payments from Mortgagors and remitting payments to Freddie Mac;

– maintenance of primary mortgage loan and property insurance and filing and settlement of claims under those policies;

– maintenance of escrow accounts of some Mortgagors for payment of taxes, insurance, and other items required to be paid by the Mortgagors pursuant

to terms of the related mortgage loan;

– processing of assumptions, substitutions, payoffs and releases;

– attempting to cure delinquencies and mitigate losses;

– supervising foreclosures or repossessions;

» Freddie Mac retains the right to revoke, re-assign or terminate servicing of any servicer, subject to the terms of the Guide (as modified) and as

may be further modified by terms of business applicable to a servicer

Loss Mitigation

» Servicers are required to contact a delinquent Mortgagor early in the delinquency process and throughout the delinquency cycle in order to

mitigate the risk of default

» Freddie Mac’s loss mitigation strategy emphasizes early intervention by servicers in delinquent mortgage loans and provides alternatives to

foreclosure, including:

– Forbearance agreements, where reduced payments or no payments are required during a defined period, generally less than one year (Freddie Mac

does not permit principal forgiveness)

– Repayment plans, which are contractual plans to make up past due amounts

– Loan modifications, which may involve changing the terms of the mortgage loan, or capitalizing outstanding indebtedness, (such as delinquent

interest), to the unpaid principal balance of the mortgage loan, or a combination of both. Freddie Mac may grant partial principal forbearance as part of

a modification but does not utilize principal forgiveness

– Short sales, which involve allowing the Mortgagor to sell the Mortgaged Property to an unrelated third party for an amount that is insufficient to pay

off the mortgage loan in full

– Deeds in lieu of foreclosure which are processed similar to a short sale except that the Mortgaged Property is not sold to a third party but is conveyed

directly to Freddie Mac

– Mortgage assumption by which a new party assumes the obligations of the Mortgagor under the Mortgage Note, and may be performed

simultaneously with a loan modification

» If a loan workout has not been reached by the 120th day of delinquency, servicers are generally required to accelerate payment of principal

from the Mortgagor and initiate foreclosure proceedings with respect to a Mortgage in accordance with the provisions of the Guide (as

modified) and as may be modified any terms of business applicable to a servicer

© Freddie Mac 2015

Servicing Monitoring

Freddie Mac requires servicers to report regularly on their servicing activities, including adverse matters, charge-offs, reporting to credit repositories, foreclosures, monthly delinquencies, real-estate owned repurchases and transfers of ownership

Freddie Mac has an internal unit dedicated to monitoring and improving servicing performance, by performing the following functions:

» assigning account managers to provide individualized attention to their assigned servicer or group of servicers

» collecting information about servicer performance, from both internal and external sources, and regularly assessing this data

» focusing on default servicing and management by monitoring various metrics

» measuring a servicer’s performance based on key criteria in two categories: investor reporting and remitting, and default management

Freddie Mac also conducts file reviews of some servicers, both remotely and in the servicers’ offices, in order to assess servicing and default management performance. These file reviews are in addition to credit and compliance reviews Freddie Mac undertakes as part of its quality assurance process

Freddie Mac may also conduct the following types of Servicer Success File Reviews:

» Prudent Servicing Review: An assessment of the Servicer’s collection activities, loss mitigation activities, timeline management, and property preservation processes

» Short Sale Compliance Review: An assessment of the Servicer’s compliance with the requirements of the Guide as may be modified by terms of business, regarding completed short sales

» Loan Modification Compliance Review: An assessment of the Servicer’s compliance with the requirements of the Guide as may be modified by terms of business, as applicable, regarding completed modifications

Freddie Mac considers factors such as trends in performance, adequacy of staffing, audit results, scorecard results, Servicer Success File Reviews, and/or compliance with all requirements of the Guide or as may be modified by terms of business in evaluating whether the servicer’s overall performance is unacceptable for purposes of disqualification or suspension as an approved servicer

If a servicer is placed in the bottom 25% of the list of all servicers based on their Servicer Success Scorecard, in accordance with the terms of the Guide or as may be modified by a servicer’s contract, or a servicer does not meet the goals set forth in a term of business, Freddie Mac may remove servicing, either partially or in full from the servicer

Freddie Mac monitors servicers to ensure they are properly implementing servicing standards

50

© Freddie Mac 2015

Appendix 2. Data and Market Transparency

51

© Freddie Mac 2015

Data Transparency Freddie Mac has made available the Single-Family Loan-Level Dataset as part of a larger effort to increase

transparency and help investors build more accurate credit performance models in support of the risk-

sharing initiatives.

