Fitch Pre-Sale Structured Agency Fitch Pre-Sale Structured Agency Credit Risk Debt Notes, Series 2016-DNA1Credit Risk Debt Notes, Series 2016-DNA1

7/21/2019 Fitch Pre-Sale Structured Agency Fitch Pre-Sale Structured Agency Credit Risk Debt Notes, Series 2016-DNA1Credit Risk Debt Notes, Series 2016-DNA1

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Structured Finance

www.fitchratings.com January 7, 2016

Inside This Report PageTransaction Summary 1Key Rating Drivers 1Additional Rating Drivers 2Transaction Overview 3Transaction Structure 3Asset Analysis 6Transaction Comparison 8Third-Party Due Diligence Review 13Aggregator Review Analysis 13Servicers and Master Servicer 14Mortgage Loan Representationsand Warranties 15

Financial Structure, Credit Enhancementand Cash Flow Analysis 17

Counterparty Risk 19Transaction and Legal Structure 19Model, Criteria Application and

Data Adequacy 20Performance Analytics 20Appendix A: Aggregator 21Appendix B: Servicers 29Appendix C: Rating Sensitivity 32Appendix D: Third-Party Due Diligence 33Appendix E: Exchangeable Notes 35Appendix F: Transaction Overview 36

Related Criteria

Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes (March 2015)

Global Structured Finance Rating Criteria(July 2015)

Counterparty Criteria for StructuredFinance and Covered Bonds

(May 2014)U.S. RMBS Master Rating Criteria(October 2015)

U.S. RMBS Loan Loss Model Criteria(August 2015)

U.S. RMBS Cash Flow Analysis Criteria(April 2015)

Rating Criteria for U.S. Residential andSmall Balance Commercial MortgageServicers (April 2015)

U.S. RMBS Surveillance and Re-RemicCriteria (June 2015)

AnalystsRachel Noonan+1 212 [email protected]

Ryan O’Loughlin+1 212 908-0387ryan.o’[email protected]

Suzanne Mistretta+1 212 [email protected]

RMBS / U.S.

Structured Agency Credit Risk Debt Notes, Series 2016-DNA1Freddie Mac Risk Transfer TransactionPresale Report

Transaction Summary

Fitch Ratings expects to rate the M-1, M-2, and M-3 notes for Freddie Mac’s Structured Agency

Credit Risk Debt Notes, Series 2016-DNA1 (STACR Series 2016-DNA1), as listed above. This

is Freddie Mac’s sixth actual loss severity (LS) risk transfer. The notes are general unsecured

obligations of Freddie Mac (AAA/Stable) but are subject to the credit and repayment risk of a

pool of certain residential mortgage loans (reference pool) held in various Freddie Mac-

guaranteed mortgage-backed securities (MBS).

While the transaction structure simulates the behavior and credit risk of traditional RMBSsenior/subordinate securities, Freddie Mac will be responsible for making monthly payments of interest

and principal to investors based on the payment priorities set forth in the transaction documents.

Given the structure and counterparty dependence on Freddie Mac, Fitch’s rating on the M-1, M-2,

and M-3 notes, along with their corresponding modifications and combinations (MAC) notes, will be

based on the lower of: the quality of the mortgage loan reference pool and credit enhancement (CE)

available through subordination; or Freddie Mac’s issuer default rating (IDR). The notes are issued

as uncapped LIBOR-based floaters and have 12.5-year legal final maturities.

Key Rating Drivers

High Quality Mortgage Pool: The reference mortgage loan pool consists of 144,144 high

quality mortgage loans totaling $35.7 billion that were acquired by Freddie Mac between April 1,

2015 and June 30, 2015. The pool consists of loans with original loan-to-value ratios (LTVs) of

over 60% and less than or equal to 80% with a weighted average (WA) original combined LTV

of 76%. The WA debt-to-income (DTI) ratio of 35% and credit score of 754 reflect the strong

credit profile of post-crisis mortgage originations.

Capital StructureClass

ExpectedRating

ExpectedOutlook

Amoun t($ Mil.) CE (%)

InterestRate (%) Final Maturi ty TT (%) TTLM (x)

A-Ha NR N.A. 33,937.85 5.00 N.A. N.A. 95.00 118.75

M-1b BBBsf Stable 252.00 3.95 TBD July 2028 1.05 1.31

M-1Ha NR N.A. 123.10 3.95 N.A. N.A. 1.05 1.31

M-2b BBB−sf Stable 240.00 2.95 TBD July 2028 1.00 1.25

M-2Ha NR N.A. 117.24 2.95 N.A. N.A. 1.00 1.25

M-3b Bsf Stable 468.00 1.00 TBD July 2028 1.95 2.44

M-3Ha NR N.A. 228.62 1.00 N.A. N.A. 1.95 2.44

B NR N.A. 36.00 0.00 TBD July 2028 1.00 1.25

B-Ha NR N.A. 321.24 0.00 N.A. N.A. 1.00 1.25

Total 35,724.06

Expected ratings do not reflect final ratings and are based on information provided by the issuer as of Jan. 5, 2016. These expectedratings are contingent on final documents conforming to information already received. Ratings are not a recommendation to buy,sell or hold any security. The offering circular and other material should be reviewed prior to any purchase.

aClasses A-H,

M-1H, M-2H, M-3H, and B-H are reference tranches only. These classes are not issued or sold. The risk is retained by FreddieMac. bOriginal notes, which can be exchanged for modifications and combinations (MAC) notes. See Appendix E for moreinformation on MAC notes and exchangeable combinations. CE − Credit enhancement. NR − Not rated. N.A. − Not applicable.TBD − To be determined. Tranche-thickness loss multiple (TTLM) is calculated using the ‘Bsf’ expected loss assumption.

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Structured Finance

Structured Agency Credit Risk Debt Notes, Series 2016-DNA1 2

January 7, 2016

Additional Rating Drivers

Actual Loss Sever it ies : This will be Freddie Mac’s sixth actual loss risk transfer transaction in

which losses borne by the noteholders will not be based on a fixed LS schedule. The notes in

this transaction will experience losses realized at the time of liquidation, which will include both

lost principal and delinquent interest. Fitch’s model LS for the ‘BBBsf’ and ‘BBB−

sf’ ratingscenarios of roughly 36% and 34%, respectively, approximate the average fixed LS schedule

of about 36% and 35%, respectively.

12.5-Year Hard Maturit y: M-1, M-2, and M-3 notes benefit from a 12.5-year legal final maturity

as opposed to the 10-year maturity seen in prior fixed LS STACRs. Thus, any credit events on

the reference pool that occur beyond year 12.5 are borne by Freddie Mac and do not affect the

transaction. In addition, credit events that occur prior to maturity with losses realized from

liquidations that occur after the final maturity date will not be passed through to noteholders.

This feature more closely aligns the risk of loss to that of the 10-year, fixed LS STACRs where

losses were passed through when a credit event occurred i.e. loans became 180 days

delinquent with no consideration for liquidation timelines. The credit ranged from 8% at the ‘Asf’

rating category to 14% at the ‘Bsf’ rating category.

Solid Lender Review and Acquisition Processes: Fitch found that Freddie Mac has a well-

established and disciplined process in place for the purchase of loans and views its lender-

approval and oversight processes for minimizing counterparty risk and ensuring sound loan

quality acquisitions as positive. Loan quality control (QC) review processes are thorough and

indicate a tight control environment that limits origination risk. Fitch has determined Freddie

Mac to be an above-average aggregator for its 2013 and later product. The lower risk was

accounted for by Fitch by applying a lower default estimate for the reference pool.

Advantageous Payment Prior it y: The payment priority of the M-1 class will result in a shorter

life and more stable CE than mezzanine classes in private-label (PL) RMBS, providing a

relative credit advantage. Unlike PL mezzanine RMBS, which often do not receive a full pro-

rata share of the pool’s unscheduled principal payment until year 10, the M-1 class can receive

a full pro-rata share of unscheduled principal immediately, as long as a minimum CE level is

maintained, the cumulative net loss is within a certain threshold and the delinquency test is

within a certain threshold. Additionally, unlike PL mezzanine classes, which lose subordination

over time due to scheduled principal payments to more junior classes, the M-2, M-3, and B

classes will not receive any scheduled or unscheduled principal allocations until the M-1 class

is paid in full. The B class will not receive any scheduled or unscheduled principal allocations

until the M-3 class is paid in full.

Solid Alignment of Interests: While the transaction is designed to transfer credit risk to

private investors, Fitch believes the transaction benefits from a solid alignment of interests.

Freddie Mac will retain credit risk in the transaction by holding the senior reference tranche A-H,

which has 5% of loss protection, as well as a minimum of 50% of the first-loss B tranche, sized

at 100 bps. Initially, Freddie Mac will retain an approximately 33% vertical slice/interest in the

M-1, M-2, and M-3 tranches.

Receivership Risk Considered: Under the Federal Housing Finance Regulatory Reform Act,

the Federal Housing Finance Agency (FHFA) must place Freddie Mac into receivership if it

determines that the government-sponsored enterprise’s (GSE) assets are less than its

obligations for longer than 60 days following the deadline of its SEC filing. As receiver, FHFA

could repudiate any contract entered into by Freddie Mac if it is determined that such action

would promote an orderly administration of Freddie Mac’s affairs. Fitch believes that the U.S.

government will continue to support Freddie Mac, as reflected in its current rating of the GSE.

Related Research

Insights into Freddie Mac Loan LossData (February 2015)

Fitch Affirms Fannie Mae and FreddieMac Ratings Following U.S. Sovereign Action; Outlook Stable (April 2015)

GSE Mortgage Credit Risk Analysis(July 2013)

U.S. Housing Finance GSEs – FannieMae and Freddie Mac (May 2015)

Representations, Warranties, andEnforcement Mechanisms in GlobalStructured Finance Transactions(June 2015)



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Structured Finance


January 7, 2016

However, if, at some point, Fitch views the support as being reduced and receivership likely,

the rating of Freddie Mac could be downgraded and ratings on the M-1, M-2, and M-3 notes,

along with their corresponding MAC notes, could be affected.

Transaction Overview

STACR 2016-DNA1 represents Freddie Mac’s sixth risk transfer transaction applying actual

loan LS to a reference pool and is in line with FHFA’s conservatorship strategic plan for

2013−2017. Under this plan, each enterprise needs to demonstrate the viability of multiple

types of risk transfer transactions involving single-family mortgages. Overall, this transaction

employs a similar structure as prior STACR transactions.

The objective of the transaction is to transfer credit risk from Freddie Mac to private investors

with respect to a $35.7 billion pool of mortgage loans currently held in previously issued MBS

guaranteed by Freddie Mac. The transaction effectively mimics a credit-linked note structure

with the principal repayment of the notes subject to the performance of a reference pool of

mortgage loans. As loans liquidate or other credit events occur, the outstanding principal

balance of the debt notes will be reduced by the actual loan’s LS percentage related to those

credit events, which includes the borrower’s delinquent interest.

While the transaction repayment profile is linked to the performance of the reference pool, the

notes issued are unsecured obligations of Freddie Mac and have the same priority as all its

other unsecured and unsubordinated debt. Freddie Mac continues to operate its business

under conservatorship and the direction of FHFA, its regulator. Ratings of both Fannie Mae and

Freddie Mac are directly linked to the U.S. sovereign rating, based on Fitch’s view of the U.S.

government’s direct financial support of the two housing GSEs. If, at some point in the future,

Fitch views the strength of support as being reduced, Freddie Mac’s ratings may be de-linked

from the sovereign’s and downgraded.

The actual cash flows from the reference pool will not be paid to holders of the notes, but,

rather, Freddie Mac will make monthly payments of accrued interest and periodic payments of

principal to noteholders based on payment priorities set forth in the transaction’s governing

documents. If Freddie Mac is placed into receivership or defaults on its senior unsecured

obligations, investors in M-1, M-2, M-3, and B notes will not have recourse to the reference

pool, and recoveries on outstanding notes will be on par with other outstanding senior

unsecured obligations (subject to performance of the reference pool).

Transaction Structure

The STACR 2016-DNA1 debt notes will be subject to the performance of the mortgage loans

included in the reference pool (reference obligations) and, as such, are intended to simulate the

repayment behavior and credit risk of a PL U.S. RMBS bond.

Classes A-H, M-1H, M-2H, M-3H, and B-H are reference tranches and have a notional amountonly for calculating principal and credit event allocations as they relate to the mortgage loans

comprising the reference pool. Class M-1, M-2, M-3, and B notes correspond to class M-1H,

M-2H, M-3H, and B-H reference tranches and their notional balances for calculating principal

allocations and credit event reductions, but only the notes are being offered and sold as part of

the STACR 2016-DNA1 transaction. Principal and interest distributions will only be made to

class M-1, M-2, M-3, and B notes.

