Freddie Mac · OTC:FMCC

Freddie Mac — Investor Presentation (February 2014)

90 slides from Freddie Mac's investor presentation, February 2014

1. Slide 1: Freddie Mac Update

   Freddie Mac Update February 2014 © Freddie Mac 2014

2. Slide 2: Table of contents

   Table of contents Section Page I Freddie Mac Overview 3 II U.S. Housing Market 22 III Credit Guarantee Business 36 IV Investment Management Business 50 V Multifamily Business 55 VI Debt Funding Program 69 VII Single-Family Securitization 78 For more information about Freddie Mac and its business, pl

3. Slide 3: Freddie Mac Overview

   Freddie Mac Overview © Freddie Mac 2014

4. Slide 4: Freddie Mac's mission

   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

5. Slide 5: Conservatorship

   Conservatorship  We continue to operate under the conservatorship that commenced on September 6, 2008, under the direction of Federal Housing Finance Agency (FHFA) our Conservator.  FHFA as our Conservator: » FHFA assumed all powers of the Boards, management and shareholders » FHFA has directed an

6. Slide 6: FHFA strategic plan

   FHFA strategic plan  On February 21, 2012, FHFA sent to Congress a strategic plan for the next phase of the conservatorships of Freddie Mac and Fannie Mae (the Enterprises).  The plan sets forth three strategic goals: » Build. Build a new infrastructure for the secondary mortgage market. » Contrac

7. Slide 7: 2013 Conservatorship scorecard

   2013 Conservatorship scorecard Strategic Goal Weight Scorecard Objective Common Securitization Platform BUILD 30% Contractual and Disclosure Framework Uniform Mortgage Data Program Single Family: Conduct Risk Transfer Transactions CONTRACT 50% Multifamily: Reduce New Business Retained Portfolio: Red

8. Slide 8: Amended Purchase Agreement

   Amended Purchase Agreement  On August 17, 2012, Freddie Mac, acting through FHFA, as Conservator, and Treasury entered into a third amendment to the Purchase Agreement.  The principal changes, which are consistent with FHFA’s strategic plan for Freddie Mac and Fannie Mae conservatorships, include:

9. Slide 9: U.S. housing finance market reform

   U.S. housing finance market reform  On February 11, 2011, the Obama Administration delivered a report to Congress that lays out the Administration’s plan to reform the U.S. housing finance market  The report recommends winding down Freddie Mac and Fannie Mae » The report identifies a number of pol

10. Slide 10: Market presence

    Market presence MBS Issuance Volume $ Trillions 2.4 $2.2T $2.0T 2.0 $1.9T $1.8T $1.7T $1.6T 1.6 $1.5T $1.2T $1.2T 1.2 0.8 0.4 $0.07T 0.0 2005 2006 2007 2008 2009 2010 2011 2012 2013 YTD 1 2014 Freddie Mac Fannie Mae Ginnie Mae Private Label YTD 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Enter

11. Slide 11: Market liquidity provided

    Market liquidity provided Number of Families Freddie Mac Purchase and Issuance Volume2, 3 Helped to Own or Rent a Home1 (Single-Family and Multifamily) In Thousands $ Billions 3,000 600 $546 2,480 2,472 2,500 500 $456 2,089 2,011 $406 2,000 1,830 400 $382 $349 1,500 300 1,000 755 200 723 743 $140 $1

12. Slide 12: Single-family loan workouts

    Single-family loan workouts Number of Loans Number of Loans (000) (000) 60 300 275 250 45 46 43 41 41 208 200 169 30 150 133 128 100 50 0 0 3Q 2012 4Q 2012 1Q 2013 2Q 2013 3Q 2013 2009 2010 2011 2012 YTD 2013 Loan modifications Repayment plans Forbearance agreements Short sales and deed-in-lieu of f

13. Slide 13: Single-family loan modifications

    Single-family loan modifications Single-family Loan Modifications (HAMP and non-HAMP) 1 Number of Number of Loans Loans (000) (000) 30 200 170 160 21 20 21 21 20 19 120 109 80 65 70 10 60 40 0 0 3Q 2012 4Q 2012 1Q 2013 2Q 2013 3Q 2013 2009 2010 2011 2012 YTD 2013 No change in terms Term extension 2

