Freddie Mac · OTC:FMCC

Freddie Mac — Debt Investor Presentation (October 2007)

13 slides from Freddie Mac's debt investor presentation, October 2007

  1. Slide 1: Reference REMIC R014

    Reference REMIC® R014 October 2007

  2. Slide 2: Reference REMIC R014 features 30-year underlying securities and a October 2014 final maturity

    Reference REMIC R014 features 30-year underlying securities and a October 2014 final maturity ƒ Underlying securities are 30-year 6.0% Gold and Gold Giant PCs » WAC (Weighted Average Coupon) = 6.507% » WAM (Weighted Average Maturity) = 342 months » WALA (Weighted Average Loan Age) = 15 months ƒ Prin

  3. Slide 3: WAL profile: Limited extension/contraction of Reference REMIC versus underlying pass-through securities

    WAL profile: Limited extension/contraction of Reference REMIC versus underlying pass-through securities ƒ At 108% PSA, FHRR R014 front sequential extension is 2.74 years less than that of 30-year 6.0% pass-throughs ƒ At 1795% PSA, FHRR R014 front sequential contracts 2.75 years less than 30-year 6.0

  4. Slide 4: Principal payment window narrower on Reference REMIC than underlying pass-through securities

    Principal payment window narrower on Reference REMIC than underlying pass-through securities ƒ At 108% PSA, FHRR R014 front sequential principal payment window is 6.92 years versus 29.5 years on 30-year 6.0% pass-throughs ƒ At 1795% PSA, FHRR R014 front sequential principal window is 0.67 years vers

  5. Slide 5: Reference REMIC Background

    Reference REMIC® Background

  6. Slide 6: Reference REMIC securities offer liquidity, transparency and predictability

    Reference REMIC securities offer liquidity, transparency and predictability ƒ Liquidity » $1 billion GMC minimum tranche size* » Broad dealer sponsorship and secondary market support ƒ Transparency » Primary market support through syndicated offerings » Secondary market pricing via TradeWeb and Bloo

  7. Slide 7: Reference REMIC securities are a good entry point into structured mortgage products

    Reference REMIC securities are a good entry point into structured mortgage products ƒ Simple structure » Less complex than traditional REMIC securities » Shortened stated final maturity date ƒ Large size » Average issue size of $1.8 billion ƒ One price » Underwriting syndicate provides single price

  8. Slide 8: Reference REMIC securities offer an unmatched array of attractive features

    Reference REMIC securities offer an unmatched array of attractive features ƒ Reference REMIC securities are an outstanding compliment to traditional REMICs and TBA pass-through securities currently offered by Freddie Mac. Freddie Mac Prepayment Syndicated Reference ABS Linked Notes Callables REMIC T

  9. Slide 9: Key features of Reference REMIC

    Key features of Reference REMIC securities Reference REMIC Product Details Underlying PCs PCs underlying the offered GMC are disclosed prior to pricing Guaranteed Maturity Class (GMC) Varying maturities based on market conditions and collateral Structure Announced during pre-marketing period Par Cou

  10. Slide 10: Price transparency – Live TradeWeb prices from multiple dealers

    Price transparency – Live TradeWeb prices from multiple dealers Note: Freddie Mac is not responsible for pricing and other information about its securities posted on TradeWeb. 9

  11. Slide 11: Reference REMIC securities can be traded on TradeWeb

    Reference REMIC securities can be traded on TradeWeb Note: Freddie Mac is not responsible for pricing and other information about its securities posted on TradeWeb. 10

  12. Slide 12: Reference REMIC securities access diverse pools of global capital

    Reference REMIC securities access diverse pools of global capital Geographical area Investor type Europe Other 1% 4% Bank 26% Asia 38% Investment Manager 38% N. America 61% Central Bank Other 18% <1% Insurance & Pension 14% Note: Data reflects orders placed in Freddie Mac’s Reference REMIC® securiti

  13. Slide 13: Safe Harbor Statements

    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 instrument

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