Freddie Mac Investor Presentation - August 2019
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Freddie Mac Investor Presentation
August 2019
A Better Freddie Mac
…and a better housing finance system
For families
...innovating to improve the liquidity, stability, and
affordability of mortgage markets
For customers
...competing to earn their business
For taxpayers
...reducing their exposure to mortgage risks, innovating to
access private capital
© Freddie Mac 2
Table of Contents
Section Page
I Freddie Mac Overview 4
II U.S. Housing Market 14
III Credit Guarantee Business 18
IV Multifamily Business 23
V Capital Markets Business 30
VI Debt Funding Program 32
VII Single-Family Securitization 37
For more information about Freddie Mac and its business, please see the company’s filings with the Securities and Exchange Commission,
including the company’s Annual Report on Form 10-K for the year ended December 31, 2018, Quarterly Reports on Form 10-Q for the quarters
ended March 31, 2019 and June 30, 2019, and Current Reports on Form 8-K, which are available on the Investor Relations page of the
company’s website at www.FreddieMac.com/investors and the Securities and Exchange Commission’s website at www.sec.gov.
© Freddie Mac 3
Freddie Mac Overview
© Freddie Mac 4
Freddie Mac’s Mission
U.S. Residential
Mortgage Market
Mortgage Mortgage
Securitization Freddie Mac Investments
Mortgage-Backed Debt
Securities Global Capital Securities
Markets
“A primary purpose is to provide stability in the secondary market for home mortgages including mortgages securing housing for
low and moderate income families. This can be accomplished through both portfolio purchasing and selling activities, as well as
through the securitization of home mortgages.”1
© Freddie Mac 5
Conservatorship
▪ We operate under the conservatorship that commenced on September 6, 2008, conducting
our business under the direction of the Federal Housing Finance Agency (FHFA), as our
Conservator.
▪ Upon its appointment, FHFA, as Conservator, immediately succeeded to all rights, titles,
powers, and privileges of Freddie Mac, and of any stockholder, officer, or director thereof,
with respect to the company and its assets.
▪ FHFA, as Conservator, provided for the Board of Directors to perform certain functions and
to oversee management and the Board delegated to management authority to conduct
business operations during conservatorship.
▪ Our ability to access funds from the Treasury under the Purchase Agreement is critical to
keeping us solvent.
▪ There is significant uncertainty as to whether or when we will emerge from conservatorship,
as it has no specified termination date.
▪ Our future structure and role will be determined by the Administration, FHFA, and
Congress, and it is possible, and perhaps likely, that there will be significant changes
beyond the near-term.
© Freddie Mac 6
Amended Purchase Agreement
▪ On August 17, 2012, the Conservator, acting on our behalf, and Treasury entered into a third
amendment to the Purchase Agreement.
▪ The principal changes included:
» Replacement of the fixed dividend rate with a net worth sweep dividend beginning in the
first quarter of 2013
» Accelerated wind-down of the retained portfolio
» Submission of an annual risk management plan to Treasury
» Suspension of the periodic commitment fee
© Freddie Mac 7
2017 Letter Agreement
▪ On December 21, 2017, the Conservator, acting on our behalf, entered into a Letter
Agreement with Treasury.
▪ The principal changes pursuant to the Letter Agreement were as follows:
» The senior preferred stock dividend for the dividend period from October 1, 2017
through and including December 31, 2017 was reduced to $2.25 billion.
» The applicable Capital Reserve Amount from January 1, 2018 and thereafter will be
$3.0 billion, rather than zero as previously provided. If for any reason we were not to
pay our dividend requirement on the senior preferred stock in full in any future period,
the applicable Capital Reserve Amount would thereafter be zero.
» The liquidation preference of the senior preferred stock increased by $3.0 billion, to
$75.3 billion, on December 31, 2017.
© Freddie Mac 8
FHFA Strategic Plan – Fiscal Years 2018 - 2022
▪ On January 29, 2018, FHFA released the FHFA Strategic Plan: Fiscal Years 2018-2022,
which reflects the Agency’s priorities as regulator and conservator of Freddie Mac and
Fannie Mae (the Enterprises).
▪ FHFA’s Strategic Plan sets forth three goals for the Agency:
» Ensure safe and sound regulated entities
» Ensure liquidity, stability, and access in housing finance
» Manage the Enterprises’ ongoing conservatorships
▪ FHFA, acting as conservator and regulator, must follow the mandates assigned to it by
statute and oversee the missions assigned to the Enterprises by their charters until such
time as Congress revises those mandates and missions.
© Freddie Mac 9
2019 Conservatorship Scorecard
Maintain, in a safe and sound manner, credit availability and foreclosure prevention activities for new and refinanced mortgages to
foster liquid, efficient, competitive, and resilient national housing finance markets. (40%)
▪ Continue efforts to support access to single-family mortgage credit for creditworthy borrowers, including underserved segments of the market.
