Freddie Mac · OTC:FMCC

Freddie Mac — Investor Presentation (February 2016)

69 slides from Freddie Mac's investor presentation, February 2016

  1. Slide 1: Freddie Mac Update

    Freddie Mac Update February 2016

  2. Slide 2: Table of contents

    Table of contents Section Page I Freddie Mac Overview 3 II U.S. Housing Market 13 III Credit Guarantee Business 22 IV Investment Management Business 31 V Multifamily Business 36 VI Debt Funding Program 46 VII Single-Family Securitization 53 For more information about Freddie Mac and its business, pl

  3. Slide 3: Freddie Mac Overview

    Freddie Mac Overview © Freddie Mac 3

  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 May 13, 2014, FHFA released its 2014 Strategic Plan, which provides an updated vision of FHFA’s implementation of its obligations as Conservator of Freddie Mac and Fannie Mae (the Enterprises).  The plan sets forth three reformulated strategic goals: » Maintain, in a safe a

  7. Slide 7: 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:

  8. Slide 8: 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

  9. Slide 9: Market presence

    Market presence MBS Issuance Volume $ in Trillions $2.0 $1.9 $1.8 $1.7 $1.6 $1.5 $1.3 $1.2 $1.2 $0.9 $0.1 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 YTD 1 2016 Freddie Mac Fannie Mae Ginnie Mae Private Label YTD 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Enterprises & 44% 62% 95%

  10. Slide 10: Housing market support

    Housing market support Number of Families Freddie Mac Helped Number of Single-Family Loan to Own or Rent a Home1 Workouts2 In Thousands In Thousands Cumulative Since 2009: 15,193 Cumulative Since 2009: 1,167 2,480 2,472 2,458 275 2,237 2,089 1,830 208 1,627 169 168 133 120 94 2009 2010 2011 2012 201

  11. Slide 11: Treasury draw requests and dividend payments

    Treasury draw requests and dividend payments $ Billions Draw Requests From Treasury Dividend Payments to Treasury Cumulative Total Cumulative Total Total Senior Preferred Stock Outstanding $72.3 Dividend Payments as of 12/31/15 $96.5 1 Less: Initial Liquidation Preference 1.0 1Q16 Dividend Obligatio

  12. Slide 12: Investments – Purchase Agreement portfolio limits

    Investments – Purchase Agreement portfolio limits Mortgage Assets 1, 2 Indebtedness 1, 3 $ Billions $ Billions $470 $470 $470 $470 $663 $564 $564 $564 $564 $408 $406 $399 $479 $454 $451 $383 $417 $412 $418 $367 $347 $339 12/31/14 03/31/15 06/30/15 09/30/15 12/31/15 12/31/16 12/31/14 03/31/15 06/30/1

  13. Slide 13: U.S. Housing Market

    U.S. Housing Market © Freddie Mac 13

  14. Slide 14: U.S. single-family mortgage debt in relation to total value of housing stock

    U.S. single-family mortgage debt in relation to total value of housing stock $ Trillions 25 20 Value of U.S. Housing Stock 1 15 Record: $13.3 Trillion $12.4 U.S. Home (2006) Trillion Equity 2 10 5 $9.5 Trillion U.S. Single-family Mortgage Debt Outstanding 0 1990 1992 1995 1997 2000 2002 2005 2007 20

  15. Slide 15: U.S. nominal house prices

    U.S. nominal house prices Percent Annual Changes in National House Prices 16 14 12 10 8 6 4.2%: 1952-2015 Average Growth Rate 5.5% 4 2 0 (2) (4) (6) (8) (10) - Recession Year (12) 1952 1955 1958 1961 1964 1967 1970 1973 1976 1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012 2015 Note: Grow

  16. Slide 16: National home prices

    National home prices1 Cumulative decline of 6% since June 2006 (NSA Series) 170 2015Q4 NSA Index Growth: -0.1% United States (NSA) 2015Q4 SA Index Growth: 1.8% 160 150 140 130 United States (SA) 120 110 Freddie Mac House Price Index (December 2000=100) 100 2005 2006 2007 2008 2009 2010 2011 2012 201

