Freddie Mac · OTC:FMCC

Freddie Mac — Single Security Initiative Conference 2019

9 slides from Freddie Mac's conference presentation, Mar 4, 2019

  1. Slide 1: Single Security Initiative Conference

    Single Security Initiative Conference March 4th, 2019 Sheraton New York Times Square

  2. Slide 2: Index Provider Update: Speakers

    INDEX PROVIDER UPDATE SPEAKERS Nick Gendron Nikki Stefanelli Preston Peacock Preetham Nanda Global Head of Fixed Income Managing Director, Global Director, Index Business Executive Director, Global Index Product Management, Head of Fixed Income Policy, Development, The ICE Index Research, Bloomberg

  3. Slide 3: The New Index Landscape

    The New Index Landscape Preston Peacock Director, Index Business Development, The ICE

  4. Slide 4: Viewed through the indices: the same, but different

    Viewed through the indices: the same, but different Freddie Mac UMBS UMBS Legacy Freddie Mac Gold Freddie Mac PC will be roughly 70% of outstanding index-eligible New Issue collateral at Go-Live, even Freddie if all exchanges occur UMBS Legacy Fannie Mae Freddie Exchanged Mirror Freddie UMBS 4

  5. Slide 5: ICE Data Indices UMBS Treatment

    ICE Data Indices UMBS Treatment ▪ New Fannie Mae UMBS issuance will be aggregated in existing legacy Fannie Mae cohorts ▪ Freddie Mac and Fannie Mae pools will remain in separate cohorts ▪ Existing Freddie Mac Gold pools: – Those not directly exchangeable will continue to be included within legacy F

  6. Slide 6: Limitations

    Limitations This presentation is provided for informational purposes only and is not to be published, reproduced, copied, disclosed or used without the express written consent of Intercontinental Exchange, Inc. and/or ICE Data Indices, LLC. The information contained herein is subject to change witho

  7. Slide 7: J.P. Morgan – MBS Agency Index (MAX)

    J.P. Morgan – MBS Agency Index (MAX) Preetham Nanda Global Index Research, JP Morgan

  8. Slide 8: J.P. Morgan – MBS Agency Index (MAX)

    J.P. Morgan – MBS Agency Index (MAX) Implementation of Single Security initiative for MAX to track Mirrors and UMBS cohorts Available Cohorts MAX Index will provide two different options for tracking generics, including (1) count both Fannie Mae and new 55-day Freddie Mac generics as UMBS and (2) se

  9. Slide 9: J.P. Morgan – MBS Agency Index (MAX)

    J.P. Morgan – MBS Agency Index (MAX) Freddie Mac aggregates account for 28% ($1.6 tn) of MAX Aggregate count is estimated to increase to nearly 550 aggregates Estimated MAX index cohort count after exchanges Top 20 FHLMC Gold 45-day aggregates in current composition Agency/Program Current Estimated

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