» Continue to identify opportunities to support access to credit in a safe and sound manner that take into consideration changing borrower needs and enabling
technology to document income, assets, and employment.
» Continue to support access to credit for borrowers with limited English proficiency and make progress on multi-year language access plans.
» Continue efforts supporting appraisal process modernization, including revised appraisal forms and data requirements.
▪ Continue to responsibly support the Neighborhood Stabilization Initiative.
▪ Continue efforts related to mortgage servicing that promote mortgage market stability by furthering opportunities to improve the borrower experience, expand liquidity, and
increase efficiency.
▪ Prepare for transition from LIBOR. Assess impact and perform industry outreach to inform policy and implementation plans.
▪ Explore opportunities to further affordability through multifamily energy and water efficiency programs.
▪ Manage the dollar volume of new multifamily business to remain at or below $35 billion (excluding loans in affordable and underserved market segments).
Reduce taxpayer risk through increasing the role of private capital in the mortgage market. (30%)
▪ Single-Family Credit Risk Transfers:
» Transfer a meaningful portion of credit risk on at least 90 percent of the unpaid principal balance (UPB) of newly acquired single-family mortgages in loan categories
targeted for credit risk transfer, subject to FHFA target adjustments as may be necessary to reflect market conditions and economic considerations.
» For 2019, targeted single-family loan categories include: non-HARP, fixed-rate mortgages with terms greater than 20 years and loan-to-value ratios above 60
percent.
» Report the actual amount of underlying mortgage credit risk transferred.
▪ Multifamily Credit Risk Transfers:
» Transfer a meaningful portion of the credit risk on newly acquired mortgages, subject to FHFA target adjustments as may be necessary to reflect market conditions
and economic considerations.
» Report the actual amount of underlying mortgage credit risk transferred.
▪ Retained Portfolio: Execute FHFA-approved retained portfolio plans that maintain, even under adverse conditions, the annual Preferred Stock Purchase Agreement
(PSPA) requirements and the $250 billion PSPA cap. Any sales should be commercially reasonable transactions that consider impacts to the market, borrowers, and
neighborhood stability.
▪ Servicer Eligibility Requirements 2.0: Evaluate the current liquidity requirements for non-depository Seller/Servicer Enterprise counterparties to determine whether
changes are appropriate.
Build a new single-family infrastructure for use by the Enterprises and adaptable for use by other participants in the secondary
market in the future. (30%)
▪ Common Securitization Platform (CSP) and Single Security Initiative:
» Continue working with FHFA, each other, and CSS to implement the Single Security Initiative on the CSP for both Enterprises.
» Incorporate certain design principles in developing the CSP such as allowing for the integration of additional market participants in the future.
» Continue to work with each other and CSS to obtain and use input from industry stakeholders.
» Work proactively with the industry to help market participants prepare for the implementation of the Single Security Initiative.
▪ Continue to provide active support for Mortgage Data Standardization Initiatives.
Source: FHFA
© Freddie Mac 10Market Presence
MBS Issuance Volume
$ Trillions
$1.7 $1.7 $1.6 $1.5
$1.4 $1.3 $1.4
$1.2 $1.2 $1.3
$1.0
$0.6
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 YTD
2019*
Freddie Mac Fannie Mae Ginnie Mae Private Label
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019*
Enterprises &
95% 97% 96% 98% 99% 98% 95% 95% 97% 95% 92% 94%
Ginnie Mae
Private Label 5% 3% 4% 2% 1% 2% 5% 5% 3% 5% 8% 6%
Source: Inside MBS & ABS
* As of June 30, 2019.
© Freddie Mac 11Treasury Draws and Dividend Payments
Treasury draws and dividend payments
$ Billions
$119.7
$101.5
2
$71.3 $71.6
$10.9
$0.3 $4.1 $3.1
2008 - 2016 2017 2018 YTD 2019* Cumulative Total
Draws from Treasury Dividend Payments to Treasury
Note: Totals may not add due to rounding.
* As of June 30, 2019. © Freddie Mac 12Housing Market Support
Number of families Freddie Mac helped Number of single-family loan workouts4
to own or rent a home3 In Thousands
In Thousands
5
Home
5
Retention
Actions
5
Foreclosure
5
Alternatives
Note: Totals may not add due to rounding.
