Freddie Mac Investor Presentation

Transcription

Freddie Mac Investor Presentation
Freddie Mac Update
December 2014
Table of contents
Section
Page
I
Freddie Mac Overview
3
II
U.S. Housing Market
16
III
Credit Guarantee Business
28
IV
Investment Management Business
37
V
Multifamily Business
42
VI
Debt Funding Program
53
VII
Mortgage Funding
60
For more information about Freddie Mac and its business, please see the company’s filings with the Securities and Exchange Commission,
including the company’s Annual Report on Form 10-K for the year ended December 31, 2013, which are available on the Investor Relations
page of the company’s Web site at www.FreddieMac.com/investors and the Securities and Exchange Commission’s Web site at
www.sec.gov.
© Freddie Mac
2
Freddie Mac Overview
© Freddie Mac
© Freddie Mac
3
Freddie Mac’s mission
U.S. Residential
Mortgage Market
Mortgage
Securitization
Mortgage-backed
Securities
Freddie Mac
Global Capital
Markets
Mortgage
Investments
Debt
Securities
“A primary purpose is to provide stability in the secondary market for home mortgages including mortgages securing housing for
low and moderate income families. This can be accomplished through both portfolio purchasing and selling activities, as well as
through the securitization of home mortgages.”1
1 House of Representatives report on FIRREA, No. 54, 101st Congress, 1st Session, Part 3 at 2 (1989).
© Freddie Mac
4
Conservatorship
 We continue to operate under the conservatorship that commenced on September 6,
2008, under the direction of Federal Housing Finance Agency (FHFA) our Conservator.
 FHFA as our Conservator:
» FHFA assumed all powers of the Boards, management and shareholders
» FHFA has directed and will continue to direct certain of our business activities and
strategies
» FHFA delegated certain authority to our Board of Directors to oversee, and to
management to conduct, day-to-day operations
 Our ability to access funds from the Treasury under the Purchase Agreement is critical to
keeping us solvent.
 There is significant uncertainty as to whether or when we will emerge from
conservatorship, as it has no specified termination date.
 Our future structure and role will be determined by the Administration and Congress, and
there will likely be significant changes beyond the near term.
© Freddie Mac
5
FHFA Strategic Plan
 On May 13, 2014, FHFA released its 2014 Strategic Plan, which provides an updated vision
of FHFA’s implementation of its obligations as Conservator of Freddie Mac and Fannie Mae
(the Enterprises).
 The plan sets forth three reformulated strategic goals:
» Maintain, in a safe and sound manner, foreclosure prevention activities and credit
availability for new and refinanced mortgages to foster liquid, efficient, competitive and
resilient national housing finance markets.
» Reduce taxpayer risk through increasing the role of private capital in the mortgage
market.
» Build a new single-family securitization infrastructure for use by the Enterprises and
adaptable for use by other participants in the secondary mortgage market in the future.
 FHFA’s 2014 Strategic Plan adheres to its existing statutory mandate of overseeing the
conservatorships of the Enterprises in their current state and ensuring that the Enterprises’
infrastructure meets the needs of their current credit guarantee businesses and other
operations.
© Freddie Mac
6
2014 Conservatorship Scorecard
Strategic Goal
Weight
Scorecard Objective
Increase access to mortgage credit for creditworthy borrowers
Continue loss mitigation and foreclosure prevention activities
MAINTAIN
40%
Continue to develop approaches to reduce costs for Lender Placed Insurance (LPI)
Maintain new multifamily business volume at or below 2013 cap (excluding certain
mission-related activity)
Single-family: Complete credit risk transfers involving at least $90 billion of UPB and
utilize at least one transaction type in addition to the STACR structure
REDUCE
30%
Multifamily: Assess economics and feasibility of additional types of risk transfer
structures and increasing the amount of risk transferred in current structures
Retained Portfolio: Submit to FHFA plans to meet, even under adverse conditions,
the annual PSPA requirements and $250 billion PSPA cap by December 31, 2018
Finalize mortgage insurance Master Policies and enhanced eligibility requirements
Continue to build and test the Common Securitization Platform (CSP), and continue
implementation of required changes to systems and operations for integration into
CSP
BUILD
30%
Identify key components, features and standards needed for a single (common)
security in the CSP; assess and begin to address key issues
Provide support for mortgage data standardization initiatives:
• Servicing Data and Technology Initiative (SDTI)
• Uniform Closing Disclosure Dataset (UCD) initiative
• Uniform Loan Application Dataset (ULAD)
© Freddie Mac
7
Amended Purchase Agreement
 On August 17, 2012, Freddie Mac, acting through FHFA, as Conservator, and Treasury
entered into a third amendment to the Purchase Agreement.
 The principal changes, which are consistent with FHFA’s strategic plan for Freddie Mac and
Fannie Mae conservatorships, include:
» Replacement of the fixed dividend rate with a net worth sweep dividend beginning for the
first quarter of 2013
» Accelerated wind-down of the retained portfolio
» Submission of annual risk management plan to Treasury
» Suspension of periodic commitment fee
© Freddie Mac
8
U.S. housing finance market reform
 On February 11, 2011, the Obama Administration delivered a report to Congress that lays out the
Administration’s plan to reform the U.S. housing finance market
 The report recommends winding down Freddie Mac and Fannie Mae
» The report identifies a number of policy levers that could be used to wind down Freddie Mac and
Fannie Mae, shrink the government’s footprint in housing finance, and help bring private capital
back to the mortgage market, including:
– Increasing GSE g-fees
– Phasing in a 10 percent down payment requirement on mortgages insured by Freddie Mac and
Fannie Mae
– Reducing conforming loan limits
– Winding down Freddie Mac and Fannie Mae’s investment portfolios, consistent with Freddie
Mac and Fannie Mae’s Purchase Agreements with Treasury
 The report states that the government is committed to ensuring that the GSEs have sufficient capital
to perform under any guarantees issued now or in the future and the ability to meet any of their debt
obligations
» The report states that the Administration will not pursue policies or reforms in a way that would
impair the GSEs’ ability to honor their obligations
» The report states the Administration’s belief that under the Purchase Agreements there is sufficient
funding to ensure the orderly and deliberate wind down of Freddie Mac and Fannie Mae
Source: The Department of the Treasury and U.S. Department of Housing and Urban Development’s “Reforming America’s Housing Finance Market: A Report to Congress”, February
2011.
© Freddie Mac
9
Market presence
MBS Issuance Volume
$ Trillions
2.4
$2.2T
$2.0T
2.0
$1.9T
$1.8T
1.6
$1.7T
$1.6T
$1.5T
$1.2T
1.2
$1.2T
$0.9T
0.8
0.4
0.0
2005
2006
2007
Freddie Mac
2008
2009
Fannie Mae
2010
2011
2012
YTD
20141
Private Label
Ginnie Mae
2013
YTD
2005
2006
2007
2008
2009
2010
2011
2012
20141
2013
Enterprises & Ginnie Mae
45%
44%
62%
95%
97%
96%
98%
99%
98%
98%
Private Label
55%
56%
38%
5%
3%
4%
2%
1%
2%
2%
1 2014 data as of November 30, 2014.
