Attached files
| file | filename |
|---|---|
| EX-99.1 - EXHIBIT 99.1 - FEDERAL HOME LOAN MORTGAGE CORP | a20174qerexhibit991.htm |
| 8-K - 8-K - FEDERAL HOME LOAN MORTGAGE CORP | a20174qer8kfacing.htm |
Exhibit 99.2
Fourth Quarter 2017
Financial Results Supplement
February 15, 2018
2© Freddie Mac
Adjusted net interest income Adjusted guarantee fee income
1Q17 2Q17 3Q17 4Q17 2016 2017
$1.2 $1.2 $1.1 $1.1
$4.8 $4.6
$1.6 $1.7 $1.8 $1.8
$6.6 $6.8
Corporate Highlights
Key highlightsFinancial highlights
$ Billions
Note: Totals may not add due to rounding.
▪ 4Q17 comprehensive loss of $3.3 billion,
driven primarily by a $5.4 billion write-down
of the net deferred tax asset (DTA).
◦ Comprehensive income, excluding this
write-down1, was $2.1 billion.
▪ 2017 comprehensive income of $5.6 billion,
driven by the $5.4 billion net DTA write-
down in 4Q17, partially offset by a $4.5
billion (pre-tax), or $2.9 billion (after-tax)
litigation settlement in 3Q17.
◦ Comprehensive income, excluding the
write-down and the settlement1, was $8.1
billion.
▪ Total guarantee portfolio grew 6% from
prior year while total investments portfolio
decreased 13%.
Total comprehensive income (loss)
1Q17 2Q17 3Q17 4Q17 2016 2017
$2.2 $2.0
$4.7
-$3.3
$7.1 $5.6
Total guarantee portfolio Total investments portfolio
4Q16 1Q17 2Q17 3Q17 4Q17
$1,913 $1,943 $1,958 $1,984 $2,032
$394 $383 $366 $349 $342
11
($3.3)
3© Freddie Mac
Draw Requests from Treasury Dividend Payments to Treasury
2008 - 2014 2015 2016 2017 Cumulative
Total
$71.3 $71.3
$91.0
$5.5 $5.0
$10.9
$112.4
Corporate Highlights, continued
Treasury draw requests and dividend payments
$ Billions
DFAST3 - Additional draws needed under
severely adverse scenario
$ Billions
Note: Totals may not add due to rounding.
2
with DTA valuation allowance
without DTA valuation allowance
2015 2016 2017 Remaining
PSPA Funding
$62
$53
$43
$34
$26 $21
$140.5
4© Freddie Mac
United States (Not Seasonally Adjusted)
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
168 179
Average monthly net new jobs (non-farm)
National unemployment rate (as of the last month in
each quarter)
4Q16 1Q17 2Q17 3Q17 4Q17
164,000 177,000 190,000 142,000
216,000
4.7% 4.5% 4.3% 4.2% 4.1%
Key Economic Indicators
National home prices increased by an average of 7.1%
over the past year
Quarterly ending interest rates
Unemployment rate and job creation
National home prices have surpassed the 2006 peak
Freddie Mac House Price Index (December 2000 = 100)
(2006 Peak)
30-year PMMS 10-year LIBOR
12/31/2016 3/31/2017 6/30/2017 9/30/2017 12/31/2017
4.32% 4.14%
3.88% 3.83% 3.99%
2.32% 2.39% 2.27% 2.28% 2.39%
5© Freddie Mac
Mortgage-related investments portfolio
Other investments and cash portfolio
12/31/2016 3/31/2017 6/30/2017 9/30/2017 12/31/2017
$298 $291 $284 $267 $253
$96
$394
$92
$383
$82
$366
$82
$349
$89
$342
Single-family credit guarantee portfolio
Multifamily guarantee portfolio
12/31/2016 3/31/2017 6/30/2017 9/30/2017 12/31/2017
$1,755 $1,779 $1,784 $1,800 $1,829
$158
$1,913
$164
$1,943
$174
$1,958
$184
$1,984
$203
$2,032
Total Portfolio Balances
Total debt outstanding6,7
$ Billions
Portfolio balance highlightsTotal guarantee portfolio4
$ Billions ▪ Total guarantee portfolio:
• Single-family - grew $74 billion, or 4% year-over-
year.