*As of June 30, 2019. ©© Freddie
FreddieMac
Mac 13
13U.S. Housing Market
© Freddie Mac 14Housing Market Trends
Annual single-family mortgage originations6 Total value of U.S. real estate held by households7
$ Trillions $ Trillions
$26.1
2.1T 2.1T
1.9T 1.8T 1.8T Value of Housing Stock
1.8T 1.6T 1.7T
1.3T 1.0 0.7 0.6 0.5
0.5 $15.8
Refi 1.5 1.1 0.8
0.5 Home Equity
1.1 1.1 1.2 1.2
0.9 1.0
0.8 0.8
0.6
Purchase $10.4
2012 2013 2014 2015 2016 2017 2018F 2019F 2020F
Single-Family Mortgage Debt Outstanding
1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018
Source: Freddie Mac July 2019 Economic and Housing Research Outlook. Incudes only 1st lien loans. Source: Federal Reserve Board’s Financial Accounts of the United States, Table B. 101. Data as of March 31, 2019
Total cash-out dollars as a percentage of aggregate Total home equity cashed out
refinanced originations UPB $ Billions
26.4%
$72.5
$35.8
9.5% 14.2%
9.8%
5.7% $7.4 $17.5
$14.0
3.6% $9.0
2Q04 2Q07 2Q10 2Q13 2Q16 2Q19E 2Q04 2Q07 2Q10 2Q13 2Q16 2Q19E
Source: Freddie Mac Economic & Housing Research Quarterly Refinance Statistics August 19, 2019. Source: Freddie Mac Economic & Housing Research Quarterly Refinance Statistics August 19, 2019
Note: Totals may not add due to rounding.
© Freddie Mac 15Housing Market Trends, Continued
Home Sales (Existing + New) Housing Starts (millions)
2.2
9.0
8.5
8.0 1.7
7.5
7.0
6.5
Million Units
1.2
6.0
5.5
5.0
4.5 0.7
4.0
3.5
2019F
2020F
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
0.2
Source: U.S. Census Bureau, Freddie Mac July 2019 Economic and Housing Research Outlook. Source: U.S. Census Bureau, Freddie Mac July 2019 Economic and Housing Research Outlook.
Note: Dashed line indicates forecasted data. Note: Dashed line indicates forecasted data.
Homeownership Rate (percent) Vacant Housing Over/Undersupply8
70 2.0
69 For-Rent Inventory
1.5
68 (Millions)
For-Sale Inventory
67 Homeownership rates are low despite 1.0
(Millions)
66 low unemployment levels due to:
• Many more millennial renters 0.5
65 • High student debt loan burden
• Limited access to credit
64 • Affordability
0.0
64.1%
63 • Prices increasing quicker than wages
-0.5 -0.9
62
-1.0
2000 2001 2003 2004 2006 2007 2009 2010 2012 2013 2015 2016 2018
Source: U.S. Census Bureau
Note: Data as of July 25, 2019. Source: Freddie Mac calculations using U.S. Census Bureau data. Data as of June 30, 2019.
© Freddie Mac 16Key Economic Indicators
National home prices increased by an average of 3.7% Quarterly ending interest rates
over the past year
Unemployment rate and job creation
National home prices have surpassed the 2006 peak
(2006 Peak)
Freddie Mac House Price Index (December 2000 = 100)
© Freddie Mac 17Credit Guarantee Business
© Freddie Mac 18Total Mortgage Portfolio
$ Billions
$2,251 $2,239
$2,207 $2,165 $2,182
$2,103 $2,075 $2,098
$2,011
$1,956 $1,915 $1,942
$1,910
$2,020
$2,142
$122
$219
$97
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 YTD
2019*
Outstanding Freddie Mac Mortgage-Related Securities and Other Mortgage-Related Guarantees
Mortgage-Related Investments Portfolio (PCs, REMICs, and Other Securitization Products)
Mortgage-Related Investments Portfolio (Non-Freddie Mac Mortgage-Related Securities & Mortgage Loans)
* As of June 30, 2019.
Note: Totals may not add due to rounding.
© Freddie Mac 19Freddie Mac’s GSE Market Share
Freddie Mac Share of PC/MBS Issuances
Percent (%)
45%
43%
42% 42%
41% 41%
38% 38%
37%
35% 35%
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 YTD
2019*
Source: Freddie Mac and Fannie Mae Monthly Volume Summaries.
*As of June 30, 2019.
© Freddie Mac 20Freddie Mac’s Single-Family
Credit Guarantee Portfolio by Region9
North Central
West 16% Northeast
30% 24%
Southwest
14%
Southeast
16%
Data as of June 30, 2019.
© Freddie Mac 21Single-Family Guarantee
Financial Highlights and Key Metrics
Single-Family Guarantee Segment Earnings New business activity
$ Millions $ Billions
Guarantee fees charged on new acquisitions (bps) 10
Credit guarantee portfolio Serious delinquency rates
+4% YoY
$ Billions increase
(80%) (81%) (82%) (83%) (83%)
Note: Totals may not add due to rounding.
© Freddie Mac 22Multifamily Business
© Freddie Mac 23Multifamily Market Rental Vacancy Rates
Percent
8
7
6
Long-Term
5.4% Average
5
4.7%
4.2%
4
3
2
1
0
2Q 2015 2Q 2016 2Q 2017 2Q 2018 2Q 2019
Source: Reis U.S. Metro data.