Source: Inside Mortgage Finance.
© Freddie Mac
10
Housing market support
Number of Families Freddie Mac Helped
to Own or Rent a Home1
Single-Family Loan Workouts2
Number of Loans (000)
In Thousands
Cumulative Since 2009:
2,472
2,480
12,427
Cumulative Since 2009:
1,047
275
2,458
2,089
208
1,830
169
1,098
168
133
94
2009
2010
2011
2012
2013
YTD
2014
2009
2010
2011
2012
2013
YTD
2014
Loan modifications3modifications3
Home Retention Actions
Repayment plans3plans3
Forbearance agreements3agreements3
Short sales and deed-in-lieu of
foreclosure transactions33
Foreclosure Alternatives
1 Based on the company’s purchases of loans and issuances of mortgage-related securities. For the periods presented, a borrower may be counted more than once if the company
purchased more than one loan (purchase or refinance mortgage) relating to the same borrower.
2 Consists of both home retention actions and foreclosure alternatives.
3 These categories are not mutually exclusive and a borrower in one category may also be included within another category in the same or another period. For example, a borrower
helped through a home retention action in one period may subsequently lose his or her home through a short sale or deed-in-lieu transaction in a later period.
© Freddie Mac
11
Comprehensive income
$ Billions
$30.4
$9.8
$5.6
$7.0
$5.7
$4.4
$4.5
$1.9
3Q12
4Q12
1Q13
2Q13
3Q13
1
4Q13
1Q14
2Q14
A
Net income
B
Total other comprehensive income (loss), net of taxes
C=A+B
$2.8
3Q14
2
Comprehensive income
1 Net income and Comprehensive income include $23.9 billion non-cash benefit from releasing the valuation allowance on deferred tax assets.
© Freddie Mac
2 Consists of the after-tax changes in: (a) the unrealized gains and losses on available-for-sale securities; (b) the effective portion of derivatives previously designated as cash flow
hedges; and (c) defined benefit plans.
© Freddie Mac
12
Treasury draw requests and dividend payments
$ Billions
Draws From Treasury
Dividend Payments to Treasury
Cumulative
Total
Total Senior Preferred Stock
Outstanding
Less: Initial Liquidation Preference
1
Treasury Draws
Cumulative
Total
$72.3
Dividend Payments as of 09/30/14
$88.2
$1.0
4Q14 Dividend Obligation
$2.8
Total Dividend Payments2
$71.3
$91.0
$47.6
$44.6
$16.8
$13.0
$7.6
$6.1
2008
2009
2010
2011
$0.02
$0.0
$0.0
$0.2
2012
2013
YTD
2014
2008
$4.1
$5.7
$6.5
$7.2
2009
2010
2011
2012
Draw Requests from Treasury 4
2013
Dividend Payments to Treasury
YTD
2014 3
5
1 The initial $1 billion liquidation preference of senior preferred stock was issued to Treasury in September 2008 as consideration for Treasury’s funding commitment. The company
received no cash proceeds as a result of issuing this initial $1 billion liquidation preference of senior preferred stock.
2 Amounts may not add due to rounding.
3 Amount does not include the December 2014 dividend obligation of $2.8 billion.
4 Annual amounts represent the total draws requested based on Freddie Mac’s quarterly net deficits for the periods presented. Draw requests are funded in the subsequent quarter
(e.g., $19 million draw request for 1Q12 was funded in 2Q12).
5 Represents quarterly cash dividends paid by Freddie Mac to Treasury during the periods presented. Through December 31, 2012, Treasury was entitled to receive cumulative
quarterly cash dividends at the annual rate of 10% per year on the liquidation preference of the senior preferred stock. However, the fixed dividend rate was replaced with a net
worth sweep dividend payment beginning in the first quarter of 2013. See the company’s Annual Report on Form 10-K for the year ended December 31, 2013 for more information.
© Freddie Mac
13
Investments – Purchase Agreement portfolio limits
Mortgage Assets 1, 2
Indebtedness 1, 3
$ Billions
$ Billions
$780
$663
$553
$553
$553
12/31/13
$663
$663
$553
$564
$470
$461
$663
$434
$420
$414
03/31/14
06/30/14
09/30/14
12/31/14
$511
12/31/13
$458
$449
$440
03/31/14
06/30/14
09/30/14
Mortgage-related investments portfolio ending balance
Total debt outstanding
Mortgage-related investments portfolio limit
Indebtedness limit
12/31/14
01/01/15
1 The company’s Purchase Agreement with Treasury limits the amount of mortgage assets the company can own and indebtedness it can incur. Under the Purchase Agreement,
mortgage assets and indebtedness are calculated without giving effect to the January 1, 2010 change in the accounting guidance related to the transfer of financial assets and
consolidation of variable interest entities (VIEs). See the company’s Annual Report on Form 10-K for the year ended December 31, 2013 for more information.
2 Represents the unpaid principal balance (UPB) of the company’s mortgage-related investments portfolio. The company discloses its mortgage assets on this basis monthly in its
Monthly Volume Summary reports, which are available on its Web site and in Current Reports on Form 8-K filed with the Securities and Exchange Commission (SEC).
3 Represents the par value of the company’s unsecured short-term and long-term debt securities issued to third parties to fund its business activities. The company discloses its
indebtedness on this basis monthly in its Monthly Volume Summary reports, which are available on its Web site and in Current Reports on Form 8-K filed with the SEC.
© Freddie Mac
14
Single-family real estate owned
Property Inventory
3Q14 Activity
Historical Trend
Ending Property Inventory
(Number of Properties)
(Number of Properties)
51k
49k
48k
45k
47k
47k
44k
36k
8,648
29k
(15,438)
36,134
06/30/14
Inventory
29,344
Acquisitions
Dispositions
09/30/14
Inventory
3Q12
4Q12
1Q13
2Q13
3Q13
4Q13
1Q14
2Q14
© Freddie Mac
3Q14
15
U.S. Housing Market
© Freddie Mac
© Freddie Mac
16
U.S. single-family mortgage debt in relation to
total value of housing stock
$ Trillions
25
Value of U.S. Housing Stock 1
20
15
U.S. Home
Equity 2
Record:
$13.3 Trillion
(2006)
$11.0
Trillion
10
5
$9.4
Trillion
U.S. Single-family Mortgage Debt Outstanding 3
0
1990
1992
1994
1996
1998
2000
2002
2004
2006
2008
2010
2012
2014
1 Value of U.S. housing stock: Federal Reserve Board’s Flow of Funds Accounts, December 11, 2014, Table B.100 (line #49). This figure includes homes with and without underlying
mortgages.
2 U.S. home equity is the difference between the value of the U.S. housing stock and the amount of U.S. single-family mortgage debt outstanding.
3 U.S. single-family mortgage debt outstanding: Federal Reserve Board’s Flow of Funds Accounts, December 11, 2014, Table L.100 (line #27).
Source: Federal Reserve Board’s Flow of Funds Accounts. Data as of September 30, 2014.