Unscheduled principal will be paid pro rata tosubordinated classes as long as the seniorreference tranche has a CE of 5.50%, and thecumulative net loss test and delinquency test aresatisfied.



Structured Finance


January 7, 2016

The offered notes have a 12.5-year legal final maturity and an early redemption option once the

aggregate unpaid principal balance of the reference pool becomes less than or equal to 10% of the

original balance or on or after January 2026.

Principal and Interest

Freddie Mac will make monthly payments of accrued interest and periodic payments of principal toM-1, M-2, M-3, and B notes. The actual cash flows from the reference obligations will not be paid to

holders of the notes. Rather, interest will be paid at the note rate and the amount of principal

payable each month will replicate scheduled and unscheduled principal received on the reference

obligations. This amount will also include calculated recovery principal on credit event loans, the

balance of loan removals due to rep and warranty repurchases by the underlying sellers and any

adjustments to loan balances arising from modifications.

Loans subject to a principal forgiveness modification will remain in the pool; however, the amount

forgiven will be treated as a principal curtailment and paid to the notes. If the borrower subsequently

defaults, the forgiven amount will be included in the realized loss amount and passed through to

noteholders. In this case, the noteholders will experience the same loss amount had the loan not

had a principal forgiveness modification. Scheduled and unscheduled principal reductions anddistributions are more fully described under the Financial Structure, Credit Enhancement, and Cash

Flow Analysis section.

Generally, scheduled principal will be allocated pro rata between the senior A-H tranche and the

subordinated classes (class M-1H, M-2H, M-3H, and B-H reference tranches and class M-1, M-2,

M-3, and B notes). As long as a minimum CE of 5.50% for the senior A-H tranche has been

maintained and the cumulative net loss test and delinquency test are satisfied, unscheduled

principal will also be allocated to the subordinate classes.

Reference Pool

Class A-H

(Reference Tranche Only)

Class M-1

(Note and Corresponding

Reference Tranche)

Class M-1H

(Reference Tranche

Only)

Class M-2


Reference Tranche)

Class M-2H

(Reference Tranche

Only)

Class B-H

(Reference Tranche

Only)

Actu al Pri nci pal Payment s

Freddie Mac

Specified Credit Events

Freddie Mac pays coupon on

Notes, which could be reduced

due to loan modifications, and its

obligatio n to repay princi pal o nthe Notes is reduced for credit

events, and in certain instances

modifications on the Reference

Pool based on an actual loss

approach

Class B


Reference Tranche)

Class M-3H

(Reference Tranche

Only)

Class M-3


Reference Tranche)



Structured Finance


January 7, 2016

Among the subordinated classes, principal will be allocated sequentially: first, pro rata, to the

class M-1H reference tranche and the M-1 notes until reduced to zero; second, to the M-2H

reference tranche and M-2 notes, pro rata, until reduced to zero; third, to the M-3H reference

tranche and M-3 notes, pro rata, until reduced to zero; and, fourth, to the B-H reference tranche

and B notes, pro rata. Principal will be allocated to the M-1H reference tranche and M-1 notes,

pro rata; the M-2H reference tranche and M-2 notes, pro rata; the M-3H reference tranche andM-3 notes, pro rata; and the B-H reference tranche and B notes, pro rata, but will be distributed

only to class M-1, M-2, M-3, and B notes.

Credit Events

The reference tranches and class M-1, M-2, M-3, and B note balances will also be reduced by

actual LS percentages for reference obligations that experience a credit event. However,

current-month credit events will be reduced by reversals of prior months’ credit events and any

application of rep and warranty settlement amounts at the loan level. As a result, the LS

calculations will be applied to net credit event amounts each month.

Credit events experienced by the reference obligations include the following:

• A short sale is settled.

• A seriously delinquent mortgage note is sold prior to foreclosure.

• The mortgaged property that secured the related mortgage note is sold to a third party

at a foreclosure sale.

• A real estate-owned (REO) disposition occurs.

• The related mortgage note is charged-off.

Reversals of prior months’ credit events will be applied if the reference obligations are found

in the related reporting period through Freddie Mac’s QC process to have an underwriting

defect, a major servicing defect or a data correction invalidating the credit event. Underwriting

defects include the following:

• The reference obligation is repurchased by the related seller or servicer.

• In lieu of a repurchase, an alternative remedy (such as indemnification) is mutually agreedupon by Freddie Mac and the seller or servicer.

• Freddie Mac, in its sole discretion, elects to waive the enforcement of a remedy against the

seller or servicer with respect to an unconfirmed underwriting defect (as more fully described

later in this report).

• The party responsible for the reps and warranties and/or servicing obligations or liabilities

with respect to the reference obligation becomes subject to a bankruptcy or insolvency

proceeding or is put into receivership.

Loss Severity Percentages and Tranche Writedowns/Write-Ups

B-H, M-3H, M-2H, M-1H and A-H reference tranches and M-1, M-2, M-3, and B notes will be

subject to tranche writedowns equal to the net credit event amount each month at the actual LSpercentage experienced.

If credit event reversals exceed the current month’s credit events, the reference tranches and

notes previously subject to tranche writedowns will be written back up. The tranche write-up

amount will equal the excess of reversals over credit events times the actual LS percentage for

the current payment date.

The subordinate reference tranches andM-1, M-2, M-3, and B notes will be subject toranche writedowns equal to the net credit eventamount times the LS percentage.



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January 7, 2016

Credit Enhancement

The B-H reference tranche and B notes are subordinated to the class M-3H reference tranche

and M-3 notes; class M-2H reference tranches and M-2 notes; and the class M-1H reference

tranche and class M-1 notes. All the class B and M reference tranches, as well as M-1, M-2,

M-3, and B notes, are subordinated to the senior A-H reference tranche.

Tranche writedowns will be first allocated to the class B-H reference tranche and B notes, pro rata,

until reduced to zero. Thereafter, the M-3H reference tranche and the M-3 note balance will be

written down, pro rata, until those balances are reduced to zero. Once the M-3H and M-3 tranches

are reduced to zero, the M-2H reference tranche, and the M-2 note balance will be written down, pro

rata, until those balances are reduced to zero. Next, tranche writedowns will be allocated to the

M-1H reference tranche and M-1 notes, pro rata. The A-H tranche will be written down once the

M-1H and M-1 classes are reduced to zero.

Tranches previously written down will be written back up (only up to amounts previously written

down) due to reversals of credit events and any rep and warranty settlement amounts that relate to

the specific loans that experienced a credit event or reversal of a credit event during the prior

payment period. Tranche write-ups will be applied to offset previously applied writedowns: first, tothe A-H senior reference tranche; second, to the M-1H reference tranche and M-1 notes, pro rata;

third, to the M-2H reference tranche and M-2 notes, pro rata; fourth, to the M-3H reference tranche

and M-3 notes, pro rata; and, fifth, to the B-H reference tranche and B notes, pro rata.

Loans are not added back to the reference pool when there are credit event reversals; rather, the

offset to any tranche write-up is made by applying a corresponding reduction to the senior class A-H

reference tranche through its senior reduction amount. This, in turn, reduces the senior reference

tranche’s percentage interest in principal reductions for future payment dates while increasing the

percentage interest in principal allocations and/or payments for those tranches written up.

Asset Analysis

The reference pool represents 144,144 mortgage loans acquired by Freddie Mac between April 1, 2015 and June 30, 2015 that meet the eligibility criteria (defined in the table to the left)

out of an initial cohort population of 148,369 loans. To be eligible for inclusion in the reference

pool, loans must satisfy eligibility criteria. Discovery of certain violations of eligibility criteria will

result in reference pool removal.

Fitch believes the reference pool is diverse and composed of high quality prime collateral. The pool is

approximately six months seasoned, with clean payment histories. Overall, the reference pool’s

collateral characteristics are similar to recent STACR DN transactions.

Collateral Loss Assumptions(%)

Rating sMVD Lifetime PD Adjusted PD LS ELoss

AAsf 34.4 22.10 18.75 48.55 9.10

Asf 29.7 16.50 13.65 42.20 5.75

BBBsf 25.0 11.30 9.20 35.85 3.30

BBB−sf 23.4 9.85 8.00 33.80 2.70

BBsf 20.3 6.95 5.55 29.70 1.65

Bsf 15.6 4.25 3.40 23.55 0.80

Notes: Adjusted PD reflects adjustment for a 12.5-year maturity and operational quality of Freddie Mac as anaggregator. sMVD − Sustainable market value decline. PD − Probability of default. LS − Loss severity. ELoss − Expectedloss. Numbers rounded.



Structured Finance


January 7, 2016

Recently originated loans in both agency and non-agency are of high credit quality and expected to

experience lower lifetime defaults than loans originated in prior years. New agency pools will likely

experience modestly higher defaults than recently issued non-agency loans due to differences in

credit attributes. The main drivers behind the higher default expectations are higher CLTVs and

lower property values. Furthermore, non-agency borrowers tend to have substantial liquid reserves,

but, for agency borrowers, this information was not made available to Fitch. In addition, Fitch hasfound the relationship of a loan's property value to the state-level median property value to be highly

predictive of borrower default. Agency mortgage pools have lower property value ratios than non-

agency mortgage pools, which results in higher default expectations.

Fitch analyzed Freddie Mac’s loan-level actual loss dataset, which was released in November

2014 in anticipation of an actual loss credit offering. Freddie Mac’s loss data were compared

with the performance of PL non-agency loss data. Based on Fitch’s analysis, differences in LS

are driven by attributes rather than differences in operational risk or procedures between

agency and non-agency loans. The chart below shows the LS and average attributes of a

sample of agency and non-agency loans controlled for a number of attributes. Fitch’s analysis

is further described in “Insights into Freddie Mac Loan Loss Data,” dated February 2015.

Below is a comparison of the subject pool’s LS to the fixed LS schedule using Fitch’s PD

assumptions. The table below illustrates that actual LS is greater than if using a fixed LS

schedule at the higher investment-grade rating categories, while the opposite is true at the

lower rating categories.

Collateral LS Comparison(%)

Rating Stress Fitch PD Assumpti on Fitch Actual LS Assumpti on STACR DN Fixed Severity Schedule

AAsf 18.75 48.55 37.85

Asf 13.65 42.20 37.05

BBBsf 9.20 35.85 35.60

BBB−sf 8.00 33.80 34.95

BBsf 5.55 29.70 32.70Bsf 3.40 23.55 27.85

Reference Pool Eligibility Criteria

a) Fully amortizing, fixed-rate, one- to four-unit, first lienoriginal term of 30 years.

b) Originated on or after Jan. 1, 2015.

c) Securitized into a mortgage participation certificate(PC) by Oct. 31, 2015 and remained in such PC as ofDec 2, 2015.

d) Not repurchased by the applicable seller or serviceras of Dec. 2, 2015.

e) Originated with streamlined accept or standarddocumentation.

f) Not covered by pool insurance.

g) Original LTV > 60% and <= 80%.

h) Not subject to recourse or other CE.

i) Not originated under Freddie Mac’s Relief Refinanceprogram, including Home Affordable RefinanceProgram (HARP).

j) Not originated under Home Possible orother affordable mortgage programs of Freddie Mac.

k) Not associated with a mortgage revenue bondpurchased by Freddie Mac.

l) Had an original principal balance ≥ $5,000.

m) Not originated under a government program (e.g.FHA, VA or Guaranteed Rural Housing loans).

n) As of Oct. 31, 2015, has never been reported tobe 30 days or more delinquent since purchase byFreddie Mac.

o) Servicer has not reported the borrower filed forbankruptcy as of Dec. 2, 2015.

p) Not been prepaid in full as of Dec. 2, 2015.

q) No unconfirmed underwriting defects found in theindependent pre-offering due diligence review process.

r) No underwriting defects, major or minor servicingdefects or unconfirmed underwriting or servicing defectsfound in Freddie Mac’s internal quality control processas of Dec 2, 2015.



Structured Finance


January 7, 2016

Transaction Comparison

Transaction NameSTACR 2016-DNA1

(Freddie Mac)STACR 2015-DNA3

(Freddie Mac)CAS 2015-C04 (G1)

(Fannie Mae)

Private-Label RMBS

Deal Average (2013 2014)a

Current Pool Balance ($) 35,724,056,399 34,706,261,919 26,875,730,155 13,431,066,258

Average Loan Balance ($) 247,836 246,870 221,203 775,690

Number of Loans 144,144 140,585 121,498 17,315

Top Three Originators (%)Wells Fargo (12),

US Bank (6),Bank of America (4)

Wells Fargo (9),US Bank (7),

Bank of America (4)

Wells Fargo (12),JP Morgan Chase (5),

Quicken Loans (5)N.A.