The Single-Family Loan-Level Dataset includes loan-level origination and monthly loan performance data

on a portion of single-family mortgages acquired by Freddie Mac. Approximately 16.9 million loans are in

the “full” Single-Family Loan-Level Dataset, meeting the following selection criteria:

» Fully amortizing 30-year fixed-rate mortgages originated from January 1, 1999 through September 30, 2013, with

monthly loan performance data through March 31, 2014, that were sold to Freddie Mac or issued in Freddie Mac

Participation Certificates (“PCs”)

» Mortgages categorized as having verified or waived documentation (i.e. “full documentation”)

This level of quality and historical data is generally not seen in the private label RMBS market

Freddie Mac has created a smaller dataset for those who do not require the full dataset or do not have the

capability to download the full dataset

Investors can rely upon the dataset to model transaction projections and performance

Additionally, Freddie Mac releases loan level data for all STACR deals on a monthly basis

» Actual loss data was first made available in November 2014

52

© Freddie Mac 2015

Disclosed Loan-Level Fields

# Field Name Historical Actual Loss

STACR


STACR

1 Adjusted Remaining Months to Maturity (aka RMM) X 15 Modification Flag X X

2 Channel (aka TPO Flag) X X 16 Mortgage Insurance Percentage (MI %) X X

3 Credit Score X X 17 Number of Borrowers X X

4 Current Actual UPB X X 18 Number of Units X X

5 Current Interest Rate X X 19 Occupancy Status X X

6 Current Loan Delinquency Status X X 20 Original Combined Loan-to-Value (CLTV) X X

7 First Payment Date X X 21 Original Debt-to-Income Ratio (DTI) X X

8 First Time Homebuyer X X 22 Original Interest Rate (aka Note Rate) X X

9 Current Interest Bearing UPB (for modified loans) X 23 Original Loan-to-Value (LTV) X X

10 Loan Age X X 24 Original Loan Term X X

11 Loan Purpose X X 25 Original UPB (aka Mortgage Loan Amount) X X

12 Loan Identifier (aka Loan Sequence Number) X X 26 Payment History1 D X

13 Maturity Date X X 27 Postal Code (3 digit) X X

14 Metropolitan Statistical Area (MSA) X X 28 Prepayment Penalty Indicator (aka PPM Flag) X X

53

1. Extended to show 24 months of payment history D = not disclosed, but derivable from other disclosed fields.

© Freddie Mac 2015

Disclosed Loan-Level Fields (cont.)


STACR


STACR

29 Product Type X X 44 Net Sales Proceeds* X X

30 Property State X X 45 Non MI Recoveries X

31 Property Type X X 46 Expenses X

32 Remaining Months to Legal Maturity X X 47 Taxes and Insurance* X

33 Underwriting Defect, Servicing Repurchase or Servicing Make Whole Settlement Date*

X 48 Legal Costs* X

34 Repurchase Flag X 49 Maintenance and Preservation Costs* X

35 Seller Name X X 50 Bankruptcy Cramdown Costs* X

36 Servicer Name X X 51 Miscellaneous Expenses* X

37 UPB at Issuance X 52 Miscellaneous Credits* X

38 UPB at Time of Removal from the Reference Pool D X 53 Loan in Eligible Disaster Area* X

39 Zero Balance Code X X 54 Bankruptcy Flag* X

40 Zero Balance Effective Date X X 55 Date Referred to Foreclosure* X

41 Current Deferred UPB X 56 MI Credit* X

42 Due Date of Last Paid Installment* X X 57 Estimated LTV (at issuance)* X

43 MI Recoveries X 58 Updated Credit Score (at issuance)* X

54

D = not disclosed, but derivable from other disclosed fields. * New filed added to account for actual losses implemented into the STACR 2015-DNA1 transaction

© Freddie Mac 2015

Market Transparency and Liquidity

55

$7.8 billion of STACR credit risk transfer

bonds have been issued since July 2013

All GSE credit risk transfer bonds are TRACE

eligible and all secondary trading prices and

volumes are reported on FINRA’s website

Numerous broker dealers make secondary

markets for credit risk transfer bonds on a

daily basis

All transactions, except for STACR 2013-

DN1, have been rated, and Freddie Mac is in

constant dialogue with all rating agencies,

including hosting on-site rating agency days

Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac Freddie Mac

STACR 2013-DN1 STACR 2013-DN2 STACR 2014-DN1 STACR 2014-DN2 STACR 2014-DN3 STACR 2014-DN4 STACR 2015-DN1

Size Spread WAL Size Spread WAL Size Spread WAL Size Spread WAL Size Spread WAL Size Spread WAL Size Spread WAL

M-1 250 152 1.8 245 170 1.3 240 90 1.4 230 85 1.3 160 80 1.2 130 85 1.3 230 97 1.8

M-2 250 376 7.1 385 367 6.6 360 184 4.3 345 181 4.2 192 182 3.7 169 190 3.6 230 192 4.1

M-3 NA NA NA NA NA NA 408 404 8.7 391 378 8.8 320 387 8.5 312 397 8.4 345 365 8.2

B NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA NA 75

Total 500 630 1,008 966 672 460 880

___________________________ Source: The Trade Reporting and Compliance Engine (TRACE), FINRA as of March 31, 2015 **Note: Spreads and WALs assume 10 CPR as of latest available TRACE trades

© Freddie Mac 2015 CONFIDENTIAL

Trigger Details

57

Minimum Credit Enhancement Test

With respect to each Payment Date, a test that will be satisfied if the Subordinate Percentage is greater than or equal to 4.75%.