  17. Slide 17: Home price performance by state

    Home price performance by state December 2014 to December 20151 United States 6% NH 12% 8% WA 4% 5% ME 3% MT ND 5% VT 6% 11% MN 3% MA OR 9% 5% 5% NY 6% ID SD WI 6% RI 7% 2% MI 3% WY 5% CT 0% 5% PA NJ 1% IA 5% 12% NE 1% DE 4% 4% 3% OH NV 8% IL IN 2% 10% 3% MD 8% UT 5% 5% WV CO VA CA MO KY 4% DC 7% KS

  18. Slide 18: Vacant housing over/undersupply

    Vacant housing over/undersupply Surplus/Shortage of Vacant Homes (Numbers in Millions) 1.9 For-Rent Inventory (Millions) For-Sale Inventory (Millions) 1.4 0.9 0.4 (0.1) (0.3) (0.6) 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Source: Freddie Mac calculations using

  19. Slide 19: Inventories of homes for sale

    Inventories of homes for sale Months Supply of Homes for Sale 15 14 13 Existing Homes 12 11 10 9 8 7 6 5.2 5 3.9 4 3 New Homes 2 1 0 1976 1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2012 2015 Sources: U.S. Census Bureau and National Association of Realtors. 2015 data as of December 31, 20

  20. Slide 20: Single-family mortgage originations

    Single-family mortgage originations $ Billions 4,000 Refinance Originations Home Purchase Originations 3,000 2,000 $1.6T $1.5T 1,000 0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 Fcst. Fcst. Note: Estimates and forecasts by the Office of the Chief Econom

  21. Slide 21: Housing affordability

    Housing affordability Index 210 200 190 180 170 163 160 150 Average = 140 140 130 120 110 100 90 80 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 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

  22. Slide 22: Credit Guarantee Business

    Credit Guarantee Business © Freddie Mac 22

  23. Slide 23: Total mortgage portfolio

    Total mortgage portfolio $ Billions 2,400 $2,207 $2,251 2,200 $2,165 $2,103 $2,075 2,000 $1,956 $1,915 $1,910 $1,942 $1,944 $1,827 1,800 1,600 1,400 1,200 $1,594 $1,745 1,000 800 600 400 $150 200 $350 $200 0 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 YTD 2016 Outstanding Freddie Mac Mortgage-

  24. Slide 24: Freddie Mac's GSE market share

    Freddie Mac’s GSE market share Freddie Mac share of PC/MBS issuances 45 43% 43% 41% 40% 40 38% 38% 37% 35% 35% 35 30 2007 2008 2009 2010 2011 2012 2013 2014 2015 Source: Freddie Mac and Fannie Mae Monthly Volume Summaries. 2015 data as of December 31, 2015. © Freddie Mac 24

  25. Slide 25: Single-family credit guarantee portfolio by region

    Freddie Mac’s single-family credit guarantee portfolio By region North Central 17% Northeast West 26% 29% Southwest 12% Southeast 16% 1 Based on the unpaid principal balance of the single-family credit guarantee portfolio, which includes unsecuritized single-family mortgage loans held by the company

  26. Slide 26: Single-family mortgage market and Freddie Mac delinquency rates

    Single-family mortgage market and Freddie Mac delinquency rates Single-Family Serious Delinquency Rates Percent 32 28 24 20 16 14.12% 12 8 4 3.44% 1.96% 1.32% 0 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Total Mortgag

  27. Slide 27: Estimated current LTV ratio of single-family credit guarantee 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 69

  28. Slide 28: 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 Score1,3 (Percent) Above 100 620 to 659 Less than 620 4% 5% 2% Above 80 to 100 16% 660 to 699 13% 60 and below 43% 700 to 739 21% 740 and above Above 60 to 80 59% 37% 1 Based on the u

  29. Slide 29: Single-family credit quality - purchases

    Single-family credit quality - purchases Weighted Average Original LTV Ratio1 Percent (%) Weighted Average Credit Score2 756 755 755 756 75 749 750 76 76 74 744 70 70 67 97 91 757 758 759 762 80 77 77 82 76 756 751 71 75 74 747 744 748 66 67 67 68 738 740 727 713 718 2009 2010 2011 2012 2013 2014 20

