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 2016 Earnings Presentation
25 slides from Freddie Mac's earnings presentation, May 3, 2016
Slide 1: First Quarter 2016 Financial Results Supplement
First Quarter 2016 Financial Results Supplement May 3, 2016 Exhibit 99.2
Slide 2: Table of contents
Table of contents Financial Results 3 – Quarterly Financial Results 4 – Market-Related Items 5 – Total Segment Earnings (Loss) 6 – Segment Financial Results 7 – Treasury Draw Requests and Dividend Payments Housing Market 8 – National Home Prices 9 – Home Price Performance by State: March 2015 to Mar
Slide 3: Quarterly financial results
Quarterly financial results $ Millions 1Q16 1Q16 vs vs 1Q16 4Q15 1Q15 4Q15 1Q15 1 Net interest income 3,405 $ 3,587 $ 3,647 $ (182) $ (242) $ 2 Benefit for credit losses 467 781 499 (314) (32) 3 Derivative gains (losses) (4,561) 744 (2,403) (5,305) (2,158) 4 Other non-interest income (loss) 1,138 (8
Slide 4: Market-related items
Market-related items Estimated Net Interest Rate Effect1 $ Billions, after-tax Estimated Spread Change Effect1 $ Billions, after-tax 1 Represents estimated effect on comprehensive income.
Slide 5: Total Segment Earnings (Loss)
Total Segment Earnings (Loss)1 1 The Total Segment Earnings measures presented on lines 1 through 6 and Line 8 differ from the comparable amounts on a GAAP basis and are non-GAAP measures. For reconciliation to the comparable amounts under GAAP, see page 17 of the company’s 1Q16 earnings release. 2
Slide 6: Segment financial results
Segment financial results1 1 The financial performance of the company’s Single-family Guarantee segment is measured based on its contribution to GAAP net income (loss). The financial performance of the company’s Multifamily segment and Investments segment are measured based on each segment’s contrib
Slide 7: Treasury draw requests and dividend payments
Dividend Payments to Treasury4 Draw Requests from Treasury Treasury draw requests and dividend payments 1 Data for the three months ended March 31, 2016. 2 Excludes the initial $1 billion liquidation preference of senior preferred stock issued to Treasury in September 2008 as consideration for Treas
Slide 8: National home prices
1 National home prices use the Freddie Mac House Price Index for the U.S., which is a value-weighted average of the state indices where the value weights are based on Freddie Mac’s single-family credit guarantee portfolio. Other indices of home prices may have different results, as they are determin
Slide 9: Home price performance by state March 2015 to March 2016
Home price performance by state March 2015 to March 20161 United States 6% 1 The Freddie Mac House Price Index for the U.S. is a value-weighted average of the state indexes where the value weights are based on Freddie Mac’s single-family credit guarantee portfolio. Other indices of home prices may h
Slide 10: Housing market support
Housing market support Number of Families Freddie Mac Helped to Own or Rent a Home1 In Thousands Number of Single-Family Loan Workouts2 In Thousands 1 Based on the company’s purchases of loans and issuances of mortgage-related securities. For the periods presented, a borrower may be counted more tha
Slide 11: Single-family new funding volume
Single-family new funding volume $ Billions Note: Totals may not add due to rounding. Annual 2014: $255 2015: $351 Refinance UPB Purchase UPB
Slide 12: Single-family management and guarantee fees charged on new acquisitions
Single-family management and guarantee fees charged on new acquisitions 1 Represents the estimated average rate of management and guarantee fees for new acquisitions during the period assuming amortization of delivery fees using the estimated life of the related loans rather than the original contra
Slide 13: Single-family credit risk transfer transactions
Single-family credit risk transfer transactions1 Structured Agency Credit Risk (STACR®) Debt Note Issuances $ Billions Agency Credit Insurance Structure® (ACIS®) Transactions2 $ Billions 1 Consists of STACR issuances and ACIS transactions. Excludes whole loan securities and seller indemnification tr
Slide 14: Single-family transferred credit risk
Single-Family Transferred Credit Risk Based on Remaining Balance as of Period End $ Billions Single-family transferred credit risk1 1 Consists of STACR issuances and ACIS transactions. Excludes whole loan securities and seller indemnification transactions. 2 Freddie Mac holds the senior risk. Freddi
Slide 15: Single-family credit quality – credit guarantee portfolio
Single-family credit quality – credit guarantee portfolio 1 Loans acquired after 2008, excluding HARP and other relief refinance loans which are presented separately. Concentration of Credit Risk Percent (%) Serious Delinquency Rates Percent (%)
Slide 16: Single-family mortgage market and Freddie Mac delinquency rates
1 Source: National Delinquency Survey from the Mortgage Bankers Association. Categories represent first lien single-family loans. Data is not yet available for the first quarter of 2016. 2 See Freddie Mac’s Form 10-K for the year ended December 31, 2015 for information about the company’s reported d
Slide 17: Multifamily business volume and portfolio composition
Total Multifamily Portfolio UPB $ Billions Multifamily business volume and portfolio composition Multifamily New Business Volume1 UPB $ Billions 1 Reclassifications between new business activity subject to the production cap and new business activity not subject to the production cap will occur duri
Slide 18: Multifamily percentage of affordable units financed
1 Data for the three months ended March 31, 2016. Note: Totals may not add due to rounding. Multifamily percentage of affordable units financed Multifamily Acquisitions of Units by Area Median Income (AMI) % of Eligible Units Acquired Approximately 84% of units acquired during the three months ended
Slide 19: Multifamily securitization volume
1 Represents the UPB of multifamily loans sold via Freddie Mac’s K Certificate transactions. 2 Data for the three months ended March 31, 2016. Note: Totals may not add due to rounding. K-Deal Securitization Volume1 UPB $ Billions Multifamily securitization volume 2009 2010 2011 2012 2013 2014 2015 Y
Slide 20: Multifamily market and Freddie Mac delinquency rates
0.00% Multifamily market and Freddie Mac delinquency rates Percent 1 See Freddie Mac’s Form 10-K for the year ended December 31, 2015 for information about the company’s reported delinquency rates. The multifamily delinquency rate at March 31, 2016 was 0.04%. Source: Freddie Mac, FDIC Quarterly Bank
Slide 21: Investments – Purchase Agreement portfolio limits
Investments – Purchase Agreement portfolio limits Indebtedness 1, 3 $ Billions Mortgage Assets 1, 2 $ Billions 1 The company’s Purchase Agreement with Treasury limits the amount of mortgage assets the company can own and indebtedness it can incur. Under the Purchase Agreement, mortgage assets and in
Slide 22: Investments – mortgage-related investments portfolio composition
1 Based on unpaid principal balances and excludes mortgage-related securities traded, but not yet settled. The mortgage-related investments portfolio is determined without giving effect to the January 1, 2010 change in accounting standards related to the transfer of financial assets and consolidatio
Slide 23: Investments – mortgage-related investments portfolio composition, continued
Investments – mortgage-related investments portfolio composition, continued Liquidity Categories $ Billions 1 Excludes liquidations. 2 Less liquid assets are less liquid than agency securities and loans in the securitization pipeline (e.g., reperforming loans and performing modified loans and non-ag
Slide 24: Interest-rate risk measures
1 Portfolio Market Value Sensitivity, or PMVS, is an estimate of the change in the market value of Freddie Mac’s financial assets and liabilities from an instantaneous 50 basis point shock to interest rates, assuming no rebalancing actions are undertaken and assuming the mortgage-to-LIBOR basis does
Slide 25: 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