14. Slide 14: Single-family refinance activity

    Single-family refinance activity 1Q 2Q 3Q Cumulative 2009 2010 2011 2012 2013 2013 2013 Total Number of Borrowers 2 (In Thousands) Other Refinance 1,595 947 740 996 343 308 190 5,119 Relief Refinance - LTV ≤ 80% 83 324 268 253 84 89 61 1,162 3 Relief Refinance - LTV > 80% to 100% (HARP) 72 166 126 1

15. Slide 15: Comprehensive income (loss)

    Comprehensive income (loss) $ Billions 35 $30.4 30 25 20 Includes $23.9 billion 15 benefit from releasing the 10 $7.0 valuation $5.6 $5.7 allowance on 5 $2.9 $4.4 deferred tax $1.5 $1.8 assets 0 $(4.4) (5) (10) 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 2011 2011 2012 2012 2012 2012 2013 2013 2013 A Net income (los

16. Slide 16: Senior Preferred Stock Purchase Agreement with Treasury

    Senior Preferred Stock Purchase Agreement with Treasury  Senior preferred stock outstanding and held by Treasury remained $72.3 billion at September 30, 2013. 1 » Dividend payments do not reduce prior Treasury draws. » Any future draws will increase the balance of senior preferred stock outstanding

17. Slide 17: Treasury draw requests and dividend payments

    Treasury draw requests and dividend payments $ Billions Draws From Treasury Dividend Payments to Treasury ($ Billions) Cumulative ($ Billions) Cumulative Total Total 1 Initial Liquidation Preference $1.000 Dividend Payments as of 9/30/13 $40.909 Treasury Draws $71.336 4Q 2013 Dividend Obligation $30

18. Slide 18: Purchase Agreement portfolio limits

    Purchase Agreement portfolio limits Mortgage Assets 1, 2 Indebtedness 1, 3 ($ Billions) ($ Billions) $874.8 4 $780 $780 $780 $780 4 $650 $650 $650 $650 4 4 $663 $558 $553 $534 $552 $535 $521 $526 $520 $498 12/31/2012 3/31/2013 6/30/2013 9/30/2013 12/31/2013 12/31/2012 3/31/2013 6/30/2013 9/30/2013 1

19. Slide 19: Real estate owned

    Real estate owned1 Property Inventory Geographic Distribution2 3Q 2013 Activity Based on Number of Properties in Inventory ((Number of Properties) Number of Properties 19,441 20,000 18,000 18k 17k 16,000 (16,949) 14,000 13k 12,000 12k 44,628 47,120 10,000 8,000 7k 6,000 6k 5k 5k 5k 6/30/13 Acquisiti

20. Slide 20: Performance of single-family modified loans

    Performance of single-family modified loans Quarterly Percentages of Modified Single-Family Loans (HAMP and non-HAMP) 1 % Current and Performing Quarter of Loan Modification Completion 2 Time Since Modification 3Q 2011 4Q 2011 1Q 2012 2Q 2012 3Q 2012 4Q 2012 1Q 2013 2Q 2013 3 to 5 months 81% 86% 85%

21. Slide 21: Repurchase requests

    Repurchase requests1 Trend in Repurchase Requests Outstanding YTD September 2013 Repurchase Request Activity UPB Percent $ Billions (%) $ Billions $8.3 6 50 41% 45 5 39% 40 34% 4 31% 35 ($3.4) 30 3 25 20% 20% 20 2 $3.6 $4.2 $3.8 $3.0 $3.4 15 $2.7 ($4.6) 1 10 $3.4 $3.0 5 0 2 0 12/31/2008 12/31/2009 1

22. Slide 22: U.S. Housing Market

    U.S. Housing Market © Freddie Mac 2014

23. Slide 23: U.S. single-family mortgage debt in relation to housing stock value

    U.S. single-family mortgage debt in relation to total value of housing stock $ Trillions 25 20 Value of U.S. Housing Stock 1 Record: 15 $13.4 Trillion $9.7 U.S. Home (2006) Trillion Equity 2 10 5 $9.4 Trillion U.S. Single-family Mortgage Debt Outstanding 3 0 1990 1991 1992 1993 1994 1995 1996 1997 1

24. Slide 24: U.S. nominal house prices

    U.S. nominal house prices Annual Changes in National House Prices Percent 16 14 12 10 8 3.9%: 1952-2012 6 Average Growth Rate 4 2 0 -2 -4 -6 -8 - Recession Year -10 -12 1952 1954 1956 1958 1960 1962 1964 1966 1968 1970 1972 1974 1976 1978 1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2