Seasoning (Months) 6 8 10 28

WA LTV (%) 75.1 75.1 76.0 66.1

WA CLTV (%) 76.1 76.0 77.0 67.4

WA sLTV (%) 80.6 79.9 79.0 62.4

WA FICO 754 754 746 770

WA DTI (%) 34.5 34.7 34.6 30.2

FRMs/ARMs (%) 100/0 100/0 100/0 93.0/7.0

IO (%) 0.0 0.0 0.0 5.1

Full Documentation (%) 100 100 100 86

WA Original Term 360 360 360 344

Piggy Back Seconds (%) 8.8 7.9 8.5 9.8

Primary Residence (%) 87.2 87.3 84.0 93.4

Purchase (%) 43.8 41.8 59.4 39.7

Retail (%) 53.6 50.8 55.7 72.7

2+ Borrower (%) 55.2 54.9 52.8 N.A.

Dirty Current (%) 0.0 0.0 1.6 0.0

Property Type (%)

Single-Family/PUD 88.2 88.4 85.5 90.5

Geographic Concentration (%)

Largest State (CA) 27.4 (CA) 28.6 (CA) 25.0 (CA) 46.1

Second Largest State (TX) 5.6 (TX) 5.3 (TX) 8.1 (MA) 7.0

Third Largest State (FL) 5.0 (FL) 4.8 (FL) 5.4 (TX) 6.2

Top Three States 38.0 38.7 38.5 59.4

Top Five States 46.0 46.3 47.0 68.9

Subordination at Closing (%)b

Asf 5.75 5.70 6.40 3.35

BBBsf 3.30 3.25 3.70 2.00

BBB−sf 2.70 2.65 3.05 1.70

BBsf 1.65 1.60 1.90 1.15

Bsf 0.80 0.75 0.95 N.A.

a Average for Fitch-reviewed/analyzed transactions 2013−2014.

bSubordination for STACR 2016-DNA1 is based on information provided by the issuer as of Jan. 5, 2016 and is

the expected subordination level.N.A. − Not applicable.



Structured Finance


January 7, 2016

Key Probability of Default Drivers

Fitch’s default projections were determined with a loan-by-loan analysis of the mortgages,

establishing a projected default for the aggregate pool. The agency’s PD analysis focused on

both the borrower’s willingness and ability to pay his/her mortgage debt. The pool’s key PD

drivers, as determined by Fitch, are described in the following sections.

Low CLTV and sLTV Positive

The WA original LTV (OLTV) of 75.1% and WA combined LTV (CLTV) of 76.1% represent

adequate equity in the property and reduced default probability. While 8.8% of the loans have

second liens, the WA mark-to-market (MtM) CLTV is 75.3%, based on the first-quarter 2015 Case-

Shiller home price index. All mortgages in this pool are in the first lien position. After taking into

account Fitch’s MVD estimates, the base case WA sLTV on the pool is 80.6%. The sLTV is an

indication that the borrowers will still have enough equity to absorb an sMVD of 6.2% estimated by

Fitch’s model.

Collateral Attribute Comparison

Vintage Sum ($000) AverageLoan ($) WAC (%) LTV (%) CLTV (%) DTI (%)

CreditScore

Purchase(%)

OwnerOccupied (%) CA (%)

1999 137,909,518 125,941 7.3 77.5 77.6 33.2 712 58 94 17

2000 103,662,770 131,819 8.1 78.2 78.8 35.2 714 76 92 12

2001 259,616,751 147,797 7.0 75.5 76.2 33.7 717 39 94 17

2002 261,966,524 155,513 6.5 73.8 74.9 33.9 720 36 94 18

2003 311,446,862 161,429 5.7 72.2 73.5 32.8 725 29 94 16

2004 188,449,273 166,657 5.8 73.6 75.4 35.6 718 46 92 14

2005 239,850,767 181,201 5.8 72.2 74.1 36.9 724 44 93 13

2006 202,446,473 186,962 6.4 72.9 75.7 38.0 723 50 91 10

2007 202,135,111 189,025 6.4 74.3 77.2 38.2 724 47 90 11

2008 209,683,453 212,810 6.0 72.0 73.8 37.8 741 42 89 16

2009 344,439,645 227,701 5.0 67.1 68.9 32.8 763 24 93 18

2010 176,599,235 224,150 4.8 69.9 71.3 33.3 762 37 90 21

2011 130,966,531 235,910 4.6 71.1 72.4 33.4 763 43 90 25

STACR 2013-DN2 35,327,317 242,636 3.6 74.3 75.3 32.2 764 27 89 25

STACR 2014-DNa 63,633,923 232,757 4.3 75.6 76.6 34.1 757 58 87 22

STACR 2015-DNA1 31,875,735 234,736 3.7 74.5 75.5 32.1 766 31 89 25

STACR 2015-DNA3 34,706,262 246,870 4.1 75.1 76.0 34.7 754 42 87 29

STACR 2016-DNA1 35,724,056 247,836 4.0 75.1 76.1 34.5 754 44 87 27

aThe weighted average of STACR 2014-DN2, 2014-DN3 and 2014-DN4. WAC − Weighted average coupon. DTI − Debt-to-income ratio. CLTV − Combined

loan-to-value ratio. CA − California.

Collateral Attribute Distribution

OCLTV Range(%) % Pool

Credit ScoreRange % Pool DTI Range (%)a % Pool

UPB Range($000) % Pool

60.01−65.00 8 < 680 5 0−25 19 < 100 3

65.01−70.00 13 680−719 17 25.01−30 14 100.01−200 20

70.01−75.00 22 720−739 11 30.01−40 36 200.01−300 26

75.01−80.00 50 740−759 14 40.01−45 22 300.01−400 25

80.01−90.00 6 760−779 18 45.01−50 9 400.01−500 16

90.01−100.00 1 > 780 34 > 50.01 0 > 500.0 10

OCLTV − Original combined loan-to-value ratio. DTI − Debt-to-income ratio. UPB − Unpaid principal balance.bThe DTI for 89 loans was unavailable.



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The sLTV is calculated based on the lower of the appraisal value and the value determined by

Fitch’s SHP model. The SHP model calculates the declines necessary to return to sustainable

home prices at the state or MSA level. The sMVD used to calculate SHP is based on regionaleconomic conditions and analysis of fundamental price drivers. The sLTV reflects equity in the

property after adjusting for changes in market value needed to achieve price sustainability.

Further detail on Fitch’s SHP model can be found in “U.S. RMBS Loan Loss Model Criteria,”

dated August 2015, available on its website at www.fitchratings.com.

High Original Credit Score Positive

The collateral pool consists of borrowers with strong credit profiles, as demonstrated by the

high original WA FICO score of 754. Approximately 34.4% of the borrowers have credit scores

of 780 or above. Borrowers with high credit scores generally experience a lower probability of

defaulting on their debt. Approximately 11.9% of borrowers have a credit score below 700.

However, the WA CLTV of 75.3%, as well as the maximum OLTV of 80% for those loans with

FICO scores of 700 and below, indicates limited risk layering among weaker-credit borrowers.

Original Credit Score

Original FICONumber of

Mortgage LoansWA OriginalCredit Score

WA OriginalCLTV (%)

% ofMortgage Pool

600-619 59 612 75.2 0.0

620−639 1,116 630 74.9 0.7

640−659 2,491 650 75.1 1.5

660−679 4,439 670 74.4 2.8

680−699 10,553 690 75.7 7.0

700−719 14,438 710 76.5 9.9

720−739 16,153 729 76.7 11.5

740−759 19,866 750 76.7 14.2

760−779 24,777 770 76.4 18.0

780−799 30,632 790 76.0 21.8

800−900 19,617 807 75.3 12.6

Total 144,144 754 76.1 100.0

FICO − Fair Isaac Corp. score. WA − Weighted average. CLTV − Combined loan-to-value ratio. The original creditscore for 3 loans was unavailable.

Reference Pool Sellers

eference Pool Loan Sellers %

ells Fargo Bank, N.A. 12

S. Bank N.A. 6

ank of America, N.A. 4uicken Loan Inc. 4

oan Depot LLC 4

aliber Home Loans, Inc. 4

ranch Banking & Trust 3

earns Lending LLC 3

anklin American Mortgage 3

agstar Bank 3

ther 53

op Five 31

op 10 47

Original CLTV Ratios

Original CLTV (%)Number of

Mortgage LoansWA Original

FICOWA Original

CLTV (%)% of

Mortgage Pool

60.01−65.00 11,010 756 63.3 7.7

65.01−70.00 18,654 752 68.4 13.4

70.01−75.00 31,194 756 73.8 22.0

75.01−80.00 76,360 754 79.5 50.2

80.01−85.00 1,459 752 83.7 1.4

85.01−90.00 4,353 755 89.4 4.4

90.01−95.00 1,114 750 94.1 0.8

Total 144,144 754 76.1 100.0

CLTV − Combined loan-to-value ratio. WA − Weighted average.





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January 7, 2016

Other Considerations

While the loan loss model is a key component in the rating process, Fitch factored in other

important considerations when assigning ratings to this transaction, as described below.

Solid Lender Review and Acquisi tion Process Positive

Based on its review, Fitch considers Freddie Mac to be an above-average aggregator for 2013

and later acquisitions. Fitch’s assessment is based on Freddie Mac’s robust lender-approval

and monitoring processes; strong underwriting and loan acquisition process; improved credit-

risk management structure; and expanded/robust lender quality and loan QC platform. To

determine the adequacy of its sellers’ QC processes, Freddie Mac’s counterparty operational

risk evaluation (CORE) unit conducts annual onsite reviews for its top lenders by volume, with

others targeted based on certain flagged activity. In these reviews, approved lenders’ QC

processes and operational controls are analyzed and assessed. Any deficiencies are brought

to their attention, and recommendations are made to correct the deficiencies. Based on its

findings (critical, major, other or observation), Freddie Mac provides an assessment to the

counterparty to assist in prioritizing remediation efforts.

Risk Retention Positive

Freddie Mac will retain the risk of losses on reference obligations in the reference pool that are

allocable to the class A-H, M-1H, M-2H, M-3H, and B-H reference tranches.

Freddie Mac does not intend, through this transaction or any subsequent transactions, to enter

into agreements that transfer or hedge more than a 95% pro rata share of the credit risk on the

(i) class A-H reference tranche; (ii) M-1 and M-1H reference tranches (in aggregate); (iii) class

M-2 and M-2H reference tranches (in aggregate); or (iv) class M-3 and M-3H reference

tranches (in aggregate). Freddie Mac will retain a minimum of 50% of the B and B-H reference

tranches (in aggregate).

While Fitch believes that the risk of loan quality defects is low due to Freddie Mac’s lender reviewprocess and risk management controls, the strong alignment of interests provides a greater

incentive for Freddie Mac to manage lender oversight quality and enforce loan repurchases for

defective loans that could otherwise increase credit events with respect to the reference pool.

12.5-Year Deal Maturit y Posit ive

The notes mature on the payment date in July 2028. Freddie Mac will be obligated to retire

M-1, M-2, M-3, and B notes by paying the full amount of the remaining principal balance

outstanding and accrued and unpaid interest.

Unlike PL RMBS, where the stated maturity is linked to the last maturing loan, tail risk and

adverse selection can strongly influence the pool. Since ratings performance is driven primarily

by small loan count later in the life of the deal, the hard maturity for STACR 2016-DNA1virtually eliminates this risk. The 12.5-year maturity effectively caps the notes’ exposure to

credit losses to a 12.5-year window.

Given the reduced default exposure, an adjustment to Fitch’s lifetime default expectations was

applied. Fitch analyzed default timing distribution by vintage to determine the adjustment for

each rating stress. Higher rating categories reflect a harsher economic stressed environment in

which defaults occur sooner in a deal’s life. As a result, fewer defaults would occur after a

given period, compared with lower rating categories, which reflect a less stressful economic

environment. Based on this analysis, Fitch applied an 8%, a 10% and a 14% reduction to

Fitch reduced its default expectations due to the12.5-year maturity date.



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January 7, 2016

the model’s ‘Asf’, ‘BBBsf’, and ‘Bsf’ lifetime PD assumption, respectively, to account for the

12.5-year legal maturity.

Limited Scope of Compliance Due Diligence Concern

The third-party due diligence scope for compliance review was limited to Freddie Mac’s Anti-

Predatory Lending Compliance Review and Loan Document Inventory guidelines. Freddie

Mac’s compliance document delivery guidelines require only those documents needed to

determine compliance with laws that may result in assignee liability and restrict points and fees.

Therefore, Freddie Mac does not examine all the documents necessary to ensure that a

mortgage loan complies with all applicable federal, state and local laws and regulations.

