Attached files
| file | filename |
|---|---|
| EX-99.1 - EXHIBIT 99.1 - FEDERAL HOME LOAN MORTGAGE CORP | a20181qerexhibit991.htm |
| 8-K - 8-K - FEDERAL HOME LOAN MORTGAGE CORP | a20181q8kwrapper.htm |
Exhibit 99.2
First Quarter 2018
Financial Results Supplement
May 1, 2018
2© Freddie Mac
Adjusted net interest income Adjusted guarantee fee income
1Q17 2Q17 3Q17 4Q17 1Q18
$1.2 $1.2 $1.1 $1.1 $1.1
$1.6 $1.7
$1.8 $1.8 $1.7
Comprehensive income (loss) Litigation settlement
DTA Write-down
1Q17 2Q17 3Q17 4Q17 1Q18
$2.2 $2.0
$1.8 $2.1
$2.2$2.9
$4.7
$(5.4)
-$3.3
Corporate Highlights
Financial highlights
$ Billions
Note: Totals may not add due to rounding.
▪ 1Q18 comprehensive income of $2.2
billion was driven by the company's
strong competitive fundamentals, a
$0.4 billion benefit from the reduced
corporate tax rate and continued
guarantee book growth.
11
$(3.3)
▪ Adjusted net interest income
remained stable.
▪ Adjusted guarantee fee income
decreased from the prior quarter
primarily driven by lower amortization
of single-family upfront fees resulting
from a decrease in loan prepayments.
3© Freddie Mac
Mortgage-related investments portfolio
Other investments and cash portfolio
3/31/2017 6/30/2017 9/30/2017 12/31/2017 3/31/2018
$291 $284 $267 $253 $241
$92
$383
$82
$366
$82
$349
$89
$342
$70
$311
Single-family credit guarantee portfolio
Multifamily guarantee portfolio
3/31/2017 6/30/2017 9/30/2017 12/31/2017 3/31/2018
$1,779 $1,784 $1,800 $1,829 $1,836
$164
$1,943
$174
$1,958
$184
$1,984
$203
$2,032
$213
$2,049
Total Portfolio Balances
Total debt outstanding4,5
$ Billions
Portfolio balance highlightsTotal guarantee portfolio2
$ Billions ▪ Total guarantee portfolio:
• Single-family - grew $57 billion, or 3% year-over-
year.
• Multifamily - grew $49 billion, or 30% year-over-
year.
▪ Total investments portfolio:
• Mortgage-related investments portfolio -
decreased $50 billion, or 17% year-over-year.
Note: Totals may not add due to rounding.
+5%
-19%
Total investments portfolio
$ Billions
PSPA
2018 Limit
$250B
Unsecured debt Secured debt
Indebtedness limit
3/31/2017 6/30/2017 9/30/2017 12/31/2017 3/31/2018
$351 $334 $312 $306 $271
$8 $6 $9 $10
$10
$407
$346
$359 $340 $321 $317
$282
3
2,4
4© Freddie Mac
Draw Requests from Treasury Dividend Payments to Treasury
2008-2015 2016 2017 2018 YTD Cumulative
Total
$71.3
$0.3
$71.6
$96.5
$5.0
$10.9
$112.4
Conservatorship and Regulatory Matters
Treasury draw requests and dividend payments
$ Billions
DFAST7 - Additional draws needed under
severely adverse scenario
$ Billions
Note: Totals may not add due to rounding.
