Freddie Mac · OTC:FMCC
Freddie Mac — Federal Home Loan Mortgage Corp (Fmcc, Fmccg, Fmcci, Fmccj, Fmccl, Fmccn, Fmcco, Fmccs, Fmcct, Fmcki, Fmckl, Fmckn, Frejn, Frejo) — Q1 2012 Earnings Presentation
29 slides from Freddie Mac's earnings presentation, May 3, 2012
Slide 1: First Quarter 2012 Financial Results Supplement
First Quarter 2012 Financial Results Supplement May 3, 2012
Slide 2: Table of contents
Table of contents Freddie Mac ‘3+ Quarterly Net income a 4+ Comprehensive Income (Loss) - Treasury Draw Requests and Dividend Payments 6. Total Equity (Dei) and Senior Preferred Stock Activity 7 Total Other Comprehensive Income 8+ LoanLoss Reserves 9+ Real Estate Owned 410. Single-Family Loan Workou
Slide 3: Quarterly net income and comprehensive income
3 Quarterly net income and comprehensive income Line 2: Provision for credit losses decreased in 1Q 2012 reflecting a reduction in the volume of loans transitioning to seriously delinquent status combined with stabilizing loss severities. Line 4: Derivative losses increased in 1Q 2012 reflecting fai
Slide 4: Comprehensive income (loss)
4 Comprehensive income (loss) 1 1 Consists of the after-tax changes in: (a) the unrealized gains and losses on available-for-sale securities; (b) the effective portion of derivatives accounted for as cash flow hedge relationships and (c) defined benefit plans. A B C = A + B
Slide 5: Treasury draw requests and dividend payments
5 Treasury draw requests and dividend payments 1 Includes the initial liquidation preference of Freddie Mac's senior preferred stock of $1.0 billion. 2 Consists of requested Treasury draws of $44.6 billion for 2008 and the initial liquidation preference of Freddie Mac's senior preferred stock of $1.
Slide 6: Total equity (deficit) and Senior Preferred Stock activity
6 Total equity (deficit) and Senior Preferred Stock activity
Slide 7: Total other comprehensive income
7 Total other comprehensive income1 1 Total other comprehensive income for the quarter represents the change in Total AOCI, net of taxes on the company's consolidated balance sheets. 2 At December 31, 2011 and March 31, 2012, all available-for-sale securities were mortgage-related securities.
Slide 8: Loan loss reserves
8 Loan loss reserves 1 1 3 1 Consists of allowance for loan losses and the reserve for guarantee losses. 2 Includes amounts related to certain loans purchased under financial guarantees and reflected within other expenses on the company's consolidated statements of comprehensive income. 3 Total mort
Slide 9: Real estate owned
9 Real estate owned1 Property Inventory 1Q 2012 Activity Geographic Distribution2 Based on Property Inventory Historical Trend Ending Property Inventory 1 Includes single-family and multifamily REO. Multifamily ending property inventory was 20 properties as of December 31, 2011 and 16 properties as
Slide 10: Single-family loan workouts
10 Loan modifications Forbearance agreements Short sales and deed-in-lieu of foreclosure transactions Single-family loan workouts 1 Loan modifications involve changing the terms of the loan or adding outstanding indebtedness, such as delinquent interest, to the unpaid principal balance of the loan o
Slide 11: Single-family loan modifications
11 Single-family loan modifications 1 Includes completed loan modifications under HAMP and under the company's other modification programs. Excludes those loan modification activities for which the borrower has started the required process, but the modification has not been made permanent or effecti
Slide 12: Performance of single-family modified loans
12 Quarterly Percentages of Modified Single-Family Loans (HAMP and non-HAMP) 1 Performance of single-family modified loans Of the loans modified in 1Q 2010, 68% were current and performing 24 to 26 months post modification. Of the loans modified in 4Q 2011, 86% were current and performing 3 to 5 mon
Slide 13: Outstanding repurchase requests to seller/servicers
13 The UPB of outstanding repurchase requests issued to our single-family seller/servicers based on breaches of representations and warranties increased from $2.7 billion as of December 31, 2011 to $3.2 billion as of March 31, 2012.1 1 The amount the company expects to collect on outstanding request
Slide 14: Administrative expenses and efficiency
14 Administrative expenses and efficiency1 1 Administrative expenses, expressed as a percentage of the average total mortgage portfolio. Basis points for the quarters are calculated on an annualized basis.
