Freddie Mac · OTC:FMCC
Freddie Mac — Single Security Initiative Conference 2019
13 slides from Freddie Mac's conference presentation, Mar 4, 2019
Slide 1: Single Security Initiative Conference
Single Security Initiative Conference March 4th, 2019 Sheraton New York Times Square
Slide 2: Gold PC Exchange Updates – Speakers
GOLD PC EXCHANGE UPDATES SPEAKERS No Photo Barbara Pak Greg McDonald Frank Malarkey VP, Investments & Capital Director, Global Spread Director, Credit Suisse Markets – Securitization, Products, Citigroup Global Freddie Mac Markets Brian Devers Uran Guma Chris Mutone Director, Rates Product VP, Black
Slide 3: Countdown to Go-Live
COUNTDOWN TO GO-LIVE Freddie Mac Exchange SW raw NN 5 m = DOO000000 | af = air = Fannie Mae’ Freddie |Viac
Slide 4: Objectives
Freddie Mac’s Exchange Program offers PC holders entry into the new UMBS market ▪ Freddie is targeting May 7th to open up Exchange program ▪ Holders of Freddie Mac fixed-rate 45-day PCs/Giants will have the ▪ Provide Gold PC investors entry into the option to exchange for 55-day UMBS/Supers (or FRE
Slide 5: Investors have two Exchange Paths to choose from
Investors have two Exchange Paths to choose from: ▪ Freddie Mac will offer two exchange paths; the original path facilitated by Freddie Mac authorized dealers, through Freddie Mac’s Dealer DirectSM, and the more recently developed second path with a “trade-like” approach, via Tradeweb. ▪ The exchang
Slide 6: Available Exchange Disclosures
Available Exchange Disclosures ▪ Initial mirror issuance is complete; however, Freddie Mac will continue issuing new mirrors for new Gold PCs that are issued up to go-live. ▪ Mirror securities appear on our Daily New Issue File as they are issued, though they won’t trade in the market until the exch
Slide 7: Float Compensation
Float Compensation ▪ Freddie Mac will provide approximate fair value compensation to investors for the additional 10 days of delay in receipt of payments. ▪ Freddie Mac is currently posting an Indicative Price Grid weekly that shows compensation by coupon and cohort, and allows for potential payups
Slide 8: Float Compensation – Indicative Price Grids
Float Compensation – Indicative Price Grids ▪ The Price Grids, Float Compensation Calculator and additional tools can all be found on the Gold Exchange website at: http://www.freddiemac.com/mbs/exchange/ ▪ Payment rates will be expressed in ticks, with the cash payment calculated as the payment rate
Slide 9: Float Compensation – Float Compensation Calculator
Float Compensation – Float Compensation Calculator ▪ The Data Inputs are simple on the Float Compensation Calculator… just input the pool number, CUSIP, and original par and the calculator will return the current factor, float compensation in ticks and the float compensation in dollars. For example:
Slide 10: Tradeweb Demo
Tradeweb Demo Brian Devers Director Rates Product Development
Slide 11: Direct-to-Freddie Overview
Direct-to-Freddie Overview FAQ Options Comments How do I enter exchanges • Manual into Tradeweb? • Cut & Paste • FIX messages Exchanges are at the • Pre-allocated • Tradeweb has connectivity with DTCC allocation level, what are • Post-allocated ALERT for obtaining settlement my options? instructions
Slide 12: Manual Entry
Manual Entry ▪ Pre-Allocated Account CUSIP ORIGINAL FACE PRICE SETTLEMENT 1000-01 3128MMAC7 1,000,000 3/15/2019 1000-02 3128MMAC7 1,000,000 3/15/2019 1000-03 3128MMAC7 1,000,000 3/15/2019 ▪ Post-Allocated # Allocations CUSIP ORIGINAL FACE PRICE SETTLEMENT 3 3128MMAC7 3,000,000 3/15/2019 12
Slide 13: Post Trade Options
POST TRADE OPTIONS ▪ Flat file OUTRIGHT FREX 2/13/2019 6 TW1 Accepted 3128MMAC7 FG G18002 2/19/2019 14:22:20 SELL 1000000 101.6054688 0 0 2184.4 2189.77 0.000537 5.37 0 Brian Devers Ridgewood 0 0 00000 OUTRIGHT FREX 2/13/2019 6 TW1 Cancel-brk 3128MMAC7 FG G18002 2/19/2019 14:22:20 SELL 1000000 101.6
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