Instead, Freddie Mac strongly relies on its lenders/sellers’ QC processes for ensuring that loans

are in compliance with applicable laws. Freddie Mac also relies on the lenders/sellers’ reps and

warranties that the loans fully comply with federal, state and local laws and will demand a

repurchase if the loan is not in compliance.

Third-Party Due Diligence Review

Per Fitch’s criteria, third-party loan-level results were reviewed by the agency for this

transaction. The due diligence company, Opus Capital Markets Consultants LLC (Opus),

examined selected loan files with respect to the presence or absence of relevant documents.

Fitch received certifications indicating that the loan-level due diligence was conducted in

accordance with Fitch’s published standards. The certifications also stated that the company

performed its work in accordance with the independence standards, per Fitch’s criteria, and

that the due diligence analysts performing the review met Fitch’s criteria of minimum years of

experience.

The due diligence sample consisted of 850 loans randomly chosen by Opus out of

approximately 5,064 eligible loans acquired between April 1, 2015 and June 30, 2015 for which

Freddie Mac had completed post-purchase QC reviews. The scope of the due diligence

engagement covered:

• Credit and compliance reviews.

• Property valuation reviews.

• Data integrity.

Opus’ compliance review was based on

Freddie Mac’s Anti-Predatory Lending

Compliance Review and Loan Document

Inventory guidelines. Freddie Mac relies on

the seller reps and warranties to ensure

compliance with all laws, including

consumer protection laws, and only validates the absence of any anti-predatory lending issues

that could lead to assignee liability. Of the loans sampled, the table above reflects Opus’ finaloverall grades (using Fitch’s event grades) and loan counts. For a further discussion on the

due diligence review results, refer to Appendix D.

Aggregator Review Analysis

Fitch assessed Freddie Mac as an aggregator of mortgage loans, in accordance with its criteria

report, “U.S. RMBS Master Rating Criteria,” dated October 2015. Based on its operational review

and the information provided to Fitch by Freddie Mac, Fitch considers Freddie Mac to be an above-

Fitch Grade Summary

Final Overall Grade Total Loan Count

A 846

B 0

C 2

D 2

Total 850



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January 7, 2016

average aggregator for its 2013 and later acquisitions. See Appendix A for a full description of

Fitch’s review and findings of Freddie Mac as an aggregator.

To maintain strong risk management results while acquiring a high volume of loans from a large

number of sellers, Freddie Mac emphasized the processes and tools developed to test and monitor

the individual loans, as well as its sellers’ compliance with guidelines.Freddie Mac’s risk management efforts begin with its mortgage credit-risk management group,

which establishes, develops and implements credit policies and sets risk limits for the approved

sellers and the quality loans the agency acquires. This group is also responsible for setting the

corporate credit policy and policy exceptions, as well as maintaining and updating Freddie Mac’s

seller/servicer guide.

To manage its counterparty risk, the GSE has a stringent approval process, credit analysis limits

and exposure caps, as well as continual monitoring and surveillance of its sellers. This process is

managed by Freddie Mac’s counterparty credit-risk management unit, which enforces the eligibility

requirements for sellers to Freddie Mac, including a review for financial capacity, operational

capabilities and reputational considerations.

The CORE teams perform regular reviews of the sellers’ operations, as well as reviews as part of

the initial approval process, to ensure the sellers are operating to Freddie Mac’s standards. Through

onsite reviews and monitoring and remediation of any identified issues, this group provides Freddie

Mac with necessary information about the single-family counterparties’ effectiveness of controls over

the sellers’ mortgage operations and compliance with Freddie Mac requirements.

Freddie Mac’s QC process tests the accuracy of the delivered data on purchases to validate the

loans and assess compliance with requirements. Results are used to determine ineligible defect

rates of lenders and to assess fees and/or implement action plans. Loans are sampled, both in a

targeted and random selection, to mitigate losses, resolve repurchases, provide feedback to policy

management, ensure sellers have strong underwriting processes and validate data quality. A

significant enhancement to the QC process has been the accelerated review for performing loans to

allow for near real-time results to sellers.

The key to the enhanced targeted or discretionary selection of loans for QC has been the availability

of data on the loans provided through the continuing development of the Uniform Mortgage Data

Program (UMDP) initiatives, including the Uniform Loan Delivery Dataset (ULDD) and Uniform

Collateral Data Portal (UCDP). The extensive data provided by these systems allow Freddie Mac to

target loans that appear to have defects, both in

credit profile and property valuations, so that the

agency can QC these files shortly after delivery

and initiate repurchase actions, if necessary,

before the seller reps and warranties expire.

Servicers and Master ServicerThe servicing of Freddie Mac-purchased

loans will generally be retained by each

individual originator/seller if the entity is also

an approved servicer. Freddie Mac will act as

master servicer. In this role, Freddie Mac will

set servicing standards and requirements,

monitor the direct servicers’ performance,

remove direct servicers with or without cause

Servicers

Reference Pool Servic ers UPB (%)

Wells Fargo Bank, N.A. 12

U.S. Bank N.A. 6

Bank of America, N.A. 4

Quicken Loan Inc. 4Caliber Home Loans, Inc. 4

Branch Banking & Trust 3

Suntrust Mortgage, Inc. 3

Pingora Loan Servicing 3

Franklin American Mortgage 3

Nationstar Mortgage 2

Other 54

Top Five 31

Top 10 46

UPB − Unpaid principal balance.

Freddie Mac has robust servicer-approvaland servicing oversight processes.



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January 7, 2016

and approve (or deny) any transfer of servicing prior to transfer. Freddie Mac communicates

standard requirements for all servicers through its servicing guide and written announcements,

lender letters and servicer notices.

Fitch believes that Freddie Mac has robust servicer-approval and servicing oversight processes

and has implemented a number of changes in recent years to improve market practices andperformance. Such changes include the introduction of the servicing alignment initiative

designed to establish consistent policies and processes for the servicing of delinquent loans

owned or guaranteed by the GSEs. Objectives of the program are to improve service to the

borrower, increase efficiencies in loan modification processing and strengthen servicer

accountability.

In addition, Freddie Mac has made material enhancements to its servicing success program, which

outlines how it defines, measures and recognizes servicing excellence, including a servicer success

scorecard, file reviews and rewards and remedies.

Fitch views the primary servicer diversity (approximately 40% Fitch rated) and Freddie Mac’s

servicing oversight role as positives for the transaction. Servicing can influence whether or not

credit events occur and the actual loss is incurred. See Appendix B for a detailed description ofFreddie Mac’s servicer approval and oversight process.

Mortgage Loan Representations and Warranties

The mortgage loans comprising the reference pool are not pledged to secure the notes, and

Freddie Mac is not making reps and warranties regarding the loans. However, because Freddie

Mac’s QC review of loan files is limited in scope where the focus of its review is to confirm

that the manufacturing of the loan is in compliance with its underwriting and eligibility guidelines

(or determining if compensating factors are present when outside those guidelines), rather than

assessing credit risk and future performance and does not include a review of loan files for

compliance with most local, state and federal laws, significant reliance is placed on the reps

and warranties made by the loan sellers to Freddie Mac.

While Fitch believes that Freddie Mac’s risk management platform and processes are robust,

the quality of the reps and warranties made by the lenders to Freddie Mac plays an essential

role in determining the overall risk profile of the reference pool. Fitch reviewed the reps and

warranties made by the lenders to Freddie Mac and compared those reps with those listed in

Fitch criteria and typically found in PL RMBS.

Reps and warranties are contained in the selling and servicing guides and the lender contracts.

Violation of any rep or warranty is a breach of the lender contract, including the warranty that

the loan complies with all applicable requirements, which provides Freddie Mac with certain

rights and remedies. Per Freddie Mac’s guide, the warranties and reps in the purchase

documents for any mortgage purchased by Freddie Mac survive payment of the purchase price

by Freddie Mac. The warranties and reps are not affected by any investigation made by, or onbehalf of, Freddie Mac, except when expressly waived in writing by Freddie Mac.

The reps and warranties made by the lenders to Freddie Mac do not replicate Fitch’s criteria

verbatim. However, Fitch concluded that the substance of the reps is consistent with what the

agency views as a full framework with the following minor variations:

• Data: Fitch’s rep expects credit scores to be refreshed within six months of deal closing.

However, Freddie Mac’s rep requires that the credit score not be more than four months old at

the time the note is signed. An adjustment to the PDs was not made due to mitigating factors,

such as over 12 months of clean pay history.

The substance of the reps is consistent withwhat the agency views as a full frameworkwith the following minor variations.



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January 7, 2016

• No Bankruptcy/No Foreclosure: Fitch expects that no borrower was subject to any

bankruptcy proceedings in the four years prior to the origination of the mortgage loan. Fitch

also expects that no borrower previously owned a property that was subject to a foreclosure,

deed-in-lieu or short sale in the prior seven years from the origination of the mortgage. Freddie

Mac’s rep is significantly shorter, with a waiting period for bankruptcy of 24 months and

36 months for foreclosure. Because these guidelines are mandated by FHFA and borrowersare subject to a full underwriting, Fitch did not make any adjustment to its default expectations.

• Mortgage Loan Qualifies for REMIC: This rep is not applicable, as the transaction is a senior

unsecured debt of Freddie Mac and not a trust structure.

Enforcement Mechanisms

None of the reps and warranties made to Freddie Mac by the lenders/sellers will be passed through

to noteholders. Rather, rep and warranty breaches will be treated as removals from the reference

pool upon identification and final determination through Freddie Mac’s QC process of an

underwriting defect relating to a reference obligation (as listed on page 5) or the discovery of a

violation of the eligibility criteria (as listed on page 6).

Freddie Mac will conduct QC reviews on all loans that experience a credit event, irrespective of the

seller’s insolvency, as long as the rep and warranty period has not sunset. Effective June 2, 2014,

all loans for which the rep and warranty is in effect will be subject to a review to determine whether

an underwriting defect has taken place. Fitch believes that this provision more closely aligns the

deal’s rep enforcement mechanism with what it considers a full framework.

Underwriting defects are reference obligations for which Freddie Mac has determined the existence

of an unconfirmed underwriting defect and a repurchase request has been made; indemnification

between Freddie Mac and the seller/lender is agreed upon; or Freddie Mac waived a remedy

enforcement or the seller becomes subject to a bankruptcy or insolvency proceeding or is put into

receivership after a repurchase request was made or indemnification agreement was entered into.

Unconfirmed underwriting defects are those loans for which Freddie Mac has determined andnotified the lender/seller that the reference obligation is in material violation of its guidelines or not

supported by the collateral or for which repayment in full cannot be expected. If the seller/lender

cannot cure the defect, a repurchase or indemnification is transacted, and the reference obligation is

then deemed an underwriting defect for purposes of loan removals or credit event reversals.

A loan will also be deemed as having an underwriting defect and, therefore, removed from the pool

or treated as a credit event reversal if it is designated as an unconfirmed underwriting defect and the

seller has become subject to bankruptcy or insolvency proceedings or was put into receivership.

A loan is treated as a reversed credit event if it was treated as a credit event that reduced available

CE but was later identified as having an underwriting defect or being in violation of eligibility criteria.

Reversed credit event obligations apply to a reference obligation that became a credit event in a

prior reporting period.

Reversed credit events are accounted for in the calculated tranche write-up amount. Tranche write-

ups may also be adjusted for any rep and warranty settlement amounts on a loan level. The loan

repurchase process can take up to 120 days or longer if Freddie Mac ultimately determines that a

noncurable breach has occurred.



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January 7, 2016

Financial Structure, Credit Enhancement and Cash Flow Analysis

Classes A-H, M-1H, M-2H, M-3H, and B-H are reference tranches and have notional balances

solely for the purpose of calculating principal payments required to be paid by Freddie Mac to class

M-1, M-2, M-3, and B notes, as well as any reductions or increases of principal as a result of credit

events and reversed credit events experienced by the reference obligations. Only the classes M-1,M-2, M-3, and B reference tranches, which also have notional balances, will have corresponding

classes of notes offered in conjunction with the issuance of the STACR 2016-DNA1 transaction.

Financial Structure

Class M-1 notes will receive principal payments each month based on allocations applied to its

respective reference tranche. Class M-1 notes benefit from the pro-rata pay structure and

subordination of M-2, M-3, and B classes provided for in this transaction. Scheduled principal is

paid pro rata between the senior A-H reference tranche and the subordinated classes (M-1,

M-1H, M-2, M-2H, M-3, M-3H, B, and B-H). If the minimum CE test of 5.50% of the pool

balance is maintained and the cumulative net loss and delinquency tests are satisfied, the

subordinated classes will also share in unscheduled principal amounts.