© Freddie Mac 24Multifamily Mortgage Originations
Multifamily Mortgage Originations
$ Billions
$400
$350 $336
$311
$300 $285
$269
$250
$250
$200
$150
$100
$50
$-
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018(E) 2019(F)
Other CMBS Fannie Mae Freddie Mac Life Insurers
Sources: Freddie Mac Form 10-Ks, 10-Qs, FHFA Report to Congress, and Freddie Mac's internal reports, Fannie Mae 10-Ks, 10-Qs, FHFA Report to Congress, and Fannie Mae's Multifamily Monthly New
Business Volumes, American Council of Life Insurers (ACLI), Wells Fargo Securities LLC, Intex Solutions Inc., Mortgage Bankers Association and Freddie Mac internal research.
© Freddie Mac 25Multifamily 10-Year Fixed Rate
K-Deal A2 Spreads
bps
100
92 bps
90
80
70 bps
70
60
58 bps
50 53 bps
40
30
20
10
0
Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19
© Freddie Mac 26Basic K-Deal Transaction Structure
Freddie Mac securitizes loans via the K-Deal program through the following steps:
▪ The loans are sold to a third-party depositor who places the ▪ The resulting Freddie Mac guaranteed structured pass-
loans into a third-party trust. through certificates (“K Certificates”) are publicly offered via
▪ Private label securities backed by the loans are issued by placement agents.
the third-party trust. ▪ The unguaranteed mezzanine and subordinate bonds are
▪ Freddie Mac purchases and guarantees certain bonds issued by the third-party trust and are privately offered to
(“Guaranteed Bonds” ) issued by the third-party trust and
11 investors via placement agents.
securitizes these bonds via a Freddie Mac trust.
Freddie Mac Freddie Mac
acquires sells
Senior
Guaranteed Guaranteed K
Bond
Bonds11 and Certificates
Investors
deposits them backed by the
Loans deposited into a Freddie Guaranteed
Freddie Mac Mac trust Bonds
into the
sells loans to a
third-party
third-party
trust by the
depositor
depositor Unguaranteed Mezzanine
Mezzanine Bond
Bonds Investors
Unguaranteed Subordinate
Subordinate Bond
Bonds Investors
© Freddie Mac 27Multifamily
Financial Highlights and Key Metrics
Multifamily comprehensive income (loss) Multifamily acquisitions of units by area median
$ Millions income (% of eligible units acquired)
Total portfolio +35% increase
since 2016
Multifamily market and Freddie Mac delinquency
$ Billions rates (%)
1Q19
(74%) (82%) (85%) (86%) (86%)
Note: Totals may not add due to rounding.
*As of June 30, 2019. © Freddie Mac 28Multifamily
Key Metrics, continued
New business activity Multifamily risk transfer (RT) activity
$ Billions $ Billions
Cap = $36.5
Cap = $35.0
Cap = $30.0
Excludes LIHTC new business activity.
Note: Totals may not add due to rounding.
*As of June 30, 2019.
© Freddie Mac 29Capital Markets Business
© Freddie Mac 30Capital Markets
Financial Highlights and Key Metrics
Capital Markets comprehensive income Capital Markets investments portfolio
$ Billions $ Billions
-3% YoY
decrease
$262
Capital Markets cash window securitization Capital Markets mortgage investments portfolio
$ Billions $ Billions
-8% YoY
decrease
(66%) (66%) (68%) (68%) (68%)
Note: Totals may not add due to rounding.
© Freddie Mac 31Debt Funding Program
© Freddie Mac 32Freddie Mac’s Total Debt Outstanding12,13
$ Billions
Instrument Type 2015 2016 2017 2018 YTD 2019*
Short-term Overnight Discount Notes $1.0 $1.0 $1.0 $1.0 $1.0
Reference Bills & Discount Notes 103.1 60.0 44.7 27.8 34.4
Floating Rate Notes 9.5 7.4 17.8 14.4 7.1
Total Short-term $113.6 $68.5 $63.5 $43.2 $42.5
15
Medium-Term Notes (MTN) MTN Callable17 $107.7 $98.4 $113.8 $107.2 $126.0
14
16
Floating Rate Notes 23.6 33.0 14.7 5.3 21.6
MTN Other 23.0 19.2 15.8 9.6 7.6
Total MTN $154.3 $150.7 $144.3 $122.1 $155.2
Reference Notes USD Reference Notes $137.2 $118.7 $80.0 $65.4 $54.3
Other Mortgage-Linked Amortizing Notes $0.5 $0.3 $0.3 $0.2 $0.2
Structured Agency Credit Risk Debt
$11.6 $14.5 $17.8 $17.6 $16.8
Notes
Multifamily Structured Credit Risk Note $0.0 $0.1 $0.1 $0.1 $0.1
Subordinated Debt $0.6 $0.5 $0.5 $0.3 $0.3
16
18
Total Debt Outstanding $417.7 $353.3 $306.4 $249.0 $269.5
* Data as of June 28, 2019.
Note: Totals may not add due to rounding.
