Freddie Mac · OTC:FMCC

Freddie Mac — Debt Investor Presentation (October 2005)

13 slides from Freddie Mac's debt investor presentation, October 2005

  1. Slide 1: Reference REMIC Securities: A Mortgage-Backed Securities Investment Innovation

    Reference REMICSM Securities A Mortgage-Backed Securities Investment Innovation Offered by Freddie Mac October 2005

  2. Slide 2: 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

  3. Slide 3: Reference REMIC securities – a structured mortgage-backed securities investment option

    Reference REMICSM securities – a structured mortgage- backed securities investment option ƒ Quarterly issuance of REMIC securities with a guaranteed maturity class (GMC) offered through a syndicate underwriting group ƒ Minimum GMC tranche size of $1 billion with shortened stated final maturity date

  4. Slide 4: Reference REMIC securities offer liquidity, transparency and predictability

    Reference REMIC securities offer liquidity, transparency and predictability ƒ Liquidity » $1 billion GMC minimum tranche size » Broad dealer sponsorship and secondary market support ƒ Transparency » Primary market support through syndicated offerings » Secondary market pricing via TradeWeb and Bloom

  5. Slide 5: Reference REMIC securities offer an unmatched array of attractive features

    Reference REMIC securities offer an unmatched array of attractive features Freddie Mac Syndicated REMIC TBA Specified Reference ABS Callables Securities Passthroughs Pools REMIC TradeWeb Eligibility √ √ √ √ Daily Closes √ √ √ Extension Protection √ √ Some Some Syndicate Led √ √ √ Issuance Calendar √

  6. Slide 6: Key features of the Reference REMIC

    Key features of the Reference REMIC securities Reference REMIC Product Details Underlying PCs PCs underlying the offered GMC are disclosed prior to pricing Varying maturities based on market conditions Guaranteed Maturity Class (GMC) (e.g., 3/5/7/10/12-year) Structure Announced during pre-marketing

  7. Slide 7: Price transparency – Live TradeWeb prices from multiple dealers

    Price transparency – Live TradeWeb prices from multiple dealers Note: Freddie Mac is not responsible for pricing and other information about its securities posted on TradeWeb. 6

  8. Slide 8: Reference REMIC securities can be traded on TradeWeb

    Reference REMIC securities can be traded on TradeWeb Note: Freddie Mac is not responsible for pricing and other information about its securities posted on TradeWeb. 7

  9. Slide 9: Reference REMIC securities access diverse pools of global capital

    Reference REMIC securities access diverse pools of global capital Geographical Area Investor Type Europe Other <1% 13% Bank 25% Investment Asia Manager 45% 19% N. America 55% Insurance & Central Other Pension Bank <1% 17% 26% Note: Data reflects orders placed in Reference REMICSM R-001 and R002. Sou

  10. Slide 10: Reference REMIC R003

    mist We make home possible™ Reference REMICS™ R003

  11. Slide 11: Reference REMIC R003 features 30-year underlying securities

    Reference REMIC R003 features 30-year underlying securities ƒ Underlying securities are 30-year 5.5% Gold and Gold Giant PCs » WAC (Weighted Average Coupon) = 5.905% » WAM (Weighted Average Maturity) = 352 months » WALA (Weighted Average Loan Age) = 6 months ƒ Principal balance of $4 billion with a

  12. Slide 12: WAL profile: Limited extension/contraction of Reference REMIC versus underlying pass-through

    WAL profile: Limited extension/contraction of Reference REMIC versus underlying pass-through ƒ At 121 PSA, Series R003 front sequential extension is 1.7 years less than that of 30- year 5.5s ƒ At 907 PSA, Series R003 front sequential contracts 2.2 years less than 30-year 5.5s Parellel Rate Shift (bp

  13. Slide 13: Principal payment window: Narrower payment window on Reference REMIC

    Principal payment window: Narrower payment window on Reference REMIC ƒ At 121 PSA, Series R003 front sequential principal payment window is 9.9 years versus 29.4 years on 30-year 5.5s ƒ At 907 PSA, Series R003 front sequential contracts principal window is 2.2 years versus 22.7 years on 30-year 5.5s

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