Seasoned Loans Structured Transaction Trust, Series 2021-1 ("SLST" 2021-1)
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Seasoned Loans Structured Transaction
Trust, Series 2021-1 (“SLST” 2021-1)
May 2021
Information contained in this presentation is current as of May 2021.
For further information on this transaction see the SLST 2021-1 Offering Circular on FreddieMac.com
© Freddie Mac 1Disclaimer
Notice to all Investors:
The information contained in the attached materials has been prepared solely for informational purposes and is preliminary and subject to final structural, accounting, tax and legal review as well as final
changes to the composition of the underlying mortgage loans. Consult with your own legal, accounting and tax advisors as you deem necessary in order to make an independent determination regarding the
attached materials.
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 related supplements, which incorporate Freddie Mac's
Annual Report on Form 10-K for the year ended December 31, 2020, filed with the SEC on February 11, 2021; all other reports Freddie Mac filed with the SEC pursuant to Section 13(a) of the Exchange Act
since December 31, 2020, excluding any information "furnished" to the SEC on Form 8-K; and all documents that Freddie Mac files with the SEC pursuant to Sections 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 market/spreads and is not indicative of any future Freddie Mac offerings. This
presentation should be used for information purposes only.
The information contained in the attached materials (the “Information”) is preliminary and subject to change. The Information does not include all of the information relating to the pool of mortgage loans
described herein (the “Mortgage Loans”), or the securities to be issued and collateralized by such Mortgage Loans (the “Securities”). As such, the Information may not reflect the impact of all structural
characteristics of the Securities. The assumptions underlying the Information, including structure and the composition of the Mortgage Loans, may be modified from time to time to reflect changed
circumstances. This document may be amended, superseded or replaced by subsequent term sheets, “roadshow” materials and the term sheet that describes the updated pool information and will be
superseded by an offering circular or private placement memorandum, as applicable, prepared by Freddie Mac, which will describe the final terms and conditions of the Securities (together the “Offering
Documents”). Prospective purchasers should review the applicable Offering Documents discussed in this presentation. The final Offering Documents will contain data that is current as of their respective
publication dates and after publication may no longer be complete or current. Final Offering Documents may be obtained from BofA Securities by calling 1-800-294-1322.
The Information is preliminary and subject to final structural, accounting and legal review as well as final changes to the composition of the Mortgage Loans. The analyses, calculations and valuations herein
are based on certain assumptions and data provided by third parties that may vary from the actual characteristics of the Mortgage Loans relating to the Securities. None of the Dealers or Freddie Mac has
verified these analyses, calculations or valuations. Material contained within the Information may also be based on assumptions regarding market conditions and other matters as reflected herein, and such
assumptions may not coincide with actual market conditions or events. None of the dealers or Freddie Mac has undertaken to update or amend the Information since the date it was issued. More current
information may be available publicly from other sources.
The Securities will be offered when, as and if issued. In particular, you are advised that these Securities, and the Mortgage Loans, are subject to modification or revision at any time prior to issuance or
availability of the final applicable Offering Document. Any decision to invest in the Securities described herein should be made after reviewing the final applicable Offering Document, conducting such
investigations as the investor deems necessary and consulting the investor’s own legal, accounting, and tax advisors in order to make an independent determination of the suitability and consequences of an
investment in or acquisition of the Mortgage Loans and related Securities.
The investment described in this presentation is a complex financial product. These Securities are complex instruments intended for sale only to sophisticated investors who understand and assume the risks
involved with the purchase thereof. The risks associated with the Securities may significantly reduce an investor’s expected yield and expected return of principal, and/or reduce an investor’s ability to sell or
obtain market value information about the Securities. Investors should independently evaluate the risks associated with the Securities and consult their own professional advisors. These risks may include, but
may not be limited to the following:
▪ The performance of the Mortgage Loans may be correlated with economic or other factors that may diminish the value of the Securities.
▪ The performance of the Mortgage Loans and the value of the Securities may be largely dependent on the performance history and servicing of the Mortgage Loans.
▪ The value of the Securities may be diminished by market conditions unrelated to the performance of the Securities.
This document shall not constitute an underwriting commitment, an offer of financing, an offer to sell, or the solicitation of an offer to buy, any Securities described herein, which shall be subject to the Dealers’
internal approvals. No transaction or services related thereto is contemplated without the Dealers’ subsequent formal agreement. The Dealers are not acting as a fiduciary, advisor or agent.
Prior to entering into any transaction, you should determine, without reliance upon any Dealer or its affiliates, the economic risks and merits, as well as the legal, tax and accounting characterizations and
consequences of the transaction, and independently determine that you are able to assume these risks. In this regard, by acceptance of these materials, you acknowledge that you have been advised that (a)
the Dealers are not in the business of providing legal, tax or accounting advice, (b) you understand that there may be legal, tax or accounting risks associated with the transaction, (c) you should receive legal,
tax and accounting advice from advisors with appropriate expertise to assess relevant risks, and (d) you should apprise senior management in your organization as to the legal, tax and accounting advice (and,
if applicable, risks) associated with this transaction and the Dealers’ disclaimers as to these matters.
The Information may not be forwarded or provided by you to any other person. An investor or potential investor in the Securities (and each employee, representative, or other agent of such person or entity)
may disclose to any and all persons, without limitation, the tax treatment and tax structure of the transaction (as defined in United States Treasury Regulation Section 1.6011-4) and all related materials of any
kind, including opinions or other tax analyses, that are provided to such person or entity. However, such person or entity may not disclose any other information relating to this transaction unless such
information is related to such tax treatment and tax structure.
The information contained in the attached materials is preliminary and subject to final structural, accounting, tax and legal review as well as final changes to the composition of the underlying Mortgage
Loans.
© Freddie Mac 2Agenda
1. Program Summary
2. Transaction Timeline
3. Collateral and Structure
4. Key Transaction Features
5. Servicing and Program Support
6. Historical Deal Performance and Model Data
7. Historical Cohort Performance
8. Data Stratifications
9. SLST Transaction Comparison
10. Freddie Mac Key Contacts
© Freddie Mac 31. Program Summary
© Freddie Mac 4Program Summary
▪ Freddie Mac’s $809 million SLST 2021-1 securitization is the company’s twelfth transaction backed by re-performing and moderately
delinquent single-family mortgage loans (“RPLs”).
