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 2014 Earnings Presentation

27 slides from Freddie Mac's earnings presentation, Feb 19, 2015

  1. Slide 1: Fourth Quarter 2014 Financial Results Supplement

    Exhibit 99.2 Fourth Quarter 2014 Financial Results Supplement February 19, 2015

  2. Slide 2: Table of contents

    Table of contents Financial Results Segment Business Information 2 - Annual Financial Results 12 - Single-Family New Funding Volume 3 - Quarterly Financial Results 13 - Single-Family Guarantee Fees Charged on New Acquisitions 4 - Financial Results - Key Drivers 14 - Single-Family Risk Transfer Trans

  3. Slide 3: Annual financial results

    Annual financial results $ Billions 2014 vs 2014 2013 2013 1 Net interest income $14.3 $16.5 ($2.2) 2 (Provision) benefit for credit losses (0.1) 2.5 (2.5) 3 Derivative gains (losses) (8.3) 2.6 (10.9) 4 Other non-interest income 8.2 5.9 2.3 5 Non-interest income (loss) (0.1) 8.5 (8.6) 6 Non-interest

  4. Slide 4: Quarterly financial results

    Quarterly financial results $ Billions 4Q14 vs 4Q14 3Q14 3Q14 1 Net interest income $3.6 $3.7 ($0.1) 2 (Provision) benefit for credit losses (0.0) (0.6) 0.6 3 Derivative losses (3.4) (0.6) (2.8) 4 Other non-interest income 0.8 1.4 (0.6) 5 Non-interest income (loss) (2.6) 0.8 (3.3) 6 Non-interest exp

  5. Slide 5: Financial results – key drivers

    Financial results – key drivers Net Interest Income (Provision) Benefit for Credit Losses $ Billions $ Billions Annual Annual 2013: $16.5 2013: $2.5 2014: $14.3 2014: ($0.1) $3.8 $3.7 $0.6 $3.6 $0.2 $3.5 $3.5 ($0.1) ($0.02) ($0.6) 4Q13 1Q14 2Q14 3Q14 4Q14 4Q13 1Q14 2Q14 3Q14 4Q14 1 Other Non-Interes

  6. Slide 6: Financial results – key drivers: Derivative gains (losses)

    Financial results – key drivers: Derivative gains (losses) Derivative Gains (Losses) 2-Year and 10-Year LIBOR Rates Fair Value Changes vs. Interest Carry 1 Percent (%) $ Billions Derivative Fair Value Changes 2013: $6.1 2014: ($5.7) $1.4 Net $0.4 3.07 $1.0 $0.4 2.77 2.85 $2.3 ($0.1) 2.69 2.61 2.66 $

  7. Slide 7: Comprehensive income

    Comprehensive income $ Billions $30.4 $9.8 $7.0 $5.7 $4.5 $4.4 $1.9 $2.8 $0.3 1 4Q12 1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14 4Q14 A Net income B Total other comprehensive income (loss), net of taxes 2 C=A+B Comprehensive income 1 Net income and Comprehensive income include $23.9 billion non-cash benefit

  8. Slide 8: Treasury draw requests and dividend payments

    Treasury draw requests and dividend payments $ Billions Draws From Treasury Dividend Payments to Treasury Cumulative Cumulative Total Total Total Senior Preferred Stock $72.3 Dividend Payments as of 12/31/14 $91.0 Outstanding 1 Less: Initial Liquidation Preference $1.0 1Q15 Dividend Obligation $0.9

  9. Slide 9: Segment financial results

    Segment financial results $ Billions 1 Single-Family Guarantee Investments Multifamily $20.3 $15.9 $1.5 $5.8 $6.5 $1.5 $5.8 $4.5 $3.1 $1.5 $4.4 $1.6 $1.5 $2.0 ($0.2) 2013 2014 2013 2014 ($1.6) 2013 2014 Comprehensive Income Segment Earnings Segment Other Comprehensive Income (Loss) 1 Comprehensive i

  10. Slide 10: National home prices

    1 National home prices Cumulative decline of 11% since June 2006 170 United States (NSA) 160 2014Q4 NSA Index Growth: - 0.2% 2014Q4 SA Index Growth: 1.6% 150 140 130 United States (SA) 120 110 100 Freddie Mac House Price Index (December 2000=100) 90 1 2005 2006 2007 2008 2009 2010 2011 2012 2013 201

  11. Slide 11: House price performance by state

    House price performance by state 1 December 2013 to December 2014 United States 5% NH 9% 2% WA ME 7% 7% -1% MT ND 2% VT 5% 8% MN 2% MA 6% 4% 4% 5% OR NY ID SD WI 8% RI 6% 5% MI 1% WY 4% 2% PA CT 2% NJ 1% NE IA 5% 9% 4% 2% OH 2% DE 4% NV 4% IL IN 5% 10% 5% 2% MD 7% UT 5% WV CO MO VA CA KS KY 3% DC 5%

  12. Slide 12: Housing market support

    Housing market support Number of Families Freddie Mac Helped 2 1 Single-Family Loan Workouts to Own or Rent a Home Number of Loans (000) In Thousands Cumulative Since 2009: 12,956 Cumulative Since 2009: 1,073 275 2,480 2,472 2,458 2,089 208 1,830 1,627 169 168 133 120 2009 2010 2011 2012 2013 2014 2

