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) — Q3 2012 Earnings Presentation
33 slides from Freddie Mac's earnings presentation, Nov 6, 2012
Slide 1: Third Quarter 2012 Financial Results Supplement
Third Quarter 2012 Financial Results Supplement November 6, 2012
Slide 2: Table of contents
Table of contents a 4+ Comprehensive Income (Loss) ‘5 Treasury Draw Requests and Dividend Payments oe 20. State-by-State Home Prices: June 2006 to September 2012 21. State-by-State Home Prices: September 2011 to September 2012 ‘ 1 Total Other Comprehensive income (Loss) 8- Loan Loss Reserves 8 Real
Slide 3: Quarterly net income and comprehensive income (loss)
Quarterly net income and comprehensive income (loss) Line 2: Provision for credit losses increased in 3Q 2012 as national house prices improved to a lesser extent in 3Q 2012 than in 2Q 2012. The increase also reflects $0.2 billion related to a change in the treatment of single-family loans discharge
Slide 4: Comprehensive income (loss)
Comprehensive income (loss) 1 1 Consists of the after-tax changes in: (a) the unrealized gains and losses on available-for-sale securities; (b) the effective portion of derivatives previously accounted for as cash flow hedges; and (c) defined benefit plans. A B C = A + B
Slide 5: Treasury draw requests and dividend payments
Dividend Payment to Treasury Draw Request from Treasury Treasury draw requests and dividend payments 1 Excludes the initial liquidation preference of Freddie Mac’s senior preferred stock of $1.0 billion. 2 Quarterly amounts represent the draw requested based on Freddie Mac’s net worth deficit for th
Slide 6: Total equity (deficit) and Senior Preferred Stock activity
Total equity (deficit) and Senior Preferred Stock activity Senior Preferred Stock Funding Available to Freddie Mac as of January 1, 2013: If Freddie Mac does not have a capital surplus at the end of 2012, then the amount of funding available after 2012 will be $149.3 billion ($200 billion commitment
Slide 7: Total other comprehensive income (loss)
Total other comprehensive income (loss)1 1 Total other comprehensive income (loss) for the quarter represents the change in Total AOCI, net of taxes, on the company’s consolidated balance sheets. 2 At June 30, 2012 and September 30, 2012, all available-for-sale securities were mortgage-related secur
Slide 8: Loan loss reserves
Loan loss reserves 1 Consists of the allowance for loan losses and the reserve for guarantee losses. 2 Includes amounts related to certain loans purchased under financial guarantees and reflected within other expenses on the company’s consolidated statements of comprehensive income. 3 Total mortgage
Slide 9: Real estate owned
Real estate owned1 Property Inventory 3Q 2012 Activity Geographic Distribution2 Based on Property Inventory Historical Trend Ending Property Inventory 1 Includes single-family and multifamily REO. Multifamily ending property inventory was 11 properties as of June 30, 2012 and 6 properties as of Sept
Slide 10: Market liquidity provided
Market liquidity provided Number of Families Freddie Mac Helped to Own or Rent a Home1 In Thousands Purchase and Issuance Volume2 (Single-Family and Multifamily) $ Billions 1 For the periods presented, a borrower may be counted more than once if the company purchased more than one loan (purchase or
Slide 11: Single-family refinance activity
Relief Refinance - LTV > 105% (HARP) Single-family refinance activity1 Number of Borrowers2, 3 In Thousands $ Volume3 In Billions Non-Relief Refinance Relief Refinance - LTV ^ 80% Relief Refinance - LTV > 80% to 105% (HARP) $380 $306 $250 1,764 1,480 1,193 1 Consists of all single-family r
Slide 12: Single-family loan workouts
Repayment plans Loan modifications Forbearance agreements Short sales and deed-in-lieu of foreclosure transactions Single-family loan workouts Home Retention Actions 1 Foreclosure Alternatives 1 48 133 275 44 208 40 41 1 These categories are not mutually exclusive and a borrower in one category may
Slide 13: Single-family loan modifications
Single-family loan modifications 1 Includes completed loan modifications under HAMP and under the company’s other modification programs. Excludes those loan modification activities for which the borrower has started the required process, but the modification has not been made permanent or effective,
Slide 14: Performance of single-family modified loans
Quarterly Percentages of Modified Single-Family Loans (HAMP and non-HAMP) 1 Performance of single-family modified loans Of the loans modified in 3Q 2010, 64% were current and performing 24 to 26 months post modification. Of the loans modified in 2Q 2012, 87% were current and performing 3 to 5 months
Slide 15: Repurchase requests
The UPB of outstanding repurchase requests issued to our single-family seller/servicers based on breaches of representations and warranties remained unchanged at $2.9 billion as of September 30, 2012 when compared to June 30, 2012.1 1 The amount the company expects to collect on outstanding requests
Slide 16: Administrative expenses and efficiency
Administrative expenses and efficiency1 1 Administrative expenses, expressed as a percentage of the average total mortgage portfolio. Basis points for the quarters and YTD 2012 are calculated on an annualized basis.