© Freddie Mac
17
U.S. nominal house prices
Annual Changes in National House Prices
16
14
12
10
8
4.1%: 1952-2013
Average Growth Rate
6
4
2
0
-2
-4
-6
-8
-10
- Recession Year
2012
2009
2006
2003
2000
1997
1994
1991
1988
1985
1982
1979
1976
1973
1970
1967
1964
1961
1958
1955
1952
-12
Note: Growth rates for 1952 to 2013 are calculated using the annual average of certain third party and Freddie Mac indices.
Sources: E. H. Boeckh and Associates, Bureau of Labor Statistics, U.S. Census Bureau and Freddie Mac.
© Freddie Mac
18
National home prices1
Cumulative decline of 11% since June 2006
170
United States (NSA)
160
Q32014 NSA Index Growth: 0.7%
Q32014 SA Index Growth: 1.2%
150
140
130
United States (SA)
120
110
100
Freddie Mac House Price Index (December 2000=100)
90
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
1 National home prices use the Freddie Mac House Price Index for the U.S., which is a value-weighted average of the state indexes where the value weights are based on Freddie Mac’s
single-family credit guarantee portfolio. Other indices of home prices may have different results, as they are determined using home prices relating to different pools of mortgage loans
and calculated under different conventions than Freddie Mac’s. Quarterly growth rates are calculated as a 3-month change based on the final month of each quarter. ‘SA’ denotes
‘Seasonally Adjusted’ and ‘NSA’ denotes ‘Not Seasonally Adjusted’; seasonal factors typically result in stronger house-price appreciation during the second and third quarters. Historical
growth rates change as new data becomes available. Values for the most recent periods typically see the largest changes. Cumulative decline calculated as the percent change from
June 2006 to September 2014.
Source: Freddie Mac.
© Freddie Mac
19
Home price performance by state
September 2013 to September 20141
United States 5%
NH
7%
WA
7%
OR
13%
NV
8%
CA
5%
MT
3%
ID
8%
ND
3%
WY
3%
UT
4%
AZ
7%
CO
3%
SD
4%
KS
3%
OK
3%
NM
7%
HI
3%
WI
4%
MO
1%
NY
8%
MI
3%
IA
5%
NE
8%
TX
5%
AK
1%
MN
4%
IL
4%
IN
4%
OH
KY 3%
TN 6%
5%
AR
3%
LA
5%
MS
4%
AL
0%
VT 4%
4%
ME
MA
4%
RI 6%
CT -1%
2%
PA
NJ 1%
0%
4%
4%
WV
VA
DE 6%
MD
DC 7%
NC 3%
6%
SC
7%
GA
8%
FL
≥ 8%
5 to 7%
2 to 4%
-1 to 1%
1 The Freddie Mac House Price Index for the U.S. is a value-weighted average of the state indexes where the value weights are based on Freddie Mac’s single-family credit
guarantee portfolio. Percent changes were rounded to nearest whole percentage point.
Source: Freddie Mac
© Freddie Mac
20
Vacant housing oversupply
Excess Vacant Homes
(Numbers in Millions)
2.0
Excess for-Rent Inventory
1.6
Excess for-Sale Inventory
1.2
0.8
0.4
0.0
-0.2
-0.4
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
Source: Freddie Mac calculations using U.S. Census Bureau data. Negative values reflect undersupply. The under/oversupply of vacant housing was estimated based on the average
vacancy rate from 1994Q1 to 2003Q4. 2014 data as of September 30, 2014.
© Freddie Mac
21
Inventories of homes for sale
Months Supply of
Homes for Sale
15
14
13
12
11
10
9
8
7
6
5
4
3
2
1
0
1976
Existing Homes
5.6
5.1
New Homes
1979
1982
1985
1988
1991
1995
1998
2001
2004
2007
2010
2014
Sources: U.S. Census Bureau and National Association of Realtors. 2014 data as of October 31, 2014.
© Freddie Mac
22
Single-family mortgage originations
$ Billions
4,000
Refinance Originations
Home Purchase Originations
3,000
2,000
$1.2T
$1.1T
$1.2T
1,000
0
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014 2015 2016
Est. Fcst. Fcst.
Note: Estimates and forecasts by the Office of the Chief Economist do not necessarily represent the views of Freddie Mac or its management, should not be construed as
indicating Freddie Mac's business prospects or expected results, and are subject to change without notice.
Source: U.S. Department of Housing and Urban Development and Federal Financial Institutions Examination Council. 2014, 2015 and 2016 data based on the December 2014
estimate of Freddie Mac’s Office of the Chief Economist.
© Freddie Mac
23
GSE purchases under the Home Affordable
Refinance Program
30-Year Fixed
Mortgage Rate1
(Percent)
# of Loans
(Thousands)
140
5.5
120
5.0
100
4.5
80
60
4.0
40
3.5
20
0
Apr-09
3.0
Dec-09
Aug-10
Freddie Mac 2
Apr-11
Dec-11
Fannie Mae3
Aug-12
Apr-13
Dec-13
Aug-14
30-Year Fixed Mortgage Rate
1 Based on Freddie Mac’s Primary Mortgage Market Survey rate for the last week in the period, which represents the national average mortgage commitment rate to a qualified
borrower exclusive of any fees and points required by the lender on conforming mortgages with LTV ratios of 80%.
2 The Relief Refinance MortgageSM initiative is Freddie Mac’s implementation of the Home Affordable Refinance Program® (HARP).
3 Fannie Mae’s Refi PlusTM initiative includes loans refinanced under HARP.
Source: Federal Housing Finance Agency, Freddie Mac. 2014 data as of September 30, 2014.
© Freddie Mac
24
Housing affordability
Index
210
200
190
180
170
160
150
140
130
120
110
100
90
80
1991
167
Average = 138
1993
1995
1997
1999
2001
2003
2005
2007
2009
2011
2013 2014
Note: An index of 100 indicates a median income family has exactly enough income to qualify for a mortgage on a median-priced home. An index above 100 signifies that a median
income family has more than enough income to qualify for a mortgage on a median-priced home. Data seasonally adjusted.
Source: National Association of Realtors. 2014 data as of June 30, 2014.
© Freddie Mac
25
Jumbo-conforming spreads
Effective Jumbo-conforming Interest Rate Spread
Basis points
200
180
Record: 184 bps
12/19/08
160
Most recent: 8 bps
12/5/14
140
120
100
80
60
40
20
0
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
1996
1995
1994
1993
1992
1991
1990
1989
1988
(20)
Note: Effective spread adds fees and points to the interest rate.
Source: HSH Associates. Data as of December 5, 2014.
© Freddie Mac
26
30-year fixed mortgage rates
Percent
8.5
8.0
7.5
7.0
6.5
6.0
5.5
5.0
4.5
4.13%
4.10%
4.05%
4.0
3.5
Jan08
Jun- Dec- May- Nov- Apr08
08
09
09
10
30-Year Conforming
Oct- Mar- Sep- Feb- Aug- Jan10
11
11
12
12
13
30-Year Conforming Jumbo
Jul13
Dec- Jun- Nov13
14
14
30-Year Non-Conforming Jumbo
Note: Points and fees are added to interest rates.
Source: HSH Associates. Data as of December 5, 2014.