Cumulative Net Loss Test With respect to each Payment Date, a test that will be satisfied if the Cumulative Net Loss Percentage does not exceed the applicable percentage indicated below:

Distressed Principal Balance For any Payment Date, the sum, without duplication, of the UPB of Reference Obligations that meet any of the following criteria: (a) Reference Obligations that are 60 days or more delinquent; (b) Reference Obligations that are in foreclosure, bankruptcy, or REO status; or (c) Reference Obligations that were modified in the 12 months preceding the end of the related Reporting Period.

Delinquency Test For any Payment Date, a test that will be satisfied if: (a) the sum of the Distressed Principal Balance for the current Payment Date and each of the preceding five Payment Dates, divided by six is less than (b) 50% of the amount by which: (i) the product of (x) the Subordinate Percentage and (y) the aggregate UPB of the Reference Obligations as of the preceding Payment Date; exceeds (ii) the Aggregate Principal Loss Amount for the current Payment Date.

Payment Date occurring in the period Percentage

May 2015 to April 2016 0.10%

May 2016 to April 2017 0.20%

May 2017 to April 2018 0.30%

May 2018 to April 2019 0.40%

May 2019 to April 2020 0.50%

May 2020 to April 2021 0.60%

May 2021 to April 2022 0.70%

May 2022 to April 2023 0.80%

May 2023 to April 2024 0.90%

May 2024 to April 2025 1.00%

May 2025 to April 2026 1.10%

May 2026 to April 2027 1.20%

May 2027 and thereafter 1.30%

© Freddie Mac 2015

STACR 2015-DNA1 Initial Cohort Pool to Reference Pool

59

1) Other filters include: inclusion in PC, and exclusions such as loans with MI, loans originated under Home Possible® or other affordable mortgage programs of Freddie Mac, government guaranteed loans, IO only, balloons, etc. 2) Out of the 2,617 loans that were excluded from the Reference Pool due to failing delinquency criteria or having filed for bankruptcy, 1,966 of those loans were reported to be currently performing as of February 28, 2015. 3) Loans removed because reconciliation with the related sellers regarding certain data they provided has not yet been completed or loans removed because data corrections made the loans ineligible.

Key Reference Pool Characteristics:

» 100% Never Delinquent in the past 12 months, up to 2x 30 Days Delinquent, and never 60 Days or more Delinquent since Freddie Mac purchased the loans.

» 100% 30 Year Fixed-Rate

» No loans originated under Relief Refinance program (including HARP) or loans originated under Home Possible® or other affordable mortgage programs of Freddie Mac

» No government guaranteed loans

» No IOs or Balloons

» No LTV > 80% or <=60%

Category Aggregate Original Loan Balance ($ Billion)

All non-HARP loans funded between October 1, 2012 and December 31, 2012 96.5

Non-HARP loans, fixed 92.4

Non-HARP loans, fixed 30 Year 64.7

Non-HARP loans, fixed 30 Year, 60% < LTV <= 80% 39.0

Non-HARP loans, fixed 30 Year, 60% < LTV <= 80% & other filters (1) 38.7

Category Loan Count Aggregate Original

Loan Balance ($)

Average Original Loan Balance ($)

Non-Zero Weighted Average Credit Score

Weighted Average LTV

Ratio (%) Non-Zero Weighted

Average DTI (%)

Initial Cohort Pool 155,238 38,719,522,000 249,420 766 74 32

less loans that were removed due to incomplete data reconciliation or corrected data(3)

26 6,262,000 240,846 737 76 35

less loans that were repurchased or removed by quality control

200 47,223,000 236,115 753 76 36

less loans that were paid in full 16,593 4,266,785,000 257,144 764 74 32 less loans that were removed due to having failed delinquency criteria or the borrower having filed for bankruptcy(2)

2,617 590,386,000 225,596 733 75 35

less loans that were removed from Freddie Mac PC pools

8 1,640,000 205,000 757 77 39

Reference Pool 135,794 33,807,226,000 248,960 766 74 32


BPO and HVE Diligence

OLTV ELTV* BPO LTV**

Weighted Average 74.40% 65.80% 71.80%

LTV Distribution

< 51% 0% 11% 9%

51 to 60% 0% 25% 18%

61 to 70% 25% 40% 25%

71 to 80% 75% 20% 22%

81 to 90% 0% 4% 12%

91 to 100% 0% 1% 5%> 100% 0% 0% 8%

All values weighted by April 2015 loan UPB

Results include common 687 loans where OLTV, HVE LTV, and BPO LTV values were available

