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) — Q4 2011 Earnings Presentation
30 slides from Freddie Mac's earnings presentation, Mar 9, 2012
Slide 1: Fourth Quarter 2011 Financial Results Supplement
Fourth Quarter 2011 Financial Results Supplement March 9, 2012
Slide 2: Table of contents
Table of contents ‘3 Quarterty Net income (Loss) and Comprehensive Income (Loss) 4- FullYear Net Loss and Comprehensive Income (Loss) 5 Total Comprehensive Income (Loss) 6 Treasury Draw Requests and Dividend Payments - Total Equity (Deficit) and Senior Preferred Stock Activity 8- Total Other Compreh
Slide 3: Quarterly net income (loss) and comprehensive income (loss)
3 Quarterly net income (loss) and comprehensive income (loss) Line 2: Provision for credit losses decreased in 4Q 2011 driven by a smaller increase in loss severity relative to 3Q 2011. Loss severity for 4Q 2011 reflects the impact of continued deterioration in the financial condition of mortgage in
Slide 4: Full-year net loss and comprehensive income (loss)
4 Full-year net loss and comprehensive income (loss) Line 1: Net interest income increased in 2011 reflecting lower funding costs, partially offset by a decline in the average balance of higher-yielding mortgage-related assets due to continued liquidations and limited purchase activity. Line 2: Prov
Slide 5: Total comprehensive income (loss)
5 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 6: Treasury draw requests and dividend payments
6 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 7: Total equity (deficit) and Senior Preferred Stock activity
7 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 8: Total other comprehensive income
8 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, 2010, September 30, 2011 and December 31, 2011, all available-for-sale securities were mortgage-rel
Slide 9: Loan loss reserves
9 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 income and comprehensive income. 3
Slide 10: Real estate owned
10 Real estate owned1 Property Inventory 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 14 properties as of December 31, 2010 and 20 properties as of
Slide 11: Single-family loan workouts
11 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 12: Single-family loan modifications
12 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 13: Reperformance rates of single-family loan modifications
13 Reperformance Rates of Single-family Loan Modifications (HAMP and non-HAMP) 1 Reperformance rates Of the loans modified in 4Q 2009, 71% were current or less than 3 months past due 24 to 26 months post modification. Of the loans modified in 3Q 2011, 94% were current or less than 3 months past due
Slide 14: Repurchase requests
14 The UPB of outstanding repurchase requests issued to our single-family seller/servicers based on breaches of representations and warranties declined from $3.8 billion as of December 31, 2010 to $2.7 billion as of December 31, 2011.1 1 The amount the company expects to collect on outstanding reque
Slide 15: Administrative expenses and efficiency
15 Administrative expenses and efficiency1,2 1 Administrative expenses, expressed as a percentage of the average total mortgage portfolio. Basis points for the quarters are calculated on an annualized basis. 2 Beginning in 1Q 2011, the company reclassified certain expenses from Other expenses to Pro
Slide 16: Purchase Agreement portfolio limits
16 Purchase Agreement portfolio limits Indebtedness 1,3 ($ 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 17: Credit Supplement
Freddi Bvisc Credit Supplement
Slide 18: National home prices have experienced a cumulative decline of 27%
18 National home prices have experienced a cumulative decline of 27% since June 20061, 2 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
Slide 19: Home price performance by state
-17% 0% ^ 0% -14 to 1% ^ -27% -26 to -15% -11% -50% -46% -17% CT -22% DC 0% -20% -46% -36% -19% -3% -32% -28% -9% -5% -7% -4% -28% -14% -38% -27% -17% -10% -13% -14% 17% -7% -23% -23% -17% -61% -16% -20% 0% -27% -11% RI -29% -15% 0% -12% 0% -20% -24% -5% -27% -19% -5% -2% Home price performance by s
Slide 20: Mortgage market and Freddie Mac serious delinquency rates
20 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-
Slide 21: Single-family refinance activity
Relief Refinance - LTV > 105% 21 Single-family refinance activity 1 Excludes loans associated with other guarantee commitments and Other Guarantee Transactions. 2 The Relief Refinance MortgageSM initiative is Freddie Mac's implementation of the Home Affordable Refinance Program (HARP). Under the pro
Slide 22: Credit quality of single-family credit guarantee portfolio purchases
22 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 23: Single-family credit statistics
23 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 24: Single-family 4Q 2011 credit losses and REO by region and state
24 Single-family 4Q 2011 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 $645 million since these securities are backed by non-Freddie M
Slide 25: Single-family credit guarantee portfolio characteristics
25 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 26: Single-family credit profile by book year and product feature
26 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 27: Single-family cumulative foreclosure transfer and short sale rates by book year
27 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 28: Multifamily mortgage portfolio by attribute
28 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 period has be
Slide 29: Multifamily mortgage portfolio by attribute, continued
29 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 30: Safe Harbor Statements
30 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