• Multifamily - grew $45 billion, or 28% year-over-
year.
▪ Total investments portfolio:
• Mortgage-related investments portfolio -
decreased $45 billion, or 15% year-over-year.
Note: Totals may not add due to rounding.
+6%
-13%
Total investments portfolio
$ Billions
PSPA
2017 Limit
$288B
Unsecured debt Secured debt
Indebtedness limit
12/31/2016 3/31/2017 6/30/2017 9/30/2017 12/31/2017
$353 $351 $334 $312 $306
$3 $8 $6 $9 $10
$479
$407
$357 $359 $340 $321 $317
5
4,6
6© Freddie Mac
Purchase UPB Refinance UPB
4Q16 1Q17 2Q17 3Q17 4Q17
$46 $39 $45 $57 $57
$71
$117
$47
$86
$28
$73
$30
$87
$41
$98
43 44 44 42 36
Core single-family portfolio (loans originated post-2008)
Legacy and relief refinance single-family portfolio
4Q16 1Q17 2Q17 3Q17 4Q17
$1,275 $1,317 $1,343 $1,377 $1,424
$480
$1,755
$462
$1,779
$441
$1,784
$423
$1,800
$405
$1,829
Single-family Financial Highlights and
Key Metrics
Single-family segment earnings
$ Millions
Credit guarantee portfolio
$ Billions
New funding volume
$ Billions
Guarantee fees charged on new acquisitions (bps)8
Serious delinquency rates
+4%
Note: Totals may not add due to rounding.
Core single-family portfolio (loans originated post-2008)
Legacy and relief refinance single-family portfolio
Total
4Q16 1Q17 2Q17 3Q17 4Q17
0.20% 0.19% 0.18% 0.19% 0.35%
2.28% 2.17% 2.07% 2.14%
2.59%
1.00% 0.92% 0.85% 0.86%
1.08%
(73%) (74%) (75%) (77%) (78%)
4Q16 1Q17 2Q17 3Q17 4Q17
$280
$710 $778
$255
$758
7© Freddie Mac
Reference pool UPB at issuance
Reference pool UPB outstanding
2013 2014 2015 2016 2017
$58
$205
$385
$595
$854
$57
$193
$329
$454
$636
3%
12%
19%
26%
35%
Single-family Credit Risk Transfer –
STACR / ACIS
Total Single-family credit guarantee portfolio with
transferred credit risk
$ Billions
Cumulative Single-family transferred credit risk
based on outstanding balance at period end
$ Billions
Outstanding reference pool UPB as a
percentage of total Single-family
portfolio
First loss positions: Retained by Freddie Mac
Mezzanine loss positions: Retained by Freddie Mac
First loss positions: Transferred to third parties
Mezzanine loss positions: Transferred to third parties
12/31/16 3/31/17 6/30/17 9/30/17 12/31/2017
$3.3 $3.6 $4.2 $4.1
$4.6$1.0 $1.1
$1.4 $1.1 $1.5
$1.5 $1.8 $2.2 $2.3 $2.7
$18.3 $19.4
$20.9 $20.3
$21.6
8© Freddie Mac
≤100% AMI >100% AMI
2013 2014 2015 2016 2017
89% 90% 88% 86% 83%
11% 10% 12% 14% 17%
Guarantee Portfolio Mortgage-related Securities
Unsecuritized Loans
12/31/13 12/31/14 12/31/15 12/31/16 12/31/17
$75 $91 $120
$158 $203$33
$25
$19
$13
$7
$59
$167
$53
$169
$49
$188
$42
$213 $39
$249
Multifamily Financial Highlights and Key Metrics
Total portfolio
$ Billions
Multifamily market and Freddie Mac delinquency
rates (%)
Multifamily comprehensive income
$ Millions
Multifamily acquisitions of units by area median
income (% of eligible units acquired)
+49%
(45%) (54%) (64%) (74%) (82%)
Note: Totals may not add due to rounding.