All amounts allocable as principal payments to the subordinated classes are applied or paid

first to the M-1H reference tranche and M-1 notes, pro rata, before any payments are applied to

the M-2H, M-2, M-3H, M-3, B-H, and B classes. This has the effect of quickly paying down theM-1 notes while increasing its protection through the full lockout of the M-2H, M-2, M-3H, M-3,

B-H, and B classes.

Payments of principal will simulate scheduled and unscheduled principal received on the reference

obligations and include the balance of loan removals. The notes will be subject to tranche

writedowns arising from credit events and write-ups from loan repurchases and rep and warranty

settlements. Scheduled principal includes all monthly payments due on the reference obligations

and collected by the servicer. Unscheduled principal includes the following:

• All partial principal prepayments on the reference obligations in the reference pool collected

during the related reporting period, plus;

• The aggregate unpaid principal balance of all reference pool removals (excluding credit event

reference obligations) for such payment date, plus;• Negative adjustments in the unpaid principal balance of all reference obligations as the result

of loan modification or data corrections, minus;

• Positive adjustments in the unpaid principal balances of all reference obligations as the result

of loan modifications, reinstatements due to error or data corrections.

Reference obligations subject to modifications will remain in the pool, including those that require or

permit Freddie Mac to forgive principal. However, the portion of the loan balance that is forgiven will

be treated as unscheduled principal and allocated to the various reference tranches based on their

Initial Expected Credit Enhancement

Notes and Reference Tranches Tranche Size (%) Initi al Expected CE (%)

A-H 95.00 5.00

M-1 and M-1H 1.05 3.95

M-2 and M-2H 1.00 2.95

M-3 and M-3H 1.95 1.00

B and B-H 1.00 0.00



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January 7, 2016

share of unscheduled principal. Only the portion of the balance outstanding (unforgiven portion)

remains in the pool and has the LS percentage applied if it subsequently experiences a credit event.

If positive adjustments to the reference obligation loan balances from modifications or data

corrections exceed the total amount of principal collections or negative adjustments, the

difference will be added to the senior class A-H reference tranche. Reference pool removalsinclude:

• The reference obligation becomes a credit event reference obligation.

• Payment in full of the reference obligation.

• The identification and final determination, through Freddie Mac’s QC process, of an underwriting

defect or a major servicing defect relating to that reference obligation.

• The discovery of a violation of the eligibility criteria for such reference obligation.

• The reference obligation is seized pursuant to any special eminent domain proceeding brought by

any federal, state or local government with the intent to provide relief to financially distressed

borrowers with negative equity in the underlying mortgage loan.

If the senior CE drops below 5.50% or the cumulative net loss test or delinquency test is not

satisfied, unscheduled principal otherwise allocable to the subordinate classes will be divertedto the senior tranche until these tests are satisfied again.

The delinquency test will be satisfied if the

outstanding principal balance of distressed

mortgage loans averaged over the prior

six-month period is less than 50% of the

subordinate principal balance as of the

prior payment date net any principal loss

amount for the current payment date.

Distressed mortgage loans include loans

that are 60 days or more delinquent, in

foreclosure, bankruptcy, REO or modified

in the prior 12 months.

Credit Enhancement

Together, the M-1, M-1H, M-2, M-2H, M-3, M-

3H, B and B-H reference tranches provide

CE for the senior A-H reference tranche.

Class M-1 notes, which Fitch expects to rate ‘BBBsf’, have 3.95% in credit support; class M-2 notes,

which Fitch expects to rate ‘BBB−sf’, have 2.95% in credit support; and class M-3 notes, which Fitch

expects to rate ‘Bsf’, have 1.00% in credit support. Credit events are netted against credit event

reversals (both as described on page 5) and applied the loan’s actual LS. The loss amount derived

will result in a writedown to the most subordinated B notes and B-H reference tranches, pro rata,

first, and then to M-3 notes and M-3H reference tranches, pro rata, and so forth.

Tranche write-ups will be applied to those classes previously written down if the reversals exceed

the current month’s credit events. The most senior tranche to have been written down is first in the

priority to be written up, beginning with the senior class A-H; second, to M-1 and M-1H, pro rata; and

so forth. Tranche write-ups may also be adjusted for any rep and warranty settlement amounts on a

loan level.

Net credit event reversals do not result in additions to the reference pool. To offset the increase in

tranches that are written up from a reversal of a credit event or a post-credit event rep and warranty

Cumulative Net Loss Test

Payment Date Occurring in the Period (%)

February 2016−January 2017 0.10












February 2028 and Thereafter 1.30



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January 7, 2016

settlement, a concurrent reduction to the class A-H reference tranche is made. This has the effect of

reducing the senior percentage interest in future principal allocations while increasing the

subordinated classes’ percentage interest, which ultimately is distributed first to M-1 notes.

Cash Flow Analysis

The cash flow analysis described in Fitch’s “U.S. RMBS Cash Flow Analysis Criteria” was not

applied to this transaction. Fitch did not deem the cash flow analysis as necessary, given that

the bond principal and interest payments are general unsecured debt obligations of Freddie

Mac and principal payments to the rated bonds are made in a sequential priority for the life of

the transaction.

For this deal and other similar credit-risk transactions issued by the GSEs, minimum CE is not

negatively affected by interest rates or the timing of prepayments and defaults. Therefore, a

cash flow analysis was not performed for this transaction, as Fitch did not deem it necessary to

assess the impact of prepayment, default, and interest rate stress scenarios on CE.

Counterparty Risk

The notes are senior unsecured obligations of Freddie Mac, which has been under conservatorship

since 2008, with FHFA acting as conservator. Freddie Mac has a long-term IDR of ‘AAA’ with a

Stable Rating Outlook. The IDR and Rating Outlook are directly linked to the U.S. sovereign rating

based on Fitch’s view of the U.S. government’s direct financial support of Freddie Mac. If, at some

point in the future, Fitch views the strength of support as being reduced, the ratings and/or Rating

Outlook may be de-linked from the sovereign’s and downgraded.

In the event of a downgrade of Freddie Mac’s IDR, the M-1, M-2, and M-3 notes, along with their

corresponding MAC notes, could be subject to downgrade based on the lower of Fitch’s analysis of

the quality of the mortgage loan reference pool and CE available through subordination and Freddie

Mac’s IDR.

Transaction and Legal Structure

The issuer for this transaction is Freddie Mac. The notes will be general unsecured obligations of

Freddie Mac and have the same priority as all the GSE’s other general unsecured and

unsubordinated debt ($412.0 billion outstanding as of Sept. 30, 2015).

Proceeds from the issuance will be used for general corporate purposes. The repayment of the

principal portion of the debt obligations for this transaction will be subject to the performance of the

reference mortgage obligations. The actual cash flows from the reference obligations will not be paid

to holders of the notes; however, Freddie Mac will make monthly payments of accrued interest and

periodic payments of principal to noteholders. The notes will have a 12.5-year legal final maturity, at

which point, the issuer will be obligated to retire the notes by paying an amount equal to their full

remaining principal balance plus any accrued and unpaid interest.

Disclaimer

For the avoidance of doubt, Fitch relies, in its credit analysis, on legal and/or tax opinions

provided by transaction counsel. As Fitch has always made clear, Fitch does not provide legal

and/or tax advice or confirm that the legal and/or tax opinions or any other transaction

documents or any transaction structures are sufficient for any purpose. The disclaimer at the

foot of this report makes it clear that this report does not constitute legal, tax and/or structuring

advice from Fitch and should not be used or interpreted as legal, tax and/or structuring advice



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January 7, 2016

from Fitch. Should readers of this report need legal, tax and/or structuring advice, they are

urged to contact relevant advisers in the relevant jurisdictions.

Model, Criteria Application and Data Adequacy

Modeling

Fitch analyzed the credit characteristics of the underlying collateral to determine base case and

rating stress loss expectations, using its residential mortgage loss model, which is fully

described in its August 2015 criteria report, “U.S. RMBS Loan Loss Model Criteria.” All reports

are available on Fitch’s website at www.fitchratings.com.

Criteria Application

Fitch analyzed the transaction in accordance with its RMBS rating criteria, as described in its

October 2015 report, “U.S. RMBS Master Rating Criteria.”

An assessment of the transaction’s reps and warranties provided by the originator was also

completed and found to be consistent with the ratings assigned to the certificates. Fitchassessed the reps and warranties using its criteria described in the October 2015 criteria report,

“U.S. RMBS Master Rating Criteria.”

Data Adequacy

Fitch relied on an independent third-party due diligence review performed on a sample of 850 loans,

which were randomly chosen by Opus out of approximately 5,064 eligible loans acquired between

April 1, 2015 and June 30, 2015 for which Freddie Mac had completed post-purchase QC reviews.

The agency assessed the due diligence results using its criteria described in the October 2015 criteria

report, “U.S. RMBS Master Rating Criteria,” available on Fitch’s website at www.fitchratings.com.

The scope of the due diligence engagement covered: credit and compliance reviews; property

valuation reviews; and a data integrity review.

A final exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans

had minimal exceptions and waivers. No adjustments were needed to compensate for these

occurrences. For a more detailed discussion on the review results and findings, refer to Appendix D.

Fitch also utilized data files made available by the issuer on its SEC Rule 17g-5 designated website.

Fitch received loan-level information; however, it was not provided based on the American

Securitization Forum’s (ASF) data layout format. Although not provided in the ASF data layout, Fitch

considered the data to be comprehensive. The ASF data tape layout was established with input

from various industry participants, including rating agencies, issuers, originators, investors and

others, to produce an industry standard for the pool-level data in support of the U.S. RMBS

securitization market. The data contained in Freddie Mac’s layout data tape were reviewed by thedue diligence company, and no material discrepancies were noted.

Performance Analytics

The transaction will be analyzed and reviewed by a full committee process involving senior

members of the RMBS group at least once every 12 months but more frequently, if warranted,

due to unexpected changes in performance. Additional detail on Fitch’s surveillance process

can be found in “U.S. RMBS Surveillance and Re-REMIC Criteria,” dated June 2015, available

on its website.

http://www.fitchratings.com/

http://www.fitchratings.com/



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Appendix A: Aggregator

Fitch attended a rating agency presentation held by Freddie Mac on its risk management and loan acquisition process at the GSE’s

McLean, VA office on November 5, 2015 as part of the GSE risk transfer initiative. The presentation was an update to one held by

Freddie Mac in November 2014. The day-long presentation included areas typically reviewed by Fitch for private-label (PL)

aggregators and securitizers of residential mortgage collateral.The rating agency presentation included Freddie Mac’s approach to seller approval and counterparty monitoring, counterparty

operational risk evaluation, single family credit policy and credit management, and underwriting, quality control and credit analytics.

These topics are discussed below. Additionally, Freddie Mac provided a presentation on single family servicing and an overview of

its HomeSteps REO management program; these aspects are covered in Appendix B of this report.

The presentation, associated discussion, and Fitch’s experience with Freddie Mac were evaluated in accordance with Fitch’s criteria

as detailed in its “U.S. RMBS Master Rating Criteria,” dated October 2015. Based on this review, Fitch maintains its view of the

Agency as an above-average aggregator of mortgage loan collateral.

Overview

During the nine months ending Sept. 30, 2015, Freddie Mac had approximately 1,600 approved, but only approximately 1,100 active,

sellers and purchased more than 1.2 million loans with an approximate unpaid balance of $274.9 billion. Freddie Mac’s single-family

credit guarantee portfolio as of Sept. 30, 2015 totaled approximately $1.693 trillion.

Freddie Mac’s top 10 mortgage loan sellers provided approximately 51% of its single-family purchase volume during the nine

months ending Sept. 30, 2015. Bank of America, N.A. and Wells Fargo Bank, N.A. each accounted for 12% of the single-family

mortgage purchase volume and were the only single-family sellers that comprised 10% or more of the purchase volume during this

time frame.

Requirements for approval have been developed by Freddie Mac to ensure that sellers are reasonably expected to meet all

requirements for participation in the Agency’s programs. Several quality initiatives have recently been instituted by Freddie Mac,

including added clarity to roles and responsibilities within risk management, including the adoption of a three-lines-of-defense

framework. The transition to this enhanced framework has resulted in realignment of roles and responsibilities within the single

family credit risk function; most credit functions have moved to the single family business line. Also, during the broad post-crisis timeperiod, Freddie Mac has made a number of changes to its loan acquisition platform and risk management infrastructure. These

changes include:

• Improved policy frameworks.

• Strengthened governance and controls.

• Enhanced information, technology, and reporting.

• Increased emphasis on the monitoring of seller financial condition.

• More stringent seller approval process.

