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) — Q1 2015 Earnings Presentation
27 slides from Freddie Mac's earnings presentation, May 5, 2015
Slide 1: First Quarter 2015 Financial Results Supplement
Exhibit 99.2 First Quarter 2015 Financial Results Supplement May 5, 2015
Slide 2: Table of contents
Table of contents Financial Results Segment Business Information 2 - Quarterly Financial Results 11 - Single-Family New Funding Volume 3 - Financial Results - Key Drivers 12 - Single-Family Guarantee Fees Charged on New Acquisitions 4 - Financial Results - Key Drivers: Derivative Gains (Losses) 13 -
Slide 3: Quarterly financial results
Quarterly financial results $ Millions 1Q15 vs 1Q15 4Q14 4Q14 1 Net interest income $ 3,647 $ 3,587 $ 60 2 Benefit (provision) for credit losses 499 (17) 516 3 Derivative losses (2,403) (3,397) 994 4 Other non-interest income 256 815 (559) 5 Non-interest income (loss) (2,147) (2,582) 435 6 Non-inter
Slide 4: Financial results – key drivers
Financial results – key drivers Net Interest Income Benefit (Provision) for Credit Losses $ Billions $ Billions Annual Annual 2013: $16.5 2013: $2.5 2014: $14.3 2014: ($0.1) $3.5 $3.5 $3.7 $3.6 $3.6 $0.6 $0.5 ($0.1) ($0.02) ($0.6) 1Q14 2Q14 3Q14 4Q14 1Q15 1Q14 2Q14 3Q14 4Q14 1Q15 1 Other Non-Interes
Slide 5: Financial results – key drivers: Derivative gains (losses)
Financial results – key drivers: Derivative gains (losses) 2-Year and 10-Year LIBOR Rates Derivative Gains (Losses) 1 Percent (%) Fair Value Changes vs. Interest Carry $ Billions $1.4 3.07 $1.0 2.77 2.85 $0.4 2.61 2.66 ($0.1) 2.69 ($2.4) ($1.9) ($0.6) ($3.4) ($2.4) 2.29 2.12 2.03 2.01 1.79 1.81 0.83
Slide 6: Comprehensive income
Comprehensive income $ Billions $4.5 $2.8 $1.9 $0.7 $0.3 1Q14 2Q14 3Q14 4Q14 1Q15 A Net income B Total other comprehensive income (loss), net of taxes 1 C=A+B Comprehensive income 1 Consists of the after-tax changes in: (a) the unrealized gains and losses on available-for-sale securities; (b) the ef
Slide 7: 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 3/31/15 $91.8 Outstanding 1 Less: Initial Liquidation Preference $1.0 2Q15 Dividend Obligation $0.7 2
Slide 8: Segment financial results
Segment financial results $ Billions 1 Single-Family Guarantee Investments Multifamily Comprehensive Income Segment Earnings Segment Other Comprehensive Income (Loss) 1 Comprehensive income approximated segment earnings for both 4Q14 and 1Q15. Note: Totals may not add due to rounding. © Freddie Mac
Slide 9: National home prices
1 National home prices Cumulative decline of 10% since June 2006 (NSA Series) 170 United States (NSA) 2015Q1 NSA Index Growth: 1.6% 2015Q1 SA Index Growth: 1.6% 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
Slide 10: Home price performance by state
Home price performance by state 1 March 2014 to March 2015 United States 5% NH 10% 1% WA 2% 5% ME MT ND -2%0% 2% 6% MN 2% VT MA OR 4% 2% 3% NY 3% ID SD WI 7% RI 4% 5% MI 2% WY 2% PA CT -1% 3% NJ 2% IA 3% 9% NE -1% DE 0% 3% 5% OH NV 5% IL IN 2% 11% 0% MD 7% UT 4% 3% WV CO VA CA KS MO KY 4% DC 5% NC 6
Slide 11: 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: 13,450 Cumulative Since 2009: 1,100 275 2,480 2,472 2,458 2,089 208 1,830 1,627 169 168 133 120 494 27 2009 2010 2011 2012 2013
Slide 12: Single-family new funding volume
Single-family new funding volume $ Billions Annual 2013: $423 2014: $255 $80 $77 $71 $28 $59 $49 $43 $35 $33 $23 $52 $33 $36 $26 $26 1Q14 2Q14 3Q14 4Q14 1Q15 Refi UPB Purchase UPB Note: Totals may not add due to rounding. © Freddie Mac 11
Slide 13: Single-family guarantee fees charged on new acquisitions
Single-family guarantee fees charged on new acquisitions 1 Quarterly Annual In Basis Points (bps), Annualized In Basis Points (bps) 58 57 57 57 57 56 51 38 25 27 20 1Q14 2Q14 3Q14 4Q14 1Q15 2009 2010 2011 2012 2013 2014 2 Legislated 10 Basis Point Guarantee Fee Remitted to Treasury Single-Family Gua
Slide 14: Single-family risk transfer transactions
Single-family risk transfer transactions SM Structured Agency Credit Risk Agency Credit Insurance Structure (STACR ®) Debt Note Issuances (ACISSM Reinsurance) Transactions $ Billions $ Millions $709.2 $706.7 $4.9 $1.7 $1.1 $77.4 2013 2014 1Q15 2013 2014 1Q15 Cumulative $ Billions STACR Issuances $7.
