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 2015 Earnings Presentation

24 slides from Freddie Mac's earnings presentation, Nov 3, 2015

  1. Slide 1: Third Quarter 2015 Financial Results Supplement

    Exhibit 99.2 Third Quarter 2015 Financial Results Supplement November 3, 2015

  2. Slide 2: Table of contents

    Table of contents Financial Results Segment Business Information 3- Quarterly Financial Results 9 - Single-Family New Funding Volume Single-Family Management and Guarantee Fees Charged on New 4- Segment Financial Results 10 - Acquisitions 5- Treasury Draw Requests and Dividend Payments 11 - Single-F

  3. Slide 3: Quarterly financial results

    Quarterly financial results $ Millions 3Q15 3Q15 vs vs 3Q15 2Q15 3Q14 2Q15 3Q14 1 Net interest income $ 3,743 $ 3,969 $ 3,663 $ (226) $ 80 2 Benefit (provision) for credit losses 528 857 (574) (329) 1,102 3 Derivative gains (losses) (4,172) 3,135 (617) (7,307) (3,555) 4 Other non-interest income (lo

  4. Slide 4: Segment financial results

    Segment financial results $ Billions 1 Single-Family Guarantee Investments Multifamily $3.0 $0.6 $0.5 $0.4 $3.2 $0.6 $0.5 $0.5 ($1.0) ($0.1) ($0.2) $0.02 ($0.05) ($0.1) ($0.1) 2Q15 3Q15 ($1.0) 2Q15 3Q15 2Q15 3Q15 Comprehensive Income (Loss) Segment Earnings (Loss) Segment Other Comprehensive Income

  5. Slide 5: Treasury draw requests and dividend payments

    Treasury draw requests and dividend payments $ Billions Draw Requests From Treasury Dividend Payments to Treasury Cumulative Cumulative Total Total Total Senior Preferred Stock Outstanding $72.3 Dividend Payments as of 9/30/15 $96.5 1 2 Less: Initial Liquidation Preference 1.0 4Q15 Dividend Obligati

  6. Slide 6: National home prices

    1 National home prices Cumulative decline of 6% since June 2006 (NSA Series) 170 2015Q3 NSA Index Growth: 0.8% United States (NSA) 2015Q3 SA Index Growth: 1.4% 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 201

  7. Slide 7: Home price performance by state

    Home price performance by state September 2014 to September 20151 United States 6% NH 10% 3% WA 4% 2% ME 4% MT ND 5% VT 5% 10% MN 3% MA OR 8% 5% 3% NY 5% ID SD WI 5% RI 5% 6% MI 2% WY 3% CT 2% 6% PA NJ 3% IA 3% 11% NE 1% DE 0% 2% 5% OH NV 7% IL IN 3% 12% 3% MD 8% UT 4% WV CO 4% VA CA KY 5% DC 7% KS

  8. Slide 8: Housing market support

    Housing market support Number of Families Freddie Mac Helped 2 Single-Family Loan Workouts to Own or Rent a Home1 Number of Loans (000) In Thousands Cumulative Since 2009: 14,671 Cumulative Since 2009: 1,148 275 2,480 2,472 2,458 208 2,089 1,830 169 168 1,627 1,715 133 120 75 2009 2010 2011 2012 201

  9. Slide 9: Single-family new funding volume

    Single-family new funding volume $ Billions Annual 2013 : $423 2014 : $255 1 YTD 2015 : $275 $101 $94 $77 $80 $39 $71 $47 $28 $43 $35 $62 $52 $46 $33 $36 3Q14 4Q14 1Q15 2Q15 3Q15 Refi UPB Purchase UPB 1 Data for the nine months ended September 30, 2015. Note: Totals may not add due to rounding. © Fr

  10. Slide 10: 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 47 45 44 44 41 31 27 25 20 3Q14 4Q14 1Q15 2Q15 3Q15 2009 2010 2011 2012 2013 2014 YTD 1 2015 Single-Family Management and Guarantee Fees Charged o

  11. Slide 11: Single-family credit risk transfer transactions

    1 Single-family credit risk transfer transactions Structured Agency Credit Risk Agency Credit Insurance Structure ® 2 (STACR ®)Debt Note Issuances (ACIS® Reinsurance) Transactions $ Billions $ Bllions $4.9 $5.0 $1.1 $0.7 $0.4 $2.8 $1.1 $0.7 $2.2 $0.1 2013 2014 YTD 2013 2014 YTD 3 2015 3 2015 Calcula

  12. Slide 12: Single-family transferred credit risk

    1 Single-family transferred credit risk Single-Family Transferred Credit Risk Based on Remaining Balance as of Period End $ Billions Mezzanine loss positions: Transferred to third parties First loss positions: Transferred to third parties Mezzanine loss positions: $11.2 Retained by Freddie Mac $10.7