  30. Slide 30: Single-family credit quality – credit guarantee portfolio

    Single-family credit quality – credit guarantee portfolio Concentration of Credit Risk Serious Delinquency Rates Percent (%) Percent (%) 5.13 4.84 16 4.46 4.28 4.12 18 89 1.88 1.73 1.53 1.41 66 1.32 0.75 0.75 0.70 0.70 0.72 8 0.24 0.22 0.21 0.20 0.21 3 % of Portfolio as of % of Credit Losses for the

  31. Slide 31: Investment Management Business

    Investment Management Business © Freddie Mac 31

  32. Slide 32: Mortgage-related investments portfolio

    Mortgage-related investments portfolio UPB $ Billions $900 $810 $729 $650 $553 $470 $399 2 $755 $339 $697 $653 $558 Portfolio $461 $408 Balance at $347 1/31/2016: $350 Billion 12/31/09 12/31/10 12/31/11 12/31/12 12/31/13 12/31/14 12/31/15 12/31/16 Mortgage-related investments portfolio ending balanc

  33. Slide 33: Mortgage-related investments portfolio composition

    Investments – mortgage-related investments portfolio composition Mortgage-Related Investments Portfolio1 $ Billions $755 $697 $139 $653 $235 $558 $176 $254 $461 $221 $408 $66 $158 $181 $347 $143 $164 $40 $126 $146 $33 $95 $24 $66 $375 $17 $16 $40 $13 $264 $224 $187 $168 $162 $148 12/31/09 12/31/10 1

  34. Slide 34: Portfolio composition, continued

    Investments – mortgage-related investments portfolio composition, continued Liquidity Categories Less Liquid Activity1 $ Billions $ Billions $25.7 $23.5 $461 $20.3 $8.2 $408 $7.0 $3.5 38% $347 $0.3 41% $1.9 $2.9 $0.6 4% 45% 5% $13.1 9% $11.4 $13.8 58% 54% 46% $2.8 $2.9 $0.9 $0.2 12/31/13 12/31/14 12

  35. Slide 35: Interest-rate risk measures

    Interest-rate risk measures Average Monthly PMVS-Level1 Average Monthly Duration Gap2 $ Millions Months $146 6 5 $122 $123 4 $105 3 $90 2 $78 $80 1 $75 $74 $69 0 $61 $62 (1) (2) $37 (3) (4) (5) (6) Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 1 Po

  36. Slide 36: Multifamily Business

    Multifamily Business © Freddie Mac 36

  37. Slide 37: Multifamily market rental vacancy rates

    Multifamily market rental vacancy rates Percent 9 8 7 6 5 4.4% 4 3 2 1 0 1990 1992 1995 1997 2000 2002 2005 2007 2010 2012 2015 Source: Reis U.S. Metro data. 2015 data as of December 31, 2015. © Freddie Mac 37

  38. Slide 38: Apartment price index vs. Freddie Mac house price index

    Apartment price index vs. Freddie Mac house price index U.S. Property Value Index 6% (2000 = 100) Down 170 From Freddie Mac House Price Index1 Prior peak=149.79 Prior 2008Q1 Peak 160 6% Up 150 From Prior Peak 140 130 120 110 100 NCREIF Apartment Index 90 2000 2001 2002 2003 2004 2005 2006 2007 2008

  39. Slide 39: Multifamily total market originations

    Multifamily total market originations $Billions Multifamily Mortgage Originations (Billions of Dollars) Est. Fcst. 240 $225 220 200 $195 180 160 140 120 100 80 60 40 20 0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Sources: FFIEC (HMDA), OTS Thrift Financial Repor

  40. Slide 40: Multifamily business volume and portfolio composition

    Multifamily business volume and portfolio composition Multifamily New Business Volume Total Multifamily Portfolio $ Billions UPB $ Billions $47 $180 $188 $177 $17 $169 $167 $169 $24 $35 $52 $29 $28 $26 $75 $120 $2 $60 $91 $59 $20 $52 $15 $33 $30 $25 $26 $19 $86 $82 $77 $59 $53 $49 2010 2011 2012 201

  41. Slide 41: Multifamily market and Freddie Mac delinquency rates

    Multifamily market and Freddie Mac delinquency rates Percent 14 12 10 8 6 4 2 0.74% 0.33% 0.01% 0 0.00% 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15 Freddie Mac (60+ day)¹ FDIC Insured Institutions (90+ day) MF CMBS Market (60+ day) ACLI Investment Bulletin (6