Loan Prospector

Freddie Mac uses a delegated underwriting process through its proprietary automated underwriting system (AUS), Desktop

Underwriter (DU), for the mortgage loans that it acquires. LP is focused on eligibility encompassing credit, capacity and collateral. It

is meant to be used early in the lender’s process and provides both a view of Freddie Mac’s assessment of the risk of the loan, as

well as guidance on how to underwrite and document the loan to meet Freddie Mac’s eligibility requirements. LP’s key features

include:

• Feedback certificates that validate accuracy of the data entered and determine the risk class, documentation level and purchase

eligibility. The system provides feedback messages with specific underwriting guidelines based on the loan data provided.



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• Credit report options allow the ordering or reassessing of credit reports provided by credit reporting companies. The system also

contains a re-order credit feature that allows the request of fresh credit in files or merged credit on an existing loan transaction.

• Property value estimates to help identify potentially inflated appraised values.

Year-to-date 2015, LP represented 45% of deliveries (excluding HARP loans), compared to 39% in 2014. However, Freddie Mac

also acquires loans underwritten through other automated underwriting platforms, including Fannie Mae’s Desktop Underwriter (DU)or lender- approved contract variances.

The seller benefits from the use of LP, as the applications receiving an LP-accepted risk class can receive rep and warranty relief for

borrower creditworthiness. In addition, LP provides document-gathering guidelines with two documentation levels, standard and

streamlined, and provides alerts received with the credit in files.

Loan Quality Advisor

Lender Quality Advisor (LQA) is a tool for lenders later in the origination process to ensure that, as the loan file builds, the loan

continues to meet Freddie Mac’s credit risk and eligibility criteria. LQA is a web-based risk and eligibility assessment tool that

evaluates loan data to help lenders determine if a loan is eligible for sale to Freddie Mac when most useful - either pre- or post-

closing. LQA key benefits include:

• Validation that loans are consistent with Freddie Mac’s requirements, allowing for changes to be made before the loan closes.

• Provides a risk assessment tool for loans not originated using LP by assessing the loan and providing a summary-level

indication of Freddie Mac’s view of credit risk and associated quality of the loan.

LQA provides purchase eligibility by running data quality and purchase eligibility rules consistent with those run at loan delivery,

allowing the seller to identify and correct potential delivery errors prior to selling the loan to Freddie Mac. Benefits from the use of

LQA include identifying recent changes to guide requirements before the loan closes, reducing the time to fund at loan delivery and

monitoring loan manufacturing defect trends and proactively resolving such before they become delivery problems.

Uniform Mortgage Data Program

Under the direction of FHFA, Freddie Mac and Fannie Mae jointly released the UMDP, which provides a set of common

requirements for appraisal and loan delivery data. Capturing consistent and accurate data dramatically increases the agency’s ability

to effectively assess risk on the single-family mortgages it acquires. UMDP provides benefits by standardizing mortgage delivery

data through five datasets and collection methods:

• Uniform loan application dataset (ULAD).

• Uniform appraisal dataset (UAD).

• Uniform collateral data portal (UCDP).

• Uniform closing dataset (UCD).

• Uniform loan delivery dataset (ULDD).

Selling System

Although data checks are in place during submission of loans through LP, a loan must be separately delivered through the selling

system to be purchased by Freddie Mac. This system is another process through which Freddie Mac is able to control the accuracy

and quality of loans it acquires, as all loans delivered through the selling system are subject to thousands of charter, credit and data

quality checks prior to funding. The data quality checks between LP and the selling system are consistent. Certain data quality

checks may be “critical” edits that must be resolved before a lender is permitted to set the loan to “fund” in the selling system.

The selling system uses a standard industry accepted dataset (ULDD) to improve the quality and accuracy of the data submitted and

validates appraisal data submitted through the UCDP, improving collateral data quality on the loans. Freddie Mac indicated during



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the update review that the selling system continues to receive new and improved quality edits and messages to drive even greater

purchase certainty.

Risk Management, Monito ring, and Controls

In order to maintain strong risk management results while acquiring loan production from a large number of sellers, Freddie Macemphasizes the processes and tools it has developed to test and monitor the individual loans, as well as its sellers’ compliance with

guidelines. These processes include:

• Mortgage Credit Risk Management (MCRM): Establishes, develops and implements credit policies and risk limits for

sellers/lenders, loan quality and servicers.

• Counterparty Credit Management (CCM): Enforces the eligibility requirements to sell loans to Freddie Mac, including approval

requirements, limits and exposure management and monitoring.

• CORE: Reviews for seller’s effectiveness of controls over mortgage operations and compliance with Freddie Mac requirements.

• Post-Purchase Underwriting QC and Credit Analytics: Test the accuracy of the delivered data on purchases and assess

compliance with requirements, completed post-funding for both performing loans (PLs) and nonperforming loans (NPLs).

• Loan Acquis ition Technology and Risk Management Systems: Enhanced regularly to manage and monitor Freddie Mac’s

sellers and quality of loans purchased.

Mortgage Credit Risk Management Policy Setting

Through its various units, MCRM is responsible for developing and maintaining the seller/servicer guides and the credit policy, and

approving policy exceptions. Freddie Mac’s MCRM is an independent department within single-family risk and has transitioned with

the adoption of the Office of the Comptroller of the Currency (OCC) guidelines for minimum standards, issued in September 2014.

Under this new structure, the MCRM has accountability for the areas of:

• Mortgage credit and collateral policy (MCP).

• Customer credit management (CCM) at the customer level, including:

o Negotiated terms of business (TOB).

o Customer credit performance.

• Insurance Policy (IP) property, flood, title and, etc.

• Automated underwriting policy (AUP) and selling system rules and edits.

• Credit policy implementation and business management (CPI & BM).

MCRM’s credit framework is designed to provide clear accountabilities and authorities, including approval levels, while allowing

flexibility for the business to operate within the company’s credit risk tolerance. This is accomplished through its corporate credit

policy (CCP), corporate policy exceptions and seller/servicer guides.

Corporate Credit Policy

Freddie Mac’s CCP was created in 2007 to define the agency’s credit boundaries in accordance with its risk profile. The policy

documents Freddie Mac’s risk tolerance and includes the seller/servicer guide but goes beyond the guide limits in certain areas

implemented through negotiated TOBs and customer contracts.

Corporate Credit Policy Exceptions

CCP exceptions (CCPEs) are exceptions outside the CCP that must be approved by MCRM but are limited in number, only provided

to sellers with a demonstrated ability to manage the associated risk and are implemented through TOBs in customer contracts.



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Freddie Mac currently approves only about 10% of the exceptions granted pre-2007. However, CCPEs are not negotiated for core

policy credit limits of FICO, DTI, LTV and minimum credit and capacity documentation standards.

The top four most frequently negotiated TOBs are as follows:

• Use of the automated underwriting system (AUS), other than Loan Prospector (LP).

• Incomplete improvements.

• Calculating monthly DTI ratios for deferred student loans.

• Calculating the monthly debt-to-income ratio on revolving accounts.

TOBs are negotiated and reviewed annually as part of contract renewals; quarterly and monthly as part of Freddie Mac's review

process; and ad hoc, based on changing policies at Freddie Mac or customer need. The counterparty risk rating is one of many

factors analyzed to determine credit TOB availability.

Freddie Mac Seller/Servicer Guide

The guide is a public document that provides core selling, servicing and delivery requirements. Changes to the selling guide start

with policy changes by the individual policy groups. Changes can occur for a number of reasons, including regulator mandate,performance issues, QC feedback and market events. Once a necessary change is identified, the policy group researches and

develops the appropriate policy action.

Counterparty Credit Management

Freddie Mac manages its counterparty risk, which is the risk of financial loss to Freddie Mac if a business partner fails to meet its

contractual obligations, through a stringent approval process, credit analysis, limits and exposure caps, as well as continual

monitoring and surveillance. CCM enforces the eligibility requirements to sell loans to Freddie Mac, which include financial capacity,

operational capabilities and reputational considerations. The counterparty approval process includes:

• Analysis and management of customer credit performance to identify trends.

• Periodic reviews of seller contracts and TOBs to determine if changes are needed.

• Development and implementation of action plans and corrective actions, such as modify/remove business terms.

• Financial review and background checks.

CCM conducts baseline reviews of all counterparties on an annual schedule, as well as an automated quarterly rating and limited

updates of all single-family counterparties. These reviews cover affirming or changing ratings and limits, approval of TOBs and

ensuring compliance with policies and procedures.

To manage counterparty exposure, Freddie Mac sets and monitors the potential loss if the counterparty fails to meet its contractual

obligations. The exposure may be direct or indirect, secured or unsecured and could vary by term. Based on the reviews, Freddie

Mac maintains a watch list and troubled counterparty designation, which escalates the concerns to senior management.

If material risks are identified, they may result in reduced limits, restricted TOBs, transfer of custodial accounts, collateral/parental

guaranties and/or settlement of counterparty exposure or adverse action (suspension or termination). Seller removals depend ondetermining whether the counterparty no longer meets the quantitative measures for inclusion in the watch list. Seller removals from

the watch list are also reviewed with the chief credit officer.

Counterparty Operational Risk Evaluation (Seller Oversight)

In 2011, CORE underwent a significant transformation. This aligned review objectives with business needs and eliminated

redundancies, as well as re-engineered the review process to implement a risk-based approach and provide clear communication of

findings and remediation priorities.



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Through the use of onsite reviews and monitoring the remediation of identified issues, CORE provides Freddie Mac with necessary

information about single-family counterparties’ effectiveness of controls over mortgage operations and compliance with certain

Freddie Mac requirements. CORE process activities include:

• Determining the counterparties to review and the scope and depth of each review.

• Conducting the onsite review and communicating results.

• Monitoring and validating remediation of the issues noted.

Selection of Sellers for Review

Freddie Mac’s annual review plan targets counterparties based on the degree of risk posed to Freddie Mac. After a plan is created, it

can be updated through the year with input from key stakeholders. The plan is based on the following guidelines:

• The largest sellers/servicers are reviewed one or more times annually.

• Other sellers/servicers are risk-assessed annually to determine the need for review or are selected for a review based on

referrals by the business units.

Historically, CORE has reviewed sellers that comprised approximately 70% of Freddie Mac’s volume on an annual basis. The

number of counterparties reviewed in 2015 is 103 (including applicants) and covered approximately 70% of all 2014 production

volume; 2016volume is expected to be similar.

CORE Review Process

CORE examiners employ a number of methods to understand and assess the counterparty’s mortgage operations and controls,

including:

• Review of policies and procedures, internal audit reports, management reports and other documentation evidencing the seller’s

internal controls.

• Observing staff performing a particular function/task or system demonstration to understand processes and identify sources ofrisk, control points and possible gaps.

• Detail testing of a sample of supporting documentation to validate and assess the effectiveness of the counterparty’s controls or

compliance with specific requirements.

CORE typically no longer reviews loan files during its onsite reviews but, instead, relies on and utilizes the results of the file review

through the post-purchase QC review process.

CORE utilizes the operational risk oversight framework to risk rate each finding, considering input from its business unit partners.

Risk ratings are based on the effectiveness of the counterparty’s controls and the severity of the impact or the risk to Freddie Mac

and include an assessment of critical, major, other, and observations. Furthermore, CORE will assess the counterparty’s overall

control environment based on the aggregation of risk ratings of new and existing open findings. The distribution of overall

assessments of counterparties reviewed in year-to-date 2015 are as follows: satisfactory (33.9%); controls need strengthening(13.8%); marginal (3.1%); unsatisfactory (6.1%); and reviews without a rating (43.1%).

CORE also conducts reviews of small counterparties and follow-up reviews for issue remediation; these reviews are typically limited

in scope and do not have an overall rating assessment. CORE tracks and monitors the issue status and remediation plans and

collaborates with business unit partners to assess the efficacy and timeliness of counterparty remediation plans. Aged issue reports

are escalated to management and the SF risk committee for critical or major findings.



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Post-Purchase Underwri ting QC and Credit Analytics

The Freddie Mac single-family QC process has undergone several enhancements post-crisis that have dramatically improved the

timing, as well as increased the effectiveness and efficiency of loans selected for review. QC tests the accuracy of the delivered data

on purchases to validate the loans and assess compliance with requirements. Results are used to determine ineligible defect rates

of lenders and to assess fees and/or implement action plans for lenders that deliver outside tolerances for defects. Loans are

sampled to mitigate losses, resolve repurchases, provide feedback to policy management, ensure sellers have strong underwriting

processes and validate data quality.

Freddie Mac performs QC post-funding reviews for both PLs and NPLs. QC reviews consist of the periodic sampling and inspection

of newly funded PLs (PL and compliance samples) both random and targeted.