  13. Slide 13: Single-family new funding volume

    Single-family new funding volume $ Billions Annual 2013: $423 2014: $255 $77 $71 $63 $59 $49 $43 $35 $29 $33 $23 $34 $33 $36 $26 $26 4Q13 1Q14 2Q14 3Q14 4Q14 Refi UPB Purchase UPB Note: Totals may not add due to rounding. © Freddie Mac 12

  14. Slide 14: Single-family guarantee fees charged on new acquisitions

    Single-family guarantee fees charged on new 1 acquisitions Quarterly Annual In Basis Points (bps), Annualized In Basis Points (bps) 56 58 57 57 57 55 51 38 25 27 20 4Q13 1Q14 2Q14 3Q14 4Q14 2009 2010 2011 2012 2013 2014 2 Legislated 10 Basis Point Guarantee Fee Remitted to Treasury Single-Family Gua

  15. Slide 15: Single-family risk transfer transactions

    Single-family risk transfer transactions Structured Agency Credit Risk Agency Credit Insurance Structure SM (STACR ®) Debt Note Issuances (ACIS SM Reinsurance) Transactions $ Billions $ Millions $1.9 $553.9 $1.0 $1.0 $1.0 $0.6 $0.5 $155.3 $77.4 No No No Transaction Transaction Transaction 3Q13 4Q13

  16. Slide 16: Single-family credit quality - purchases

    Single-family credit quality - purchases Weighted Average Original LTV Ratio¹ Percent (%) Weighted Average Credit Score² 2009 2010 2011 2012 2013 2014 2009 2010 2011 2012 2013 2014 Relief refinance (includes HARP) All other Total purchases Relief refinance (includes HARP) All other Total purchases 1

  17. Slide 17: Single-family credit quality – credit guarantee portfolio

    Single-family credit quality – credit guarantee portfolio Concentration of Credit Risk Serious Delinquency Rates Percent (%) Percent (%) % of Portfolio % of Credit Losses 4Q 1Q 2Q 3Q 4Q As of December 31, 2014 For The Year Ended December 31, 2014 2013 2014 2014 2014 2014 New single-family book 1 HAR

  18. Slide 18: Single-family real estate owned

    Single-family real estate owned Property Inventory Historical Trend 2014 Activity Ending Property Inventory (Number of Properties) (Number of Properties) 42,265 49k 48k 47k 47k 45k 44k (63,804) 36k 29k 26k 47,307 25,768 12/31/13 Acquisitions Dispositions 12/31/14 4Q12 1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 3

  19. Slide 19: Single-family mortgage market and Freddie Mac delinquency rates

    Single-family mortgage market and Freddie Mac delinquency rates Single-family Serious Delinquency Rates 32 28 24 20 18.29% 16 12 8 4.65% 4 2.68% 1.96% 0 Sep-10 Mar-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 1 1 1 2 Total Mortgage Market Prime Subprime Freddie Mac 1 Source: National Delinque

  20. Slide 20: Multifamily business volume and portfolio composition

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

  21. Slide 21: Multifamily securitization volume

    Multifamily securitization volume 1 K-Deal Securitization Volume UPB $ Billions $28.0 $21.2 $21.3 $13.7 $6.4 $2.1 2009 2010 2011 2012 2013 2014 2009 2010 2011 2012 2013 2014 Total 1 Total UPB $2.1 $6.4 $13.7 $21.2 $28.0 $21.3 $92.8 Number of 2 6 12 17 19 17 73 Transactions 1 Represents the UPB of mu

  22. Slide 22: Multifamily market and Freddie Mac delinquency rates

    Multifamily market and Freddie Mac delinquency rates Percent 14 12 10 8 6 4 2 1.37% 0.50% 0 0.03% 0.00% 3Q10 1Q11 3Q11 1Q12 3Q12 1Q13 3Q13 1Q14 3Q14 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 –

  23. Slide 23: Investments – Purchase Agreement portfolio limits

    Investments – Purchase Agreement portfolio limits Mortgage Assets 1, 2 Indebtedness 1, 3 $ Billions $ Billions $780 $663 $663 $663 $663 $553 $553 $553 $553 $564 $470 $511 $461 $399 $458 $449 $454 $434 $440 $420 $414 $408 12/31/13 03/31/14 06/30/14 09/30/14 12/31/14 12/31/15 12/31/13 03/31/14 06/30/1

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

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

  25. Slide 25: More liquid versus less liquid assets

    Investments – mortgage-related investments portfolio: More liquid versus less liquid assets More Liquid versus Less Liquid Assets $ Billions $558 $461 36% $434 $420 $414 $408 38% 37% 38% 41% 41% 64% 62% 63% 62% 59% 59% 12/31/12 12/31/13 3/31/14 6/30/14 9/30/14 12/31/14 1 Less Liquid Assets More Liqu

  26. Slide 26: Interest-rate risk measures

    Interest-rate risk measures Average Monthly PMVS-Level 1 Average Monthly Duration Gap 2 $ Millions Months 300 6 5 4 3 $207 200 2 1 0 $127 (1) $95 $99 100 $93 (2) (3) $56 $55 $38 (4) $28 $25 $26 $23 $9 (5) 0 (6) Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Dec Jan Feb Mar Apr May Jun Jul Aug S

  27. Slide 27: 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 2014 Earnings Presentation on 6ix