Freddie Mac · OTC:FMCC
Freddie Mac — FY2005 Earnings Presentation
16 slides from Freddie Mac's earnings presentation, May 30, 2006
Slide 1: Freddie Mac's 2005 Financial Results
Freddie Mac’s 2005 Financial Results May 30, 2006
Slide 2: 2005 Market Drivers
Slide 1 2005 Market Drivers FY 2005 Fair Change GAAP Value 1 Mortgage-to-Debt OAS Wider Neutral Negative 2 Level of Interest Rates Increased Positive Positive 3 Implied Interest Rate Volatility Declined Negative Neutral
Slide 3: GAAP Financial Results
Slide 2 GAAP Financial Results ($ Millions) 2004 2005 1 Net Interest Income $ 9,137 $ 5,370 2 Mgmt and Guarantee Income 1,382 1,450 3 Non-Interest Income (excluding G-Fees) (4,421) (1,251) 4 Total Revenues 6,098 5,569 5 Administrative Expense $ (1,550) $ (1,535) 6 Non-Interest Expense (681) (1,187)
Slide 4: Net Interest Income
Slide 3 Net Interest Income ($ Billions) 2004 2005 Average Yield/ Average Yield/ Balance (Cost) Balance (Cost) 1 Total Interest-Earning Assets $ 764 4.66% $ 751 4.83% 2 Total Interest-Bearing Liabilities $ 748 (3.55%) $ 727 (4.11%) 3 Impact Related to Derivatives 0.01% (0.15%) 4 Impact of Net Non-In
Slide 5: Detail on Net Interest Yield
Slide 4 Detail on Net Interest Yield Net Interest Yield (FTE basis) declined 47 bps from 1.23% in 2004 to 0.76% in 2005 as follows: 1 NIY (FTE) - Full Year 2004 1.23% Estimated Impacts of: Geography Issues 2 Derivative interest carry (NHD interest carry recorded in non-interest income) (0.18%) 3 Liq
Slide 6: Guarantee Fee Analysis
Slide 5 Guarantee Fee Analysis ($ Millions, Rates in Basis Points) 2004 Rate 2005 Rate 1 Contractual Management and Guarantee Fees $ 1,303 16.5 bp $ 1,431 15.7 bp 2 Amortization of pre-2003 Deferred Fees 79 1.0 19 0.2 3 Total (line 1 + line 2) $ 1,382 17.5 bp $ 1,450 15.9 bp 4 Amortization of Deferr
Slide 7: Non-Interest Income
Slide 6 Non-Interest Income ($ Millions) 2004 2005 1 Derivative gains (losses) $ (4,475) $ (1,357) 2 Other non-interest income 54 106 3 Total Non-Interest Income (excluding G-fees) $ (4,421) $ (1,251)
Slide 8: Fair Value Attributable to Common Stockholders
Slide 7 Fair Value Attributable to Common Stockholders ($ Billions) 2005 ROE 1 Fair value return before capital transactions $0.9 3.3% Other items which affected 2005 fair value returns 2 OAS impact ($1.4) 3 Effect of net GA/GO valuation methodology change (1Q05) (0.8) 4 Other valuation methodology
Slide 9: Selected Balance Sheet Results
Slide 8 Selected Balance Sheet Results ($ Millions) December 31, Change 2004 2005 1 Retained portfolio $ 664,468 $ 709,384 $ 44,916 2 Cash and investments 97,280 67,792 (29,488) 3 Other items included in total assets 33,536 29,046 (4,490) 4 Total assets $ 795,284 $ 806,222 $ 10,938 5 Total debt secu
Slide 10: Growth in Credit Guarantee Business
Slide 9 Growth in Credit Guarantee Business Growth in Total Guaranteed PCs and Freddie Mac Share of Structured Securities GSE PC/MBS Issues Issued (Percent) (Percent) 48 16 46 14 44 12 42 10 40 8 38 6 36 4 34 32 2 30 0 2001 2002 2003 2004 2005 1Q06
Slide 11: Credit Guarantee Portfolio Product Distribution
Slide 10 Credit Guarantee Portfolio Product Distribution Credit guarantee portfolio Credit guarantee portfolio As of December 31, 2004 As of December 31, 2005 $1.3 Trillion $1.4 Trillion Other Option ARM Multifamily Option ARM Other 1% IO Multifamily 1% <1% 4% 1% 2% 4% ARM 8% ARM 8% Balloon 3% Ballo
Slide 12: Improved Funding Costs
Slide 11 Improved Funding Costs US$ Reference Notes® versus LIBOR Spread (Basis Points) 0 -5 -10 -15 -20 -25 2-year 5-year 10-year 12/31/2004 12/31/2005 4/30/2006
Slide 13: Interest-Rate Risk Management
Slide 12 Interest-Rate Risk Management Average quarterly sensitivity of portfolio market value to a 50 basis point parallel Average quarterly duration gap shift in the yield curve Percent Months 6 6 5 4 4 2 3 0 2% 2 -2 1% 1% 1% 1% 1% 1 -4 0 -6 Dec 04 Mar 05 Jun 05 Sep 05 Dec 05 Mar 06 Dec 04 Mar 05
Slide 14: Credit Risk Management
Slide 13 Credit Risk Management 90-day single-family delinquencies Total credit losses Basis Points Basis Points 90 1.6 85 1.4 80 75 1.2 70 65 1.0 60 0.8 55 50 0.6 2004 1Q05 2Q05 3Q05 4Q05 1Q06 2004 1Q05 2Q05 3Q05 4Q05
Slide 15: Strong Capital Position
Slide 14 Strong Capital Position 40 $36.0 $35.0 35 $3.6 $3.5 30 $10.9 $11.0 25 20 15 10 5 0 December 31, 2004 December 31, 2005 Total Minimum Capital Requirement 30% Target Surplus Excess Surplus
Slide 16: Freddie Mac: We make home possible
Freddie Mac We make home possible“ a