*ELTV is mark-to-market LTV based on April 2015 HVE value and loan UPB

**BPO LTV is mark-to-market LTV based on Feb 2015 BPO value and April 2015 loan UPB

BPO Valuation Results

In connection with the issuance of the Notes, a third party diligence provider was engaged to conduct a pre-offering compliance, data integrity, and valuation review of a subset of the same 4,985 Mortgage Loans that were reviewed by Freddie Mac in the Freddie QC Review. A random sample of 850 of the proposed Reference Obligations was selected (the “Diligence Sample”) from the available sample for the third party review

© Freddie Mac 2015

DNA1 Reference Pool – Selected Stratifications

State or Territory Number of Mortgage

Loans

Aggregate Principal Balance ($)

Aggregate Principal Balance

(%)

California 24,481 8,017,830,133.05 25.15

Massachusetts 6,069 1,707,508,395.34 5.36

Illinois 7,703 1,654,880,797.18 5.19

Virginia 5,069 1,480,079,096.66 4.64

New York 4,438 1,153,437,763.01 3.62

Texas 5,751 1,152,455,993.52 3.62

Maryland 3,419 1,014,729,988.08 3.18

Washington 3,729 934,472,179.61 2.93

New Jersey 3,091 920,152,311.21 2.89

Colorado 3,810 908,546,098.43 2.85

Other 68,234 12,931,642,857.56 40.57

Total: 135,794 31,875,735,613.65 100.00

Top 10 Sellers

Seller Number of Mortgage

Loans



(%)

Wells Fargo Bank 35,465 8,084,314,885.96 25.36

US Bank 17,185 4,188,785,155.29 13.14

JPM Chase Bank 11,068 2,992,159,559.37 9.39

Provident Funding 5,025 1,568,144,616.79 4.92

BB&T 7,670 1,563,800,484.39 4.91

Quicken Loan Inc. 3,014 778,861,796.11 2.44

Guaranteed Rate 2,475 666,568,764.82 2.09

GFS Capital Holdings 1,816 520,620,229.45 1.63

Caliber Home Loans, Inc. 1,817 474,401,421.76 1.49

Colorado Fed Savings Bank 938 450,126,788.62 1.41

Other 49,321 10,587,951,911.09 33.22

Total: 135,794 31,875,735,613.65 100.00

Loan-to-Value Ratios at Origination

Range of Original Loan-to-Value Ratios (%)

Number of Mortgage

Loans



(%)

61 to 65 13,549 3,411,842,384.67 10.70

66 to 70 19,804 4,993,139,031.97 15.66

71 to 75 32,062 7,780,244,987.97 24.41

76 to 80 70,379 15,690,509,209.04 49.22

Total: 135,794 31,875,735,613.65 100.00

Estimated Loan-to-Value Ratios

Range of Estimated Loan-to-Value Ratios (%)

Number of Mortgage

Loans



(%)

Not Available 8,850 1,962,950,035.23 6.16

1 to 50 20,622 5,256,968,994.30 16.49

51 to 55 16,723 4,400,302,381.39 13.80

56 to 60 21,276 5,270,494,971.99 16.53

61 to 65 22,101 5,118,765,739.02 16.06

66 to 70 21,957 4,851,338,281.46 15.22

71 to 75 15,229 3,160,331,958.15 9.91

76 to 80 5,761 1,166,118,258.84 3.66

81-100 3,046 629,211,798.35 1.97

101 and Greater 229 59,253,194.92 0.19

Total: 135,794 31,875,735,613.65 100.00

Top 10 States / Territories

61

Top 10 Servicers

Servicer Number of Mortgage

Loans



(%)

Wells Fargo Bank 35,465 8,084,314,885.96 25.36

US Bank 17,185 4,188,785,155.29 13.14

JPM Chase Bank 11,068 2,992,159,559.37 9.39

PNC Bank 9,558 2,358,204,631.90 7.40

Provident Funding 5,600 1,861,822,512.89 5.84

BB&T 7,670 1,563,800,484.39 4.91

Quicken Loan, Inc. 3,014 778,861,796.11 2.44

Ocwen Loan Servicing 2,930 715,983,316.29 2.25

Fifth Third Bank 1,960 440,938,026.69 1.38

Caliber Funding 1,664 433,920,188.49 1.36

Other 39,680 8,456,945,056.27 26.53

Total: 135,794 31,875,735,613.65 100.00

© Freddie Mac 2015

Original Principal Balances


Range of Original Principal Balances ($)

Number of Mortgage

Loans


Aggregate Principal Balance (%)