© Freddie Mac
27
Credit Guarantee Business
© Freddie Mac
© Freddie Mac
28
Total mortgage portfolio
$ Billions
2,400
$2,207
2,200
$2,251
$2,165
$2,103
$2,075
$1,956
2,000
$1,827
1,800
$1,915
$1,902
$1,684
1,600
1,400
1,200
$1,653
$1,496
1,000
800
600
400
$158
200
$407
$249
0
2005
2006
2007
2008
2009
2010
2011
2012
2013
YTD 2014
Outstanding Freddie Mac Mortgage-Related Securities and Other Guarantee Commitments
Mortgage-related Investments Portfolio (PCs, REMICs and Other Structured Securities)
Mortgage-related Investments Portfolio (Non-Freddie Mac Mortgage-Related Securities & Mortgage Loans)
Note: Totals may not add due to rounding.
Source: Freddie Mac. 2014 data as of October 31, 2014. Figures for 2014 are subject to change.
© Freddie Mac
29
Freddie Mac’s GSE market share
Freddie Mac share of
PC/MBS issuances
50
45
43%
41%
40%
40
37%
38%
38%
35
35%
35%
2011
2012
30
2007
2008
2009
2010
2013
YTD 2014
Source: Freddie Mac and Fannie Mae Monthly Volume Summaries. 2014 data as of October 31, 2014. Freddie Mac Monthly Volume Summary figures for 2014 are subject to change.
© Freddie Mac
30
Freddie Mac’s single-family credit guarantee portfolio
by region1
North Central
17%
Northeast
West
26%
29%
Southwest
12%
Southeast
16%
1 Based on the unpaid principal balance of the single-family credit guarantee portfolio, which includes unsecuritized single-family mortgage loans held by the company on its
consolidated balance sheets and those underlying Freddie Mac mortgage-related securities, or covered by the company's other guarantee commitments.
Source: Freddie Mac. Data as of September 30, 2014.
© Freddie Mac
31
Single-family mortgage market and Freddie Mac
delinquency rates
Single-family Serious Delinquency Rates
32
Seriously Delinquent (%)
28
24
20
18.29%
16
12
8
4.65%
2.68%
1.96%
4
0
Sep-10
Mar-11
Sep-11
Mar-12
Total Mortgage Market
1
Sep-12
1
Prime
Mar-13
Sep-13
1
Subprime
Mar-14
Freddie Mac
Sep-14
2
1 Source: National Delinquency Survey from the Mortgage Bankers Association. Categories represent first lien single-family loans.
2 See “MD&A – RISK MANAGEMENT – Credit Risk – Mortgage Credit Risk – Single-Family Mortgage Credit Risk – Credit Performance – Delinquencies” in Freddie Mac’s Form 10-K for
the year ended December 31, 2013, for information about the company’s reported delinquency rates.
© Freddie Mac
32
Estimated current LTV ratio of our single-family
credit guarantee portfolio
Weighted Average Estimated Loan-to-Value1 Ratio of Our Single-family Credit
Guarantee Portfolio Adjusted to Reflect Current Market Values
Weighted Average Estimated
Current LTV Ratio (Percent)
80%
80
77%
78%
75%
75
72%
70
69%
67%
65
63%
60
56%
57%
2005
2006
55
2007
2008
2009
2010
2011
2012
2013
YTD 2014
1 Based on the unpaid principal balance of the single-family credit guarantee portfolio, excluding Other Guarantee Transactions for which the loan characteristics data are not
available. Current LTV ratios are management estimates, which are updated on a monthly basis. Current market values are estimated by adjusting the value of the property at
origination based on changes in the market value of homes in the same geographical area since that time.
Source: Freddie Mac. 2014 data as of September 30, 2014.
© Freddie Mac
33
Risk characteristics of our single-family
credit guarantee portfolio
Estimated Current Loan-to-Value Ratio1,2
(Percent)
Above 100 to 120
5%
Credit Score1,3
Above 120
2%
620 to 659
6%
Above 90 to 100
7%
Less than 620
3%
660 to 699
13%
Above 80 to 90
11%
60 and below
38%
700 to 739
20%
740 and above
58%
Above 70 to 80
19%
Above 60 to 70
18%
1 Based on the unpaid principal balance of the single-family credit guarantee portfolio, excluding Other Guarantee Transactions for which the loan characteristics data are not available.
2 Current LTV ratios are management estimates, which are updated on a monthly basis. Current market values are estimated by adjusting the value of the property at origination based on
changes in the market value of homes in the same geographical area since that time.
3 Credit score data is at the time of mortgage loan origination or Freddie Mac’s purchase and is based on FICO scores.
Source: Freddie Mac. Data as of September 30, 2014.
© Freddie Mac
34
Single-family credit quality - purchases
Weighted Average Original LTV Ratio1
Weighted Average Credit Score2
Percent (%)
97
756
76
91
756
755
755
77
70
70
67
83
71
80
77
77
66
67
749
762
75
757
744
759
758
756
76
68
747
67
748
744
740
738
727
712
2009
2010
2011
Relief refinance (includes HARP)
2012
All other
2013
YTD
2014
Total purchases
2009
2010
2011
Relief refinance (includes HARP)
2012
2013
All other
YTD
2014
Total purchases
1 Original LTV ratios are calculated as the unpaid principal balance (UPB) of the mortgage Freddie Mac guarantees including the credit-enhanced portion, divided by the lesser of the
appraised value of the property at the time of mortgage origination or the mortgage borrower’s purchase price. Second liens not owned or guaranteed by Freddie Mac are excluded
from the LTV ratio calculation. The existence of a second lien mortgage reduces the borrower’s equity in the home and, therefore, can increase the risk of default.
2 Credit score data is based on FICO scores at the time of loan origination or Freddie Mac’s purchase and may not be indicative of the borrowers’ current creditworthiness. FICO
scores can range between approximately 300 to 850 points.
© Freddie Mac
35
Single-family credit quality – credit guarantee
portfolio
Concentration of Credit Risk
Serious Delinquency Rates
Percent (%) as of September 30, 2014
Percent (%)
9.15
8.77
8.25
8
14
7.93
7.66
3.11
3.12
2.07
0.66
1.96
0.70
8
20
83
58
7
2
% of Portfolio
% of Credit Losses
3.29
3.24
2.58
2.39
0.62
0.64
0.25
0.24
3Q
2013
4Q
2013
3.16
2.20
0.65
0.24
1Q
2014
0.23
0.23
2Q
2014
3Q
2014
New single-family book 1
HARP and other relief refinance loans
New single-family book 1
HARP and other relief refinance loans
2005 - 2008 legacy single-family book
Pre-2005 legacy single-family book
2005 - 2008 legacy single-family book
Pre-2005 legacy single-family book
Total
1 Loans acquired after 2008. Excludes HARP and other relief refinance loans.
© Freddie Mac
36
Investment Management Business
© Freddie Mac
© Freddie Mac
37
Mortgage-related investments portfolio
UPB
$ Billions
$900
$900
$867
$830
$810
$784
$800
$755
$729
$697
$700
$653
$600
$650
$558
$553
2
$500
$461
$470
Portfolio
Balance at
10/31/2014:
$400
$407 Billion
$300
3/31/09
6/30/09
9/30/09
12/31/09
12/31/10
12/31/11
12/31/12
12/31/13
12/31/14
Mortgage-related investments portfolio ending balance1
Mortgage-related investments portfolio limit (changes on Dec. 31 annually)
2,3
1 Represents the unpaid principal balance (UPB) of the company’s mortgage-related investments portfolio. The mortgage-related investments portfolio is determined without giving
effect to the January 1, 2010 change in accounting standards related to the transfer of financial assets and consolidation of variable interest entities (VIEs).