» The underlying mortgage loans (the "Mortgage Loans") were either previously securitized in Freddie Mac Participation
Certificates ("PCs") or Freddie Mac Uniform Mortgage Backed Securities ("UMBS") and then bought out of the respective PC or
UMBS by Freddie Mac, or retained by Freddie Mac in whole loan form since their acquisition
▪ Program Objectives
» Reduce Less Liquid Assets via economically reasonable transactions
» Provide flexibility to manage the market and credit risk on primarily modified, inconsistent pay RPLs
» Provide term financing to RPL credit investors via a securitization structure that is non-recourse and non-mark-to-market
» Promote broad investor participation for guaranteed senior certificates
» Give subordinate investors flexibility and control for customized servicing solutions, subject to FHFA RPL servicing requirements
which prioritize non-foreclosure resolutions, including modifications
▪ Loans will be deposited into a Freddie Mac trust (the “Trust”) which will issue the Securities, including guaranteed senior certificates (the
“Guaranteed Certificates”) and non-guaranteed subordinate certificates (the “Subordinate Certificates”)
» Freddie Mac auctioned the right to purchase the Subordinate Certificates and such right was awarded to 510 Residential Loan
Acquisition III LLC (the "Purchaser")
» The initial servicer (the “Securitization Servicer”) will be Specialized Loan Servicing LLC (“SLS”)
» The Purchaser:
» may engage a different servicer post closing; and
» will appoint a collateral administrator (the “Collateral Administrator”) to oversee the servicing, management and
disposition of the Mortgage Loans by the Securitization Servicer in accordance with the Pooling and Servicing Agreement
(“PSA”)
Note: See Offering Circular for definitions and further details
© Freddie Mac 5SLST 2021-1 Transaction Summary
▪ The transaction will include a Supplemental Guarantor Oversight Fee of 0.200% per annum paid to the Guarantor from the Trust on each
Distribution Date until the Guarantee Expiration Date
▪ Approximately 2.30% of the Mortgage Loans were unable to be tested to determine whether they were originated as high-cost loans in
unlimited assignee liability states, as identified in the PSA; however, the regulatory compliance-related and high-cost loan-related
representations in the PSA solely with respect to such mortgage loans will not expire at the end of the Warranty Period
▪ Approximately 34.68% of the Mortgage Loans were ever on a Temporary Forbearance Plan, as reported to Freddie Mac
▪ While the CARES Act continues to apply with respect to mortgage loans in the SLST transactions, beginning with SLST 2021-1, servicers will
also be required to (i) comply with any subsequent federal legislation that amends, supplements or replaces the CARES Act, and (ii) adhere
to any foreclosure or eviction moratorium related to the COVID-19 pandemic imposed by FHFA or by applicable federal legislation that would
apply to mortgage loans owned or securitized by Freddie Mac
▪ The term “PDP” will be used to describe any mortgage loan that was subject to a Freddie Mac payment deferral program (e.g., a Deferred
Payment Modification or Payment Deferral solution, including to resolve a COVID-19 related or disaster-related hardship), prior to issuance of
the securities. Mortgage Loans subject to a PDP are notated as “DPM” in the data tape
© Freddie Mac 6Retained Portfolio and Less Liquid Assets
▪ As of March 31, 2021, Freddie Mac’s total retained portfolio balance was $174.5 billion, which is comprised in part of Less Liquid Assets(1)
▪ A significant portion of Less Liquid Assets are single-family residential mortgage loans, which are the focus of both loan sales and
securitization efforts
▪ A varying amount of these assets are bought out of MBS and into the retained portfolio monthly
▪ Freddie Mac has been actively reducing these assets via economically reasonable transactions
3/31/2020 3/31/2021 Year over Year Change
Description
($ in Billions) ($ in Billions) ($ in Billions)
Re-performing Loans and Performing
$24.6 $17.2 $(7.4)
Modified Loans (2)(3)
Single-Family Unsecuritized Seriously
$8.2 $9.3 $ 1.1)
Delinquent Loans(3)
Total $32.8 $26.6 $(6.3)
(1) Less Liquid Assets include single-family RPLs and seriously delinquent loans, multifamily unsecuritized mortgage loans not in the securitization pipeline, certain Freddie Mac mortgage-related securities
and non-agency mortgage-related securities not guaranteed by the GSEs
(2) Includes loans that are 30 and 60 days delinquent
(3) Source: Freddie Mac Quarterly Report on Form 10-Q for the quarter ended March 31, 2021
© Freddie Mac 7Freddie Mac Seasoned and Legacy Loan Activity
Approximately $80 Billion from 2011 through April 2021
MBS - Fully Guaranteed Securitizations SCRT - RPL Senior/Sub
Re-Performing and Modified Pools Guaranteed Seniors / Non-guaranteed Subs
$30.0 billion settled since 2011 $31.3 billion settled since Q4 2016
Primarily 6+ months clean pay history Minimum 6+ months clean pay history
Serviced to Freddie Mac Guide Not serviced to Freddie Mac Guide
No forborne UPB Includes forborne UPB
No servicing change Freddie Mac selects servicer for the trust
NPL Sales SLST - RPL Structured Sales
SPO and EXPO Offerings Guaranteed Seniors / Non-guaranteed Subs
$8.7 billion settled since 2014 $9.9 billion settled since Q4 2016
Primarily 12+ months delinquent Primarily inconsistent pay RPLs and moderately DQ NPLs
Not serviced to Freddie Mac Guide Not serviced to Freddie Mac Guide
Includes forborne UPB Includes forborne UPB
NPL buyer selects servicer Buyer of subs selects servicer for the trust(1)
(1) The initial purchaser of the Subordinate Certificates may choose to transfer servicing after the Closing Date.
Source: Press Releases on FreddieMac.com
© Freddie Mac 82. Transaction Timeline
© Freddie Mac 9Transaction Timeline
March 2021 April 2021 May 2021
S M T W T F S S M T W T F S S M T W T F S
1 2 3 4 5 6 1 2 3 1
7 8 9 10 11 12 13 4 5 6 7 8 9 10 2 3 4 5 6 7 8
14 15 16 17 18 19 20 11 12 13 14 15 16 17 9 10 11 12 13 14 15
21 22 23 24 25 26 27 18 19 20 21 22 23 24 16 17 18 19 20 21 22
28 29 30 31 25 26 27 28 29 30 23 24 25 26 27 28 29
30 31
Holiday
SLST 2021-1 - Transaction Key Dates
Initial Disclosure Date (close of business) 03/31/2021
Cut-Off Date (close of business) 04/30/2021
Data Room Opens 05/03/2021
Pool Finalized Date 05/07/2021
Pre-Access Qualification Due Date 05/13/2021
Bid Due Date (by 11:00 am Eastern Time) 05/17/2021
Bid Award/Trade Date 05/17/2021
Deposit Due Date (by 2:00 pm Eastern Time) 05/19/2021
Expected Pricing of Certificates 05/20/2021
Securitization Issuance/Closing Date 05/27/2021
© Freddie Mac 103. Collateral and Structure
© Freddie Mac 11SLST Collateral – 2020/2021 Deals
Description SLST 2020-1 SLST 2020-2 SLST 2020-3 SLST 2021-1
at Settle at Settle at Settle at Settle
As of Date June 30, 2020 August 31, 2020 October 31, 2020 April 30, 2021
% Modified 100% 89% 89% 66%
% Freddie Mac PDP Only(1) 0% 6% 5% 8%
% Adjustable-Rate Mortgage Loan 0.0% 2.7% 0.7% 3.3%
Loan Count 6,026 10,185 4,486 6,814
General
Total UPB (including forborne UPB) in millions of USD $948 $1,508 $638 $809
Forborne UPB in millions of USD $64 $105 $41 $35
% UPB Forborne 6.8% 7.0% 6.4% 4.3%
% of Loans with a Forbearance (non-interest bearing) UPB 34.7% 44.5% 45.3% 33.8%
% of Loans in a Temporary Forbearance Plan and Current 4.8% 3.7% 5.0% 1.5%
% of Loans in a Temporary Forbearance Plan and Delinquent 21.7% 11.8% 12.9% 5.7%
Avg. Loan Size in thousands of USD $157 $148 $142 $119
Weighted Average Note Rate at Origination(2) 5.8% 6.2% 5.9% 5.7%
Note Rate
Weighted Average Current Note Rate(2) 4.6% 4.7% 4.7% 5.0%
Weighted Average Effective Note Rate(3) 4.2% 4.4% 4.4% 4.8%
Weighted Average Terminal Note Rate(2)(4) 4.6% 4.7% 4.8% 5.1%
Weighted Average Terminal Effective Note Rate(3)(4) 4.3% 4.4% 4.5% 4.8%
Weighted Average Loan Age from Origination (months) 151 160 159 160
Weighted Average Loan Age from Modification (months) 54 50 42 34
Weighted Average Remaining Term to Maturity (months) 405 367 370 326
Weighted Average Updated LTV (FHFA Indexed) 60% 60% 57% 51%
LTV/Credit Score
Weighted Average AVM Current LTV 62% 65% 58% 49%
% of Loans with AVM Current LTV > 105% 4.2% 4.9% 3.6% 1.0%
Weighted Average BPO Current LTV 70% 71% 65% 54%
% of Loans with BPO Current LTV > 105% 9.5% 10.2% 8.4% 3.5%
Non-Zero Weighted Average Credit Score at Origination 674 667 673 677
Non-Zero Weighted Average Current Credit Score 588 607 612 605
% of Loans in Judicial Foreclosure State 46.1% 45.2% 51.4% 46.1%
% of Loans with MI 17.9% 15.7% 15.5% 15.5%
% of Loans with Step-Rate at Modification 14.3% 15.1% 11.6% 5.5%
Weighted Average Number of Months Clean Pay History 3 3 3 3
% of Loans with 1-5 Months Clean Pay History 28% 40% 42% 48%
% of Loans with 6-11 Months Clean Pay History 31% 21% 16% 21%
Pay History
% of Loans with 12+ Months Clean Pay History 2% 2% 3% 2%
% of Loans that are Current 60% 63% 61% 70%
% of Loans that are 30-59 Days Delinquent 20% 22% 25% 21%
% of Loans that are 60-89 Days Delinquent 10% 11% 10% 8%
% of Loans that are 90+ Days Delinquent 10% 4% 4% 1%
Servicer SLS SPS Shellpoint SLS
(1) % Freddie Mac PDP modification is a subset of % Modified
(2) Note rates are weighted by Interest Bearing Unpaid Principal Balance only
(3) Note rate multiplied by the ratio of the aggregate Interest Bearing Unpaid Principal Balance over the aggregate Unpaid Principal Balance
(4) Weighted average of the fixed-rate or maximum step-rate over the life of each Mortgage Loan. Excludes any adjustable-rate Mortgage Loans.
