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 2015 Earnings Presentation

26 slides from Freddie Mac's earnings presentation, Feb 18, 2016

  1. Slide 1: Fourth Quarter 2015 Financial Results Supplement

    Exhibit 99.2 Fourth Quarter 2015 Financial Results Supplement February 18, 2016

  2. Slide 2: Table of contents

    Table of contents Financial Results Segment Business Information 3 – Annual Financial Results 11 – Single-Family New Funding Volume 4 – Quarterly Financial Results 12 – Single-Family Management and Guarantee Fees Charged on New Acquisitions 5 – Market-Related Items 6 – Segment Financial Results 13 –

  3. Slide 3: Annual financial results

    Annual financial results $ Millions 2015 vs 2015 2014 2014 1 Net interest income $ 14,946 $ 14,263 $ 683 2 Benefit (provision) for credit losses 2,665 (58) 2,723 3 Derivative losses (2,696) (8,291) 5,595 4 Other non-interest income (loss) (903) 8,178 (9,081) 5 Non-interest income (loss) (3,599) (113

  4. Slide 4: Quarterly financial results

    Quarterly financial results $ Millions 4Q15 4Q15 vs vs 4Q15 3Q15 4Q14 3Q15 4Q14 1 Net interest income $ 3,587 $ 3,743 $ 3,587 $ (156) $ - 2 Benefit (provision) for credit losses 781 528 (17) 253 798 3 Derivative gains (losses) 744 (4,172) (3,397) 4,916 4,141 4 Other non-interest income (loss) (896)

  5. Slide 5: Market-related items

    Market-related items Estimated Net Interest Rate Effect Estimated Spread Change Effect $ in Billions, after-tax $ in Billions, after-tax $0.7 $1.4 $0.3 $0.02 ($0.2) ($0.1) ($0.5) ($0.3) ($1.4) ($0.6) 1Q15 2Q15 3Q15 4Q15 2015 1Q15 2Q15 3Q15 4Q15 2015 Note: Totals may not add due to rounding. © Freddi

  6. Slide 6: Segment financial results

    Segment financial results $ Billions 1 Single-Family Guarantee Multifamily Investments $6.5 $1.8 $1.5 $1.5 $3.4 $4.5 $1.8 $0.6 $1.5 $1.6 $3.8 $0.8 $2.0 $(0.2) $(0.3) $(0.4) 2014 2015 2014 2015 2014 2015 Comprehensive Income (Loss) Segment Earnings (Loss) Segment Other Comprehensive Income (Loss) 1 C

  7. Slide 7: Treasury draw requests and dividend payments

    Treasury draw requests and dividend payments $ Billions Draw Requests From Treasury Dividend Payments to Treasury Cumulative Total Cumulative Total Total Senior Preferred Stock Outstanding $72.3 Dividend Payments as of 12/31/15 $96.5 1 Less: Initial Liquidation Preference 1.0 1Q16 Dividend Obligatio

  8. Slide 8: National home prices

    1 National home prices Cumulative decline of 6% since June 2006 (NSA Series) 170 2015Q4 NSA Index Growth: -0.1% United States (NSA) 2015Q4 SA Index Growth: 1.8% 160 150 140 130 United States (SA) 120 110 Freddie Mac House Price Index (December 2000=100) 100 2005 2006 2007 2008 2009 2010 2011 2012 20

  9. Slide 9: Home price performance by state December 2014 to December 2015

    Home price performance by state 1 December 2014 to December 2015 United States 6% NH 12% 8% WA 4% 5% ME 3% MT ND 5% VT 6% 11% MN 3% MA OR 9% 5% 5% NY 6% ID SD WI 6% RI 7% 2% MI 3% WY 5% CT 0% 5% PA NJ 1% IA 5% 12% NE 1% DE 4% 4% 3% OH NV 8% IL IN 2% 10% 3% MD 8% UT 5% 5% WV CO VA CA KY 4% DC 7% KS M

  10. Slide 10: Housing market support

    Housing market support Number of Families Freddie Mac Helped Number of Single-Family Loan 1 2 to Own or Rent a Home Workouts In Thousands In Thousands Cumulative Since 2009: 15,193 Cumulative Since 2009: 1,167 2,480 2,472 2,458 275 2,237 2,089 1,830 208 1,627 169 168 133 120 94 2009 2010 2011 2012 2

  11. Slide 11: Single-family new funding volume

    Single-family new funding volume $ Billions Annual 2013: $423 2014: $255 2015: $351 $101 $94 $80 $39 $76 $71 $47 $28 $37 $35 $62 $52 $46 $36 $38 4Q14 1Q15 2Q15 3Q15 4Q15 Refi UPB Purchase UPB Note: Totals may not add due to rounding. © Freddie Mac 11

  12. Slide 12: Single-family management and guarantee fees charged on new acquisitions

    Single-family management and guarantee fees charged on new acquisitions Quarterly Annual In Basis Points (bps), Annualized In Basis Points (bps) 47 47 47 44 45 44 44 41 31 27 25 20 4Q14 1Q15 2Q15 3Q15 4Q15 2009 2010 2011 2012 2013 2014 2015 Single-Family Management and Guarantee Fees Charged on New

  13. Slide 13: Single-family credit risk transfer transactions

    Single-family credit risk transfer transactions1 Structured Agency Credit Risk Agency Credit Insurance Structure® (STACR ®)Debt Note Issuances (ACIS®) Transactions ² $ Billions $ Billions $6.7 $2.8 $4.9 $4.5 $2.1 $0.7 $1.1 $2.2 $0.1 $0.7 2013 2014 2015 2013 2014 2015 Structure Based Structure Based

  14. Slide 14: Single-family transferred credit risk

    Single-family transferred credit risk1, 2 Single-Family Transferred Credit Risk $ Billions Mezzanine loss positions: Retained by Freddie Mac First loss positions: Retained by Freddie Mac $15.2 Mezzanine loss $11.2 positions: Transferred $10.7 to third parties $8.8 $6.7 First loss positions: $1.2 $1.

