Attached files
| file | filename |
|---|---|
| 8-K - FORM 8-K - FEDERAL HOME LOAN MORTGAGE CORP | d768481d8k.htm |
| EX-99.1 - EXHIBIT 99.1 - FEDERAL HOME LOAN MORTGAGE CORP | d768481dex991.htm |
 Second Quarter 2014
Financial Results
Supplement
August 7, 2014
Exhibit 99.2 |
 1
Table of contents
Financial Results
Segment Business Information
2 -
Quarterly Financial Results
10 -
Single-Family New Funding Volume
3 -
Comprehensive Income
11 -
Single-Family Guarantee Fees
4 -
Treasury Draw Requests and Dividend Payments
12 -
Single-Family Risk-Sharing Transactions
5 -
Financial Results - Key Drivers
13 -
6 -
Segment Financial Results
14 -
15 -
16 -
Housing Market
17 -
7 -
National Home Prices
18 -
8 -
State-by-State Home Prices: June 2013 to June 2014
19 -
9 -
20 -
21 -
22 -
Single-Family Credit Quality - Purchases
Housing Market Support
Single-Family Credit Quality - Credit Guarantee Portfolio
Multifamily Mortgage Portfolio Attributes
Multifamily Market and Freddie Mac Delinquency Rates
Investments - Purchase Agreement Portfolio Limits
Investments - Mortgage-Related Investments Portfolio Composition
Single-Family Real Estate Owned
Multifamily Business Volume and Portfolio Composition
Multifamily Securitization Volume
Single-Family Mortgage Market and Freddie Mac Delinquency Rates |
  2
Quarterly financial results
Note: Columns and rows may not add due to rounding.
$ Billions
2Q14
vs
1Q14
2Q14
1Q14
1
Net interest income
$3.5
$3.5
($0.0)
2
(Provision) benefit for credit losses
(0.1)
0.6
0.7
3
Derivative losses
(2.4)
(1.9)
0.4
4
Net impairment of available-for-sale
securities recognized in earnings
(0.4)
(0.2)
0.2
5
Other non-interest income
5.8
0.7
(5.1)
6
Non-interest income (loss)
3.1
(1.4)
(4.5)
7
Non-interest expense
(0.8)
(0.7)
0.1
8
Pre-tax income
5.8
2.0
(3.7)
9
Income tax expense
(1.7)
(0.7)
1.1
10
Net income
4.0
1.4
(2.7)
11
Total other comprehensive income,
net of taxes
0.5
0.5
0.0
12
Comprehensive income
$4.5
$1.9
($2.6)
13
Total equity / GAAP net worth (ending balance)
$6.9
$4.3
($2.6) |
 3
Comprehensive income
2
1
A
B
C = A + B
1
$ Billions
2Q12
3Q12
4Q12
1Q13
2Q13
3Q13
4Q13
1Q14
2Q14
$2.9
$5.6
$5.7
$7.0
$4.4
$30.4
$9.8
$4.5
$1.9
Net income
Total other comprehensive income (loss), net of taxes
Comprehensive income
2
Net income and Comprehensive income include $23.9 billion non-cash benefit from releasing the
valuation allowance on deferred tax assets.
Consists of the after-tax changes in: (a) the unrealized gains and losses on
available-for-sale securities; (b) the effective portion of derivatives previously designated as cash flow
hedges; and (c) defined benefit plans. |
 Dividend Payments to Treasury
Draw Requests from Treasury
4
Treasury draw requests and dividend payments
3
Amount
does
not
include
the
September
2014
dividend
obligation
of
$1.9
billion.
4
Annual amounts represent the total draws requested based on Freddie Mac’s
quarterly net deficits for the periods presented. Draw requests are funded in the subsequent quarter
(e.g., $19 million draw request for 1Q12 was funded in 2Q12).
5
Represents quarterly cash dividends paid by Freddie Mac to Treasury during the
periods presented. Through December 31, 2012, Treasury was entitled to receive cumulative
quarterly cash dividends at the annual rate of 10% per year on the liquidation
preference of the senior preferred stock. However, the fixed dividend rate was replaced with a net
worth sweep dividend payment beginning in the first quarter of 2013. See the
company’s Annual Report on Form 10-K for the year ended December 31, 2013 for more information.