The random sample includes loans pulled from all sellers. The sample size is calculated based on one or more of the following

factors: number of loans funded; historical rate of non-investment quality; and desired level of precision. The random sample size

has continued to decrease since 2011, as size is also based on the defect rate, which has materially decreased. Freddie Mac

indicated it expects the random portion of the loans selected for QC to continue to decrease, as the defect rates are expected to

continue to drop.

The targeted sample includes loans from high-risk new sellers, sellers flagged by QC data parameters and Freddie Mac’s

counterparty credit risk management area, as well as loans with other high-risk loan attributes. Targeted loans are also selected

based on the additional data available to Freddie Mac from its Uniform Loan Delivery Dataset (ULDD) delivered data, LP

submissions, electronic appraisal information, results of loans not originally submitted through LP (but later put through LP for

comparison) and other sources of data now available.

Enhancements to Freddie Mac’s QC process post-crisis include:

• Accelerated PL reviews to be timelier, allowing for results to sellers on their quality and process typically within six months of

delivery.

• Significantly expanding the share of NPLs reviewed.

• Obtaining full reverifications on PL loans (matching the NPL process).

• Implementing penalty fee and defect rate thresholds for large customers.

• Implementing repurchase late fees for nonpayment of repurchase requests.

QC Property Valuations

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, to assess whether the original appraisal

report supported the value and marketability of the subject property. If HVE values indicate that the original appraisal report

valuation significantly exceeded the HVE-determined value, Freddie Mac will use other tools, including review appraisals, to

determine if the value and marketability of the mortgaged property was supported.

For the 2014 property QC, roughly 2.6% of the NPLs reviewed each month require a third-party valuation to be ordered, while the

percentage is 6.8% for PLs. When the two were combined, a total of approximately 6.0% of the population reviewed required third-

party valuations to be ordered.

QC Results Defect Rates

Freddie Mac management indicated that based on the results of their quality control reviews, the 95% confidence interval estimate

of the defect rate for non-HARP loans purchased during the three-month period between April 1, 2015 and June 30, 2015 was

approximately 1.0% to 1.4% as of Nov. 30, 2015. Based on reviews completed through September 2015, the estimated weighted

defect rate across all sellers/servicers for all loans funded during 2012, 2013, and 2014 was approximately 2.8%, 1.4%, and 1.0%,

respectively.



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In 2014, the five most common defects found through the Freddie Mac post-purchase QC reviews were:

• Insufficient income.

• Excessive obligations.

• Insufficient funds to close.

• Unable to calculate income (documentation).

• Appraisal does not support value.

QC Results Re-Underwri ting

As part of the QC process, loans are underwritten to purchase documents, guide or contract, as of the funding date. Based on this

review, the underwriting decision will be either “acceptable,” if the loan is deemed to be of acceptable quality, or “repurchase,” if

deemed to be of non-acceptable quality. Appeals are allowed for loans that received a notice of repurchase, based on the

seller/servicer guide, which may change remedy decisions.

Defect/Remedy Management

Freddie Mac meets with its larger sellers to discuss deficiencies identified during the PL sampling to help ensure appropriate

changes are made to their underwriting processes. In addition, for all the largest sellers, Freddie Mac actively manages the current

quality of loan originations by providing monthly written and oral communications regarding loan defect rates and the drivers of those

defects. If necessary, Freddie Mac will work with sellers to develop an appropriate plan of corrective action.

In addition, Freddie Mac’s contracts with a number of its larger sellers give it the right to levy certain penalty fees when mortgage

loans delivered fail to meet its aggregate loan quality metrics. The current acceptable defect rate for lenders is 5%. Those lenders

that have defect rates exceeding the 5% threshold will be assessed a penalty fee for all loans delivered during the applicable time

frame. Freddie Mac indicated that all its largest (national) sellers are currently below the defect threshold.

Freddie Mac maintains ongoing repurchase communications with sellers/servicers and provides them with detailed tracking of

outstanding repurchases. Reports on the aging of repurchases and historical resolution efforts are provided on a loan-level and

aggregated basis. Freddie Mac enforces the reps and warranties of repurchase obligations for noncompliant sellers/servicersthrough the remedy management escalation policy, which includes the assessment of late fees for lenders with repurchases aged

greater than 120 days.

Review of QC Decisions Loan Review Quality Assurance Process

Freddie Mac maintains an independent department that samples decisions by the QC department made in the prior month.

Decisions from Freddie Mac underwriters and remedy staff are reviewed for accuracy and compliance. QC responds to the

preliminary draft for any major findings and modifies loan decisions or justifies reasons for maintaining the original decision.

Single-Family Loan Acquis ition Technology and Risk Management

Freddie Mac’s employees within its single-family loan acquisition technology and data group are from the mortgage purchase

operations group within the single-family operations organization. The model governance group at Freddie Mac assesses the risk of

models used at the company on a quarterly basis, with models reviewed periodically, based on the assigned risk ranking.

Furthermore, any significant changes to models are reviewed by the model risk management function prior to deployment for use.

The existing platforms and key applications in this area included:

• LP, the GSE’s proprietary AUS.

• Loan quality advisor (LQA).

• Uniform Mortgage Data Program (UMDP) initiatives, including the ULDD and Uniform Collateral Data Portal (UCDP).



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• Selling system.

• Quality control information manager (QCIM).

• Loan coverage advisor.

Quality Control Info rmation Manager (QCIM)

QCIM is Freddie Mac’s web-based tool for managing post-funding QC performing and nonperforming loan request and review

results. The system includes management reporting of customized dashboards to access and manage reports and data on QC

samples, loan file deficiencies and file review pipelines. These reports allow for analysis of trends to identify and correct possible

loan manufacturing process deficiencies. The system also assists in the QC loan file request, including tracking, pending and

incomplete loan file requests, as well as missing or incomplete document requests. Finally, the system also helps with the

management of repurchase and remedy requests.

Loan Coverage Advisor

Loan Coverage Advisor is a web-based application that establishes and tracks the representation and warranty relief date for every

loan sold to Freddie Mac, based on the requirements under the selling representation and warranty framework. The system

identifies the terms of obligations for each loan and the counterparties responsible for those obligations.



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Appendix B: Servicing

The servicing of Freddie-Mac-purchased loans will generally be retained by each individual originator/seller if the entity is also an

approved servicer. Freddie Mac oversees and directs activities of servicers, including setting servicing standards and requirements,

monitoring servicer performance, removing servicers at its discretion and approving/denying the transfer of servicing.

Freddie Mac’s servicer-approval and oversight processes were developed with a specific target of effectively managing thecompany’s $1.693 trillion single-family guarantee portfolio by reducing credit losses and pre-servicing communities through

responsible loss mitigation and liquidation, improving servicer performance and executing against REO asset management

disposition strategies.

Servicer Eligibility

Freddie Mac, in its oversight role, sets servicing standards and requirements for its loans. In-depth analysis of servicer performance

is conducted for both new and existing Freddie Mac servicers. Acceptable servicers are expected to evidence effectiveness and the

attainment of performance to Freddie Mac standard, and the Agency works with servicers to drive towards continuous performance

improvement.

Freddie Mac has the ability to remove servicers with or without cause. The agency also retains the right to refuse a requested

transfer of servicing from one servicer to another. In addition, the agency also retains the right to transfer portfolios when it feels the

need to facilitate better outcomes. Freddie Mac continues to work with servicers to transfer high risk portfolios to specialty servicers.

Over the past 12 months, the Agency has transferred approximately 240,000 loans with a UPB of $38 billion.

Over the past 12 months, Freddie Mac removed or denied 10 servicers. Also during this time period, approximately 100 servicers

voluntarily terminated, predominantly due to low activity.

Policy and Compliance Oversight

Freddie Mac’s Servicing Policy team is responsible for developing mortgage servicing policies and changes to the Single Family

Seller/Servicer Guide. The guide contains Freddie Mac’s servicing requirements and links to relevant bulletins and industry updates.

The team works with the FHFA, industry participants, and internal partners to develop solutions to servicing issues.

Freddie Mac and Fannie Mae, under the direction of their regulator, FHFA, have implemented a Servicing Alignment Initiative (SAI)

designed to establish consistent policies and processes for the servicing of delinquent loans owned or guaranteed by the GSEs. The

program was created to include a series of carrots and sticks to motivate the right servicer behavior, and to ensure that servicers are

better and more consistently prepared to help at-risk homeowners.

The main aspects of SAI are borrower contact, delinquency management practices, loan modifications and foreclosure alternatives

and foreclosure timelines. Under SAI, servicers are motivated by tiered loan modification incentives tied to solution delivery timing

and uniform compensatory fees.

While Freddie Mac focuses a considerable effort on performance trend analysis and servicer optimization strategies, the Agency has

well-established methodologies for ensuring compliance with its policies and guidelines. The Servicing Quality Assurance team

conducts post-acquisition loan file reviews to evaluate servicer compliance with Freddie Mac requirements for managing delinquent

loans and workout alternatives, and identifies remedies for non-compliance. Freddie Mac views its loan file reviews as an on-going

collaborative process between the Agency and its servicers.

The loan file reviews include an assessment of the servicer’s collection and solicitation activities, loss mitigation efforts, property

preservation through timely inspections and foreclosure time-line management requirements.

Fitch believes that Freddie Mac employs effective data analytics tools and structural mechanisms in its policy and compliance

oversight initiatives.



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Servicer Performance Monitoring and Management

Freddie Mac’s Servicing Success Program defines, measures, and promotes servicing best practices. It aims to establish with

servicers a mutual understanding of quality servicing. Under this Program, performance objectives are set, and broad, in-depth

analysis of performance is provided. The framework supports ongoing discussions between Freddie Mac and servicers on

performance.

Freddie Mac’s Servicing Relationship Management team is responsible for managing the performance of the company’s 1,250

national, regional, and community servicers. Over 70 servicers have been added in 2015. This team establishes relationships with

servicers in order to drive improvement in operational performance and focus on credit loss, while considering homeownership

preservation goals. Relationship managers average over 25 years of industry experience, and over six years with Freddie Mac.

Freddie Mac’s servicer management strategy focuses heightened scrutiny of the top ten servicers by loans serviced, representing

68% of the portfolio in aggregate, and those with 25 or more seriously delinquent loans in the portfolio. These servicers are actively

managed by assigned account managers; approximately 40 entities are in this ‘managed’ group; making up approximately 84% of

the portfolio. The assigned account managers work with the servicers to identify opportunities for ongoing improvement in loan and

portfolio status. Over the past year, the transition to 60 days delinquent for the entire portfolio has decreased from 0.51% to 0.43%.

Freddie Mac’s Customer Performance Management team is responsible for providing and maintaining a consistent framework for

business protocols, approval authority, and account management of negotiated terms of business, risk evaluation and customer

support.

On-site reviews of servicers are performed by the CORE group. Counterparties are selected by the degree of risk posed to Freddie

Mac. CORE creates and updates its servicer review plan on a semiannual basis, with input from internal stakeholders. National

servicers are reviewed one or more times annually, and large regional servicers and subservicers are reviewed annually, with the

remaining regionals on a rotational schedule. Smaller community servicers are selected based on performance risk metrics and

referral by the business units.

Servicer Scorecards

Freddie Mac provides servicers with monthly scorecard summaries of key servicing metrics, which includes information on both the

subject entity and peer aggregates. The scorecards are delivered via the servicer performance profiles (SPP) website. Freddie

Mac’s servicer scorecards include individual performance targets or rankings, metric weights and synthetic portfolio/peer

comparisons.

The scorecards contain performance metrics on loss mitigation and foreclosure alternatives, investor reporting, default management,

and file review defect rates. They also provide historical views of the servicer’s performance, a rank order of performance relative to

other servicers, and for larger entities, individualized goals and objectives.

Freddie Mac continues to seek out ways to improve on its analytics and the use of its metrics in its scorecards. For example, the

Agency has included an emphasis on positive outcomes, such as a return to current status. Also reflecting changes in servicing, the

scorecard now has increased weighing on transitions to 60 days delinquent, which emphasizes early collections.

HomeSteps REO Program

The stated mission of Freddie Mac’s HomeSteps REO program is to ‘effectively manage credit losses in a way that provides

affordable housing opportunities and benefits communities’.

Freddie Mac has identified a number of goals in order to succeed in this mission. One key goal includes a focus on improving

collateral values. The Agency has refined its valuation methodology; incorporating a repair strategy directed at improving sales

prices and return on investment, and frequent market area reviews and analytics to adjust sales and pricing strategies. Freddie Mac

management indicated that since 2012 a net benefit of approximately $500 million has been realized from this effort.



Structured Finance


January 7, 2016

The Agency has also focused effort on the management of expenses. Freddie Mac monitors asset expenditures at the account

group level; it conducts business model reviews for savings and efficiencies, and negotiates volume discounts with vendors for

service fees.