0.01 to 25,000.00 39 803,579.68 0.00

25,000.01 to 50,000.00 1,120 44,174,062.22 0.14

50,000.01 to 75,000.00 3,877 235,706,665.07 0.74

75,000.01 to 100,000.00 7,743 655,326,940.91 2.06

100,000.01 to 125,000.00 10,589 1,132,177,355.25 3.55

125,000.01 to 150,000.00 11,909 1,546,759,006.40 4.85

150,000.01 to 200,000.00 22,961 3,812,488,288.90 11.96

200,000.01 to 250,000.00 19,261 4,090,822,864.93 12.83

250,000.01 to 300,000.00 16,376 4,255,261,501.41 13.35

300,000.01 to 350,000.00 11,897 3,651,105,947.81 11.45

350,000.01 to 400,000.00 11,612 4,148,928,199.59 13.02

400,000.01 to 450,000.00 9,536 3,743,167,859.56 11.74

450,000.01 to 500,000.00 2,742 1,232,324,574.47 3.87

500,000.01 to 550,000.00 2,355 1,170,489,408.85 3.67

550,000.01 to 600,000.00 1,833 1,000,905,784.59 3.14

600,000.01 to 650,000.00 1,844 1,081,605,075.33 3.39

650,000.01 to 700,000.00 23 14,855,083.80 0.05

700,000.01 to 750,000.00 28 19,321,947.41 0.06

750,000.01 to 800,000.00 21 15,647,614.02 0.05

800,000.01 to 850,000.00 12 9,353,074.83 0.03

850,000.01 to 900,000.00 4 3,322,520.53 0.01

900,000.01 and greater 12 11,188,258.09 0.04

Total: 135,794 31,875,735,613.65 100.00

Range of Gross Mortgage Rates

Range of Gross Mortgage Rates (%)

Number of Mortgage

Loans



(%)

2.750 to 2.874 18 3,568,432.83 0.01

2.875 to 2.999 229 40,820,675.24 0.13

3.000 to 3.124 714 128,946,773.94 0.40

3.125 to 3.249 1,673 321,727,268.93 1.01

3.250 to 3.374 4,761 1,042,823,985.84 3.27

3.375 to 3.499 14,217 3,502,854,208.36 10.99

3.500 to 3.624 30,393 7,425,577,408.48 23.30

3.625 to 3.749 25,703 6,242,332,815.81 19.58

3.750 to 3.874 19,598 4,703,332,838.20 14.76

3.875 to 3.999 18,327 4,458,800,778.40 13.99

4.000 to 4.124 8,331 1,855,178,540.61 5.82

4.125 to 4.249 5,927 1,153,126,879.42 3.62

4.250 to 4.374 2,998 559,990,970.44 1.76

4.375 to 4.499 1,079 196,399,744.96 0.62

4.500 to 4.624 600 89,107,191.81 0.28

4.625 to 4.749 515 75,609,553.75 0.24

4.750 to 4.874 404 43,725,602.27 0.14

4.875 to 4.999 261 26,704,840.44 0.08

5.000 to 5.124 16 2,442,615.89 0.01

5.125 to 5.249 7 962,278.05 0.00

5.250 to 5.374 11 1,033,909.59 0.00

5.375 to 5.499 3 92,498.47 0.00

5.500 to 5.624 1 56,048.38 0.00

5.625 to 5.749 5 288,321.34 0.00

5.750 to 5.874 3 231,432.20 0.00

Total: 135,794 31,875,735,613.65 100.00

62

© Freddie Mac 2015


Historical Delinquency (Past 24 Months)1

Number of Mortgage

Loans



Never Delq. in past 24 months 134,455 31,559,530,029.40 99.01

Never Delq. in past 12 months and 1 x D30 in past 24 months

1,212 289,668,481.08 0.91

Never Delq. in past 12 months and 2 x D30 in past 24 months

127 26,537,103.17 0.08

Total: 135,794 31,875,735,613.65 100.00

Historical Delinquency

Range of Debt-to-Income Ratios (%)

Number of Mortgage

Loans



Not Available 93 28,430,705.59 0.09

1 to 20 19,926 4,237,744,547.69 13.29

21 to 25 19,196 4,450,003,955.71 13.96

26 to 30 21,962 5,197,092,571.81 16.30

31 to 35 22,128 5,315,781,197.65 16.68

36 to 40 21,993 5,273,860,603.06 16.55

41 to 45 22,933 5,518,655,441.41 17.31

46 to 50 7,563 1,854,166,590.73 5.82

Total: 135,794 31,875,735,613.65 100.00

Debt-to-Income Ratios

Reference Obligation Age (months)

Number of Mortgage

Loans



26 5,678 1,235,533,761.91 3.88

27 22,159 5,096,537,605.52 15.99

28 42,793 9,929,511,344.30 31.15

29 40,131 9,629,011,062.34 30.21

30 22,095 5,307,596,449.31 16.65

31 2,938 677,545,390.27 2.13

Total: 135,794 31,875,735,613.65 100.00

Reference Obligation Age

Range of Credit Scores Number of Mortgage

Loans



(%)