$ Billions
5
4
Draws From Treasury
Dividend Payments to Treasury
3
$ Billions
Cumulative
Total
Total Senior Preferred Stock
Outstanding
$72.3
Less:
Initial
Liquidation
Preference
1
Treasury Draws
$71.3
$ Billions
Cumulative
Total
Dividend Payments as of 06/30/14
$86.3
3Q14 Dividend Obligation
$1.9
Total
Dividend
Payments
2
$88.2
$1.0
$44.6
$6.1
$13.0
$7.6
$0.02
$0.0
$0.0
2008
2009
2010
2011
2012
2013
YTD
2014
$0.2
$4.1
$5.7
$6.5
$7.2
$47.6
$14.9
2008
2009
2010
2011
2012
2013
YTD
2014
1
The initial $1 billion liquidation preference of senior preferred stock was issued
to Treasury in September 2008 as consideration for Treasury’s funding commitment. The company
received no cash proceeds as a result of issuing this initial $1
billion liquidation preference of senior preferred stock.
2
Amounts may not add due to rounding. |
 5
1
Includes settlement benefits on private-label securities litigation.
$4.1
$4.3
$3.8
$3.5
$3.5
2Q13
3Q13
4Q13
1Q14
2Q14
$0.6
$1.1
$0.2
($0.1)
$0.6
2Q13
3Q13
4Q13
1Q14
2Q14
$1.4
($0.1)
$1.0
($2.4)
($1.9)
2Q13
3Q13
4Q13
1Q14
2Q14
Net Interest Income
$ Billions
(Provision) Benefit for Credit Losses
$ Billions
Derivative Gains (Losses)
$ Billions
Other Non-Interest Income (Loss)
1
$ Billions
($0.6)
$1.9
$6.1
$5.8
$0.7
2Q13
3Q13
4Q13
1Q14
2Q14
Financial
results
–
key
drivers |
 Segment financial results
$ Billions
Investments
Multifamily
Single-Family
1
Comprehensive Income
Segment Earnings
Segment Other Comprehensive Income (Loss)
$3.8
$0.4
$0.3
6
$0.4
$0.9
$0.6
1
Comprehensive income approximated segment earnings for both the first and second
quarter of 2014. $0.3
$0.6
$3.3
$0.3
$0.6
$0.4
$0.5
($0.1)
$0.5
1Q14
2Q14
1Q14
2Q14
1Q14
2Q14 |
 1
7
National home prices
1
Cumulative decline of 11% since June 2006
2Q14
National home prices use the Freddie Mac House Price Index for the U.S., which is a value-weighted
average of the state indexes where the value weights are based on Freddie Mac’s
single-family credit guarantee portfolio. Other indices of home prices may have different results, as they are determined using different pools of mortgage loans and calculated
under different conventions than Freddie Mac’s. The Freddie Mac House Price Index for the
U.S. is a non-seasonally adjusted monthly series; quarterly growth rates are calculated as
a 3-month change based on the final month of each quarter. Seasonal factors typically result
in stronger house-price appreciation during the second and third quarters. Historical
quarterly growth rates change as new data becomes available. Values for the most recent periods
typically see the largest changes. Cumulative decline calculated as the percent Source: Freddie Mac.
change from June 2006 to June 2014.
|
 1%
AL
4%
AK
8%
4 to 7%
0 to 1%
2 to 3%
0%
AR
8%
AZ
11%
CA
9%
CO
CT 0%
DC 9%
DE 1%
9%
FL
9%
GA
7%
HI
3%
IA
7%
ID
5%
IL
3%
IN
4%
KS
KY 5%
1%
LA
3%
3%
ME
9%
MI
6%
MN
3%
MO
3%
MS
4%
MT
NC 3%
7%
ND
4%
NE
NJ 2%
3%
NM
12%
NV
3%
NY
3%
OH
3%
OK
7%
OR
2%
PA
RI 3%
4%
SC
4%
SD
TN 5%
8%
TX
5%
UT
4%
VA
7%
WA
3%
WI
2%
WV
5%
WY
5%
2%
VT
MD
MA
NH
Home price performance by state
June 2013 to June 2014
1
United States 6%
1
8
6%
The Freddie Mac House Price Index for the U.S. is a value-weighted average of the state indexes
where the value weights are based on Freddie Mac’s single-family credit guarantee
portfolio. Other indices of home prices may have different results, as they are determined using
different pools of mortgage loans and calculated under different conventions. The
Source: Freddie Mac
Freddie Mac House Price Index for the U.S. is a non-seasonally adjusted monthly
series. |
 2009
2010
2011
2012
2013
YTD
2014
9
Housing market support
Number of Families Freddie Mac Helped
to
Own
or
Rent
a
Home
1
In Thousands
Single-Family
Loan
Workouts
2
Number of Loans (000)
1
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. 2
Consists of both home retention actions and foreclosure alternatives.