25. Slide 25: National home prices cumulative decline since June 2006

    National home prices have experienced a cumulative decline of 14% since June 20061 Percent (%) 6 5.2 5.4 4.7 4.1 4 2.9 2.5 2.7 2.7 2.4 2.2 2.2 2 1.3 1.3 1.1 1.2 1.1 0.8 0.8 0.7 0.4 0.4 0.1 0 (0.0) (0.4) (0.8) (0.7) (1.2) (1.1) (2) (1.6) (1.6) (2.1) (2.1) (2.5) (2.8) (2.6) (2.8) (3.1) (4) (4.3) (5.4)

26. Slide 26: Home price performance by state, June 2006 to September 2013

    Home price performance by state June 2006 to September 20131 United States -14% NH -13% -10% WA 38% ME 2% -3% ND -13% VT-17% MT -12% MN -9% MA -12% OR -11% 11% NY -11% SD WI -20% ID RI -25% 9% MI -6% WY 3% CT -18% PA 3% IA -12% NJ -21% -42% NE -22% -2% OH -20% DE -14% 5% NV 0% 6% IL IN -23% WV -12%

27. Slide 27: Home price performance by state, September 2012 to September 2013

    Home price performance by state September 2012 to September 20131 United States 11% NH 12% 3% WA ME 6% 8% 2% MT ND 11% 14% MN 4% VT 8% MA OR 6% 6% NY 8% 14% SD WI 14% ID RI 8% 6% MI 4% WY 5% PA CT 4% 5% NJ 4% IA 5% 30% NE 9% 5% 7% DE 7% OH NV 13% IL IN 6% 6% 11% MD 23% UT 5% 7% WV VA CO KY 3% CA KS

28. Slide 28: Vacant housing oversupply

    Vacant housing oversupply Excess Vacant Homes (Numbers in Millions) 2.0 1.8 Excess for-Rent Inventory 1.6 Excess for-Sale Inventory 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.4 0.0 -0.2 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 Source: Freddie Mac calculations using U.S. Census Bureau

29. Slide 29: Inventories of homes for sale

    Inventories of homes for sale Months Supply of Homes for Sale 15 14 Existing Homes 13 12 11 10 9 8 7 6 5 4 New Homes 3 2 1 0 1976 1978 1981 1984 1987 1990 1993 1996 1999 2002 2005 2008 2011 2013 - Recession Year Sources: U.S. Census Bureau and National Association of Realtors. 2013 data as of Decemb

30. Slide 30: Excess unsold homes for sale

    Excess unsold homes for sale Excess Unsold Homes for Sale Numbers in Thousands Annual Data Quarterly Data 1,000 900 800 700 600 500 400 300 200 100 0 Q1 Q4 Q1 Q4 Q1 Q4 Q1 Q4 Q1 Q4 Q1 Q4 Q1 Q4 Q1 Q4 Q1 Q4 -100 1996 2000 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 Note: The excess unsold homes w

31. Slide 31: Single-family mortgage originations

    Single-family mortgage originations $ Billions 4,000 Refinance Originations Home Purchase Originations 3,000 2,000 $1.9T $1.4T $1.2T 1,000 0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Est. Fcst. Fcst. Source: U.S. Department of Housing and Urban Development and F

32. Slide 32: GSE purchases under the Home Affordable Refinance Program

    GSE purchases under the Home Affordable Refinance Program 30-Year Fixed # of Loans Mortgage Rate1 (Thousands) (Percent) 140 5.5 120 5.0 100 4.5 80 60 4.0 40 3.5 20 0 3.0 Oct-09 May-10 Dec-10 Jul-11 Feb-12 Sep-12 Apr-13 Nov-13 Freddie Mac 2 Fannie Mae 3 30-Year Fixed Mortgage Rate 1 Based on Freddie

33. Slide 33: Housing affordability

    Housing affordability Index 200 190 180 170 168 160 150 140 Average = 137 130 120 110 100 90 80 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 Note: An index of 100 indicates a median income family has exactly enough income to qualify for a mortgage on a median-priced home. An index abo

34. Slide 34: Jumbo-conforming spreads

    Jumbo-conforming spreads Effective Jumbo-conforming Interest Rate Spread Basis points 200 180 Record: 184 bps 12/19/08 160 Most recent: 6 bps 140 1/31/14 120 100 80 60 40 20 0 1990 1996 1988 1989 1991 1992 1993 1994 1995 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