Freddie Mac (60+ day) FDIC Insured Institutions (90+ day)
MF CMBS Market (60+ day)
4Q13 4Q14 4Q15 4Q16 4Q17
0.02
0.15
1.37
4Q16 1Q17 2Q17 3Q17 4Q17
$370
$445 $462
$370
$660
as of
3Q17
9© Freddie Mac
K Certificate UPB SB Certificate UPB
2009-2013 2014 2015 2016 2017
$71.5
$21.3
$35.6
$47.3
$56.7
$1.8
$37.4
$3.9
$51.2 $5.5
$62.2
Purchase Volume Subject to Cap
Purchase Volume not Subject to Cap
2013 2014 2015 2016 2017
$25.9
$25.9 $30.0
$36.5 $33.7
$2.4
$28.3
$17.3
$47.3
$20.3
$56.8
$39.5
$73.2
Multifamily Key Metrics, continued
Multifamily securitization volume
$ Billions
New funding volume
$ Billions
Note: Totals may not add due to rounding.
Cap = $30.0
Cap = $36.5
Cap = $25.9
9
10© Freddie Mac
Mortgage Investments Portfolio
Other Investments and Cash Portfolio
4Q16 1Q17 2Q17 3Q17 4Q17
$230 $225 $222 $207 $196
$96
$326
$92
$317
$82
$304
$82
$289
$89
$285
Liquid Securitization Pipeline
Less Liquid
4Q16 1Q17 2Q17 3Q17 4Q17
$138 $141 $137 $129 $130
$13 $8 $12 $13 $10
$79
$230
$76
$225
$73
$222
$64
$206
$56
$196
Capital Markets Financial Highlights
and Key Metrics
Capital Markets mortgage investments portfolio
$ Billions
Capital Markets comprehensive income
$ Billions
Capital Markets investments portfolio
$ Billions
Capital Markets cash window securitization
$ Billions
-15%
(60%) (63%) (62%) (62%)
Note: Totals may not add due to rounding.
(66%)
-13%
4Q16 1Q17 2Q17 3Q17 4Q17
$48
$31
$25
$32 $35
4Q16 1Q17 2Q17 3Q17 4Q17
$3.2
$1.1 $0.7
$4.0
$0.6
11© Freddie Mac
Loan modifications¹²
Repayment plans¹²
Forbearance agreements¹²
Short sales and deed-in-lieu
of foreclosure transactions¹²
2013 2014 2015 2016 2017
83
67 54 43 45
29
25
21
12 10
12
9
6
5 15
44
168
19
120
13
94
9
69 5
75
Multifamily rental units Purchase borrowers
Refinance borrowers
2013 2014 2015 2016 2017
388 413
650 739 820
515 606
677
745
828
1,555
2,458
608
1,627 910
2,237
937
2,421
663
2,311
Housing Market Support
Number of families Freddie Mac helped
to own or rent a home10
In Thousands
Number of single-family loan workouts11
In Thousands
Note: Totals may not add due to rounding.
Home
Retention
Actions
Foreclosure
Alternatives
12© Freddie Mac
Endnotes
1 For additional information regarding Freddie Mac’s non-GAAP financial measures and reconciliations to the comparable amounts under GAAP, see the company’s Press Release for
the quarter ended December 31, 2017.
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 For additional information, see Regulation and Supervision / Federal Housing Finance Agency / Capital Standards in the company’s Annual Report on Form 10-K for the year ended
December 31, 2017. (DFAST: Dodd-Frank Act Stress Test)
4 Based on unpaid principal balances (UPB) of loans and securities. Excludes mortgage-related securities traded, but not yet settled.
5 Primarily Freddie Mac’s K Certificate and SB (Small Balance) Certificate transactions.
6 The company’s Purchase Agreement with Treasury limits the amount of mortgage assets the company can own and indebtedness it can incur. See the company’s Annual Report on
Form 10-K for the year ended December 31, 2017 for more information.
7 Represents the company’s aggregate indebtedness for purposes of the Purchase Agreement debt cap and primarily includes the par value of other short-term and long-term debt
used to fund its business activities.
8 Represents the estimated average rate of guarantee fees for new acquisitions during the period assuming amortization of upfront 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.
9 Includes K Certificates without subordination, which are fully guaranteed and issued without subordinate or mezzanine securities.
10 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.
11 Consists of both home retention actions and foreclosure alternatives.
12 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.
13© Freddie Mac
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 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 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, 2017,
which is 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 occurring after the date of this presentation.