3
These categories are not mutually exclusive and a borrower in one category may also
be included within 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
or
a
short
sale
or
deed-in-lieu
transaction
in
a
later
period.
Repayment plans
Loan modifications
Forbearance agreements
Short sales and deed-in-lieu of
foreclosure transactions
Home
Retention
Actions
3
Foreclosure
Alternatives
3
Cumulative Since 2009: 11,968
Cumulative Since 2009: 1,017
133
275
208
169
168
64
2,480
2,089
1,830
2,472
2,458
639
2009
2010
2011
2012
2013
YTD
2014 |
 10
Single-family new funding volume
$ Billions
$130
$98
$63
$49
$59
100
64
34
26
26
30
34
29
23
33
2Q13
3Q13
4Q13
1Q14
2Q14
Refi UPB
Purchase UPB |
 11
Single-family guarantee fees
1
Includes
the
effect
of
pricing
adjustments
that
are
based
on
the
relative
performance
of
Freddie
Mac’s
PCs
compared
to
comparable
Fannie
Mae
securities.
2
Effective April 1, 2012, guarantee fees charged on single-family loans sold to
Freddie Mac were increased by 10 basis points. Under the Temporary Payroll Tax Cut Continuation Act
of 2011,
Freddie
Mac
is
required
to
remit
the
proceeds
from
this
increase
to
Treasury.
3
Represents the estimated average rate of management and guarantee fees for new
acquisitions during the period assuming amortization of delivery fees using the estimated life of the
related
loans
rather
than
the
original
contractual
maturity
date
of
the
related
loans.
4
Calculated based on the contractual management and guarantee fee rate as well as
amortization of delivery and other upfront fees (using the original contractual maturity date of the
related loans) for the entire single-family credit guarantee portfolio.
Includes the effect of the legislated 10 basis point increase in guarantee fees that became effective April 1, 2012.
Guarantee Fee Charged on New
Acquisitions
1
In Basis Points (bps), Annualized
Average Management and Guarantee
Rate
on
SF
Portfolio
1
In Basis Points (bps), Annualized
Legislated
10
Basis
Point
Guarantee
Fee
Remitted
to
Treasury
Single-Family Guarantee Fee Charged on New Acquisitions (excluding
amounts
remitted
to
Treasury)
3
2
Average
Management
and
Guarantee
Rate
4
2011: 27 bps
2012: 38 bps
2013: 51 bps |
 Single-family risk-sharing transactions
12
1
Includes the first loss risk held by Freddie Mac.
Structured Agency Credit Risk
(STACR
®
)
Debt Note Issuances
$ Billions
No
Transaction
No
Transaction
$77.4
$553.9
3Q13
4Q13
1Q14
2Q14
$0.5
$0.6
$1.0
$1.0
3Q13
4Q13
1Q14
2Q14
$ Billions
YTD
2014
Cumulative
STACR Issuances
$2.0
$3.1
ACIS Transactions
$0.6
$0.6
Reference Pool UPB
1
$60.6
$118.5
$ Millions
Agency Credit Insurance Structure
(ACIS) Transactions
SM |
 13
Single-family
credit
quality
-
purchases
Weighted
Average
Original
LTV
Ratio
1
Percent (%)
Weighted
Average
Credit
Score
2
1
Relief refinance (includes HARP)
All other
Total purchases
Relief refinance (includes HARP)
All other
Total purchases
Original LTV ratios are calculated as the unpaid principal balance (UPB) of the mortgage Freddie Mac
guarantees including the credit-enhanced portion, divided by the lesser of the appraised
value of the property at the time of mortgage origination or the mortgage borrower’s purchase price. Second liens not owned or guaranteed by Freddie Mac are excluded
2
Credit score data is based on FICO scores at the time of origination and may not be indicative of the
borrowers’ current creditworthiness. FICO scores can range between approximately 300
to 850 points.