© Freddie Mac 33Freddie Mac’s Outstanding Debt and
Unsecured Debt Issuance by Type
Outstanding Debt by Type and Weighted Average Unsecured Debt Issuance by Type20
Maturity in Years17 $ Billions
$ Billions
2.9
2.7 2.6
2.6 2.6
2.5 2.5
$511
0% $410 $310 $398 $347 $231 $164 $149
$454 2% 2% 2% 2% 1% 0%
7% 4% 5% 6% 5%
1% 3% 8%
$418 4% 6% 19%
9% 12%
3% 12%
48% $357 17% 21%
40% $317 17%
5% 32%
38% 33% 23%
9% $280 39%
$256
39% 12%
4% 5% 10%
31%
8% 26%
21% 24% 29%
11% 10% 8% 72% 70%
26% 65%
8% 55% 55%
50%
28% 36% 42%
37%
42%
27% 30%
25%
17% 14% 11% 17%
Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Dec-18 Jun-19 2013 2014 2015 2016 2017 2018 YTD Jun-19
15 15
Discount Notes Callable Debt Discount Notes 14 Callable Debt
Floating Rate Notes Non-Callable Debt
Floating Rate Notes 14 Non-Callable Debt
18 19 Other Unsecured Debt
Other Weighted Average Maturity
© Freddie Mac 34Debt Maturity Profile21
© Freddie Mac 35Credit Ratings
▪ Freddie Mac’s credit ratings and outlooks are primarily based on the support the company
receives from Treasury, and therefore, are affected by changes in the credit ratings and
outlooks of the U.S. government.
S&P Moody’s
Senior long-term debt AA+ Aaa
Short-term debt A-1+ P-1
Subordinated debt AA- Aa2
Preferred stock22 D Ca
Outlook Stable Stable
Note: As of February 1, 2019.
© Freddie Mac 36Single-Family Securitization
© Freddie Mac 37Composition of Bond Market Debt Outstanding
Outstanding Public and Private Bond Market Debt – $43.1 Trillion
Treasury 23
Municipal $15.9
$3.6 37%
8%
24
Agency Debt
28 $1.8
Corporate Debt
4%
$9.3
22%
25
27
MBS
Money Market $9.8
$1.1 26 23%
3% Asset-Backed
$1.6
4%
Note: Percentages may not add to 100% due to rounding.
Source: Securities Industry and Financial Markets Association. Data as of July 17, 2019.
© Freddie Mac 38Freddie Mac’s Mortgage-Related
Securities Products
Mortgage-Related Securities Products Outstanding
$ Billions
2,000
1,800
1,600
1,400
1,200
1,000
800
600
400
200
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
YTD*
REMICs Reference REMIC T-Deals/WLR Strips PCs
Note: As of June 30, 2019.
© Freddie Mac 39Single-Family Guarantee
Credit Risk Transfer – STACR / ACIS
Total single-family credit guarantee portfolio with Cumulative single-family transferred credit risk
transferred credit risk based on outstanding balance at period end
$ Billions $ Billions
Outstanding reference pool UPB as a
percentage of total single-family portfolio
*As of June 30, 2019.
©© Freddie
FreddieMac
Mac 40
40Estimated Institutional Holdings
of Agency MBS29
$ Billions
$1,904
$1,593
$1,060
$977
$879
$293
$184 $178
$100
$24
U.S. Banks NY Fed Other Foreign Mutual REITs Life Insurers GSEs Credit State/Local
Funds Unions Govts
Source: Freddie Mac, Fannie Mae, Federal Reserve, Inside MBS & ABS, National Credit Union Administration and the U.S. Treasury Department.
As of March 31, 2019.
© Freddie Mac 41Estimated Demand for Agency
Mortgage-Related Securities30
$ Billions
200
150
100
50
0
(50)
(100)
May-11 May-12 May-13 May-14 May-15 May-16 May-17 May-18 May-19
Agency Foreign Treasury Comm Bank PT/CMO Fed
Sources: Federal Reserve Board, Freddie Mac and Fannie Mae Monthly Volume Summaries, Treasury International Capital data, Federal Home Loan Banks, U.S. Treasury Department, Federal Reserve
Bank of New York.
© Freddie Mac 42Estimated Asia Net Flows into Agencies31
$ Billions
30
25
20
15
10
5
0
(5)
(10)
(15)
May-11 May-12 May-13 May-14 May-15 May-16 May-17 May-18 May-19
Japan China S. Korea Hong Kong Taiwan Singapore
Source: Treasury International Capital data.