2 The mortgage-related investments portfolio limit as of December 31, 2014 under the Purchase Agreement, as amended on August 17, 2012.
3 Under FHFA regulation and the Purchase Agreement with Treasury, as amended on August 17, 2012, the company’s mortgage-related investments portfolio is subject to a cap
beginning in 2013 that decreases by 15% each year until the cap reaches $250 billion. Prior to the August 17, 2012 amendment, the portfolio was subject to a cap that decreased by
10% each year.
Source: Freddie Mac. Figures for 2014 are subject to change.
© Freddie Mac
38
Mortgage-related investments portfolio composition
Mortgage-related Investments Portfolio:
$414 Billion
Mortgage
Loans
40%
($164.4 B)
Agency
4%
($15.7 B)
PCs, REMICs and Other Structured
Securities
39%
($161.7 B)
Non-Agency Backed by
Subprime Loans
7%
($30.7 B)
Other
Non-Agency
6%
($26.1 B)
Non-Agency Backed by
Alt-A and Other Loans
2%
($6.5 B)
Non-Agency Backed by Option
ARM Loans
2%
($8.5 B)
Note: Dollars and percentages may not add due to rounding. The mortgage-related investments portfolio is determined without giving effect to the January 1, 2010 change in
accounting standards related to the transfer of financial assets and consolidation of variable interest entities (VIEs).
Source: Freddie Mac. Data based on UPBs as of September 30, 2014.
© Freddie Mac
39
Freddie Mac’s mortgage-related investments
portfolio product types
Mortgage-Related Investments Portfolio1
Non-Freddie Mac MBS1
Subprime
35%
Mortgage Loans
40%
Fannie Mae
18%
Non-Freddie
Mac MBS
21%
Freddie Mac
Multi-class
REMICs and
Other Structured
Securities
15%
Freddie Mac
Single-class PCs
24%
CMBS
26%
Ginnie Mae
<1%
Alt-A & Other
7%
Option ARM
10%
Obligations of State and
Political Subdivisions
3%
Manufactured Housing
1%
1 Based on unpaid principal balances. The mortgage-related investments portfolio is determined without giving effect to the January 1, 2010 change in accounting standards related to
the transfer of financial assets and consolidation of variable interest entities (VIEs).
Note: Percentages may not add due to rounding.
Source: Freddie Mac. Data as of September 30, 2014
© Freddie Mac
40
Interest-rate risk measures
Average Monthly PMVS-Level1
Average Monthly Duration Gap2
$ Millions
Months
6
300
5
4
3
$207
2
200
1
$146
0
(1)
$95
100
$60
$93
$56
$55
$28
$25
$38
$26
$23
$9
(2)
(3)
(4)
(5)
(6)
0
Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
13 13 13 14 14 14 14 14 14 14 14 14 14
Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
13 13 13 14 14 14 14 14 14 14 14 14 14
1 PMVS is an estimate of the change in the market value of Freddie Mac’s net assets from an instantaneous 50 basis point shock to interest rates, assuming no rebalancing actions are
undertaken and assuming the mortgage-to-LIBOR basis does not change. PMVS-Level or PMVS-L measures the estimated sensitivity of the company’s portfolio market value to
parallel movements in interest rates.
2 Duration gap measures the difference in price sensitivity to interest rate changes between Freddie Mac’s assets and liabilities, and is expressed in months relative to the market value
of assets.
Source: Freddie Mac. 2014 data as of October 31, 2014. Figures for 2014 are subject to change.
© Freddie Mac
41
Multifamily Business
© Freddie Mac
© Freddie Mac
42
Multifamily market rental vacancy rates
Percent
9
8
7
6
5
4.2%
4
3
2
1
0
1990
1993
1997
2000
2004
2007
2011
2014
Source: Reis U.S. Metro data. 2014 data as of September 30, 2014.
© Freddie Mac
43
Apartment price index vs. Freddie Mac
house price index
U.S. Property Value Index
(2000 = 100)
170
Freddie Mac House Price Index1
160
11%
Down
3%
Down
150
140
130
120
110
NCREIF Apartment Index
100
90
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
1 The Freddie Mac House Price Index for the U.S. is a value-weighted average of the state indexes where the value weights are based on Freddie Mac’s single-family credit guarantee
portfolio. Other indices of home prices may have different results, as they are determined using different pools of mortgage loans and calculated under different conventions.
Source: Freddie Mac House Price Index, National Council of Real Estate Investment Fiduciaries. 2014 data as of September 30, 2014.
© Freddie Mac
44
Multifamily total market originations
$Billions
$220 Multifamily Mortgage Originations (Billions of Dollars)
Forecast
$210
$200
$185
$180
$160
$140
$120
$100
$80
$60
$40
$20
$0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Sources: FFIEC (HMDA), OTS Thrift Financial Report, ACLI Investment Bulletin, MBA Commercial Mortgage Banker Origination Survey, Freddie Mac’s Office of the Chief Economist.
Note: Estimates and forecasts by the Office of the Chief Economist do not necessarily represent the views of Freddie Mac or its management, should not be construed as indicating
Freddie Mac's business prospects or expected results, and are subject to change without notice.
© Freddie Mac
45
Multifamily business volume and portfolio
composition
Multifamily New Business Volume
Total Multifamily Portfolio
$ Billions
UPB $ Billions
$7
$7
$154
$164
$169
$180
$177
$167
$162
$135
$5
$4
$3
3Q13
4Q13
1Q14
2Q14
3Q14
12/31/07
12/31/08
12/31/09
12/31/10
12/31/11
12/31/12
12/31/13
9/30/14
MF unsecuritized loan portfolio
MF investment securities portfolio
MF guarantee portfolio 1
1 Primarily K-Deals.
© Freddie Mac
46
Multifamily mortgage portfolio attributes1
$ Billions
Deliquency
Rate
Credit Enhanced
$79.5
0.03%
Non-Credit Enhanced
$55.7
0.02%
$135.2
0.03%
UPB
At September 30, 2014
Total
Year of Acquisition or Guarantee
Current Loan Size
$ Billions as of September 30, 2014
$ Billions as of September 30, 2014
$74.6
$29.3
$23.0
$51.5
$22.5
$15.2
$11.6
$13.0
$10.3
$10.3
$6.1
2007
and
Prior
2008
2009
2010
2011
2012
2013
2014
> $25M
> $5M &
<=$25M
> $3M &
<= $5M
$2.8
> $750K &
<= $3M
$0.2
<= $750K
1 Based on the unpaid principal balance (UPB) of the multifamily mortgage portfolio.
© Freddie Mac
47
Multifamily market and Freddie Mac delinquency rates
Percent
14
12
10
8
6
4
2
0
2Q10
4Q10
2Q11
Freddie Mac (60+ day)
4Q11
1
MF CMBS Market (60+ day)
2Q12
4Q12
2Q13
4Q13
2Q14
1.59%
0.61%
0.07%
0.02%
FDIC Insured Institutions (90+ day)
ACLI Investment Bulletin (60+ day)
1 See “MD&A – RISK MANAGEMENT – Credit Risk – Mortgage Credit Risk – Multifamily Mortgage Credit Risk ” in Freddie Mac’s Form 10-K for the year ended December 31,
2013, for information about the company’s reported multifamily delinquency rate. The multifamily delinquency rate at September 30, 2014 was 0.03%.