from the LTV ratio calculation. The existence of a second lien mortgage reduces the
borrower’s equity in the home and, therefore, can increase the risk of default. |
 Single-family
credit
quality
–
credit
guarantee
portfolio
1
Loans acquired after 2008. Excludes HARP and other relief refinance
loans. 14
Concentration of Credit Risk
Percent (%) as of June 30, 2014
Serious Delinquency Rates
Percent (%)
1
1
56
3
21
7
15
81
8
9
% of Portfolio
% of Credit Losses
New single-family book
HARP and other relief refinance loans
2005 -
2008 legacy single-family book
Pre-2005 legacy single-family book
0.25
0.25
0.24
0.24
0.23
0.63
0.62
0.64
0.65
0.66
9.39
9.15
8.77
8.25
7.93
3.26
3.29
3.24
3.16
3.11
2.79
2.58
2.39
2.20
2.07
2Q
2013
3Q
2013
4Q
2013
1Q
2014
2Q
2014
New single-family book
HARP and other relief refinance loans
2005 -
2008 legacy single-family book
Pre-2005 legacy single-family book
Total |
 15
Single-family real estate owned
Property Inventory
2Q14 Activity
Historical Trend
Ending Property Inventory
((Number of Properties)
((Number of Properties)
43,565
36,134
10,592
(18,023)
03/31/14
Inventory
Acquisitions
Dispositions
06/30/14
Inventory
53k
44k
51k
49k
48k
45k
47k
47k
36k
2Q12
3Q12
4Q12
1Q13
2Q13
3Q13
4Q13
1Q14
2Q14 |
 16
Single-family Serious Delinquency Rates
Single-family mortgage market and Freddie Mac
delinquency rates
0
4
8
12
16
20
24
28
32
Mar-10
Sep-10
Mar-11
Sep-11
Mar-12
Sep-12
Mar-13
Sep-13
Mar-14
18.96%
5.04%
2.20%
2.97%
Total
Mortgage
Market
1
Prime
Subprime
1
Freddie
Mac
2
1
See “MD&A – RISK MANAGEMENT – Credit Risk – Mortgage Credit Risk
– Single-Family Mortgage Credit Risk – Credit Performance – Delinquencies” in Freddie Mac’s Form 10-K
for the year ended December 31, 2013, for information about the company’s reported
delinquency rates. The single-family serious delinquency rate at June 30, 2014 was 2.07%.
2
Source: National Delinquency Survey from the Mortgage Bankers Association. Categories represent
first lien single-family loans. Data is not yet available for the second quarter of
2014.
1 |
 17
Total Multifamily Portfolio
UPB $ Billions
Multifamily business volume and portfolio
composition
Multifamily New Business Volume
$ Billions
1
Primarily K-Deals.
1
$7
$5
$7
$3
$4
2Q13
3Q13
4Q13
1Q14
2Q14
$167
$161
$135
$154
$164
$169
$177
$180
12/31/07
12/31/08
12/31/09
12/31/10
12/31/11
12/31/12
12/31/13
6/30/14
MF unsecuritized loan portfolio
MF investment securities portfolio
MF
guarantee
portfolio |
 18
K-Deal
Securitization
Volume
1
UPB $ Billions
Multifamily securitization volume
1
Total UPB represents the total collateral UPB of multifamily loans sold via Freddie
Mac’s K Certificate transactions. 2
Data as of June 30, 2014.
Note: Totals may not add due to rounding.
2
$2.1
$6.4
$13.7
$21.2
$28.0
$8.4
2009
2010
2011
2012
2013
YTD
2014
2009
2010
2011
2012
2013
YTD
2014
Total
Total UPB
1
$2.1
$6.4
$13.7
$21.2
$28.0
$8.4
$79.9
K-Deal
Transactions
2
6
12
17
19
7
63 |
 19
Current Loan Size
$ Billions as of June 30, 2014
Year of Acquisition or Guarantee
$ Billions as of June 30, 2014
1
Based
on
the
unpaid
principal
balance
(UPB)
of
the
multifamily
mortgage
portfolio.