© Freddie Mac 43Composition of Collateral Underlying
Freddie Mac REMICs
15-year
20-year
4% Other
6%
5% ARM
2%
BalloonMulti-Lender Giant Issuance
as Percentage of Total Fixed-Rate Issuance
$ Millions Percent
60,000 100
90
50,000
80
70
40,000
60
30,000 50
40
20,000
30
20
10,000
10
0 0
Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 Jun-17 Dec-17 Jun-18 Dec-18 Jun-19
Total Freddie Mac Fixed-Rate Issuance Excluding Multi-Lender Giant Issuance
Total Freddie Mac Multi-Lender Giant Issuance
Total Multi-Lender Giant Issuance Volume as % of Total Fixed-Rate Issuance
Total Multi-Lender Giant Issuance as % of Total Fixed-Rate Non-Specified Issuance
© Freddie Mac 4530-year Freddie/Fannie Prepayment Alignment
(July 2019)32
30 Yr. Cohort Speed Difference (3M CPR) 30 Yr. Fastest Quartile Speed Difference (3M CPR)
10 10
9 9
8 8
7 7
6 6
5 5
3M CPR Difference (FR-FN)
3M CPR Difference (FR-FN)
4 4
3 3
2 2
1 1
0 0
-1 -1
-2 -2
-3 -3
-4 -4
-5 -5
-6 -6
-7 -7
-8 -8
-9
-9
-10
-10
2013
2015
2016
2017
2013
2014
2015
2016
2017
2018
2013
2014
2015
2016
2017
2018
2014
2017
2018
2018
2013
2015
2016
2017
2013
2014
2015
2016
2017
2018
2013
2014
2015
2016
2017
2018
2014
2017
2018
2018
3 3.5 4 4.5 5
3 3.5 4 4.5 5
Sum of CPR Difference
FHFA’s Uniform Mortgage-Backed Security Final Rule requires the Agencies to monitor cohort prepayment speed differences.
Sources: Freddie Mac and eMBS.
© Freddie Mac 4615-year Freddie/Fannie Prepayment Alignment
(July 2019)32
15 Yr. Cohort Speed Difference (3M CPR) 15 Yr. Fastest Quartile Speed Difference (3M CPR)
10 10
9 9
8 8
7 7
6 6
5 5
3M CPR Difference (FR-FN)
3M CPR Difference (FR-FN)
4 4
3 3
2 2
1 1
0 0
-1 -1
-2 -2
-3 -3
-4 -4
-5 -5
-6 -6
-7 -7
-8 -8
-9 -9
-10 -10
2013
2013
2015
2016
2017
2013
2014
2015
2016
2017
2018
2017
2018
2018
2013
2013
2015
2016
2017
2013
2014
2015
2016
2017
2018
2017
2018
2018
2 2.5 3 3.5 4 2 2.5 3 3.5 4
Sum of CPR Difference
FHFA’s Uniform Mortgage-Backed Security Final Rule requires the Agencies to monitor cohort prepayment speed differences.
Sources: Freddie Mac and eMBS.
© Freddie Mac 47Freddie Mac Single-Family
Structured Finance Securities33
Bloomberg Outstanding
Freddie Mac Collateral Description
Ticker Balance*
Gold and 75-Day PCs $300.2B
REMICs FHR
ReREMICs of Existing
$48.9B
Multiclass Securities
Reference REMICs with Guaranteed Final Gold PCs FHRR $0.9B
Freddie Mac Owned
T-Deals New or Seasoned FSPC $4.2B
Private Label ABS
Gold and 75-Day PCs $14.1B
Strips FHS
Excess Servicing Assets $13.3B
* Reflects issuance through May 31, 2019.
© Freddie Mac 48Deal Structure Options – Agency REMICs
REMIC Program Feature Benefit
Pass-through securities that are backed by a Giant PC and subject to a call option. In the event of a
Callable PCs (CPC)
call, the callable class is paid off at par and the call class receives the underlying Giant PC.
Pass-through securities that are backed by a REMIC class and subject to a call option. In the event of
a call, the callable class is paid off at par and the call class receives the underlying REMIC class.
Callable REMIC Classes (CRC)
Callable REMIC Classes may also be backed by a callable class of CPCs and will be retired upon
redemption of the collateral.
GMC is a feature added to a REMIC class to provide a stated legal maturity date, at par, guaranteed by
Guaranteed Maturity Class (GMC) Freddie Mac. GMCs have a final payment date earlier than the latest date by which these Classes might
be retired solely from payments on their underlying assets.
IO/PO Strips
Combinations of Floating Rate, Inverse Floating Rate, Floating Rate IO, Inverse Floating Rate IO
• Floater/Inverse Floater certificates that permit holders to exchange classes for combinations of floating rate and inverse floater
Combinations rate classes with various margins and caps.
Strip securities that are exchangeable for other classes of the same series having different class
• Gold MACS coupons or coupon formulas.
34
Interest-only securities backed by Excess Servicing Spread held by mortgage servicers. Loan
Excess IO Strips (XSIO) characteristics for the loans backing each issued XSIO security are pooled to mirror PC pooling
practices.
Modifiable And Combinable REMICs Holders of a MACR Class can exchange all or part of the class for a predetermined proportionate
(MACR) interest in other specified REMIC or MACR classes, and vice versa.