© Freddie Mac 12Indicative SLST 2021-1 Transaction Structure
Freddie Mac provides certain representations and warranties on the Mortgage Loans
Trust issues
classes of
Guaranteed Class A-1*
Mortgage Certificates Class A-2*
Loans Class AF
transferred (“Guaranteed Certificates”)
Securitization
Trust
Mortgage
Loans
Class M*
Securitization
Class B*
Servicer
(“Subordinate Certificates”)
Trust issues
classes of
Non-Guaranteed
Certificates
Class XS*
(“Excess Servicing
Servicer will service the Certificates”)
Mortgage Loans according to
a Pooling and Servicing
Agreement *Exchangeable Certificates are
illustrated here; MACR certificates
will also be issued
Note: The Trust will also issue Residual Certificates and a Mortgage Insurance Certificate (the “Class MI Certificate”). The Class MI Certificate is entitled to Mortgage insurance Proceeds received from
Mortgage Loans, will be retained by Freddie Mac and is not offered hereby. The Class MI Certificate will not represent an interest in any REMIC.
© Freddie Mac 13Indicative SLST 2021-1 Structure
Indicative Structure Overview(1)
Initial Approximate Principal Mandatory Guarantor
Initial Class WAL
Base Offered Credit Initial Class Window Repurchase
Principal/Notional % UPB (years) Coupon Type Class Type
Class Class Enhancement Coupon (2) (months) Date/Stated Final
Amount (2)
% % Distribution Date
A-1 $558,198,967 69.00% 8.00% 2.750% 4.78 1-120 Fixed May 2031 Guaranteed/Sequential
AF(3)(4) A-2 $186,066,323 23.00% 8.00% 2.750% 9.99 120-120 Fixed May 2031 Guaranteed/Sequential
Guaranteed/Pass-
A $744,265,290 92.00% 8.00% 2.750% 6.08 1-120 Fixed May 2031
Through/MACR
M $24,269,520 3.00% 5.00% 5.000% 4.70 40-75 Fixed/Net WAC(5) April 2061 Subordinate
B $40,449,201 5.00% 0.00% 10.000% 16.17 75-348 Fixed/Net WAC(5) April 2061 Subordinate
N/A XS $808,984,011(6) N/A N/A N/A N/A N/A (7) N/A Excess Servicing Strip
SUB $64,718,721 8.00% 0.00% 8.125% 11.87 40-348 Fixed/Net WAC April 2061 Subordinate/MACR
MI $125,688,020(6) N/A N/A N/A N/A N/A N/A N/A Mortgage Insurance
Total $808,984,011 100.00%
(1) Figures shown are as of April 30, 2021
(2)
Pricing Assumptions VPR CDR Severity Optional Redemption/Clean-Up Call
SLST 2021-1 Ramp from 3% to 6% over 36 months Ramp from 0% to 2% over 36 months 30% Not Exercised
(3) The Class AF Certificates, which will not be an offered Class on the Closing Date, will be deposited into a REMIC and tranched sequentially into the Class A-1 and Class A-2 Certificates
(4) If the Guaranteed Certificates have not been redeemed by the Majority Representative in connection with its Optional Redemption Right or otherwise paid in full by the Distribution Date in May 2031, then effective on the Distribution Date in
June 2031 and thereafter, the coupon of the Class AF Certificates will become a floating rate coupon at a per annum rate, not less than 0.000%, equal to the lesser of (i) SOFR plus 2.000% and (ii) 7.000%
(5) The Class Coupon of the Class M and Class B Certificates for each Distribution Date will be a per annum rate equal to the lesser of (i) 5.000% and 10.000%, respectively, and (ii) the related Subordinate Certificates Net WAC for such
Distribution Date. To the extent the Class Coupon of the Class M or Class B Certificates is limited by the related Subordinate Certificates Net WAC, such Certificates will be entitled to Coupon Cap Shortfalls for such Class of Certificates
(6) Class Notional Amount
(7) The Class XS Certificates are entitled to the Excess Servicing Amount received on the Mortgage Loans
© Freddie Mac 14Preliminary Guaranteed Senior Certificates
Indicative Preliminary Guaranteed Senior Offerings(1)
Base Offered Maximum Initial Class Approximate Initial WAL Principal Window
Class Type
Class Class Principal/Notional Amount Class Coupon % (years)(2) (months)(2)
A-1 $558,198,967 2.750% 4.78 1-120 Sequential
A-1B $558,198,967 2.500% 4.78 1-120 Sequential, Strip Down/MACR
A-1C $558,198,967 2.250% 4.78 1-120 Sequential, Strip Down/MACR
A-1 A-1D $558,198,967 2.000% 4.78 1-120 Sequential, Strip Down/MACR
A-1E $558,198,967 1.750% 4.78 1-120 Sequential, Strip Down/MACR
A-1G $558,198,967 1.500% 4.78 1-120 Sequential, Strip Down/MACR
A-1IO $174,437,177(3) 4.000% 4.78 N/A Interest Only/MACR
A-2 $186,066,323 2.750% 9.99 120-120 Sequential
A-2B $186,066,323 2.500% 9.99 120-120 Sequential, Strip Down/MACR
A-2C $186,066,323 2.250% 9.99 120-120 Sequential, Strip Down/MACR
A-2 A-2D $186,066,323 2.000% 9.99 120-120 Sequential, Strip Down/MACR
A-2E $186,066,323 1.750% 9.99 120-120 Sequential, Strip Down/MACR
A-2G $186,066,323 1.500% 9.99 120-120 Sequential, Strip Down/MACR
A-2IO $58,145,725(3) 4.000% 9.99 N/A Interest Only/MACR
A $744,265,290 2.750% 6.08 1-120 Pass-Through/MACR
AB $744,265,290 2.500% 6.08 1-120 Pass-Through, Strip Down/MACR
AC $744,265,290 2.250% 6.08 1-120 Pass-Through, Strip Down/MACR
A AD $744,265,290 2.000% 6.08 1-120 Pass-Through, Strip Down/MACR
AE $744,265,290 1.750% 6.08 1-120 Pass-Through, Strip Down/MACR
AG $744,265,290 1.500% 6.08 1-120 Pass-Through, Strip Down/MACR
A-IO $232,582,902(3) 4.000% 6.08 N/A Interest Only/MACR
Total $744,265,290
(1) Figures shown are as of April 30, 2021. The Mandatory Guarantor Repurchase Date for all classes is May 2031
(2)
Pricing Assumptions VPR CDR Severity Optional Redemption/Clean-Up Call
SLST 2021-1 Ramp from 3% to 6% over 36 months Ramp from 0% to 2% over 36 months 30% Not Exercised
(3) Class Notional Amount
© Freddie Mac 15SLST 2021-1 A-1D: Projected Bond Cashflow Comparison
Pricing Speed Bond Comparison
Principal Window Pricing
Class Coupon WAL (years)(1) Pricing Date
(months)(1) Spread(2)
SLST 2021-1 A-1D 2.000% 4.78 1 – 120 N/A 5/20/2021 (Expected)
SCRT 2021-1 MA 2.000% 5.10 1 – 147 58 bps 4/8/2021
SLST 2020-3 A-1C 2.000% 4.91 1 – 120 80 bps 11/18/2020
Guaranteed Senior Class Factor(1) Attributes of SLST 2021-1 Class A-1D
Certificates
100%
▪ Guaranteed by Freddie Mac
80%
60% ▪ Fixed Rate Coupon
40% ▪ The Class A-1D final maturity date is at
year 10
20%
▪ The Majority Representative may call the
0%
deal at years 4, 5, 7 and annually
10
15
20
25
30
35
40
45
50
55
60
65
70
75
80
85
90
95
0
5
100
105
110
115
120
125
130
135
140
145
thereafter. In such case, the Class A-1D
SLST 21-1 A-1D Factor 100% PPS SCRT 21-1 MA Factor 100% PPS Certificates will receive 104%, 103%, and
100% of the Class Principal Amount,
SLST 20-3 A-1C Factor 100% PPS respectively
(1) Pricing Assumptions VPR CDR Severity Optional Redemption/Clean-Up Call
Ramp from 3% to 6% over
SLST 2018-2 and later Ramp from 0% to 2% over 36 months 30%
36 months
Not Exercised
Ramp from 5% to 8% over
SCRT 2021-1 (Groups M and H) Ramp from 0% to 1% over 36 months 25%
24 months
(2) Represents pricing level (spread to interpolated yield curve) as of the respective pricing date
© Freddie Mac 16SLST 2021-1 A-2D: Projected Bond Cashflow Comparison
Pricing Speed Bond Comparison
Principal Window Pricing