At June 30, 2014
UPB
$ Billions
Deliquency
Rate
Credit Enhanced
$76.5
0.02%
Non-Credit Enhanced
$56.1
0.02%
Total
$132.6
0.02%
$31.3
$12.1
$10.7
$10.4
$15.5
$23.3
$22.6
$6.7
2007
and
Prior
2008
2009
2010
2011
2012
2013
2014
$50.0
$73.5
$6.0
$2.9
$0.2
> $25M
> $5M &
<=$25M
> $3M &
<= $5M
> $750K &
<= $3M
<= $750K
Multifamily mortgage portfolio attributes
1 |
 0.00%
Multifamily market and Freddie Mac delinquency rates
Percent
1
20
6.50%
0.74%
0.04%
1
0
2
4
6
8
10
12
14
1Q10
3Q10
1Q11
3Q11
1Q12
3Q12
1Q13
3Q13
1Q14
Freddie Mac (60+ day)
FDIC Insured Institutions (90+ day)
MF CMBS Market (60+ day)
ACLI Investment Bulletin (60+ day)
Source: Freddie Mac, FDIC Quarterly Banking Profile, TREPP (CMBS multifamily 60+ delinquency rate,
excluding REOs), American Council of Life Insurers (ACLI). Non-Freddie Mac data is
not yet available for the second quarter of 2014. See “MD&A – RISK MANAGEMENT – Credit Risk – Mortgage Credit Risk –
Multifamily Mortgage Credit Risk ” in Freddie Mac’s Form 10-K for the year ended December 31, 2013, for
information about the company’s reported multifamily delinquency rate. The multifamily
delinquency rate at June 30, 2014 was 0.02%. |
 Mortgage-related investments portfolio ending balance
Mortgage-related investments portfolio limit
21
Indebtedness
1, 3
$ Billions
Mortgage Assets
1, 2
$ Billions
1
2
3
Indebtedness limit
Total debt outstanding
The company’s Purchase Agreement with Treasury limits the amount of mortgage assets the company
can own and indebtedness it can incur. Under the Purchase Agreement, mortgage assets and
indebtedness are calculated without giving effect to the January 1, 2010 change in the accounting guidance related to the transfer of financial assets and
Represents the unpaid principal balance (UPB) of the company’s mortgage-related investments
portfolio. The company discloses its mortgage assets on this basis monthly in its
Represents the par value of the company’s unsecured short-term and long-term debt
securities issued to third parties to fund its business activities. The company discloses its
consolidation of variable interest entities (VIEs). See the company’s Annual Report on Form
10-K for the year ended December 31, 2013 for more information.
Monthly Volume Summary reports, which are available on its Web site and in Current Reports on Form
8-K filed with the Securities and Exchange Commission (SEC). indebtedness on this basis monthly in its Monthly Volume Summary reports, which are available on its
Web site and in Current Reports on Form 8-K filed with the SEC.
Investments – Purchase Agreement portfolio limits |
 1
Based on unpaid principal balances and excludes mortgage-related
securities traded, but not yet settled. The mortgage-related investments portfolio is determined without giving
effect to the January 1, 2010 change in accounting standards related to the
transfer of financial assets and consolidation of variable interest entities (VIEs).
2
Mortgage loans totaled $169.1 billion at June 30, 2014 of which $116.5 billion were
single-family and $52.6 billion were multifamily. 22
Investments
–
mortgage-related
investments
portfolio
composition
Mortgage-Related
Investments
Portfolio
1
$ Billions
2
$755
$697
$653
$558
$461
$420
Mortgage Loans
Non-Freddie Mac Mortgage-Related Securities (Non-Agency)
Non-Freddie Mac Mortgage-Related Securities (Agency)
Freddie Mac PCs and Structured Securities
12/31/09
12/31/10
12/31/11
12/31/12
12/31/13
6/30/14 |
 23
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 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, multifamily and investment businesses, its loan workout initiatives and
other efforts and other programs to assist the U.S. residential mortgage market, liquidity, 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 we guarantee,
and results of operations and financial condition on a GAAP, Segment Earnings 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, 2013, Quarterly Reports on Form 10-Q for
the quarters ended March 31, 2014 and June 30, 2014 and Current Reports on Form 8-K, which
are available on the Investor Relations page of the company’s Web site at
www.FreddieMac.com/investors and the SEC’s Web site at www.sec.gov. The company undertakes no
obligation to update forward-looking statements it makes to reflect events or circumstances
after the date of this presentation. |