35. Slide 35: 30-year fixed mortgage rates

    30-year fixed mortgage rates Percent 8.5 8.0 7.5 7.0 6.5 6.0 5.5 5.0 4.53% 4.5 4.49% 4.47% 4.0 3.5 Jan- May- Oct- Mar- Aug- Jan- Jun- Oct- Mar- Aug- Jan- Jun- Nov- Mar- Aug- Jan- 08 08 08 09 09 10 10 10 11 11 12 12 12 13 13 14 30-Year Conforming 30-Year Conforming Jumbo 30-Year Non-Conforming Jumbo

36. Slide 36: Credit Guarantee Business

    Credit Guarantee Business © Freddie Mac 2014

37. Slide 37: Total mortgage portfolio

    Total mortgage portfolio $ Billions 2,400 $2,207 $2,251 $2,165 2,200 $2,103 $2,075 2,000 $1,956 $1,915 $1,827 1,800 $1,684 1,600 $1,505 1,400 1,200 $1,454 $1,622 1,000 800 600 400 $168 $461 200 $293 0 1 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 Outstanding Freddie Mac Mortgage-Related Securi

38. Slide 38: Freddie Mac's GSE market share

    Freddie Mac’s GSE market share Freddie Mac share of PC/MBS issuances 50 45 43% 43% 40% 40 38% 38% 37% 35% 35% 35 30 2006 2007 2008 2009 2010 2011 2012 2013 Source: Freddie Mac and Fannie Mae Monthly Volume Summaries. Freddie Mac Monthly Volume Summary figures for 2013 are subject to change. 2013 dat

39. Slide 39: Single-family credit guarantee portfolio by region

    Freddie Mac’s single-family credit guarantee portfolio by region1 North Central 18% Northeast West 26% 28% Southwest 11% Southeast 17% 1 Based on the unpaid principal balance of the single-family credit guarantee portfolio, which includes unsecuritized single-family mortgage loans held by the compan

40. Slide 40: Mortgage market and Freddie Mac serious delinquency rates

    Mortgage market and Freddie Mac serious delinquency rates Single-family Serious Delinquency Rates 32 28 24 Seriously Delinquent (%) 20.44% 20 16 12 8 5.65% 4 3.42% 2.58% 0 Dec- Mar- Jun- Sep- Dec- Mar- Jun- Sep- Dec- Mar- Jun- Sep- Dec- Mar- Jun- Sep- Dec- Mar- June- Sep- 08 09 09 09 09 10 10 10 10

41. Slide 41: Estimated current LTV ratio of single-family portfolio

    Estimated current LTV ratio of our single-family credit guarantee portfolio Weighted Average Estimated Loan-to-Value1 Ratio of Our Single-family Credit Guarantee Portfolio Adjusted to Reflect Current Market Values Weighted Average Estimated Current LTV Ratio (Percent) 80% 80 78% 77% 75% 75 72% 70% 7

42. Slide 42: Risk characteristics of single-family credit guarantee portfolio

    Risk characteristics of our single-family credit guarantee portfolio Estimated Current Loan-to-Value Ratio1,2 Credit Score2,3 (Percent) Above 120 620 to 659 Less than 620 Above 100 to 120 5% 6% 3% 6% Above 90 to 100 60 and below 660 to 699 7% 33% 13% Above 80 to 90 12% 700 to 739 20% 740 and above 5

43. Slide 43: Composition of our total mortgage portfolio

    Composition of our total mortgage portfolio Total Mortgage Portfolio Purchases Total Mortgage Portfolio Twelve Months Ended December 31, 2013 As of December 31, 2013 $449 Billion $1.8 Trillion 20-year Fixed 20-year Fixed Rate Rate 5% 5% 15-year Fixed Rate 17% 15-year IO Fixed Rate 2% 22% ARMs 30-yea

44. Slide 44: Credit quality of single-family portfolio purchases

    Credit quality of single-family credit guarantee portfolio purchases 1Q 2Q 3Q 2009 2010 2011 2012 2013 2013 2013 Weighted Average Original LTV Ratio 1 Relief refinance (includes HARP) 80% 77% 77% 97% 93% 91% 89% All other 66% 67% 67% 68% 68% 70% 72% Total purchases 67% 70% 70% 76% 74% 75% 76% Weight

45. Slide 45: Loan loss reserves

    Loan loss reserves Period End Balances $ Billions $ Billions $6.0 $45.0 $5.0 $39.7 $39.5 $38.3 $4.0 $3.6 $35.8 $33.8 $35.0 $3.0 $2.6 $1.8 $30.9 $2.0 $28.6 $26.4 $1.0 $0.6 $25.0 $0.2 $25.0 $0.0 ($1.0) ($0.7) ($0.5) ($0.6)($0.6) ($1.1) ($2.0) ($1.9) $15.0 ($2.1) ($3.0) ($2.9) ($2.5) ($3.2) ($3.2) ($3.