Class Coupon WAL (years)(1) Pricing Date
(months)(1) Spread(2)
SLST 2021-1 A-2D 2.000% 9.99 120 – 120 N/A 5/20/2021 (Expected)
FHMS K128 A-2 2.020% 9.72 107 – 119 14 bps 4/21/2021
SLST 2020-3 A-2C 2.000% 10.00 120 – 120 65 bps 11/18/2020
Attributes of SLST 2021-1 Class A-2D
Guaranteed Mezzanine Class Factor(1)
Certificates
100%
▪ Guaranteed by Freddie Mac
80%
60%
▪ Fixed Rate Coupon
40% ▪ The Class A-2D final maturity date is at
year 10
20%
▪ The Majority Representative may call the
0%
deal at years 4, 5, 7 and annually
10
15
20
25
30
35
40
45
50
55
60
65
70
75
80
85
90
95
0
5
100
105
110
115
120
125
130
135
140
145
150
155
thereafter. In such case, the Class A-2D
SLST 21-1 A-2D Factor 100% PPS FHMS K128 A-2 0% CPY Certificates will receive 104%, 103%, and
100% of the Class Principal Amount,
SLST 20-3 A-2C Factor 100% PPS respectively
(1) Pricing Assumptions VPR CDR Severity Optional Redemption/Clean-Up Call
Ramp from 3% to 6% over
SLST 2018-2 and later Ramp from 0% to 2% over 36 months 30%
36 months
Not Exercised
FHMS K128 0% CPY
(2) Represents pricing level (spread to interpolated yield curve) as of the respective pricing date
© Freddie Mac 174. Key Transaction Features
© Freddie Mac 18Performance Triggers and Structural Features
Terms/Structural
Description
Features
Non-Current
Mortgage Loan For any Distribution Date if the Non-Current Mortgage Loan Percentage exceeds 150% of the current Credit Enhancement, the trigger is breached
Percentage Trigger
The Subordinate Certificates will not receive distributions of principal while the Credit Enhancement (initially 8.00%) is below the target Credit
Minimum Credit
Enhancement of 13.00%. Prior to paying interest to the Subordinate Certificates, principal is paid to the Class AF (1) Certificates to maintain Credit
Enhancement
Enhancement at the greater of (i) 8.00% and (ii) the highest Credit Enhancement achieved on any prior or the current Distribution Date (capped at
Features
13.00%)
Mandatory Guarantor The obligation of the Guarantor to purchase the Class AF Certificates at the Mandatory Guarantor Repurchase Price if the Majority Representative
Repurchase does not exercise its Optional Redemption Right on or before the Distribution Date in May 2031. The amount paid by the Guarantor will be used to pay
Obligation the remaining Class Principal Amounts and any accrued and unpaid interest of the Class A-1 and Class A-2 Certificates
The Majority Representative may, at its option, redeem the Class AF Certificates, the Class MI Certificate and the Subordinate Certificates on the
Distribution Dates in May 2025, May 2026 and May 2028 and in May each year thereafter at a price equal to the sum of:
(i) for the Class AF Certificates, 104%, 103% and 100%, respectively, of the aggregate Class Principal Amount thereof, plus any accrued and
unpaid interest thereon;
Optional Redemption
(ii) for the Class MI Certificate, the Class MI Fair Market Value Price; and
(iii) for the Subordinate Certificates, 100% of the aggregate Class Principal Amount thereof, plus any accrued and unpaid interest due for such
Distribution Date
Beginning on August 1, 2021, the Collateral Administrator may direct or provide consent to the Securitization Servicer to sell any of the Mortgage Loans
that are 180 days or more delinquent (each a “Seriously Delinquent Mortgage Loan”) to any third party unaffiliated with the Securitization Servicer,
Collateral Administrator or Majority Representative in an arm’s length transaction at any time without restriction so long as:
▪ Such sale would result in an economic benefit to the Certificateholders
Loan Sale Right
▪ Seriously Delinquent Mortgage Loans sold in any calendar year do not exceed 5% of the total number of Mortgage Loans as of the
preceding year-end
▪ Seriously Delinquent Mortgage Loans sold do not exceed a cumulative number of 10% of the total number of Mortgage Loans as of the
Cut-Off Date
10% Clean-Up Call may be exercised by the Majority Representative or the holder of more than 50% of the Class B Certificates or the Securitization
Clean-Up Call
Servicer
(1) Principal payments distributed to the Class AF Certificates will be allocated to the Class A-1 and Class A-2 Certificates sequentially if no Guarantor Nonpayment Event exists and pro rata (based on their
respective Class Principal Amounts) if a Guarantor Nonpayment Event exists
Note: See Offering Circular for definitions and further details
© Freddie Mac 19Majority Representative and Retention Requirements
▪ The Retained Certificateholder will at all times be the “Majority Representative” unless:
» the Retained Certificateholder sells more than 50% of the Class Principal Amount of any outstanding class of Retained Certificates;
» the Class Principal Amounts of the Retained Certificates are all reduced to zero; or
» any of the Retained Certificates are sold in violation of the Pooling and Servicing Agreement
If any of the above occur, the Retained Certificateholder will no longer be the Majority Representative and there will be no successor Majority
Representative appointed (i.e., there will be no Majority Representative)
▪ Any Majority Representative will have the:
» Optional Redemption Right;
» Right to exercise the Clean-up Call; and
» Right to terminate the Collateral Administrator and the obligation to replace the Collateral Administrator
▪ Retention Requirements
» The Retained Certificateholder will be required to retain 100% of the Class M, Class B and Class XS Certificates (the “Retained
Certificates”), and any related MACR Certificates exchanged therefor, for at least 3 years post-closing
» From year 4 to year 7 post-closing, the Retained Certificateholder will have the right to sell all (but not less than all) of the Retained
Certificates to a single subsequent purchaser
» After year 7 post-closing, the Retained Certificateholder will have the right to sell some or all the Retained Certificates if certain sales
thresholds are met
Note: See Offering Circular for definitions and further details
© Freddie Mac 205. Servicing and Program Support
© Freddie Mac 21Servicing Practices for COVID-19
COVID Impacted Borrowers
▪ The Securitization Servicer must (i) comply with the CARES Act (and any subsequent federal legislation that amends, supplements or
replaces the CARES Act), and (ii) adhere to any foreclosure or eviction moratorium related to the COVID-19 pandemic imposed by FHFA or
by applicable federal legislation that would apply to loans owned or securitized by Freddie Mac
▪ The Securitization Servicer will comply with the CARES Act by providing forbearance to customers who notify the Securitization Servicer and
affirm that they are experiencing a COVID-19 related hardship. No documentation is required to qualify for a COVID-19 forbearance
▪ Customers on a COVID-19 Forbearance Plan are not charged late fees, NSF fees, additional interest (beyond the regular accrued interest) or