  42. Slide 42: Multifamily K-deal securities

    Multifamily K-deal securities  Multifamily K Certificates are regularly-issued structured pass-through securities backed by multifamily mortgage loans.  Approximately $128 billion1 of mortgage loans have been securitized into K- Deal securities since 2009.  As of December 31, 2015, two CME2 loans

  43. Slide 43: Multifamily securitization volume

    Multifamily securitization volume K-Deal Securitization Volume1 UPB $ Billions $35.6 $28.0 $21.2 $21.3 $13.7 $6.4 $2.1 2009 2010 2011 2012 2013 2014 2015 2009 2010 2011 2012 2013 2014 2015 Total Total UPB¹ $2.1 $6.4 $13.7 $21.2 $28.0 $21.3 $35.6 $128.4 Number of 2 6 12 17 19 17 30 103 Transactions 1

  44. Slide 44: 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

  45. Slide 45: Multifamily percentage of affordable units financed

    Multifamily percentage of affordable units financed Multifamily Acquisitions of Units by Area Median Income (AMI) % of Eligible Units Acquired 11% 10% 7% 8% 11% 10% 12% 18% 14% 13% 17% 15% 14% 16% 14% 19% 88% of eligible units acquired during the year 67% 63% 58% ended December 61% 61% 59% 62% 31, 2

  46. Slide 46: Debt Funding Program

    Debt Funding Program © Freddie Mac 46

  47. Slide 47: Freddie Mac's total debt outstanding

    Freddie Mac’s total debt outstanding ($ Billions) Instrument Type 2012 2013 2014 2015 YTD 2016 Short Term Overnight Discount Notes - - - $1.0 $1.0 Reference Bills® & Discount Notes 118.5 137.8 134.7 103.1 95.9 Total Short Term $118.5 $137.8 $134.7 $104.1 $96.9 Medium Term Notes (MTNs) MTN Callable $

  48. Slide 48: Freddie Mac's outstanding debt by type

    Freddie Mac’s outstanding debt by type $455 $451 $441 $436 $430 $417 $412 $413 $412 $418 $412 $403 $391 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Discount Notes Term Callable Debt Term Bullet Debt Note: Excludes debt securities of consolidated trusts

  49. Slide 49: Debt maturity profile

    Debt maturity profile $ Billions 180 160 140 120 $96 100 $1 80 60 $94 40 $64 20 0 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 2027+ 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 wi

  50. Slide 50: Debt maturity profile by quarter

    Debt maturity profile by quarter $ Billions 60 50 40 $39 30 $47 $9 20 $2 $24 10 $18 $17 $5 0 1Q16 2Q16 3Q16 4Q16 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 original maturity of les

  51. Slide 51: 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% 250 200 30% 150 25% Average = 25% 100 20% 50 0 15% 4Q06 2Q08 4Q09 2Q11 4Q12 2Q14 4Q15 4Q06 2Q08 4Q09 2Q11 4Q12 2Q14 4Q15 Note: Outstanding balance

  52. Slide 52: Freddie Mac callable debt issued and called

    Freddie Mac callable debt issued and called Callable Debt $ Billions 30 20 Issued $17 $17 $11 $10 $11 $10 $11 $10 10 $9 $8 $9 $8 $9 $8 $7 $5 $5 $5 $5 $5 $4 $4 $3 $4 $4 0 ($2) ($1) ($1) ($2) ($3)($4) ($2)($2) ($4)($5)($4) ($4) ($5) (10) ($7) ($7) ($9) ($9) ($9)($9) ($11) ($10) ($16) ($17) (20) Called

  53. Slide 53: Single-family Securitization

    Single-family Securitization © Freddie Mac 53

  54. Slide 54: Composition of bond market debt outstanding

    Composition of bond market debt outstanding Outstanding Public and Private Bond Market Debt – $39.6 Trillion 1 Treasury Municipal ($12.8) ($3.7) 32% 9% 2 Agency Debt ($2.0) 6 Corporate Debt 5% ($8.2) 21% 3 MBS ($8.8) Money Market 5 22% ($2.7) 4 7% Asset-Backed ($1.4) 4% 1 Interest-bearing marketable

  55. Slide 55: Freddie Mac's mortgage-related securities products

    Freddie Mac’s mortgage-related securities products $ Billions Mortgage-related Securities Products Outstanding 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 REMICs Reference REMIC T-deals/WLR Strips PCs Source: F