Source: Freddie Mac, FDIC Quarterly Banking Profile, TREPP (CMBS multifamily 60+ delinquency rate, excluding REOs), American Council of Life Insurers (ACLI). Non-Freddie
Mac data is not yet available for the third quarter of 2014.
© Freddie Mac
48
Multifamily portfolio net charge-offs1
Basis Points
12
10
8
6
4
2
0
3Q
2006
3Q
2007
3Q
2008
3Q
2009
3Q
2010
3Q
2011
3Q
2012
3Q
2013
3Q
2014
1 Data point for each quarter equals sum of previous four quarters of net charge-offs, divided by the average multifamily loan portfolio and guarantee portfolio balance.
Source: Freddie Mac. Data as of September 30, 2014.
© Freddie Mac
49
Multifamily K-deal securities
 Multifamily K Certificates are regularly-issued structured pass-through securities
backed by multifamily mortgage loans.
 Approximately $89 billion1 of securities have been issued since the start of the
K-deal program in 2008.
 As of October 31, 2014, two CME2 loans were delinquent 60 days or more.
1 Total UPB represents the total collateral UPB associated with each transaction, including the portion Freddie Mac does not guarantee.
2 Reflects performance of K-deals backed by Capital Markets Execution issued since 2008.
Note: Additional information is provided on http://www.freddiemac.com/multifamily/investors/kcerts.html.
Source: Freddie Mac.
© Freddie Mac
50
Multifamily securitization volume
K-Deal Securitization Volume1
UPB $ Billions
$28.0
$21.2
$17.3
$13.7
$6.4
$2.1
2009
2010
2011
2012
2013
YTD
20142
YTD
2009
2010
2011
2012
2013
20142
Total
Total UPB1
$2.1
$6.4
$13.7
$21.2
$28.0
$17.3
$88.7
K-Deal
Transactions
2
6
12
17
19
14
70
1 Total UPB represents the total collateral UPB of multifamily loans sold via Freddie Mac’s K Certificate transactions, including the portion Freddie Mac does not guarantee.
2 Data as of November 30, 2014.
Note: Totals may not add due to rounding.
© Freddie Mac
51
Multifamily K-deal structure
 K-deals include guaranteed K-Certificates and interest-only classes. The related
underlying private label trust includes unguaranteed mezzanine, subordinate and
interest-only bonds.
 In a typical K-deal, the private-label securities that back the K-Certificates are
generally rated AAA.
Freddie Mac
sells loans to a
third-party
depositor
Loans deposited
into the
third-party
trust by the
depositor
Freddie Mac
acquires
Guaranteed
Bonds and
deposits them
into a Freddie
Mac trust
Freddie Mac
sells guaranteed
K-Certificates
backed by the
Guaranteed
Bonds
Senior
Investors
Unguaranteed
Mezzanine
Bonds
Mezzanine
Investors
Unguaranteed
Subordinate
Bonds
Subordinate
Investors
© Freddie Mac
52
Debt Funding Program
© Freddie Mac
© Freddie Mac
53
Freddie Mac’s total debt outstanding
($ Billions)
Short Term
Reference Bills® & Discount Notes
Medium Term Notes (MTNs)
MTN Callable
Callables with Expired Options
MTN Other
Freddie Notes
®
USD Reference Notes®
€Reference Notes
®
Total Reference Notes®
Other
$118.5
$137.8
$117.8
122.1
99.0
100.0
94.2
11.7
7.7
7.0
9.0
10.3
137.5
142.0
102.2
71.7
55.8
12.4
4.2
1.2
0.8
0.1
$276.0
$209.5
$181.4
$160.4
$239.5
$238.1
$225.9
$190.4
$157.7
1.6
1.4
1.0
0.5
-
$241.1
$239.5
-
-
Structured Agency Credit Risk Debt Notes
-
-
Total Debt Outstanding
YTD 2014
130.3
Mortgage-Linked Amortizing Notes®
Subordinated Debt
2013
2012
$161.3
$194.9
$291.9
Total MTNs
Reference Notes
2011
2010
Instrument Type
$226.8
$190.9
$157.7
$1.9
$1.0
$0.6
$1.1
$5.9
-
$0.9
$0.6
$0.6
$0.6
$0.6
$728.8
$677.5
$557.3
$512.7
$443.0
Note: Totals may not recalculate due to rounding. Excludes debt securities of consolidated trusts held by third parties. All figures represent par amounts in USD billions based on trade
date. These figures could differ significantly from proceeds, amortized principal amount and book value figures, particularly for zero-coupon securities. For non-dollar denominated
instruments, the U.S. dollar amounts reflected are based on the exchange rate at issuance. Short-term debt is debt with an original maturity of less than or equal to one year, except
certain medium-term notes that have original maturities of one year or less which are categorized as long-term debt.
Source: Freddie Mac. 2014 data as of November 30, 2014.
© Freddie Mac
54
Freddie Mac’s outstanding debt by type
$ Billions
600
500
400
300
200
100
0
Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14
Discount Notes
Term Callable Debt
Term Bullet Debt
Note: Excludes debt securities of consolidated trusts held by third parties. All figures represent par amounts in USD billions based on settlement date. These figures could differ
significantly from proceeds, amortized principal amount and book value figures, particularly for zero-coupon securities.
Source: Freddie Mac.
© Freddie Mac
55
Debt maturity profile
$ Billions
180
160
140
120
$107
100
80
60
40
$59
20
0
$10
$11
2014
2015
2016
2017
2018
2019
Long-term
2020
2021
2022
2023
2024
2025+
Short-term
Note: Totals may not recalculate due to rounding. Outstanding balance using par amounts based on settle date. Short-term debt is debt with an original maturity of less than or equal to
one year, except certain medium-term notes that have original maturities of one year or less are categorized as long-term debt. Excludes debt securities of consolidated trusts held by
third parties.
Source: Freddie Mac. Data as of November 30, 2014.
© Freddie Mac
56
Debt maturity profile by quarter
$ Billions
80
70
60
50
$54
40
30
$11
$36
20
$6
$10
10
$11
$15
4Q14
1Q15
$21
$14
$9
0
2Q15
Long-term
3Q15
4Q15
Short-term
Note: Totals may not recalculate due to rounding. Outstanding balance using par amounts based on settle date. Short-term debt is debt with an original maturity of less than or equal
to one year, except certain medium-term notes that have original maturities of one year or less are categorized as long-term debt. Excludes debt securities of consolidated trusts
held by third parties.
Source: Freddie Mac. Data as of November 30, 2014.