  15. Slide 15: Single-family credit quality - purchases

    Single-family credit quality - purchases 1 Weighted Average Original LTV Ratio 2 Percent (%) Weighted Average Credit Score 756 755 755 756 75 749 750 76 76 74 744 70 70 67 97 91 757 758 759 762 756 80 77 77 82 76 751 71 75 74 747 744 748 66 67 67 68 738 740 727 713 718 2009 2010 2011 2012 2013 2014

  16. Slide 16: Single-family credit quality – credit guarantee portfolio

    Single-family credit quality – credit guarantee portfolio Concentration of Credit Risk Serious Delinquency Rates Percent (%) Percent (%) 5.13 4.84 4.46 4.28 16 4.12 18 89 1.88 1.73 1.53 1.41 66 1.32 0.75 0.75 0.70 0.70 0.72 8 0.24 0.22 0.21 0.20 0.21 3 % of Portfolio as of % of Credit Losses for the

  17. Slide 17: Single-family mortgage market and Freddie Mac delinquency rates

    Single-family mortgage market and Freddie Mac delinquency rates Single-Family Serious Delinquency Rates Percent 32 28 24 20 16 14.55% 12 8 4 3.57% 2.07% 1.41% 0 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Total Mortgage Marke

  18. Slide 18: Multifamily business volume and portfolio composition

    Multifamily business volume and portfolio composition Multifamily New Business Volume Total Multifamily Portfolio $ Billions UPB $ Billions $47 $180 $188 $177 $17 $169 $167 $169 $24 $35 $52 $29 $28 $26 $2 $75 $91 $120 $60 $59 $20 $52 $15 $30 $33 $26 $25 $19 $86 $82 $77 $59 $53 $49 2010 2011 2012 201

  19. Slide 19: Multifamily percentage of affordable units financed

    Multifamily percentage of affordable units financed Multifamily Acquisitions of Units by Area Median Income (AMI) % of Eligible Units Acquired 10% 7% 8% 10% 11% 11% 12% 18% 14% 13% 17% 15% 14% 16% 14% 19% 88% of eligible units acquired during the year ended December 67% 63% 58% 61% 61% 59% 31, 2015

  20. Slide 20: Multifamily securitization volume

    Multifamily securitization volume 1 K-Deal Securitization Volume UPB $ Billions $35.6 $28.0 $21.2 $21.3 $13.7 $6.4 $2.1 2009 2010 2011 2012 2013 2014 2015 2009 2010 2011 2012 2013 2014 2015 Total Total UPB¹ $2.1 $6.4 $13.7 $21.2 $28.0 $21.3 $35.6 $128.4 Number of 2 6 12 17 19 17 30 103 Transactions

  21. Slide 21: Multifamily market and Freddie Mac delinquency rates

    Multifamily market and Freddie Mac delinquency rates Percent 14 12 10 8 6 4 2 0.74% 0.33% 0.01% 0 0.00% 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15 Freddie Mac (60+ day)¹ FDIC Insured Institutions (90+ day) MF CMBS Market (60+ day) ACLI Investment Bulletin (6

  22. Slide 22: Investments – Purchase Agreement portfolio limits

    Investments – Purchase Agreement portfolio limits Mortgage Assets 1,2 Indebtedness 1,3 $ Billions $ Billions $470 $470 $470 $470 $663 $564 $564 $564 $564 $408 $406 $399 $479 $454 $451 $383 $417 $412 $418 $367 $347 $339 12/31/14 03/31/15 06/30/15 09/30/15 12/31/15 12/31/16 12/31/14 03/31/15 06/30/15

  23. Slide 23: Investments – mortgage-related investments portfolio composition

    Investments – mortgage-related investments portfolio composition Mortgage-Related Investments Portfolio 1 $ Billions $755 $697 $139 $653 $235 $558 $176 $254 $461 $221 $408 $66 $347 $158 $181 $143 $164 $40 $126 $146 $33 $95 $24 $66 $375 $17 $16 $40 $264 $13 $224 $187 $168 $162 $148 12/31/09 12/31/10

  24. Slide 24: Investments – mortgage-related investments portfolio composition, continued

    Investments – mortgage-related investments portfolio composition, continued 1 Liquidity Categories Less Liquid Activity $ Billions $ Billions $25.7 $23.5 $461 $408 $20.3 $8.2 $7.0 38% $347 $3.5 $0.3 41% $1.9 $2.9 $0.6 4% 45% 5% $13.1 9% $11.4 $13.8 58% 54% 46% $2.8 $2.9 $0.9 $0.2 12/31/13 12/31/14 1

  25. Slide 25: Interest-rate risk measures

    Interest-rate risk measures 2 Average Monthly PMVS-Level 1 Average Monthly Duration Gap $ Millions Months $146 6 5 $122 $123 4 $105 3 $99 $90 2 $78 $80 1 $75 $74 $69 0 $61 $62 (1) (2) (3) (4) (5) (6) Dec-14 Feb-15 Apr-15 Jun-15 Aug-15 Oct-15 Dec-15 Dec-14 Feb-15 Apr-15 Jun-15 Aug-15 Oct-15 Dec-15 1

  26. Slide 26: 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

Federal Home Loan Mortgage Corp (Fmcc, Fmccg, Fmcci, Fmccj, Fmccl, Fmccn, Fmcco, Fmccs, Fmcct, Fmcki, Fmckl, Fmckn, Frejn, Frejo) — Q4 2015 Earnings Presentation on 6ix