  56. Slide 56: Composition of single-family pass-through securities

    Composition of Freddie Mac’s single-family pass-through securities1 15-year fixed-rate 17% 30-year fixed-rate 2 77% Interest-only 1% Adjustable-rate 4% FHA/VA <1% 1 Based on unpaid principal balances (UPB) of the securities. 2 Includes 20-year fixed-rate mortgage loans. Note: Percentages may not add

  57. Slide 57: Single-family credit risk transfer transactions

    Single-family credit risk transfer transactions1 Structured Agency Credit Risk Agency Credit Insurance Structure® (STACR®) Debt Note Issuances (ACIS®) Transactions2 $ Billions $ Billions $6.7 $2.8 $4.9 $4.5 $2.1 $0.7 $1.1 $2.2 $0.1 $0.7 2013 2014 2015 2013 2014 2015 Structure Based Structure Based S

  58. Slide 58: Estimated institutional holdings of Agency MBS

    Estimated institutional holdings of Agency MBS $ Billions 1,800 1,600 1,400 1,200 1,000 800 600 400 200 0 NY Fed US Banks Other Foreign Mutual GSEs REITs Life Insurers Credit State/Local Funds Unions Govts Note: Other investors include hedge funds, structured investment vehicles, pension funds, savi

  59. Slide 59: Estimated demand for Agency mortgage-related securities

    Estimated demand for Agency mortgage-related securities $ Billions 150 100 50 0 (50) (100) 12/08 6/09 12/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15 12/15 Comm Bank PT/CMO Agency Foreign Treasury Fed Note: Presents net purchases/sales of Agency mortgage-related securities by the l

  60. Slide 60: Estimated Asia net flows into Agencies

    Estimated Asia net flows into Agencies $ Billions 30 20 10 0 (10) (20) (30) 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 Japan China Korea Hong Kong Taiwan Singapore Note: Consists of agency mortgage-related and debt securities which include securities issued by Freddie Mac, Fannie Mae, Ginnie Ma

  61. Slide 61: 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 2009 2010 2011 2012 2013 2014 2015 YTD 2009 2010 2011 2012 2013 2014 2015 YTD 2016 2016 Freddie Mac Fannie Mae Ginnie Mae Freddie Mac Fannie Mae Ginnie Mae S

  62. Slide 62: Composition of collateral underlying Freddie Mac REMICs

    Composition of collateral underlying Freddie Mac REMICs Other 3% ARM 15-year Balloon 2% 10% < 1% 20-year 10% 30-year 75% Note: Percentages may not add up to 100% due to rounding. Source: Freddie Mac. Data as of January 31, 2016. © Freddie Mac 62

  63. Slide 63: Freddie Mac and Fannie Mae aggregate fixed-rate prepayment speeds

    Freddie Mac and Fannie Mae aggregate fixed-rate Prepayment speeds 1-Month CPR (%) 35 30 25 20 15 10 5 0 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Freddie Mac CPR Fannie Mae CPR Note: Prepayment speeds expressed in terms of 1-month constant conditional prepayment rates (CPR) as p

  64. Slide 64: MultiLender Giant issuance as percentage of total fixed-rate issuance

    MultiLender 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 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Total Freddie Mac Fixed-Rate Issuance Excluding MultiLender Giant Issuance Total Fred

  65. Slide 65: Freddie Mac fixed-rate issuance – percentage from top sellers

    Freddie Mac fixed-rate issuance – percentage from top 5 sellers Percent 70 60 50 40 30 20 10 0 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Note: Issuance figures based on monthly Freddie Mac fixed-rate issuance volume and includes both Multilender and Single Lender pools. Source: Freddie Mac. D

  66. Slide 66: Freddie Mac structured finance securities

    Freddie Mac structured finance securities1 Bloomberg Outstanding Freddie Mac Collateral Description Ticker Balance2 Gold and 75 Day PCs $320.3B REMICs FHR ReREMICs of Existing $46.8B Multiclass Securities Reference REMICs with Guaranteed Final Gold PCs FHRR $2.1B Freddie Mac Owned T-Deals New or Sea

  67. Slide 67: 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

  68. Slide 68: 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

  69. Slide 69: 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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