Not Available 4 543,750.15 0.00

600 to 619 21 3,546,566.01 0.01

620 to 639 394 67,399,800.83 0.21

640 to 659 1,099 188,708,466.34 0.59

660 to 679 2,189 400,866,455.11 1.26

680 to 699 5,299 1,087,659,773.82 3.41

700 to 719 9,254 2,059,991,657.69 6.46

720 to 739 12,433 2,915,912,436.98 9.15

740 to 759 18,373 4,396,315,353.37 13.79

760 to 779 27,002 6,646,564,014.56 20.85

780 to 799 36,352 8,934,769,819.58 28.03

800 to 819 22,597 5,024,027,538.60 15.76

820 to 839 777 149,429,980.61 0.47

Total: 135,794 31,875,735,613.65 100.00

Credit Scores at Origination

1) As of February 28, 2015

63

© Freddie Mac 2015

DNA1 Declining Balance Tables Class M-1, M-1F, and M-1I

0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR Closing Date……………… 100 100 100 100 100 100 April 25, 2016............... 91 91 91 74 27 0 April 25, 2017............... 82 82 44 7 0 0 April 25, 2018............... 72 57 0 0 0 0 April 25, 2019............... 62 29 0 0 0 0 April 25, 2020............... 51 2 0 0 0 0 April 25, 2021............... 40 0 0 0 0 0 April 25, 2022............... 29 0 0 0 0 0 April 25, 2023............... 17 0 0 0 0 0 April 25, 2024............... 5 0 0 0 0 0 April 25, 2025............... 0 0 0 0 0 0

April 25, 2026............ - - - - - -

April 25, 2027............ - - - - - -

April 25, 2028............ - - - - - -

Weighted Average Life (years) to Maturity Date 5.02 3.14 1.89 1.37 0.83 0.63 Weighted Average Life (years) to Early Redemption Date 5.02 3.14 1.89 1.37 0.83 0.63

Class M-3, M-3F, and M-3I

0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR Closing Date……………… 100 100 100 100 100 100 April 25, 2016............... 100 100 100 100 100 100 April 25, 2017............... 100 100 100 100 100 79 April 25, 2018............... 100 100 100 100 71 21 April 25, 2019............... 100 100 100 100 30 0 April 25, 2020............... 100 100 100 71 1 0 April 25, 2021............... 100 100 94 45 0 0 April 25, 2022............... 100 100 72 23 0 0 April 25, 2023............... 100 100 52 4 0 0 April 25, 2024............... 100 100 35 0 0 0 April 25, 2025............... 100 91 19 0 0 0

April 25, 2026............ 100 76 6 0 0 0

April 25, 2027............ 100 61 0 0 0 0

April 25, 2028............ 0 0 0 0 0 0


Class M-2, M-2F, and M-2I

CER 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR Closing Date……………… 100 100 100 100 100 100 April 25, 2016............... 100 100 100 100 100 87 April 25, 2017............... 100 100 100 100 33 0 April 25, 2018............... 100 100 99 50 0 0 April 25, 2019............... 100 100 59 3 0 0 April 25, 2020............... 100 100 24 0 0 0 April 25, 2021............... 100 76 0 0 0 0 April 25, 2022............... 100 53 0 0 0 0 April 25, 2023............... 100 30 0 0 0 0 April 25, 2024............... 100 9 0 0 0 0 April 25, 2025............... 93 0 0 0 0 0

April 25, 2026............ 80 0 0 0 0 0

April 25, 2027............ 66 0 0 0 0 0

April 25, 2028............ 0 0 0 0 0 0


Class B

CER 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR Closing Date……………… 100 100 100 100 100 100 April 25, 2016............... 100 100 100 100 100 100 April 25, 2017............... 100 100 100 100 100 100 April 25, 2018............... 100 100 100 100 100 100 April 25, 2019............... 100 100 100 100 100 80 April 25, 2020............... 100 100 100 100 100 50 April 25, 2021............... 100 100 100 100 73 32 April 25, 2022............... 100 100 100 100 53 20 April 25, 2023............... 100 100 100 100 39 13 April 25, 2024............... 100 100 100 86 28 8 April 25, 2025............... 100 100 100 71 20 5

April 25, 2026............ 100 100 100 58 15 3

April 25, 2027............ 100 100 92 47 10 2

April 25, 2028............ 0 0 0 0 0 0


65

© Freddie Mac 2015

DNA1 Credit Event Sensitivity Table

Note: “CER” is Credit Event Rate, which is the assumed constant rate of Reference Obligations becoming Credit Event Reference Obligations each month relative to the then outstanding aggregate principal balance of Reference Obligations.