other fees during the forbearance period
▪ The Securitization Servicer has a comprehensive outreach program to customers on COVID-19 Forbearance Plans, including call
campaigns, letters, and emails to impacted customers
▪ CARES Act forbearances will be available for borrowers with hardships until the end of the national emergency or December 31, 2020,
whichever comes first, or as otherwise required by the CARES Act
▪ If a borrower is on a forbearance plan for less than 180 days, the Securitization Servicer will continue to extend the forbearance period as
appropriate, in 30 or 90 day increments, up to the term required by the CARES Act
Investor Reporting
▪ The Securitization Servicer will continue to report the borrower delinquency status via investor reporting based on actual payments received
while on a forbearance plan, which will show the borrower as delinquent for any payments not made during the forbearance period
© Freddie Mac 22Servicing and Collateral Oversight
The Collateral Administrator, if any, and Guarantor each have responsibilities for management of the collateral and servicing.
COLLATERAL ADMINISTRATOR
▪ General oversight of the Securitization Servicer
▪ Consent, withhold consent or waive the right to consent to the Securitization Servicer’s:
» Strategy for implementing foreclosure alternatives and administration of defaulted loans
» Property valuations and sale of any REO properties
» Litigation settlement offers
▪ Review alleged Material Breaches, Collateral Deficiency Losses and Existing Lien Losses, and issue Notices of Breach or Indemnification
to Freddie Mac
GUARANTOR OVERSIGHT AND SERVICING REMEDY MANAGEMENT PROCESS
▪ Securitization Servicer provides monthly data to Freddie Mac as Guarantor
▪ Guarantor monitors remittance data and may request additional documentation to evaluate Securitization Servicer’s compliance with the
Pooling and Servicing Agreement
▪ If a servicing defect is identified, the Guarantor may determine if it is the result of a servicing violation, and whether or not it can be
remedied:
» Where the defect can be remedied, the Securitization Servicer will be required to remedy the defect within the servicing
correction period of 90 days
» Where the defect cannot be remedied (e.g., extinguishes the lien, etc.), the Securitization Servicer may be issued a servicing
remedy letter that may include a servicing remedy amount
▪ The servicing remedy amount is determined by the Guarantor and is payable by the Securitization Servicer to compensate for damages,
expenses and losses resulting from the servicing defect
© Freddie Mac 23Post Securitization Servicing Requirements
Modification and Loss Mitigation Third Party Servicer
Eligibility ▪ Securitization Servicer can’t acquire lender placed insurance from
affiliate
▪ To be eligible, borrower must (1) be 60+ days delinquent or (2)
have provided sufficient information on loss mitigation ▪ If Securitization Servicer obtains property valuation, preservation or
application and Securitization Servicer determines that the disposition services from affiliate, then the Securitization Servicer
borrower is at risk of imminent default may not receive incentive based compensation and the costs of
services must be reasonable and at market levels
Limits
Cap on Advances
▪ Any modification must meet the following criteria: ▪ Any advance amount exceeding a cap will require advance notice to
the Guarantor and Collateral Administrator and a non-objection from
» No more than 1 modification every 12 months, and
the Guarantor in order to be reimbursable
no more than 2 total after the Closing Date(1)
Valuation Requirements
» No principal forgiveness for any loan where
resulting post-mod MTMLTV(2) (using interest ▪ Securitization Servicer must comply with the valuation waterfall
bearing balance) is less than 105% below when determining the valuation to be used in evaluating loss
mitigation alternatives
» No principal forbearance for any loan where
» Step 1: Obtain BPO and Home Value Explorer® (“HVE®”)
resulting post-mod MTMLTV(2) (using interest
valuations
bearing balance) is less than 80%
» Step 2: If the BPO value is within +/- 15% of the HVE® value,
▪ No short payoff (including forbearance amounts) unless then the Securitization Servicer must use the BPO valuation
eligibility criteria above is met and the Securitization Servicer
determines such action to be in the best interest of the » Step 3: If an HVE® value is not available or the BPO value is
Certificateholders greater than or equal to +/- 15% of the HVE® value, then the
Securitization Servicer must obtain a second BPO value
▪ Securitization Servicer may not solicit performing borrowers for from a non-affiliated broker
loss mitigation
» Step 4: If the Securitization Servicer is required to order a
▪ Payment deferrals are modifications under the terms of the PSA second BPO valuation, then the Securitization Servicer must
use the higher of the two BPO valuations
(1) So long as there is a Majority Representative, the Collateral Administrator may consent to more than 1 modification every 12 months and more than 2 total after the Closing Date
(2) MTMLTV is the mark to market loan-to-value ratio based on the interest bearing unpaid principal balance of the related Mortgage Loan and the current market value of the related mortgaged property, as
described in the Valuation Requirements above
© Freddie Mac 24SLST Program Support
▪ Financing for Guaranteed Classes
» Freddie Mac can offer repo financing for SLST guaranteed tranches (except IOs) to approved counterparties
» SLST Guaranteed Certificates are eligible for financing under the BNY Mellon MBS Tri-party Repo
» Acceptable collateral to pledge to certain of the FHLBs – Pittsburgh, Boston, New York, Atlanta, Chicago, Des Moines, San Francisco,
Topeka, Indianapolis, Cincinnati and Dallas
▪ Models & Data Vendors
» Bloomberg:
» Password: “SSAP ” then enter “SLST20211” in box and press
» Natively supports pricing speed: 100 PPS: through the API and BDP
“SLST 2021-1 YT NEW 100 PPS ”
» Model projections: BTM will call a version of the Bloomberg Transition Model fit to similar collateral
“SLST 2021-1 BCMV ”
» Yield Book
» Prepay Model: Model V21.6 fits for voluntary prepayment speeds to production
» Analytics: Agency OAS is comparable to RPL SLST OAS
» Historical Cohort Data
» A mapping file is available to track loan performance pre and post securitization for SCRT and SLST loans in the Single Family
Loan Level Dataset (SFLLD)
» Access to the SFLLD: http://www.freddiemac.com/research/datasets/sf_loanlevel_dataset.page
» Reperforming Loan ID Match FAQ: http://www.freddiemac.com/fmac-resources/research/pdf/rpl_loan_id_match_faq.pdf
» Loan-Level Data (Post-Issuance)
» US Bank Trust Gateway: Provides monthly loan-level remittance data
» https://pivot.usbank.com/
» CoreLogic: Redistributes loan-level remittance data