  13. Slide 13: Single-family credit quality - purchases

    Single-family credit quality - purchases 1 2 Weighted Average Original LTV Ratio Weighted Average Credit Score Percent (%) 756 756 755 755 749 751 97 91 76 75 76 744 74 758 70 70 759 752 67 762 82 75 74 757 76 80 71 77 77 68 748 747 756 67 67 744 740 66 738 719 727 713 2009 2010 2011 2012 2013 2014

  14. Slide 14: Single-family credit quality – credit guarantee portfolio

    Single-family credit quality – credit guarantee portfolio Concentration of Credit Risk Serious Delinquency Rates Percent (%) Percent (%) 7.66 7.59 7.10 6 10 6.54 6.26 11 18 80 3.12 3.10 2.97 2.75 2.64 65 1.96 1.88 1.73 1.53 1.41 0.70 0.75 0.75 0.70 0.70 7 3 0.23 0.24 0.22 0.21 0.20 % of Portfolio %

  15. Slide 15: 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 15.14% 12 8 4 3.95% 2.24% 1.53% 0 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 1 1 1 2 Total Mortgage Market Prime Subprime Freddie Mac 1 Source: National

  16. Slide 16: Multifamily business volume and portfolio composition

    Multifamily business volume and portfolio composition Multifamily New Business Volume Total Multifamily Portfolio $ Billions UPB $ Billions $34 $180 $182 $169 $177 $167 $169 $29 $28 $26 $20 $15 2010 2011 2012 2013 2014 YTD 1 12/31/10 12/31/11 12/31/12 12/31/13 12/31/14 9/30/15 2015 MF unsecuritized

  17. Slide 17: Multifamily percentage of affordable units financed

    Multifamily percentage of affordable units financed Multifamily Acquisitions of Units by Area Median Income (AMI) % of Units Acquired 10% 7% 8% 10% 11% 11% 12% 18% 14% 13% 17% 15% 14% 16% 15% 19% 88% of units acquired during 67% 63% 58% the nine months 61% 61% 58% 62% ended September 56% 30, 2015 ar

  18. Slide 18: Multifamily securitization volume

    Multifamily securitization volume K-Deal Securitization Volume 1 UPB $ Billions $28.0 $21.2 $21.3 $21.9 $13.7 $6.4 $2.1 2009 2010 2011 2012 2013 2014 YTD 2015 2 YTD 2009 2010 2011 2012 2013 2014 2015 2 Total Total UPB 1 $2.1 $6.4 $13.7 $21.2 $28.0 $21.3 $21.9 $114.7 Number of 2 6 12 17 19 17 18 91 T

  19. Slide 19: Multifamily market and Freddie Mac delinquency rates

    Multifamily market and Freddie Mac delinquency rates Percent 14 12 10 8 6 4 2 1.16% 0.34% 0 0.01% 0.01% 2Q11 4Q11 2Q12 4Q12 2Q13 4Q13 2Q14 4Q14 2Q15 1 Freddie Mac (60+ day) FDIC Insured Institutions (90+ day) MF CMBS Market (60+ day) ACLI Investment Bulletin (60+ day) 1 See “MD&A – RISK MANAGEMENT–

  20. Slide 20: Investments – Purchase Agreement portfolio limits

    Investments – Purchase Agreement portfolio limits Mortgage Assets 1, 2 Indebtedness 1, 3 $ Billions $ Billions $663 $470 $470 $470 $470 $564 $564 $564 $564 $454 $451 $479 $408 $399 $406 $383 $417 $412 $367 12/31/14 03/31/15 06/30/15 09/30/15 12/31/15 12/31/14 03/31/15 06/30/15 09/30/15 12/31/15 01/0

  21. Slide 21: Investments – mortgage-related investments portfolio composition

    Investments – mortgage-related investments portfolio composition 1 Mortgage-Related Investments Portfolio $ Billions $755 $697 $653 $558 $461 $408 $367 12/31/09 12/31/10 12/31/11 12/31/12 12/31/13 12/31/14 09/30/15 2 Mortgage Loans Non-Freddie Mac Mortgage-Related Securities (Non-Agency) Non-Freddie

  22. Slide 22: Investments – mortgage-related investments portfolio: More liquid versus less liquid assets

    Investments – mortgage-related investments portfolio: More liquid versus less liquid assets 1 More Liquid versus Less Liquid Assets Less Liquid Activity $ Billions $ Billions $23.5 $558 $20.3 $19.9 $7.0 $461 $3.5 36% $408 $1.9 $7.4 $367 38% $0.6 41% $0.2 44% $1.9 $13.1 64% $13.8 62% $10.3 59% 56% $2

  23. Slide 23: Interest-rate risk measures

    Interest-rate risk measures 1 Average Monthly PMVS-Level Average Monthly Duration Gap 2 $ Millions Months 200 6 5 4 $146 150 3 $127 $122 $123 2 $105 1 $99 100 $93 $90 0 $78 $80 $75 (1) $61 (2) $55 50 (3) (4) (5) 0 (6) Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Sep Oct Nov Dec Jan Feb Mar Ap

  24. Slide 24: 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) — Q3 2015 Earnings Presentation on 6ix