© Freddie Mac 49Deal Structure Options, Continued
REMIC Program Feature Benefit
Permits the holder of both the REMIC Residual class and 100% of all outstanding REMIC classes
REMIC Unwinds
covered by the Residual class to exchange their REMIC interests for all collateral backing the REMIC.
Permits the holder of any portion of an issued REMIC class to use that class as collateral to back a
ReREMIC
subsequent REMIC.
Retail classes are designed primarily for individual investors and are typically issued and receive
Retail Classes
principal in $1,000 increments.
Permits the holder of a pro-rata portion of all outstanding REMIC classes within a REMIC group to
Reverse REMIC
recombine their interests for a pro-rata portion of the underlying REMIC collateral.
Simplifies the REMIC Unwind feature for the holder of the Residual class and 100% of all outstanding
Single Group Residual REMIC classes issued a single REMIC Group. Holder exchanges its interests for all collateral backing
the specific REMIC Group.
Collateral is stripped into separate Interest-only and Principal-only securities with transactions
Syndicated IO/PO Strips
underwritten and distributed by a syndicate of dealers.
© Freddie Mac 50Endnotes
1 House of Representatives report on FIRREA, No. 54, 101st Congress, 1st Session, Part 3 at 2 (1989).
2 Excludes the initial $1 billion liquidation preference of senior preferred stock issued to Treasury in September 2008 as consideration for Treasury’s funding commitment and the $3.0
billion increase in the aggregate liquidation preference of the senior preferred stock pursuant to the December 21, 2017 Letter Agreement. The company received no cash proceeds as
a result of issuing the initial $1 billion liquidation preference of senior preferred stock or the $3.0 billion increase on December 31, 2017.
3 Based on the company’s purchases of loans and issuances of mortgage-related securities. For the periods presented, a borrower may be counted more than once if the company purchased
more than one loan (purchase or refinance mortgage) relating to the same borrower.
4 Consists of both home retention actions and foreclosure alternatives.
5 Categories are not mutually exclusive, and a borrower in one category may also be included in another category in the same or another period. For example, a borrower helped through a home
retention action in one period may subsequently lose his or her home through a foreclosure alternative in a later period.
6 Estimates and forecasts by the Economic and Housing Research Department do not necessarily represent the views of Freddie Mac or its management, should not be construed as indicating
Freddie Mac's business prospects or expected results, and are subject to change without notice.
7 Value of U.S. housing stock includes homes with and without underlying mortgages. U.S. home equity is the difference between the value of the U.S. housing stock and the amount of U.S.
single-family mortgage debt outstanding.
8 Negative values reflect undersupply. The under/oversupply of vacant housing was estimated based on the average vacancy rate from 1Q 1994 to 4Q 2003.
9 Based on the unpaid principal balance (UPB) of the single-family credit guarantee portfolio, which includes unsecuritized single-family mortgage loans held by the company on its consolidated
balance sheets and those underlying Freddie Mac mortgage-related securities or covered by the company's other mortgage-related guarantees.
10 Represents the estimated average rate of guarantee fees for new acquisitions during the period assuming amortization of upfront delivery fees using the estimated life of the related loans rather
than the original contractual maturity date of the related loans. Includes the effect of fee adjustments that are based on the price performance of Freddie Mac’s PCs relative to comparable
Fannie Mae securities. Net of legislated 10 basis point guarantee fee remitted to Treasury as part of the Temporary Payroll Tax Cut Continuation Act of 2011.
11 Guaranteed Bonds include senior amortizing bonds as well as interest-only bonds derived from senior and subordinate P&I bonds.
12 Data excludes securities sold under agreements to repurchase and other secured borrowings. All figures represent par amounts in USD billions based on settlement date. These figures could
differ significantly from proceeds, amortized principal amount, and book value figures, particularly for zero-coupon securities.
13 Short-term debt includes any issuance of 12 months or less at issuance date. All others categories reflect greater than 12 month term at issuance.
14 Reflects non-callable floating rate notes.
15 Includes callable debt with expired call options.
16 Under the Purchase Agreement with Treasury, the company’s aggregate indebtedness (which primarily includes the par value of other short- and long-term debt, including securities sold under
agreements to repurchase and other secured borrowings) was subject to a limit of $346 billion in 2018 and declined to a limit of $300 billion on January 1, 2019.
17 Data includes securities sold under agreements to repurchase and other secured borrowings. All figures represent par amounts in USD billions based on settlement date. These figures could
differ significantly from proceeds, amortized principal amount, and book value figures, particularly for zero-coupon securities.
18 Other includes SF STACR, MF SCR Notes, securities sold under agreements to repurchase and other secured borrowings.
19 Weighted Average Maturity in years excludes securities sold under agreements to repurchase and other secured borrowings.
20 Issuance excludes overnights and securities sold under agreements to repurchase and other secured borrowings. All figures represent par amounts in USD billions based on settlement date.