Slide 15: Single-family credit quality - purchases
Single-family credit quality - purchases 1 Weighted Average Original LTV Ratio 2 Percent (%) Weighted Average Credit Score 1 Original LTV ratios are calculated as the unpaid principal balance (UPB) of the mortgage Freddie Mac guarantees including the credit-enhanced portion, divided by the lesser of
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 (%) % of Portfolio % of Credit Losses As of March 31, 2015 For Three Months Ended March 31, 2015 New single-family book 1 HARP and other relief refinance loans New sin
Slide 17: Single-family real estate owned
Single-family real estate owned Property Inventory Historical Trend 1Q15 Activity Ending Property Inventory (Number of Properties) (Number of Properties) 48k 47k 47k 45k 44k 36k 7,201 (10,231) 29k 26k 23k 25,768 22,738 12/31/14 Acquisitions Dispositions 3/31/15 1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14 4Q1
Slide 18: 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 17.68% 16 12 8 4.52% 4 2.60% 1.88% 0 Dec-10 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 1 1 1 2 Total Mortgage Market Prime Subprime Freddie Mac 1 Source: National Delinque
Slide 19: 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 $174 $26 $169 $167 $169 $20 $15 $10 2010 2011 2012 2013 2014 1Q15 12/31/10 12/31/11 12/31/12 12/31/13 12/31/14 3/31/15 MF unsecuritized loan p
Slide 20: Multifamily percentage of affordable units financed
Multifamily percentage of affordable units financed Multifamily Acquisitions of Units by Area Median Income (AMI) % of Units Acquired 11% 10% 7% 8% 11% 10% 9% 18% 14% 13% 15% 14% 16% 15% 17% 19% 91% of units acquired in 2015 63% 58% 60% are affordable to 61% 67% 61% 62% households 56% earning at or
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 $5.1 $2.1 2009 2010 2011 2012 2013 2014 1Q15 2009 2010 2011 2012 2013 2014 1Q15 Total 1 Total UPB $2.1 $6.4 $13.7 $21.2 $28.0 $21.3 $5.1 $98.0 Number of 2 6 12 17 19 17 5 78 Transactions 1 Re
Slide 22: Multifamily market and Freddie Mac delinquency rates
Multifamily market and Freddie Mac delinquency rates Percent 14 12 10 8 6 4 2 1.25% 0.44% 0.04% 0 0.00% 4Q10 2Q11 4Q11 2Q12 4Q12 2Q13 4Q13 2Q14 4Q14 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 –
Slide 23: 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 $399 $408 $406 $454 $451 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 Mortgage-related investments
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 $406 12/31/09 12/31/10 12/31/11 12/31/12 12/31/13 12/31/14 03/31/15 2 Mortgage Loans Non-Freddie Mac Mortgage-Related Securities (Non-Agency) Non-Freddie
Slide 25: Mortgage-related investments portfolio: 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 $406 38% 37% 38% 41% 41% 42% 64% 62% 63% 62% 59% 59% 58% 12/31/12 12/31/13 03/31/14 06/30/14 03/30/14 12/31/14 03/31/15 Less
Slide 26: Interest-rate risk measures
Interest-rate risk measures 1 2 Average Monthly PMVS-Level Average Monthly Duration Gap $ Millions Months 6 200 5 4 $146 3 150 $127 2 $122 $105 1 $95 $99 100 $93 0 (1) $55 (2) 50 $38 (3) $28 $25 $26 $23 (4) (5) 0 (6) Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Mar Apr May Jun Jul Aug Sep Oct
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