© Freddie Mac
57
Short-term debt balances
Total Short-term Debt Outstanding
as a % of Total Debt Outstanding
Total Short-term Debt Outstanding
$ Billions
350
40%
300
35%
250
30%
200
150
25%
Average = 25%
100
20%
50
0
3Q05
1Q07
3Q08
1Q10
3Q11
1Q13
3Q14
15%
3Q05
1Q07
3Q08
1Q10
3Q11
1Q13
3Q14
Note: Outstanding balance using par amounts based on settle date. Short-term debt is debt with an original maturity of less than or equal to one year, except certain medium-term
notes that have original maturities of one year or less are categorized as long-term debt. Excludes debt securities of consolidated trusts held by third parties.
Source: Freddie Mac. 2014 data as of September 30, 2014.
© Freddie Mac
58
Freddie Mac callable debt issued and called
Callable Debt
$ Billions
30
2-Year
UST Yield
0.60
2-Year
UST Yield
Issued
20
0.50
$11
$10
10
$5
$7
$8
$8
$7
$9
$8
$6
$4
$1
$3
$6
$4
$4
$4
$5
$5
$4
$5
$5
$3
$4
$5
0.40
0
(10)
($7)
($6)
($7) ($7)
($1) ($0)
($1)
($2)
($3)
($5)
($4) ($5)
($5)
($8)
($9) ($9)
($11)
($4) ($2)
($4)
($2)
($1)
0.30
($9)
($11)
($7)
0.20
(20)
Called
(30)
0.10
Nov-12
Mar-13
Jul-13
Nov-13
Mar-14
Jul-14
Nov-14
Note: All figures represent par amounts in USD billions based on the trade date.
Source: Freddie Mac. Data as of November 30, 2014.
© Freddie Mac
59
Single-family Securitization
© Freddie Mac
© Freddie Mac
60
Composition of bond market debt outstanding
Outstanding Public and Private Bond Market Debt – $38.2 Trillion
Municipal
($3.7)
10%
Corporate Debt 6
($7.7)
20%
Treasury 1
($12.1)
32%
Agency Debt 2
($2.0)
5%
3
Money Market 5
($2.7)
Asset-Backed 4
7%
($1.4)
4%
MBS
($8.7)
23%
1 Interest-bearing marketable coupon public debt.
2 Includes Freddie Mac, Fannie Mae, Federal Home Loan Banks, Farmer Mac, the Farm Credit System, and federal budget agencies (e.g. TVA).
3 Includes Ginnie Mae, Fannie Mae and Freddie Mac mortgage-backed securities and CMOs, CMBS and private-label MBS/CMOs.
4 Includes auto, credit card, home equity, manufacturing, student loans and other USD-denominated CDOs are also included.
5 Includes commercial paper, bankers acceptances and large time deposits.
6 Includes all non-convertible debt, MTNs and Yankee bonds, but excludes CDs and federal agency debt.
Note: Percentages may not add up to 100% due to rounding.
Source: Securities Industry and Financial Markets Association as of June 30, 2014.
© Freddie Mac
61
Freddie Mac’s mortgage-related securities products
Mortgage-related Securities Products Outstanding
$Billions
2,000
1,800
1,600
1,400
1,200
1,000
800
600
400
200
2000
2001
2002
REMICs
2003
2004
2005
2006
Reference REMIC
2007
2008
2009
T-deals/WLR
2010
Strips
2011
2012
2013
2014
YTD
PCs
Source: Freddie Mac. 2014 data as of September 30, 2014.
© Freddie Mac
62
Composition of Freddie Mac’s single-family
pass-through securities1
15-year fixed-rate
18%
30-year fixed-rate 2
75%
Interest-only
2%
Adjustable-rate3
4%
FHA/VA
<1%
1 Based on unpaid principal balances (UPB) of the securities.
2 Includes 20-year fixed-rate mortgage loans.
3 Portfolio balance includes $0.8 billion in UPB of option ARM mortgage loans as of September 30, 2014.
Note: Percentages may not add up to 100% due to rounding.
Source: Freddie Mac. Data as of September 30, 2014.
© Freddie Mac
63
Single-family risk transfer transactions
Structured Agency Credit Risk
(STACR®) Debt Note Issuances
Agency Credit Insurance StructureSM
(ACISSM) Transactions
$ Billions
$ Millions
$1.9
$1.0
$0.5
$553.9
$1.0
$0.6
No
Transaction
3Q13
4Q13
1Q14
2Q14
3Q14
3Q13
$77.4
No
Transaction
4Q13
1Q14
No
Transaction
2Q14
3Q14
YTD
20141
Cumulative
STACR Issuances
$3.9
$5.0
ACIS Transactions
$0.6
$0.6
$123.7
$181.7
$ Billions
Reference Pool UPB2
1 2014 data as of September 30, 2014.
2 Includes the first loss risk held by Freddie Mac.
© Freddie Mac
64
Estimated institutional holdings of Agency MBS
$Billions
1,800
1,600
1,400
1,200
1,000
800
600
400
200
0
Note: Agency MBS includes Freddie Mac, Fannie Mae and Ginnie Mae securities. Other investors include hedge funds, structured investment vehicles, pension funds, saving
institutions, nonprofits and individuals.
Source: Freddie Mac, Fannie Mae, Federal Reserve, Inside MBS & ABS, National Credit Union Administration, and the U.S. Treasury Department.
Data as June 30, 2014.
© Freddie Mac
65
Estimated demand for Agency mortgage-related securities
$ Billions
250
200
150
100
50
0
(50)
(100)
1/08
10/08
7/09
Comm Bank PT/CMO
4/10
1/11
Agency
10/11
Foreign
7/12
4/13
Treasury
1/14
10/14
Fed
Note: Presents net purchases/sales of Agency mortgage-related securities by the listed institutions, excluding securitization activity. Comm Bank PT and Comm Bank CMO represent
net purchases/sales of Agency mortgage-related securities by commercial banks through passthroughs and CMOs, respectively. Agency mortgage-related securities include securities
issued by Freddie Mac, Fannie Mae and Ginnie Mae.
Source: Federal Reserve Board, Freddie Mac and Fannie Mae Monthly Volume Summaries, Treasury International Capital data, Federal Home Loan Banks, US Treasury Department,
Federal Reserve Bank of New York.
Data as of October 31, 2014.
© Freddie Mac
66
Estimated Asia net flows into Agencies
$ Billions
30
20
10
0
(10)
(20)
(30)
1/08
10/08
7/09
Japan
China
4/10
Korea
1/11
10/11
Hong Kong
7/12
Taiwan
4/13
1/14
10/14
Singapore
Note: Consists of agency mortgage-related and debt securities which include securities issued by Freddie Mac, Fannie Mae, Ginnie Mae, Federal Home Loan Banks, Farmer Mac, the
Farm Credit System, and federal budget agencies (e.g. TVA).
Source: Treasury International Capital data.
Data as of October 31, 2014.
© Freddie Mac
67
Agency CMO issuance
Agency CMO Outstanding
Agency CMO Issuance
$ Billions
$ Billions
1,400
500
1,200
400
1,000
300
800
600
200
400
100
200
0
0
2008
2009
2010
Freddie Mac
2011
2012
Fannie Mae
2013
Ginnie Mae
YTD
2014
2008
2009
2010
Freddie Mac
2011
2012
Fannie Mae
2013
YTD
2014
Ginnie Mae
Source: Bloomberg. 2014 data as of November 30, 2014.