Cumulative Credit Events (as % of Cut-Off Date Balance)

CER 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR

0.10% ..................................... 1.1% 0.8% 0.6% 0.5% 0.3% 0.2%

0.20% ..................................... 2.1% 1.6% 1.2% 1.0% 0.6% 0.4%

0.30% ..................................... 3.1% 2.4% 1.8% 1.4% 0.9% 0.7%

0.40% ..................................... 4.2% 3.1% 2.4% 1.9% 1.3% 0.9%

0.50% ..................................... 5.2% 3.9% 3.0% 2.4% 1.6% 1.1%

0.75% ..................................... 7.6% 5.8% 4.5% 3.5% 2.3% 1.7%

1.00% ..................................... 10.1% 7.6% 5.9% 4.7% 3.1% 2.2%

1.25% ..................................... 12.4% 9.4% 7.3% 5.8% 3.9% 2.7%

66

© Freddie Mac 2015

DNA1 M-1 Cumulative Note Write-down, Yield, WAL

M-1 Weighted Average Life to Maturity (in Years)


0.10%. . . . . . 5.11 3.31 1.97 1.37 0.83 0.63

0.20%. . . . . . 5.20 3.53 2.05 1.42 0.85 0.63

0.30%. . . . . . 5.31 3.78 2.13 1.46 0.88 0.63

0.40%. . . . . . 5.43 4.08 2.22 1.50 0.90 0.63

0.50%. . . . . . 5.56 4.41 2.37 1.64 1.00 0.63

0.75%. . . . . . 5.97 5.78 5.52 4.13 2.03 0.84

1.00%. . . . . . 6.48 6.18 5.95 5.79 4.57 2.91

1.25%. . . . . . 6.97 6.61 6.31 6.07 5.57 4.55


67

M-1 & M-1F Cumulative Write-down Amount (as % of Respective Original Class Principal Balance) M-1 Pre-Tax Yield to Maturity (Price = 100%)

CER 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR 0% CPR 5% CPR 10% CPR 15% CPR 25% CPR 35% CPR

0.10%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.18% 1.18% 1.18% 1.18% 1.18% 1.18%

0.20%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.18% 1.18% 1.18% 1.18% 1.18% 1.18%

0.30%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.18% 1.18% 1.18% 1.18% 1.18% 1.18%

0.40%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.18% 1.18% 1.18% 1.18% 1.18% 1.18%

0.50%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.18% 1.18% 1.18% 1.18% 1.18% 1.18%

0.75%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.18% 1.18% 1.18% 1.18% 1.18% 1.18%

1.00%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.18% 1.18% 1.18% 1.18% 1.18% 1.18%

1.25%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.18% 1.18% 1.18% 1.18% 1.18% 1.18%

© Freddie Mac 2015




0.10%. . . . . . 12.01 7.72 4.54 3.15 1.88 1.33

0.20%. . . . . . 12.13 8.36 4.77 3.25 1.94 1.34

0.30%. . . . . . 12.23 9.12 5.03 3.37 1.96 1.34

0.40%. . . . . . 12.32 9.95 5.31 3.50 2.00 1.35

0.50%. . . . . . 12.40 10.71 5.63 3.65 2.14 1.43

0.75%. . . . . . 12.49 12.46 11.63 8.42 4.49 2.26

1.00%. . . . . . 12.28 12.49 12.48 12.12 7.54 4.86

1.25%. . . . . . 10.68 12.44 12.49 12.49 10.09 6.88


68



0.10%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.19% 2.19% 2.19% 2.19% 2.19% 2.19%

0.20%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.19% 2.19% 2.19% 2.19% 2.19% 2.19%

0.30%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.19% 2.19% 2.19% 2.19% 2.19% 2.19%

0.40%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.19% 2.19% 2.19% 2.19% 2.19% 2.19%

0.50%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.19% 2.19% 2.19% 2.19% 2.19% 2.19%

0.75%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.19% 2.19% 2.19% 2.19% 2.19% 2.19%

1.00%. . . . . . 26.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.08% 2.19% 2.19% 2.19% 2.19% 2.19%

1.25%. . . . . . 85.0% 10.9% 0.0% 0.0% 0.0% 0.0% -10.08% 1.39% 2.19% 2.19% 2.19% 2.19%

© Freddie Mac 2015




0.10%. . . . . . 12.49 12.13 8.89 6.20 3.72 2.55

0.20%. . . . . . 12.49 12.37 9.49 6.53 3.82 2.58

0.30%. . . . . . 12.49 12.49 10.05 6.90 3.95 2.65

0.40%. . . . . . 12.48 12.49 10.58 7.34 4.08 2.71

0.50%. . . . . . 12.10 12.49 11.07 7.85 4.22 2.78

0.75%. . . . . . 9.96 11.43 12.34 11.82 6.90 4.01

1.00%. . . . . . 7.41 9.39 10.99 12.11 10.32 6.49

1.25%. . . . . . 5.79 7.12 9.19 10.81 12.18 8.71


69



0.10%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 4.12% 4.12% 4.12% 4.12% 4.12% 4.12%

0.20%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 4.12% 4.12% 4.12% 4.12% 4.12% 4.12%

0.30%. . . . . . 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 4.12% 4.12% 4.12% 4.12% 4.12% 4.12%

0.40%. . . . . . 3.0% 0.0% 0.0% 0.0% 0.0% 0.0% 3.93% 4.12% 4.12% 4.12% 4.12% 4.12%

0.50%. . . . . . 23.2% 0.0% 0.0% 0.0% 0.0% 0.0% 2.41% 4.12% 4.12% 4.12% 4.12% 4.12%