46. Slide 46: Single-family 3Q 2013 credit losses and REO by region and state

    Single-family 3Q 2013 credit losses and REO by region and state Total Portfolio UPB 1 Seriously Delinquent Loans REO Acquisitions & Balance 4 Credit Losses (Gains)5 Serious Delinquency 3Q 2013 REO UPB 2 Rate3 Acquisitions Inventory % of Total ($ Billions) % of Total ($ Millions) % of Total (% ) ($ M

47. Slide 47: Single-family credit guarantee portfolio characteristics

    Single-family credit guarantee portfolio characteristics1 Total Portfolio Original FICO < 620 & as of Option FICO FICO LTV Original 2 3 4 4 Attribute September 30, 2013 Alt-A Interest-only ARM < 620 620 - 659 > 90% LTV > 90% 4 1 UPB $ Billions $1,652 $60 $37 $7 $49 $97 $252 $13 2 Percent of Total Po

48. Slide 48: Single-family credit profile by book year and product feature

    Single-family credit profile by book year and product feature1 Total Portfolio Book Year 2 as of 2004 and Attribute September 30, 2013 2013 2012 2011 2010 2009 2008 2007 2006 2005 prior 1 UPB $ Billions $1,652 $296 $388 $183 $185 $148 $54 $89 $67 $76 $166 2 Original Loan-to-Value (OLTV) 74% 75% 78%

49. Slide 49: Single-family cumulative foreclosure transfer and short sale rates

    Single-family cumulative foreclosure transfer and short sale rates1 by book year Cumulative Foreclosure Transfer and Short Sale Rate 12.00% 2007 11.00% 10.00% 2006 9.00% 8.00% 7.00% 6.00% 2005 5.00% 2008 4.00% 3.00% 2004 2.00% 2003 1.00% 2010 2009 2013 2012 2011 0.00% Yr1 Yr1 Yr2 Yr2 Yr3 Yr3 Yr4 Yr4

50. Slide 50: Investment Management Business

    Investment Management Business © Freddie Mac 2014

51. Slide 51: Mortgage-related investments portfolio

    Mortgage-related investments portfolio UPB $ Billions $1,000 $900 $900 $867 $830 $810 $800 $784 $755 $729 $697 $700 $650 $653 $600 2 $558 $553 $500 $461 $400 3/31/2009 6/30/2009 9/30/2009 12/31/2009 12/31/2010 12/31/2011 12/31/2012 12/31/2013 1 Mortgage-related investments portfolio ending balance 2

52. Slide 52: Mortgage-related investments portfolio composition

    Mortgage-related investments portfolio composition Mortgage-related Investments Portfolio $498 billion Mortgage Loans 38% ($190.8 B) Agency 4% ($21.0 B) Non-Agency Backed by Subprime Loans 8% ($40.8 B) PCs, REMICs and Other Structured Securities Non-Agency Backed by 37% Alt-A and Other Loans ($183.3

53. Slide 53: Mortgage-related investments portfolio product types

    Freddie Mac’s mortgage-related investments portfolio product types Mortgage-Related Non-Freddie Mac MBS1 Investments Portfolio1 Subprime Non-Freddie Mac 33% MBS 25% Mortgage Loans 38% Fannie Mae 17% CMBS 28% Alt-A & Other 10% Freddie Mac Multi-class Freddie Mac Option ARM REMICs and Single-class PCs

54. Slide 54: Interest-rate risk measures

    Interest-rate risk measures Average Monthly PMVS-Level1,3 Average Monthly Duration Gap2,3 $ Millions Months 600 6 5 500 4 $429 3 400 $367 $365 2 1 $293 300 $262 $251 $275 0 $237 $247 (1) $186 200 (2) $146 (3) 100 $60 $56 (4) (5) 0 (6) Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Dec Jan Feb M