Freddie Mac also aims to ensure effective management and collection of hazard insurance, primary MI, pool MI, repurchase claims,

and other available remedies. Freddie Mac management indicated that since 2009 it has collected $5 billion in remedies.Further goals of HomeSteps include the proper preservation, maintenance and repair of homes and the pricing of homes at fair

market value. Freddie Mac aims to adhere to the highest quality of preservation, maintenance and repair standards, in order for their

homes to look as good as or better than others in the market. Furthermore, the Agency aims to price and sell homes in-line with

other retail sales in the community. Freddie Mac management indicated that HomeSteps is currently repairing approximately 70% of

its inventory, and that since 2009 they’ve sold nearly 500,000 homes, recovering 95% of their established market value.

Fitch has reviewed Freddie Mac’s HomeSteps program, which incorporates core REO processes that are outsourced with Freddie

Mac oversight and REO support and financial functions that are managed by Freddie Mac staff, and believes that the agency has an

effective process in place for REO management.



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January 7, 2016

Appendix C: Rating Sensitivity

Fitch’s analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value

declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the

potential outcomes and do not consider other risk factors that the transaction may become exposed to or that may be

considered in the surveillance of the transaction. Two sets of sensitivity analyses were conducted at the state and nationallevel to assess the effect of higher MVDs for the subject pool.

Defined Stress: Addi tional Decline in sMVD at the National Level

This defined stress sensitivity analysis demonstrates how the

ratings would react to steeper MVDs at the national level. The

analysis assumes MVDs of 10%, 20%, and 30%, in addition to

the model-projected 25.0% at the ‘BBBsf’ level, 23.4% at the

‘BBB−sf’ level and 15.6% at the ‘Bsf’ level. As shown in the

table at right, the analysis indicates that there is some potential

rating migration with higher MVDs, compared with the model

projection.

Defined Sensitiv ities: Additional Decline in sMVD at the National Level

The defined rating sensitivities determine the stresses to MVDs

that would reduce a rating by one full category, to non-

investment grade and to ‘CCCsf’. The percentage points

shown in the table at right reflect the additional MVDs that

would have to occur to impact ratings for each defined

sensitivity for this transaction.

Defined Stresses(%)

Addi tional Decline

Original Rating 10% 20% 30%

BBBsf BBBsf BBsf Bsf

BBB−sf BBB−sf BB−sf <Bsf

Bsf Bsf < Bsf < Bsf

Defined Sensitivities(%)

Reduced Rating

Original RatingOne Full

CategoryNon-Investment

Grade To CCCsf

BBBsf 10 10 32

BBB−sf 10 7 28

Bsf 11 11



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January 7, 2016

Appendix D: Third-Party Due Diligence

As per Fitch’s criteria, third-party loan-level results were reviewed by Fitch for this transaction. The due diligence company,

Opus, examined selected loan files with respect to the presence or absence of relevant documents. Fitch received

certifications indicating that the loan-level due diligence was conducted in accordance with its published standards. The

certifications also stated that the company performed its work in accordance with the independence standards, asper Fitch’s criteria, and that the due diligence analysts performing the review met Fitch’s criteria of minimum years

of experience.

The due diligence sample consisted of 850 loans randomly chosen by Opus out of approximately 5,064 eligible loans

acquired between April 1, 2015 and June 30, 2015 for which Freddie Mac had completed post-purchase QC reviews. The

scope of the due diligence engagement covered:

• Credit and compliance reviews.

• Property valuation reviews.

• Data integrity.

Of the loans sampled, the table at right reflects Opus’ final overall grades

(using Fitch’s event grades) and loan counts.

Credit Findings

Opus performed credit reviews to determine whether loans conformed to

Freddie Mac’s underwriting and eligibility guidelines. Two loans were identified by Opus as a grade ‘D’ loan for credit, due

to a missing credit report or missing income documentation. Freddie Mac has removed these loans from the reference pool.

Based on Fitch’s review and the positive opinion of Freddie Mac’s lender/seller reviews (which include a comprehensive

review of the lenders’ QC processes), post-close loan file reviews and servicer oversight, Fitch does not believe that a PD

adjustment is necessary to address these findings.

Compliance Findings

The compliance review differs from Fitch’s criteria as the review was based on Freddie Mac’s Anti-Predatory LendingCompliance Review and Loan Document Inventory guidelines. While the review does not examine all the documents

necessary to ensure that the loan complies with all applicable federal, state and local laws and regulations, Freddie Mac

validates the absence of any anti-predatory lending issues that could lead to assignee liability. Freddie Mac also relies on

seller reps and warranties to ensure compliance with all laws, including consumer protection laws. Of the 850 loans, 256

loans were reviewed, and all files contain the final truth-in-lending disclosure and satisfy all other compliance

documentation requirements.

For all the loans in the due diligence population, Opus confirmed that the loan application was signed by all borrowers, and

if not, it confirmed the file contained the appropriate signed borrower authorization(s).

All 256 loans reviewed for compliance were graded ‘A’.

Property Valuation Review Findings

For the sample pool of loans, all the loans contained original, or copies of, standard FNMA/FHLMC appraisals. Opus found

the appraisals, in general, to be of average quality based on content and acceptable support of the indicated value.

Opus ordered retrospective AVM reports on the 605 loan samples. Additional valuation products were completed for loans

where the AVM returned greater than a negative 10% variance, an appraisal more than 120 days before the note date or if

there were inconsistencies or problems with the original appraisal. A secondary valuation review included ordering an

enhanced product, such as a Retro Collateral Desktop Analysis (CDA). If the result of the CDA reflected a greater than 10%

variance, a third valuation, a retrospective field review, was completed.

Overall Fitch Grade Summary

Final Overall Grade Total Loan Count

A 846

B 0

C 2

D 2Total 850



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January 7, 2016

Two loans were graded ‘C’ due to the appraised values not being supported (variances of 21.9% and 38.4%). These two loans

were removed from the reference pool.

Data Integrity Findings

Opus compared the loan tape with the files reviewed for any data discrepancies. There were a total of 35 data differences,which are noted in the table below. Of the 35 data discrepancies, 10 were difference in property type, 8 were differences in

the first time homebuyer flag, 7 were differences in DTI and 7 were differences in CLTV. Given the minimal findings, no

adjustment was made to the levels.

Data Integrity Findings

Data Difference Count of Findi ngs Tape Value (%) Review Value (%)

DTI (Back) > 5.0% lower 1 32 26

DTI (Back) > 5.0% higher 4 26 41

DTI (Back) b/ 2.0% and 5% higher 2 27 31

CLTV 7 73.3 85.6

First Payment Date 1 May 2015 June 2015

First Time Home Buyer 3 Yes No

First Time Home Buyer 5 No Yes

Maturity Date 1 May 2045 April 2045

Property Type 10

Number of Units 1 4 3

Total 35



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January 7, 2016

Appendix E: Exchangeable Notes

Holders of the original notes may exchange all or part of each class of such original notes for a proportionate interest in the

modifications and combinations (MAC) notes in the related exchangeable combination. The holders of each class of MAC

notes in an exchangeable combination may also exchange all or part of such class for a proportionate interest in each class

of related original notes. This process may occur repeatedly.In the event that any original notes are exchanged for the related exchangeable combination, such MAC notes in the

exchangeable combination will be entitled to a proportionate share of the principal and interest distributions on each class

of related original notes. In addition, the MAC notes in an exchangeable combination will bear a proportionate share of

losses and interest shortfalls, as applicable, allocable to each class of related original notes.

Exchangeable Notes

MAC NotesExpectedRating

Expected RatingOutlo ok Amou nt ($) CE (%) Interest Rate (%) ISIN/CUSIP

M-1F BBBsf Stable 252,000,000 3.95 TBD 3137G0HR3

M-1I BBBsf Stable 252,000,000a N.A. TBD 3137G0HS1

M-2F BBB−sf Stable 240,000,000 2.95 TBD 3137G0HU6

M-2I BBB−sf Stable 240,000,000a N.A. TBD 3137G0HV4

M-3F Bsf Stable 468,000,000 1.00 TBD 3137G0HX0

M-3I Bsf Stable 468,000,000a N.A. TBD 3137G0HY8

M-12 BBB−sf Stable 492,000,000 2.95 TBD 3137G0JA8

MA Bsf Stable 960,000,000 1.00 TBD 3137G0JB6

aNotional principal amount. N.A. − Not applicable. TBD − To be determined.

Exchangeable Combinations

Combination Original Notes Amount ($) Interest Rate (%) MAC Notes Amount ($)Interest

Rate (%)

1 M-1 252,000,000TBD M-1F 252,000,000 TBD

M-1I 252,000,000a TBD

2 M-2 240,000,000TBD M-2F 240,000,000 TBD

M-2I 240,000,000a TBD

3 M-3 468,000,000TBD M-3F 468,000,000 TBD

M-3I 468,000,000a TBD

4 M-1 252,000,000 TBD

MA 960,000,000 TBDM-2 240,000,000 TBD

M-3 468,000,000 TBD

5M-1 252,000,000 TBD

M-12 492,000,000 TBDM-2 240,000,000 TBD

aNotional amount. TBD − To be determined.



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January 7, 2016

Appendix F: Transaction Overview

Structured Agency Credit Risk Debt Notes, Series 2016-DNA1 U.S. RMBS

Class

Expected

Ratings

Expected

Rating Outlook Size (%) Size ($ Mil.) CE (%)

Interest

Rate (%) Final Maturi ty ISIN/CUSIP A-H

a NR N.A. 95.00 33,937.85 5.00 N.A. N.A. N.A

M-1b BBBsf Stable 0.71 252.00 3.95 TBD July 2028 3137G0HQ5

M-1Ha NR N.A. 0.34 123.10 3.95 N.A. N.A. N.A

M-2b BBB−sf Stable 0.67 240.00 2.95 TBD July 2028 3137G0HT9

M-2Ha NR N.A. 0.33 117.24 2.95 N.A. N.A. N.A

M-3b Bsf Stable 1.31 468.00 1.00 TBD July 2028 3137G0HW2

M-3Ha NR N.A. 0.64 228.62 1.00 N.A. N.A. N.A

B NR N.A. 0.10 36.00 0.00 TBD July 2028 3137G0HZ5

B-Ha NR N.A. 0.90 321.24 0.00 N.A. N.A. N.A

Total 100.00 35,724.06

aClasses A-H, M-1H, M-2H, M-3H and B-H are reference tranches only. These classes are not issued or sold. The risk is retained by Freddie Mac.

bOriginal

notes, which can be exchanged for modifications and combinations (MAC) notes. See Appendix E for more information on MAC notes and exchangeablecombinations. NR − Not rated. N.A. − Not applicable. TBD − To be determined.

Key Information

Details: Parties:Expected Closing Date Jan.21, 2016 Issuer Freddie Mac

Country of Assets and Type U.S./RMBS Title of Series Structured Agency Credit Risk Debt Notes, Series 2016-DNA1

Country of Issuer U.S. Global Agent U.S. Bank N.A.

Analyst Rachel Noonan+1 212 908-0224

Originators Various

Master Servicer Freddie Mac

Performance Analyst Rachel Noonan+1 212 908-0224

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

Key Rating Drivers

High Quality Mortgage Pool: The reference mortgage loan pool consistsof 144,144 high quality mortgage loans totaling $35.7 billion that were

acquired by Freddie Mac between April 1, 2015 and June 30, 2015. Thepool consists of loans with original loan-to-value ratios (LTVs) of over 60%and less than or equal to 80% with a weighted average (WA) originalcombined LTV of 76%. The WA debt-to-income (DTI) ratio of 35% andcredit score of 754 reflect the strong credit profile of post-crisis mortgageoriginations.

Reference Pool

Class A-H

(Reference Tranche Only)

Class M-1


Reference Tranche)

Class M-1H

(Reference Tranche

Only)

Class M-2


Reference Tranche)

Class M-2H

(Reference Tranche

Only)

Class B-H

(Reference Tranche

Only)

Actual Prin cipal Payment s

Freddie Mac

Specified Credit Events

Freddie Mac pays coupon on

Notes, which could be reduced

due to loan modifications, and its

obligation to repay principal on

the Notes is reduced for credit

events, and in certain instances

modifications on the Reference

Pool based on an actual loss

approach

Class B


Reference Tranche)

Class M-3H

(Reference Tranche

Only)

Class M-3


Reference Tranche)



Structured Finance

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Documents

Fitch Pre-Sale Structured Agency Fitch Pre-Sale Structured Agency Credit Risk Debt Notes, Series 2016-DNA1Credit Risk Debt Notes, Series 2016-DNA1