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) — Q3 2011 Earnings Presentation
29 slides from Freddie Mac's earnings presentation, Nov 3, 2011
Slide 1: Third Quarter 2011 Financial Results Supplement
Third Quarter 2011 Financial Results Supplement November 2, 2011
Slide 2: Table of contents
Table of contents '3~ NetLoss and Comprehensive Income (Loss) 47 National Home Prices, 4- Total Comprehensive income (Loss) 18- Stato-by State Home Prices '5- Treasury Draw Requests and Dividend Payments 19. Mortgage Market and Freddie Mac Serious Delinquency Rates {Total Equity (Det and Senior Pofe
Slide 3: Net loss and comprehensive income (loss)
3 Net loss and comprehensive income (loss) Line 2: Provision for credit losses increased in 3Q 2011 driven by higher loss severity rates primarily due to lower expectations for mortgage insurance recoveries, which resulted from deterioration in the financial condition of certain of the company's mor
Slide 4: Total comprehensive income (loss)
4 Total 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 The sum of quarterly dividends may not equal the cumulative total due to rounding. 3 Consists of requested Treasury draw of $13.8 billion for 3Q 200
Slide 6: Total equity (deficit) and Senior Preferred Stock activity
6 Total equity (deficit) and Senior Preferred Stock activity 1 Commencing in 2Q 2011, the draw request represents the company's net worth deficit at quarter end rounded up to the nearest $1 million. Prior to 2Q 2011, draw requests were rounded up to the nearest $100 million.
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 June 30, 2011 and September 30, 2011, all available-for-sale securities were mortgage-related securities.
Slide 8: Loan loss reserves
8 Loan loss reserves 1 1, 2 4 1 Includes allowance for loan losses and reserve for guarantee losses. 2 Includes an out-of-period adjustment which resulted in a pre-tax $1.3 billion increase in the company's provision for credit losses in the second quarter of 2010. For further details related to the
Slide 9: Real estate owned
9 Real estate owned1 Property Inventory 3Q 2011 Activity Geographic Distribution2 Based on Property Inventory Historical Trend Ending Property Inventory 1 Includes single-family and multifamily REO. Multifamily ending property inventory was 19 properties as of June 30, 2011 and 20 properties as of S
Slide 10: Single-family loan workouts
10 Loan modifications Forbearance agreements Short sales and deed-in-lieu transactions Single-family loan workouts 1 Loan modifications involve adding outstanding indebtedness, such as delinquent interest, to the unpaid principal balance of the loan or changing other terms of a mortgage. Represents
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 effect
Slide 12: Reperformance Rates of Single-family Loan Modifications
12 Reperformance Rates of Single-family Loan Modifications (HAMP and non-HAMP) 1 Reperformance rates Of the loans modified in 3Q 2009, 56% were current or less than 3 months past due 24 to 26 months post modification. Of the loans modified in 2Q 2011, 95% were current or less than 3 months past due
Slide 13: Repurchase requests
13 The UPB of outstanding repurchase requests issued to our single-family seller/servicers declined from $3.1 billion as of June 30, 2011 to $2.7 billion as of September 30, 2011.1 1 The amount the company expects to collect on outstanding requests is significantly less than the unpaid principal bal
Slide 14: Administrative expenses and efficiency
14 Administrative expenses and efficiency1,2 1 Administrative expenses, expressed as a percentage of the average total mortgage portfolio. Basis points for the quarters are calculated on an annualized basis. 2 Beginning in 1Q 2011, the company reclassified certain expenses from Other expenses to Pro
Slide 15: Purchase Agreement portfolio limits
15 Purchase Agreement portfolio limits1 Indebtedness 1,3 ($ 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 indebtedne
Slide 16: Credit Supplement
Freddi Bvisc Credit Supplement
Slide 17: National home prices have experienced a cumulative decline of 25% since June 2006
17 National home prices have experienced a cumulative decline of 25% 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 September 20111 -13% -4% > 0% -12 to -1% < -25% -24 to -13% United States -25% -11% -51% -45% -13% CT -18% DC -1% -21% -46% -32% -23% -2% -31% -26% -8% -6% -5% -4% -19% -30% -13% -35% -26% -17% -11% -8% -13% 14% -5% -23% -20% -14% -61% -10% -19% 0% -25% -
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 not yet available for third quarter of 2011. 2 See "MD&A - RISK MANAGEMENT - Credit Risk - Mortgage Credit Risk - Credit Performance - Delinquencies" in Freddie M
Slide 20: Loan purpose of single-family credit guarantee portfolio purchases
20 67% Loan purpose of single-family credit guarantee portfolio purchases 1 The relief refinance mortgage initiative is Freddie Mac's implementation of the Home Affordable Refinance Program (HARP). Under the program, the company allows eligible borrowers who have mortgages with high current LTV rati
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 Beginning in 2009, purchases exclude mortgage loans acquired under the F
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 3Q 2011 credit losses & REO by region and state
23 Single-family 3Q 2011 credit losses & 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 $667 million since these securities are backed by non-Freddie Mac
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 Beginning in 2Q 2011, Freddie Mac excludes non-consolidated mortgage-related securities for which the company does not provide its guarantee. The prior periods have
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 Beginning in 2Q 2011, Freddie Mac excludes non-consolidated mortgage-related securities for which the company does not provide its guarantee. The prior pe
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