55. Slide 55: Multifamily Business

    Multifamily Business © Freddie Mac 2014

56. Slide 56: Multifamily market rental vacancy rates

    Multifamily market rental vacancy rates Percent 9 8 7 6 5 4.1% 4 3 2 1 0 1991 1993 1996 1999 2002 2004 2007 2010 2013 Source: Reis U.S. Metro data. 2013 data as of December 31, 2013. 56

57. Slide 57: Apartment price index vs. Freddie Mac house price index

    Apartment price index vs. Freddie Mac house price index U.S. Property Value Index (2000 = 100) 170 160 Freddie Mac House Price Index1 14% 150 7% Down Down 140 130 120 110 NCREIF Apartment Index 100 90 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 1 The Freddie Mac House Price

58. Slide 58: Multifamily total market originations

    Multifamily total market originations $Billions Forecast 175 Multifamily Mortgage Originations (Billions of Dollars) $160 $155 $150 150 125 100 75 50 25 0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Sources: FFIEC (HMDA), OTS Thrift Financial Report, ACLI Investment Bu

59. Slide 59: Multifamily portfolio composition

    Multifamily portfolio composition Total Multifamily (MF) Portfolio UPB $ Billions 200 $177 $180 180 $169 $172 $164 160 $154 140 $135 120 100 80 60 40 20 0 12/31/2007 12/31/2008 12/31/2009 12/31/2010 12/31/2011 12/31/2012 9/30/2013 MF loan portfolio MF investment securities portfolio MF guarantee por

60. Slide 60: Multifamily mortgage portfolio by attribute

    Multifamily mortgage portfolio by attribute1 September 30, 2012 June 30, 2013 September 30, 2013 Delinquency Delinquency Delinquency UPB Rate2 UPB Rate2 UPB Rate2 ($ Billions) (% ) ($ Billions) (% ) ($ Billions) (% ) Year of Acquisition or Guarantee 3 1 2004 and prior $10.4 0.26% $7.6 0.06% $6.5 0.0

61. Slide 61: Multifamily mortgage portfolio by attribute, continued

    Multifamily mortgage portfolio by attribute, continued1 September 30, 2012 June 30, 2013 September 30, 2013 Delinquency Delinquency Delinquency 2 2 UPB Rate UPB Rate UPB Rate2 ($ Billions) (% ) ($ Billions) (% ) ($ Billions) (% ) Current Loan Size 1 > $25M $46.3 0.12% $49.9 0.05% $50.8 -% 2 > $5M &

62. Slide 62: Multifamily market and Freddie Mac delinquency rates

    Multifamily market and Freddie Mac delinquency rates Percent 14 12 10 8 7.38% 6 4 2 1.13% 0.09% 0 0.00% 2Q 2009 4Q 2009 2Q 2010 4Q 2010 2Q 2011 4Q 2011 2Q 2012 4Q 2012 2Q 2013 1 Freddie Mac (60+ day) FDIC Insured Institutions (90+ day) MF CMBS Market (60+ day) ACLI Investment Bulletin (60+ day) 1 Se

63. Slide 63: Multifamily portfolio net charge-offs

    Multifamily portfolio net charge-offs1 Basis Points 12 10 8 6 4 2 0 4Q 2005 4Q 2006 4Q 2007 4Q 2008 4Q 2009 4Q 2010 4Q 2011 4Q 2012 4Q 2013 1 Data point for each quarter equals sum of previous four quarters of net charge-offs, divided by the average multifamily loan portfolio and guarantee portfolio

64. Slide 64: Multifamily K-deal securities

    Multifamily K-deal securities  Multifamily K Certificates are regularly-issued structured pass-through securities backed by multifamily mortgage loans.  Approximately $73 billion1 of securities have been issued since the start of the K-deal program in 2008.  As of December 31, 2013, three CME loa

65. Slide 65: Multifamily securitization program

    Multifamily securitization program K-Deal Execution Volume UPB $ Billions 30 25 20 15 10 5 0 2009 2010 2011 2012 2013 YTD 2014 Total UPB1 $2.14 $6.44 $13.66 $21.20 $28.04 $1.26 K-Deals 2 6 12 17 19 1 1 Total UPB represents the total collateral UPB associated with each transaction, including the port