These figures could differ significantly from proceeds, amortized principal amount, and book value figures, particularly for zero-coupon securities.
21 Outstanding balance using par amounts based on settlement date and maturity date.
22 Does not include senior preferred stock issued to Treasury.
23 Interest-bearing marketable coupon public debt.
24 Includes Freddie Mac, Fannie Mae, Federal Home Loan Banks, Farmer Mac, the Farm Credit System, and federal budget agencies (e.g., TVA).
© Freddie Mac 51Endnotes, Continued
25 Includes Ginnie Mae, Fannie Mae and Freddie Mac MBS, and CMOs, and private-label MBS/CMOs
26 Includes auto, credit card, home equity, manufacturing, student loans, and other; USD-denominated CDOs are also included.
27 Includes commercial paper, bankers acceptances, and large time deposits.
28 Includes debt obligations of U.S. financial and nonfinancial corporations including bonds, notes, debentures, mandatory convertible securities, long-term debt, private mortgage-backed
securities, and unsecured debt. Includes bonds issued both in the United States and in foreign countries, but not bonds issued in foreign countries by foreign subsidiaries of U.S. corporations.
Recorded at book value.
29 Other investors include hedge funds, structured investment vehicles, pension funds, savings institutions, nonprofits, and individuals. Agency MBS includes Freddie Mac, Fannie Mae and Ginnie
Mae securities.
30 Presents net purchases/sales of Agency mortgage-related securities by the listed institutions, excluding securitization activity. Comm Bank PT and Comm Bank CMO represent net
purchases/sales of Agency mortgage-related securities by commercial banks through passthroughs and CMOs, respectively. Agency mortgage-related securities include securities issued by
Freddie Mac, Fannie Mae, and Ginnie Mae.
31 Consists of Agency mortgage-related and debt securities which include securities issued by Freddie Mac, Fannie Mae, Ginnie Mae, Federal Home Loan Banks, Farmer Mac, the Farm Credit
System, and federal budget agencies (e.g., TVA).
32 Prepayment speeds expressed in terms of 3-month constant conditional prepayment rates (CPR) as provided by eMBS. Includes all outstanding GSE fixed-rate products, excluding Freddie Mac
Giants and Fannie Mae Megas.
33 Guaranteed as described in the applicable offering documents.
34 Excess Servicing Spread is the excess of the Servicer-retained mortgage servicing fee rate over the Freddie Mac minimum core servicing fee rate of 25 basis points.
© Freddie Mac 52Safe 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 instrumentality other than Freddie
Mac.
No offer or solicitation of securities
This presentation includes information related to, or referenced in the offering documentation for, certain Freddie Mac securities, including
offering circulars and related supplements and agreements. Freddie Mac securities may not be eligible for offer or sale in certain
jurisdictions or to certain persons. This information is provided for your general information only, is current only as of its specified date,
and does not constitute an offer to sell or a solicitation of an offer to buy securities. The information does not constitute a sufficient basis
for making a decision with respect to the purchase or sale of any security. All information regarding or relating to Freddie Mac securities is
qualified in its entirety by the relevant offering circular and any related supplements. Investors should review the relevant offering circular
and any related supplements before making a decision with respect to the purchase or sale of any security. In addition, before purchasing
any security, please consult your legal and financial advisors for information about and analysis of the security, its risks, and its suitability
as an investment in your particular circumstances.
Forward-looking statements
Freddie Mac's presentations may contain forward-looking statements, which may include statements pertaining to the conservatorship,
the company’s current expectations and objectives for its Single-family Guarantee, Multifamily, and Capital Markets segments, its efforts
to assist the housing market, liquidity and capital management, economic and market conditions and trends, market share, the effect of
legislative and regulatory developments and new accounting guidance, credit quality of loans the company owns or guarantees, the costs
and benefits of the company’s credit risk transfer transactions, and results of operations and financial condition on a GAAP, Segment
Earnings, non-GAAP, and fair value basis. Forward-looking statements involve known and unknown risks and uncertainties, some of
which are beyond the company’s control. Management’s expectations for the company’s future necessarily involve a number of
assumptions, judgments, and estimates, and various factors, including changes in market conditions, liquidity, mortgage spreads, credit
outlook, actions by the U.S. government (including FHFA, Treasury, and Congress), and the impacts of legislation or regulations and new
or amended accounting guidance, could cause actual results to differ materially from these expectations. These assumptions, judgments,
estimates, and factors are discussed in the company’s Annual Report on Form 10-K for the year ended December 31, 2018, Quarterly
Reports on Form 10-Q for the quarters ended March 31, 2019 and June 30, 2019, and Current Reports on Form 8-K, which are available
on the Investor Relations page of the company’s website at www.freddiemac.com/investors and the SEC’s website at www.sec.gov. The
company undertakes no obligation to update forward-looking statements it makes to reflect events or circumstances occurring after the
date of this presentation.
© Freddie Mac 53You can also read