© Freddie Mac
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Composition of collateral underlying
Freddie Mac REMICs
Balloon
<1%
Other
2%
ARM
2%
15-year
13%
20-year
10%
30-year
74%
Note: Percentages may not add up to 100% due to rounding.
Source: Freddie Mac. Data as of November 30, 2014.
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Freddie Mac structured finance securities1
Freddie Mac
Collateral Description
Bloomberg
Ticker
Outstanding
Balance2
Series
$354.3B
Gold and 75 Day PCs
REMICs
Reference REMICs with Guaranteed Final
T-Deals
ReREMICs of Existing
Multiclass Securities
FHR
0001 – 4415
$50.8B
Gold PCs
FHRR
R001 – R016
$2.9B
Freddie Mac Owned
New or Seasoned
Private Label ABS
FSPC
T001 – T082
$9.9B
FHS
001 – 341
$24.2B
Gold and 75 Day PCs
Strips
K-Deals
Excess Servicing Assets
Freddie Mac Owned
Multifamily Loans Held as
Private Label ABS
FHMS
$15.1B
K001 – K040
$73.8B
M001 – M032
$5.0B
FHM
Municipal Bonds Secured by
Multifamily M Certificates
(Tax-Exempt)
Tax-Exempt or Taxable
(formerly referred to as Multifamily Variable
Multifamily Affordable
FHMT
Rate Certificates )
Housing Loans
(Taxable)
1 Guaranteed as described in the applicable offering documents.
2 Outstanding balance reflects issuance through November 30, 2014.
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Deal structure options
REMIC Program Feature
Benefit
Callable PCs (CPC)
Pass-through securities that are backed by a Giant PC and subject to a call option. In the event of a
call, the callable class is paid off at par and the call class receives the underlying Giant PC.
Callable REMIC Classes (CRC)
Pass-through securities that are backed by a REMIC classes and subject to a call option. In the event of
a call, the callable class is paid off at par and the call class receives the underlying REMIC class.
Callable REMIC Classes may also be backed by a callable class of CPCs and will be retired upon
redemption of the collateral.
Guaranteed Maturity Class (GMC)
GMC is a feature added to a REMIC class to provide a stated legal maturity date, at par, guaranteed by
Freddie Mac. GMCs have a final payment date earlier than the latest date by which these Classes might
be retired solely from payments on their underlying assets.
IO/PO Strips
• Floater/Inverse Floater
Combinations
Combinations of Floating Rate, Inverse Floating Rate, Floating Rate IO, Inverse Floating Rate IO
certificates that permit holders to exchange classes for combinations of floating rate and inverse floater
rate classes with various margins and caps.
• Gold MACS
Strip securities that are exchangeable for other classes of the same series having different class
coupons or coupon formulas.
Excess IO Strips (XSIO)
Interest Only securities backed by Excess Servicing Spread held by mortgage servicers. Loan
characteristics for the loans backing each issued XSIO security are pooled to mirror PC pooling
practices.
Modifiable And Combinable REMICs
(MACR)
Holders of a MACR Class can exchange all or part of the class for a predetermined proportionate
interest in other specified REMIC or MACR classes, and vice versa.
1
1 Excess Servicing Spread is the excess of the Servicer retained mortgage servicing fee rate over the Freddie Mac minimum core servicing fee rate of 25 basis points.
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Deal structure options (continued)
REMIC Program Feature
Benefit
REMIC Unwinds
Permits the holder of both the REMIC Residual class and 100% of all outstanding REMIC classes
covered by the Residual class to exchange their REMIC interests for all collateral backing the REMIC.
ReREMIC
Permits the holder of any portion of an issued REMIC class to use that class as collateral to back a
subsequent REMIC.
Retail Classes
Retail classes are designed primarily for individual investors and are typically issued and receive
principal in $1,000 increments.
Reverse REMIC
Permits the holder of a pro-rata portion of all outstanding REMIC classes within a REMIC group to
recombine their interests for a pro-rata portion of the underlying REMIC collateral.
Single Group Residual
Simplifies the REMIC Unwind feature for the holder of the Residual class and 100% of all outstanding
REMIC classes issued a single REMIC Group. Holder exchanges its interests for all collateral backing
the specific REMIC Group.
Syndicated IO/PO Strips
Collateral is stripped into separate Interest Only and Principal Only securities with transactions
underwritten and distributed by a syndicate of dealers.
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Safe Harbor Statements
Freddie Mac obligations
Freddie Mac’s securities are obligations of Freddie Mac only. The securities, including any interest or return of discount on the securities,
are not guaranteed by and are not debts or obligations of the United States or any federal agency or instrumentality other than Freddie
Mac.
No offer or solicitation of securities
This presentation includes information related to, or referenced in the offering documentation for, certain Freddie Mac securities,
including offering circulars and related supplements and agreements. Freddie Mac securities may not be eligible for offer or sale in
certain jurisdictions or to certain persons. This information is provided for your general information only, is current only as of its specified
date and does not constitute an offer to sell or a solicitation of an offer to buy securities. The information does not constitute a sufficient
basis for making a decision with respect to the purchase or sale of any security. All information regarding or relating to Freddie Mac
securities is qualified in its entirety by the relevant offering circular and any related supplements. Investors should review the relevant
offering circular and any related supplements before making a decision with respect to the purchase or sale of any security. In addition,
before purchasing any security, please consult your legal and financial advisors for information about and analysis of the security, its
risks and its suitability as an investment in your particular circumstances.
Forward-looking statements
Freddie Mac's presentations may contain forward-looking statements, which may include statements pertaining to the conservatorship,
the company’s current expectations and objectives for its single-family, multifamily and investment businesses, its loan workout
initiatives and other efforts to assist the U.S. residential mortgage market, liquidity, capital management, economic and market
conditions and trends, market share, the effect of legislative and regulatory developments and new accounting guidance, credit quality of
loans we guarantee, and results of operations and financial condition on a GAAP, Segment Earnings and fair value basis. Forwardlooking statements involve known and unknown risks and uncertainties, some of which are beyond the company’s control.
Management’s expectations for the company’s future necessarily involve a number of assumptions, judgments and estimates, and
various factors, including changes in market conditions, liquidity, mortgage spreads, credit outlook, actions by the U.S. government
(including FHFA, Treasury and Congress), and the impacts of legislation or regulations and new or amended accounting guidance, could
cause actual results to differ materially from these expectations. These assumptions, judgments, estimates and factors are discussed in
the company’s Annual Report on Form 10-K for the year ended December 31, 2013, Quarterly Reports on Form 10-Q for the quarters
ended March 31, 2014, June 30, 2014 and September 30, 2014 and Current Reports on Form 8-K, which are available on the Investor
Relations page of the company’s Web site at www.FreddieMac.com/investors and the SEC’s Web site at www.sec.gov. The company
undertakes no obligation to update forward-looking statements it makes to reflect events or circumstances occurring after the date of this
presentation.
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