66. Slide 66: Multifamily new business volume by state

    Multifamily new business volume by state1 (%) MF New Business Volume $18.8B Nine Months Ended September 30, 2013 ME WA <0.1% 3.0% ND VT MT <0.1% 0.0% 0.0% MN NH OR 0.5% NY 0.1% WI 1.3% ID SD 8.0% MA 0.9% 0.4% 0.1% 0.0% RI MI WY 0.4% 1.5% PA NJ <0.1% IA CT NE 3.7% 5.6% 0.2% OH 0.7% 0.4% NV IL IN 1.5%

67. Slide 67: Multifamily mortgage portfolio UPB concentration by state

    Multifamily mortgage portfolio UPB concentration by state1 MF Mortgage Portfolio $132.1B2 As of September 30, 2013 WA ME 3.3% <0.1% ND VT MT 0.1% <0.1% MN 0.0%NH OR 1.2% NY 0.2% 0.8% WI 8.5% MA 1.9% ID SD 0.6% 0.1% 0.1% MI RI WY 1.0% 0.2% <0.1% PA NJ IA CT NE 2.5% 2.8% 0.2% OH 0.9% 0.5% NV IL IN 1.9

68. Slide 68: Multifamily K-deal structure

    Multifamily K-deal structure  K-deals include guaranteed K-Certificates and interest-only classes. The related underlying private label trust includes unguaranteed mezzanine, subordinate and interest-only bonds.  In a typical K-deal, the private-label securities that back the K-Certificates are ge

69. Slide 69: Debt Funding Program

    Debt Funding Program © Freddie Mac 2014

70. Slide 70: Freddie Mac's total debt outstanding

    Freddie Mac’s total debt outstanding ($ Billions) Instrument Type 2010 2011 2012 2013 2014 ® $194.9 $161.3 $118.5 $137.8 $126.6 Short Term Reference Bills & Discount Notes Medium Term Notes (MTNs) MTN Callable 130.3 122.1 99.0 100.0 94.5 Callables with Expired Options 11.7 7.7 7.0 9.0 7.8 MTN Other

71. Slide 71: Freddie Mac's suite of debt products

    Freddie Mac’s suite of debt products $ Billions Debt Securities Outstanding 900 800 700 600 500 400 300 200 100 0 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 1 Short-term Debt Callable Debt MTN Bullet Debt Subordinated Debt US$ Reference Notes® €Reference Notes® Mortgage-Linked Amortizing Note

72. Slide 72: Debt maturity profile

    Debt maturity profile $ Billions 250 200 150 $125 100 $1 50 $68 $69 0 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025+ Long-term Short-term Note: Totals may not recalculate due to rounding. Outstanding balance using par amounts based on settle date. Short-term debt is debt with an origin

73. Slide 73: Debt maturity profile by quarter

    Debt maturity profile by quarter $ Billions 70 60 50 40 $43 $56 $16 30 $10 20 $1 $25 $26 10 $19 $18 $15 $15 $9 $10 0 1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15 4Q15 Long-term Short-term Note: Totals may not recalculate due to rounding. Outstanding balance using par amounts based on settle date. Short-term d

74. Slide 74: Short-term debt balances

    Short-term debt balances Total Short-term Debt Outstanding Total Short-term Debt Outstanding as a % of Total Debt Outstanding $ Billions 350 40% 300 35% 250 30% 200 150 25% 100 Average = 25% 20% 50 0 15% 1Q04 3Q05 1Q07 3Q08 1Q10 3Q11 1Q13 1Q04 3Q05 1Q07 3Q08 1Q10 3Q11 1Q13 Note: Outstanding balance

75. Slide 75: Freddie Mac callable debt issued and called

    Freddie Mac callable debt issued and called Callable Debt 2-Year $ Billions UST Yield 30 0.50 Issued 20 2-Year $16 $16 UST Yield 0.40 $11 $10 $10 10 $8 $8 $8 $6 $7 $7 $6 $5 $5 $6 $3 $4 $3 $4 4 $4 $2 $4 $1 $1 0 0.30 ($2) ($1) ($1) ($0) ($2) ($5) ($3) ($5) ($5) ($5) ($6) (10) ($7) ($7) ($7) ($7) ($7)

76. Slide 76: Demand for our Reference Notes securities over the last 12 months

    Demand for our Reference Notes® securities over the last 12 months Geographical Region Investor Type Central Bank Bank 16% Asia 16% 8% Europe <1% Insurance & Other Pension 3% 7% N. America 88% Other Investment 16% Manager 46% Note: Data reflects orders placed in the company’s US$ Reference Notes® se