» 1010data: Redistributes loan-level remittance data in the form of an aggregated dataset (stacked for each deal and month)
» https://www.1010data.com/industries/financial-services/fixed-income/
» SCRT/SLST dataset path: pub.fin.risk_share.fhlmc_rpl.monthly
© Freddie Mac 25SLST Investor Types(1)
Guaranteed Certificates Non-Guaranteed Certificates
FHLB, 2.4%
Other(2), 0.1%
REIT, 1.7%
Insurance
Company,
9.0%
Bank/Credit Union,
40.7% REIT, 43.3%
Private Equity,
56.7%
Money Manager,
46.1%
(1) As determined by market value and reflected as of issuance for all SLST transactions from SLST 2018-1 to SLST 2020-3
(2) “Other” is comprised of Dealers and Hedge Funds
© Freddie Mac 266. Historical Deal Performance and Model Data
© Freddie Mac 27SLST 2021-1 Projected Model Speeds
VPR(1)
16
14
12
Rate %
10
8
6
4
2
0
Yieldbook Model Bloomberg Model SLST Pricing Speed
CDR(1)
4
3.5
3
Rate %
2.5
2
1.5
1
0.5
0
Yieldbook Model Bloomberg Model SLST Pricing Speed
VPR CDR Severity
Pricing Assumptions
Ramp from 3% to 6% over 36 months Ramp from 0% to 2% over 36 months 30%
Note: SLST Pricing Speed, Bloomberg and Yield Book Model VPRs begin in month 1 of the transaction
(1) Using Yield Book Model as of May 13, 2021
© Freddie Mac 28SLST Historical Speeds
1-Month CPR By Months After Issuance(1)
12.0
10.0
8.0
6.0
4.0
2.0
0.0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34
SLST 2018-1 SLST 2018-2 SLST 2019-1
SLST 2019-2 SLST 2019-3 SLST 2020-1
SLST 2020-2 SLST 2020-3 SLST 2021-1 (Pricing Assumption)
SLST 2021-1 – WAL Table(2)
Class 60% PPS 80% PPS 100% PPS 120% PPS 140% PPS
SLST 2021-1 A-1 Certificates 5.52 5.14 4.78 4.44 4.12
SLST 2021-1 A-2 Certificates 9.99 9.99 9.99 9.99 9.99
(1) Total prepayments and defaults as of April 2021 remittance data for SLST 2018-1 through SLST 2020-3. Data source: Bloomberg
(2) Based on preliminary cashflow projections at various percentages of the SLST 2021-1 Pricing Assumption VPR ramp
Each period indicates month end data
© Freddie Mac 29SLST Historical Cashflow
% Scheduled Payments Made
By Calendar Month (1)(2)
110%
105%
100%
95%
90%
85%
80%
75%
70%
SLST2017-1 SLST2017-2 SLST2018-1 SLST2018-2 SLST2019-1
SLST2019-2 SLST2019-3 SLST2020-1 SLST2020-2 SLST2020-3
(1) Weighted by ending total UPB as of April 2021 remittance data (3/31/2021 cutoff date)
(2) It is assumed that: (a) if a loan is modified or liquidated in the current cycle, no payment is made; and (b) actual number of payments made is calculated as the number of months due date moved forward
compared to the prior cycle
© Freddie Mac 307. Historical Cohort Performance
© Freddie Mac 31Cohort Stratifications(5)
Description Modified(1) Non-Modified(1) All(1)
Loan Count 44,191 16,729 60,920
% of Loans Modified 100% 0% 80%
% of Loans on a Forbearance Plan 0.3% 0.3% 0.3%
General
Total UPB (including forborne UPB) in millions $7,756 $1,932 $9,688
Forborne UPB in millions $365 $1 $365
% UPB Forborne 4.7% 0.0% 3.8%
% of Loans with a Forbearance Modification 22% 0.0% 18%
Average Loan Size $175,515 $115,487 $159,031
Weighted Average Mortgage Rate at Origination (2) 6.0% 5.8% 6.0%
Note
Rate
Weighted Average Current Mortgage Rate(2) 4.3% 5.8% 4.6%
Weighted Average Effective Mortgage Rate(3) 4.1% 5.8% 4.4%
Weighted Average Remaining Maturity (months) 414 237 378
Age
Weighted Average Loan Age from Origination (months) 113 113 113
Weighted Average Age Since Modification (months) 33 N/A 26
Weighted Average LTV at Origination 79 76 78
LTV / Credit
Weighted Average Updated LTV based on FHFA Index(4) 76 58 72
Score
Weighted Average Credit Score at Origination 677 695 681
% of Loans with I/O Term at Origination 0% 0% 0%
% of Loans with Mortgage Insurance 26% 22% 25%
Average Number of Months Clean Pay 2 2 2
% of Loans w/ 1-5 Months Clean Pay History 65% 64% 65%
Pay History
% of Loans w/ 6-11 Months Clean Pay History 0% 0% 0%
% of Loans w/ at Least 12 Months Clean Pay History 0% 0% 0%
% of Loans that are 30-59 Days Delinquent 25% 25% 25%
% of Loans that are 60-89 Days Delinquent 10% 11% 10%
% of Loans that are 90+ Days Delinquent or REO 0% 0% 0%
(1) Cohort is constructed from Freddie Mac's Single-Family Loan-Level Dataset, with certain assumptions as of June 2016, using loans with characteristics similar to those in the SLST program
(2) Note rates are weighted by Interest Bearing Unpaid Principal Balance
(3) Note rate multiplied by the ratio of the aggregate unpaid interest bearing balance over the aggregate unpaid principal balance of the mortgage loans as of the prior month
(4) Updated LTVs were estimated based on the FHFA Home Price Index values available at that time
(5) Freddie Mac’s Single-Family Loan-Level Dataset does not include adjustable-rate mortgage loans
© Freddie Mac 32Cohort Historical Performance by Rate Type
(1) Cohort excludes repurchases. Data set includes loans that are similar in characteristics/delinquency status to those in the SLST program, based on the cohort on page 32
(2) Delinquent interest at liquidation is excluded from the severity in SFLLD in order to be consistent with SLST remittance and reporting
(3) It is assumed that: (a) if a loan is modified or liquidated in the current cycle, no payment is made; (b) actual number of payments made is calculated as the number of months due date moved forward compared
to the prior cycle; and (c) numbers are aggregated for the current and delinquent loans separately, then averaged together assuming the initial delinquency percentage is scaled to 35% to mirror this pool (the
cohort was 35% as of June 2016)
© Freddie Mac 338. Data Stratifications
© Freddie Mac 34SLST 2021-1 Stratifications (as of April 30, 2021)
Product Type Current Mortgage Rate (%)
Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid
Mortgage Loans Principal Balance ($) Principal Balance (%) Mortgage Loans Principal Balance ($) Principal Balance (%)
Fixed-Rate 6,321 738,015,563 91.23 Less than or equal to 2.500 49 8,395,515 1.04
Step-Rate 241 44,237,666 5.47 2.501 to 3.000 203 22,830,014 2.82
Adjustable-Rate 252 26,730,782 3.30 3.001 to 3.500 287 41,222,892 5.10
Total: 6,814 808,984,011 100.00 3.501 to 4.000 865 152,698,519 18.88
Unpaid Principal Balance ($) 4.001 to 4.500 783 132,256,528 16.35
4.501 to 5.000 821 123,741,229 15.30
Number of Aggregate Unpaid Aggregate Unpaid 5.001 to 5.500 630 77,229,704 9.55
Mortgage Loans Principal Balance ($) Principal Balance (%) 5.501 to 6.000 879 86,079,979 10.64
0.01 to 100,000.00 3,646 201,670,821 24.93
Greater than or equal to 6.001 2,297 164,529,633 20.34
100,000.01 to 200,000.00 2,039 289,409,799 35.77 Total: 6,814 808,984,011 100.00
200,000.01 to 300,000.00 773 186,870,539 23.10 Minimum: 2.000
300,000.01 to 400,000.00 275 93,630,078 11.57 Maximum: 12.250
400,000.01 to 500,000.00 64 27,820,222 3.44 Weighted Average*: 4.973
Greater than or equal to 500,000.01 17 9,582,553 1.18 *Weighted by Interest Bearing Unpaid Principal Balance only.