Slide 15: Purchase Agreement portfolio limits
15 Purchase Agreement portfolio limits Indebtedness 1,3 ($ Billions) Mortgage Assets 1,2 ($ Billions) 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 indebtednes
Slide 16: Credit Supplement
Freddi Bvisc Credit Supplement
Slide 17: National home prices have experienced a cumulative decline of 28% since June 2006
17 National home prices have experienced a cumulative decline of 28% since June 20061 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 po
Slide 18: Home price performance by state
Home price performance by state June 2006 to March 20121 -13% -6% ^ 0% -14 to -1% ^-28% -27 to -15% United States -28% -11% -47% -45% -14% CT -24% DC 7% -25% -47% -36% -21% -6% -34% -31% -15% -9% -8% -6% -23% -32% -17% -40% -30% -19% -13% -13% -14% 18% -8% -28% -26% -17% -62% -15% -21% 0% -31% -12%
Slide 19: Mortgage market and Freddie Mac serious delinquency rates
19 1 Source: National Delinquency Survey from the Mortgage Bankers Association. Categories represent first lien single-family loans. Data is not yet available for the first quarter of 2012. 2 See "MD&A - RISK MANAGEMENT - Credit Risk - Mortgage Credit Risk - Single-Family Mortgage Credit Risk - Cred
Slide 20: Single-family refinance activity
Relief Refinance - LTV > 105% 20 Single-family refinance activity 2 Number of Loans in Thousands $ Volume in Billions Non-Relief Refinance Relief Refinance - LTV ^ 80% Relief Refinance - LTV > 80% to 105% $379 $303 $247 1,758 1,471 1,183 1 2 2 1 Excludes loans associated with other guarantee commitm
Slide 21: Credit quality of single-family credit guarantee portfolio purchases
21 Credit quality of single-family credit guarantee portfolio purchases1 Weighted Average Original LTV Ratio 2 of Single-family Mortgage Loans Purchased Weighted Average Credit Score3 of Single-family Mortgage Loans Purchased 1 Purchases exclude mortgage loans acquired under the Freddie Mac Relief R
Slide 22: Single-family credit statistics
22 Single-family credit statistics 1 Calculated as the amount of single-family credit losses divided by the sum of the average carrying value of the single-family credit guarantee portfolio and the average balance of the single-family HFA initiative guarantees. 2 Consists of the unpaid principal bal
Slide 23: Single-family 1Q 2012 credit losses and REO by region and state
23 Single-family 1Q 2012 credit losses and REO by region and state 1 Based on the unpaid principal balance (UPB) of the single-family credit guarantee portfolio. 2 UPB amounts exclude Other Guarantee Transactions with ending balances of $625 million since these securities are backed by non-Freddie M
Slide 24: Single-family credit guarantee portfolio characteristics
24 Single-family credit guarantee portfolio characteristics1 1 Portfolio characteristics are based on the unpaid principal balance (UPB) of the single-family credit guarantee portfolio. Approximately $2 billion in UPB for Other Guarantee Transactions is included in total UPB and percentage seriously
Slide 25: Single-family credit profile by book year and product feature
25 Single-family credit profile by book year and product feature1 1 Portfolio characteristics are based on the unpaid principal balance (UPB) of the single-family credit guarantee portfolio. Approximately $2 billion in UPB for Other Guarantee Transactions is included in total UPB and percentage seri
Slide 26: Single-family cumulative foreclosure transfer and short sale rates by book year
26 Single-family cumulative foreclosure transfer and short sale rates1 by book year 1 Rates are calculated for each year of origination as the number of loans that have proceeded to foreclosure transfer or short sale and resulted in a credit loss, excluding any subsequent recoveries, divided by the
Slide 27: Multifamily mortgage portfolio by attribute
27 Multifamily mortgage portfolio by attribute1 1 Based on the unpaid principal balance (UPB) of the multifamily mortgage portfolio. 2 Based on the UPB of mortgages two monthly payments or more past due or in the process of foreclosure. 3 Based on either: (a) the year of acquisition, for loans recor
Slide 28: Multifamily mortgage portfolio by attribute, continued
28 Multifamily mortgage portfolio by attribute, continued1 1 Based on the unpaid principal balance (UPB) of the multifamily mortgage portfolio. 2 Based on the UPB of mortgages two monthly payments or more past due or in the process of foreclosure. 3 DSCR - Debt Service Coverage Ratio - is an indicat
Slide 29: Safe Harbor Statements
29 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 instrum