Slide 17: Purchase Agreement portfolio limits
Mortgage-related investments portfolio ending balance Mortgage-related investments portfolio limit 17 Purchase Agreement portfolio limits Indebtedness 1, 3 ($ Billions) Mortgage Assets 1, 2 ($ Billions) 1 The company’s Purchase Agreement with Treasury limits the amount of mortgage assets the company
Slide 18: Credit Supplement
Bilis Credit Supplement
Slide 19: 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 indexes 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 20: State-by-State Home Prices: June 2006 to September 2012
Home Price Performance By State June 2006 to September 20121 -11% 3% ^ 0% -11 to -1% ^-23% -22 to -12% United States -22% 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 guarante
Slide 21: State-by-State Home Prices: September 2011 to September 2012
Home Price Performance By State September 2011 to September 20121 4% 4% ^ 6% 3 to 5% ^ -1% 0 to 2% 1% 20% 9% 8% CT -1% DC 11% -2% 10% 6% 5% 3% 11% 2% 1% 3% 4% 3% -1% 0% 11% 7% 2% 4% 3% -1% 6% 5% -1% 6% 11% 0% 3% 2% 4% -1% RI 2% 3% 3% 3% 5% 7% 2% 5% 1% 3% 5% 2% 2% 2% 1 The Freddie Mac House Price Ind
Slide 22: Single-family serious 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 third quarter of 2012. 2 See “MD&A - RISK MANAGEMENT - Credit Risk - Mortgage Credit Risk - Single-Family Mortgage Credit Risk - Cr
Slide 23: Loan purpose of single-family credit guarantee portfolio purchases
79% Loan purpose of single-family credit guarantee portfolio purchases 1 The relief refinance mortgage initiative is Freddie Mac’s implementation of the Home Affordable Refinance Program (HARP). Under the program, the company allows eligible borrowers who have mortgages with high current LTV ratios
Slide 24: Credit quality of single-family credit guarantee portfolio purchases
Credit quality of single-family credit guarantee portfolio purchases1 Weighted Average Original LTV Ratio 2 of Single-family Mortgage Loans Purchased Weighted Average Credit Score3 of Single-family Mortgage Loans Purchased 1 Purchases exclude mortgage loans acquired under the Freddie Mac Relief Refi
Slide 25: Single-family 3Q 2012 credit losses and REO by region and state
Single-family 3Q 2012 credit losses and REO by region and state 1 Based on the unpaid principal balance (UPB) of the single-family credit guarantee portfolio at September 30, 2012. 2 UPB amounts exclude Other Guarantee Transactions with ending balances of $573 million since these securities are back
Slide 26: Single-family credit guarantee portfolio characteristics
Single-family credit guarantee portfolio characteristics1 1 Portfolio characteristics are based on the unpaid principal balance (UPB) of the single-family credit guarantee portfolio. Approximately $1 billion in UPB for Other Guarantee Transactions is included in total UPB and percentage seriously de
Slide 27: Single-family credit profile by book year and product feature
Single-family credit profile by book year and product feature1 1 Portfolio characteristics are based on the unpaid principal balance (UPB) of the single-family credit guarantee portfolio. Approximately $1 billion in UPB for Other Guarantee Transactions is included in total UPB and percentage serious
Slide 28: Single-family cumulative foreclosure transfer and short sale rates by book year
Single-family cumulative foreclosure transfer and short sale rates1 by book year 1 Rates are calculated for each year of origination as the number of loans that have proceeded to foreclosure transfer or short sale and resulted in a credit loss, excluding any subsequent recoveries, divided by the num
Slide 29: Multifamily portfolio composition
Total Multifamily (MF) Portfolio Multifamily portfolio composition
Slide 30: Multifamily mortgage portfolio by attribute
Multifamily mortgage portfolio by attribute1 1 Based on the unpaid principal balance (UPB) of the multifamily mortgage portfolio. 2 Based on the UPB of mortgages two monthly payments or more past due or in the process of foreclosure. 3 Based on either: (a) the year of acquisition, for loans recorded
Slide 31: Multifamily mortgage portfolio by attribute, continued
Multifamily mortgage portfolio by attribute, continued1 1 Based on the unpaid principal balance (UPB) of the multifamily mortgage portfolio. 2 Based on the UPB of mortgages two monthly payments or more past due or in the process of foreclosure. 3 DSCR - Debt Service Coverage Ratio - is an indicator
Slide 32: Multifamily market and Freddie Mac delinquency rates
0.11% Multifamily market and Freddie Mac delinquency rates Percent 1 See “MD&A - RISK MANAGEMENT - Credit Risk - Mortgage Credit Risk - Multifamily Mortgage Credit Risk “ in Freddie Mac’s Form 10-K for the year ended December 31, 2011, for information about the company’s reported multifamily de
Slide 33: 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