Total: 6,814 808,984,011 100.00
Minimum: 5,003.89
Maximum: 721,466.28
BPO Current Loan-to-Value (%)
Average: 118,723.81
Current Credit Score Number of Aggregate Unpaid Aggregate Unpaid
Mortgage Loans Principal Balance ($) Principal Balance (%)
Number of Aggregate Unpaid Aggregate Unpaid Less than or equal to 50.00 4,334 388,434,199 48.02
Mortgage Loans Principal Balance ($) Principal Balance (%) 50.01 to 60.00 861 121,721,417 15.05
Not Available 326 25,430,308 3.14 60.01 to 70.00 648 109,738,843 13.57
401 to 450 6 1,051,600 0.13 70.01 to 80.00 402 75,835,527 9.37
451 to 500 160 18,231,751 2.25 80.01 to 90.00 270 51,103,721 6.32
501 to 550 1,085 129,004,951 15.95 90.01 to 100.00 130 26,482,031 3.27
551 to 600 2,001 236,464,382 29.23 100.01 to 110.00 67 16,002,099 1.98
601 to 650 1,821 222,436,291 27.50 110.01 to 120.00 41 8,379,590 1.04
651 to 700 1,088 134,329,887 16.60 120.01 to 130.00 23 3,917,597 0.48
701 to 750 261 34,729,927 4.29 130.01 to 140.00 13 3,213,620 0.40
751 to 800 61 6,784,124 0.84 140.01 to 150.00 10 1,720,519 0.21
801 to 850 5 520,790 0.06 Greater than or equal to 150.01 15 2,434,851 0.30
Total: 6,814 808,984,011 100.00 Total: 6,814 808,984,011 100.00
Non-Zero Minimum: 417 Minimum: 0.52
Maximum: 822 Maximum: 303.75
Non-Zero Weighted Average: 605 Weighted Average: 54.45
© Freddie Mac 35SLST 2021-1 Stratifications (as of April 30, 2021)
AVM Current Loan-to-Value (%) Remaining Term to Maturity (months)
Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid
Mortgage Loans Principal Balance ($) Principal Balance (%) Mortgage Loans Principal Balance ($) Principal Balance (%)
Less than or equal to 50.00 5,024 467,747,839 57.82 Less than or equal to 240 3,579 291,653,122 36.05
50.01 to 60.00 805 132,288,717 16.35 241 to 300 396 55,270,382 6.83
60.01 to 70.00 491 94,540,982 11.69 301 to 360 203 36,639,372 4.53
70.01 to 80.00 279 59,167,512 7.31 361 to 420 602 99,180,359 12.26
80.01 to 90.00 123 30,059,125 3.72 421 to 480 2,034 326,240,776 40.33
90.01 to 100.00 48 11,719,523 1.45 Total: 6,814 808,984,011 100.00
100.01 to 110.00 21 7,253,052 0.90 Minimum: 3
110.01 to 120.00 10 2,706,068 0.33 Maximum: 479
120.01 to 130.00 5 1,082,627 0.13 Weighted Average: 326
130.01 to 140.00 3 1,191,894 0.15 Occupancy Type at Origination
140.01 to 150.00 3 806,714 0.10
Greater than or equal to 150.01 2 419,960 0.05 Number of Aggregate Unpaid Aggregate Unpaid
Mortgage Loans Principal Balance ($) Principal Balance (%)
Total: 6,814 808,984,011 100.00
Principal Residence 6,407 765,747,820 94.66
Minimum: 0.00
Investment Property 253 25,508,063 3.15
Maximum: 282.00
Second Home 154 17,728,128 2.19
Weighted Average: 48.70
Total: 6,814 808,984,011 100.00
Loan Age from Modification Date(1) (months)
Loan Purpose at Origination
Number of Aggregate Unpaid Aggregate Unpaid
Mortgage Loans Principal Balance ($) Principal Balance (%) Number of Aggregate Unpaid Aggregate Unpaid
Mortgage Loans Principal Balance ($) Principal Balance (%)
Not Modified 3,254 274,921,996 33.98
No Cash-out Refinance 2,442 289,367,779 35.77
Less than or equal to 12 1,291 193,658,106 23.94
Purchase 2,474 285,284,190 35.26
13 to 24 719 102,112,837 12.62
Cash-out Refinance 1,894 234,190,621 28.95
25 to 36 392 58,678,204 7.25
Refinance - Not Specified 4 141,420 0.02
37 to 48 295 46,509,834 5.75
Total: 6,814 808,984,011 100.00
49 to 60 224 34,668,878 4.29
61 to 72 145 19,218,033 2.38 Property Type at Origination
73 to 84 124 17,574,641 2.17
Number of Aggregate Unpaid Aggregate Unpaid
Greater than or equal to 85 370 61,641,482 7.62 Mortgage Loans Principal Balance ($) Principal Balance (%)
Total: 6,814 808,984,011 100.00
Single Family 5,682 652,758,501 80.69
Minimum: 0
Planned Unit Development 681 113,075,738 13.98
Maximum: 218
Condominium 306 35,500,052 4.39
Weighted Average: 34
Manufactured Housing 142 7,421,087 0.92
Cooperative 2 178,742 0.02
Unknown 1 49,891 0.01
Total: 6,814 808,984,011 100.00
(1) Calculation uses the most recent modification date
© Freddie Mac 36SLST 2021-1 Stratifications (as of April 30, 2021)
Geographic Concentration of the Mortgaged Properties (State) Clean Pay History (months)*
Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid
Mortgage Loans Principal Balance ($) Principal Balance (%) Mortgage Loans Principal Balance ($) Principal Balance (%)
California 417 74,667,567 9.23 None 2,027 239,149,544 29.56
New York 400 74,331,777 9.19 1 to 5 3,342 384,882,310 47.58
New Jersey 291 50,918,887 6.29 6 to 11 1,310 170,496,301 21.08
Florida 387 49,559,347 6.13 Greater than or equal to 12 135 14,455,856 1.79
Texas 453 40,062,627 4.95 Total: 6,814 808,984,011 100.00
Others 4,866 519,443,808 64.21 * Calculated using the MBA method.