0.75%. . . . . . 72.8% 35.9% 9.6% 0.0% 0.0% 0.0% -4.32% 1.11% 3.46% 4.12% 4.12% 4.12%

1.00%. . . . . . 100.0% 72.7% 38.3% 13.5% 0.0% 0.0% -22.79% -4.68% 0.72% 3.12% 4.12% 4.12%

1.25%. . . . . . 100.0% 100.0% 66.4% 35.9% 0.0% 0.0% -33.40% -23.36% -3.65% 0.87% 4.12% 4.12%

© Freddie Mac 2015

DNA1 B Cumulative Note Write-down, Yield, WAL

B Weighted Average Life to Maturity (in Years)


0.10%. . . . . . 10.75 11.04 11.28 10.52 7.66 5.52

0.20%. . . . . . 9.01 9.61 10.07 9.86 7.42 5.42

0.30%. . . . . . 7.29 8.18 8.87 9.14 7.17 5.30

0.40%. . . . . . 5.59 6.75 7.68 8.33 6.90 5.18

0.50%. . . . . . 4.37 5.34 6.49 7.41 6.61 5.04

0.75%. . . . . . 2.84 3.18 3.75 4.91 6.40 5.22

1.00%. . . . . . 2.11 2.28 2.52 2.92 5.05 5.69

1.25%. . . . . . 1.68 1.79 1.92 2.11 3.23 5.24


70

B Cumulative Write-down Amount (as % of Respective Original Class Principal Balance) B Pre-Tax Yield to Maturity (Price = 100%)


0.10%. . . . . . 26.4% 19.9% 15.3% 12.1% 7.9% 5.6% 8.65% 9.19% 9.58% 9.80% 9.97% 10.04%

0.20%. . . . . . 52.4% 39.6% 30.6% 24.0% 15.8% 11.1% 5.35% 6.81% 7.76% 8.33% 8.73% 8.88%

0.30%. . . . . . 78.2% 59.2% 45.6% 35.9% 23.6% 16.7% 0.39% 3.79% 5.63% 6.72% 7.44% 7.69%

0.40%. . . . . . 100.0% 78.5% 60.6% 47.7% 31.5% 22.2% -10.61% -0.55% 3.00% 4.90% 6.11% 6.49%

0.50%. . . . . . 100.0% 97.7% 75.5% 59.5% 39.2% 27.7% -19.30% -9.63% -0.50% 2.74% 4.72% 5.26%

0.75%. . . . . . 100.0% 100.0% 100.0% 88.4% 58.5% 41.3% -41.58% -33.57% -23.50% -6.44% 1.63% 2.82%

1.00%. . . . . . 100.0% 100.0% 100.0% 100.0% 77.5% 54.9% -63.08% -55.63% -46.65% -35.04% -3.25% 1.16%

1.25%. . . . . . 100.0% 100.0% 100.0% 100.0% 96.3% 68.3% -82.75% -76.08% -68.18% -58.42% -15.88% -1.39%

© Freddie Mac 2015

Freddie Mac Key Contacts

Team Member Email Address Business Phone

Kevin Palmer Vice President

[email protected] (571) 382-4313

Michael S Reynolds Vice President


Dirk Niese STACR Deal Manager


Greg Kerr Transaction Management Director, STACR Deal Manager


Kathleen Reuther Transaction Management Director, STACR Deal Manager


Christian Valencia Associate Director


Charles Trombley Portfolio Manager, Sr


Sonya Sheth Portfolio Manager, Sr


Peter Wu Portfolio Manager, Sr


Charlotte Gladwin Portfolio Manager, Sr.


Michael Murai Manager


72

© Freddie Mac 2015

Freddie Mac & Bloomberg STACR Event Please join Freddie Mac and Bloomberg for a co-hosted Credit Risk Sharing/STACR Event at the Bloomberg Headquarters in

New York, NY.

Date: May 7th 2015

Time: 3:30 to 5:30pm Eastern

Address: Bloomberg Headquarters 731 Lexington Avenue (between 58 & 59th Street)

New York, NY 10022

28th Floor | 28W MPR

Speakers:

Don Layton, CEO, Freddie Mac

Michael Reynolds, Vice President of STACR, Freddie Mac

Panelist:

Kevin Palmer, Head of Credit Risk Transfer, Freddie Mac

Michael Canter, Director of Structured Assets, Alliance Bernstein

Michael Dryden, Global Head of Real Estate and Mortgage Finance, Credit Suisse

Matt McQueen, Head of Non-Agency RMBS Trading, Bank of America Merrill Lynch

Show Case of Bloomberg’s new Credit Risk Model:

Robert Sainato, Head of Mortgage Predictive Models, Bloomberg

Early Registration Link

http://go.bloomberg.com/promo/invite/574218904-bloomberg-freddie-mac-stacr-event/

*Please note: Seats are limited and registration is required.

74













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