77. Slide 77: Demand for our Reference Notes securities

    Demand for our Reference Notes® securities Geographic Region Investor Type 100% 100% Other Other 90% 90% Insurance & Pension 80% North 80% Bank 70% America 70% 60% 60% Investment Manager 50% 50% Europe 40% 40% 30% 30% 20% 20% Central Bank Asia 10% 10% 0% 0% 2004 2005 2006 2007 2008 2009 2010 2011 20

78. Slide 78: Single-Family Securitization

    Single-Family Securitization © Freddie Mac 2014

79. Slide 79: Composition of bond market debt outstanding

    Composition of bond market debt outstanding Outstanding Public and Private Bond Market Debt – $39.3 Trillion 1 Treasury ($11.6) Municipal 30% ($3.7) 9% 2 Agency Debt ($2.0) 5% Corporate Debt ($9.6) 24% 3 MBS ($8.5) 22% 5 Money Market Asset-Backed 4 ($2.7) ($1.2) 7% 3% 1 Interest-bearing marketable p

80. Slide 80: Freddie Mac's mortgage-related securities products

    Freddie 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 REMICs Reference REMIC T-deals/WLR Strips PCs Source: Freddie Mac.

81. Slide 81: Composition of single-family pass-through securities

    Composition of Freddie Mac’s single-family pass-through securities1 2 Adjustable-rate 4% FHA/VA Interest-only <1% 2% 15-year fixed-rate 19% 3 30-year fixed-rate 74% 1 Based on unpaid principal balances of the securities and excludes mortgage-related debt traded, but not yet settled. 2 Portfolio bala

82. Slide 82: Estimated institutional holdings of Agency MBS

    Estimated institutional holdings of Agency MBS $Billions 1,400 1,200 1,000 800 600 400 200 0 Note: Other investors include hedge funds, structured investment vehicles, pension funds, saving institutions, nonprofits and individuals. Source: Freddie Mac, Fannie Mae, Federal Reserve, Inside MBS & ABS,

83. Slide 83: Estimated demand for Agency mortgage-related securities

    Estimated demand for Agency mortgage-related securities $ Billions 250 200 150 100 50 0 -50 -100 1/08 6/08 11/08 4/09 9/09 2/10 7/10 12/10 5/11 10/11 3/12 8/12 1/13 6/13 11/13 Comm Bank PT/CMO Agency Foreign Treasury Fed Note: Presents net purchases/sales of Agency mortgage-related securities by the

84. Slide 84: Estimated Asia net flows into Agencies

    Estimated Asia net flows into Agencies $ Billions 30 20 10 0 -10 -20 -30 1/08 6/08 11/08 4/09 9/09 2/10 7/10 12/10 5/11 10/11 3/12 8/12 1/13 6/13 11/13 Japan China Korea Hong Kong Taiwan Singapore Note: Consists of agency mortgage-related and debt securities which include securities issued by Freddi

85. Slide 85: Agency CMO issuance

    Agency CMO issuance Agency CMO Issuance Agency CMO Outstanding $ Billions $ Billions 500 1,400 400 1,200 1,000 300 800 200 600 400 100 200 0 0 2008 2009 2010 2011 2012 2013 YTD 2008 2009 2010 2011 2012 2013 YTD 2014 2014 Freddie Mac Fannie Mae Ginnie Mae Freddie Mac Fannie Mae Ginnie Mae Source: Blo

86. Slide 86: Composition of collateral underlying Freddie Mac REMICs

    Composition of collateral underlying Freddie Mac REMICs Other ARM Balloon 1% 1% <1% 15-year 15% 20-year 11% 30-year 73% Note: Percentages may not add up to 100% due to rounding. Source: Freddie Mac. Data as of January 31, 2014. 86

87. Slide 87: Freddie Mac structured finance securities

    Freddie Mac structured finance securities1 Bloomberg Outstanding Freddie Mac Collateral Description Ticker Series Balance2 Gold and 75 Day PCs $358.3B 0001 – 4297, REMICs FHR ReREMICs of Existing 4299 $43.4B Multiclass Securities Reference REMICs with Guaranteed Final Gold PCs FHRR R001 – R016 $3.8B

88. Slide 88: Deal structure options

    Deal structure options 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

89. Slide 89: Deal structure options (continued)

    Deal 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

90. Slide 90: 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

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