Total: 6,814 808,984,011 100.00
Current Delinquency Status*
Forborne UPB Percentage (%)
Number of Aggregate Unpaid Aggregate Unpaid
Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Principal Balance ($) Principal Balance (%)
Mortgage Loans Principal Balance ($) Principal Balance (%) Current 4,520 537,138,894 66.40
None 5,131 535,283,596 66.17 30 to 59 Days Delinquent 1,347 152,716,142 18.88
0.01 to 10.00 1,117 161,373,515 19.95 60 to 89 Days Delinquent 431 57,142,352 7.06
10.01 to 20.00 222 38,874,663 4.81 90 to 119 Days Delinquent 87 11,035,428 1.36
20.01 to 30.00 153 32,933,196 4.07 Bankruptcy – Current 267 32,695,573 4.04
30.01 to 40.00 152 33,192,861 4.10 Bankruptcy – 30 to 59 Days Delinquent 120 13,405,179 1.66
40.01 to 50.00 17 3,008,439 0.37 Bankruptcy – 60 to 89 Days Delinquent 42 4,850,444 0.60
Greater than or equal to 50.01 22 4,317,743 0.53 Total: 6,814 808,984,011 100.00
Total: 6,814 808,984,011 100.00 * Calculated using the MBA method.
Minimum: 0.00
Maximum: 94.24
Weighted Average: 4.33
Number of Remaining Steps of Step-Rate Mortgage Loans
Number of Aggregate Unpaid Aggregate Unpaid
Mortgage Loans Principal Balance ($) Principal Balance (%)
0 197 35,872,492 81.09
1 26 4,566,592 10.32
2 14 3,258,159 7.37
3 4 540,423 1.22
Total: 241 44,237,666 100.00
© Freddie Mac 37SLST 2021-1 Stratifications (as of April 30, 2021)
Temporary Forbearance Plan Clean Pay History (months) of Mortgage Loans in a Temporary Forbearance Plan*
Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid
Mortgage Loans Principal Balance ($) Principal Balance (%) Mortgage Loans Principal Balance ($) Principal Balance (%)
No 6,370 750,462,585 92.77 None 342 46,258,316 79.05
Yes 444 58,521,426 7.23 1 to 5 95 11,369,167 19.43
Total: 6,814 808,984,011 100.00 6 to 11 6 866,902 1.48
Greater than or equal to 12 1 27,041 0.05
Total: 444 58,521,426 100.00
Temporary Forbearance Plan Start Date * Calculated using the MBA method.
Number of Aggregate Unpaid Aggregate Unpaid Current Delinquency Status of Mortgage Loans in a Temporary Forbearance Plan*
Mortgage Loans Principal Balance ($) Principal Balance (%)
March 2020 6 1,057,959 1.81 Number of Aggregate Unpaid Aggregate Unpaid
April 2020 36 5,256,283 8.98 Mortgage Loans Principal Balance ($) Principal Balance (%)
May 2020 39 5,903,637 10.09 Current 101 12,002,055 20.51
June 2020 23 2,681,418 4.58 30 to 59 Days Delinquent 139 19,268,468 32.93
July 2020 7 523,228 0.89 60 to 89 Days Delinquent 115 15,794,721 26.99
August 2020 12 1,276,074 2.18 90 to 119 Days Delinquent 87 11,035,428 18.86
September 2020 17 1,669,125 2.85 Bankruptcy – Current 1 261,055 0.45
October 2020 18 2,579,940 4.41 Bankruptcy – 30 to 59 Days Delinquent 1 159,699 0.27
November 2020 29 3,948,292 6.75 Total: 444 58,521,426 100.00
December 2020 46 4,761,871 8.14 * Calculated using the MBA method.
January 2021 41 5,547,838 9.48
February 2021 63 8,500,144 14.52
March 2021 56 7,871,559 13.45
April 2021 48 6,507,755 11.12
May 2021 3 436,303 0.75
Total: 444 58,521,426 100.00
© Freddie Mac 38SLST 2021-1 Stratifications (as of April 30, 2021)
Index (Adjustable–Rate Mortgage Loans Only) Months to Next Rate Adjustment Date (Adjustable–Rate Mortgage Loans Only)(1)
Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid
Mortgage Loans Principal Balance ($) Principal Balance (%) Mortgage Loans Principal Balance ($) Principal Balance (%)
1 Year CMT 174 15,793,297 59.08 1 30 3,351,411 12.54
1 Year LIBOR 66 9,340,125 34.94 2 27 2,557,694 9.57
6 Month LIBOR 11 1,579,171 5.91 3 24 2,652,323 9.92
3 Year CMT 1 18,188 0.07 4 28 3,029,294 11.33
Total: 252 26,730,782 100.00 5 23 2,294,566 8.58
6 21 1,944,549 7.27
7 21 2,589,909 9.69
8 11 1,116,033 4.18
9 17 2,079,357 7.78
Gross Margin (Adjustable–Rate Mortgage Loans Only) 10 13 1,232,710 4.61
11 20 1,951,190 7.30
Number of Aggregate Unpaid Aggregate Unpaid
Mortgage Loans Principal Balance ($) Principal Balance (%) 12 17 1,931,746 7.23
Total: 252 26,730,782 100.00
2.001 to 2.500 70 10,201,579 38.16
Weighted Average: 6
2.501 to 3.000 179 16,258,399 60.82
3.501 to 4.000 1 75,084 0.28
4.501 to 5.000 1 152,863 0.57
5.501 to 6.000 1 42,857 0.16
Total: 252 26,730,782 100.00
Minimum: 2.150
Maximum: 5.625
Weighted Average: 2.583
Periodic Rate Adjustment Cap (Adjustable–Rate Mortgage Loans Only) Periodic Adjustment Frequency (Adjustable–Rate Mortgage Loans Only)
Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid
Mortgage Loans Principal Balance ($) Principal Balance (%) Mortgage Loans Principal Balance ($) Principal Balance (%)
1.000 6 919,414 3.44 6 11 1,579,171 5.91
2.000 246 25,811,367 96.56 12 240 25,133,422 94.02
Total: 252 26,730,782 100.00 36 1 18,188 0.07
Weighted Average: 1.966 Total: 252 26,730,782 100.00
(1) Calculation based on the related Adjustable-Rate Mortgage Loan’s initial reset date, next payment due date and periodic adjustment frequency
© Freddie Mac 39SLST 2021-1 Stratifications (as of April 30, 2021)
Lifetime Minimum Rate (Adjustable–Rate Mortgage Loans Only) Lifetime Maximum Rate (Adjustable–Rate Mortgage Loans Only)
Number of Aggregate Unpaid Aggregate Unpaid Number of Aggregate Unpaid Aggregate Unpaid
Mortgage Loans Principal Balance ($) Principal Balance (%) Mortgage Loans Principal Balance ($) Principal Balance (%)
2.001 to 2.500 70 10,201,579 38.16 7.501 to 8.000 1 158,546 0.59
2.501 to 3.000 179 16,258,399 60.82 8.001 to 8.500 1 77,961 0.29
4.501 to 5.000 1 152,863 0.57 8.501 to 9.000 5 609,975 2.28
6.001 to 6.500 1 75,084 0.28 9.001 to 9.500 17 1,398,781 5.23
8.001 to 8.500 1 42,857 0.16 9.501 to 10.000 61 6,108,704 22.85
Total: 252 26,730,782 100.00 10.001 to 10.500 44 4,596,974 17.20
Minimum: 2.150 10.501 to 11.000 49 5,579,566 20.87
Maximum: 8.125 11.001 to 11.500 31 4,007,127 14.99
Weighted Average: 2.594 11.501 to 12.000 17 2,001,954 7.49
12.001 to 12.500 9 886,083 3.31
12.501 to 13.000 10 961,220 3.60
13.001 to 13.500 4 235,253 0.88
13.501 to 14.000 1 18,188 0.07
14.001 to 14.500 2 90,450 0.34
Total: 252 26,730,782 100.00
Minimum: 7.875
Maximum: 14.125
Weighted Average: 10.665
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