6
with DTA valuation allowance
without DTA valuation allowance
2015 2016 2017 Remaining
PSPA Funding*
$62
$53
$43
$34
$26 $21
$140.5
*As of 12/31/2017
5© Freddie Mac
Interest-rate Risk Measures
Pre-Hedge Accounting Post-Hedge Accounting
% Change
03/31/17 06/30/17 09/30/17 12/31/17 03/31/18
($3.5) ($3.3)
($2.8) ($3.1) ($3.3)
($1.8) ($1.5)
($1.2)
($0.5) ($0.6)
50%
55% 58%
84% 83%
GAAP Adverse Scenario8 (Before-Tax)
$ Billions
PMVS-Level9 and Average Duration Gap10
$ Millions
PMVS-L (50 bps)
1Q17 2Q17 3Q17 4Q17 1Q18
$5
$9
$35
$17
$8
Average Duration Gap (months)
1Q17 2Q17 3Q17 4Q17 1Q18
0 0 0 0 0
6© Freddie Mac
National home prices have surpassed the 2006 peak
United States (Not Seasonally Adjusted)
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
168
184
Average monthly net new jobs (non-farm)
National unemployment rate (as of the last month in
each quarter)
1Q17 2Q17 3Q17 4Q17 1Q18
177,000 190,000 142,000
221,000 202,000
4.5% 4.3% 4.2% 4.1% 4.1%
Key Economic Indicators
National home prices increased by an average of 7.6%
over the past year
Quarterly ending interest rates
Unemployment rate and job creation
Freddie Mac House Price Index (December 2000 = 100)
(2006 Peak)
30-year PMMS 10-year LIBOR
3/31/2017 6/30/2017 9/30/2017 12/31/2017 3/31/2018
4.14%
3.88% 3.83% 3.99%
4.44%
2.39% 2.27% 2.28% 2.39%
2.78%
7© Freddie Mac
Purchase UPB Refinance UPB
1Q17 2Q17 3Q17 4Q17 1Q18
$39 $45 $57 $57 $38
$47
$86
$28
$73
$30
$87
$41
$98
$28
$66
44 44 42 36 40
Core single-family portfolio (loans originated post-2008)
Legacy and relief refinance single-family portfolio
1Q17 2Q17 3Q17 4Q17 1Q18
$1,317 $1,343 $1,377 $1,424 $1,446
$462
$1,779
$441
$1,784
$423
$1,800
$405
$1,829
$390
$1,836
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)11
Serious delinquency rates
+3%
Note: Totals may not add due to rounding.
Core single-family portfolio (loans originated post-2008)
Legacy and relief refinance single-family portfolio
Total
1Q17 2Q17 3Q17 4Q17 1Q18
0.19% 0.18% 0.19% 0.35% 0.32%
2.17% 2.07% 2.14%
2.59% 2.41%
0.92% 0.85% 0.86%
1.08% 0.97%
(74%) (75%) (77%) (78%) (79%)
1Q17 2Q17 3Q17 4Q17 1Q18
$710 $778
$255
$758 $702
8© Freddie Mac
Reference pool UPB at issuance
Reference pool UPB outstanding
2014 2015 2016 2017 YTD 2018*
$205
$385
$595
$854
$942
$193
$329
$454
$636 $698
12%
19%
26%
35%
38%
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
3/31/17 6/30/17 9/30/17 12/31/17 3/31/18
$3.6 $4.2 $4.1
$4.6 $5.0$1.1
$1.4 $1.1 $1.5
$1.7
$1.8 $2.2 $2.3 $2.7 $3.1
$19.4
$20.9 $20.3
$21.6
$23.2
*As of March 31, 2018
9© Freddie Mac
Multifamily acquisitions of units by area median
income (% of eligible units acquired)
≤100% AMI >100% AMI
2014 2015 2016 2017 YTD 2018*
90% 88% 86% 83% 83%
10% 12% 14% 17% 17%
Guarantee Portfolio Mortgage-related Securities
Unsecuritized Loans
12/31/14 12/31/15 12/31/16 12/31/17 3/31/18
$91 $120 $158
$203 $213$25
$19
$13
$7 $8
$53
$169
$49
$188
$42
$213 $39
$249
$33
$254
Multifamily Financial Highlights and Key Metrics
Total portfolio
$ Billions
Multifamily market and Freddie Mac delinquency
rates (%)
Multifamily comprehensive income
$ Millions
+50%
(54%) (64%) (74%) (82%) (84%)
Note: Totals may not add due to rounding.
*As of March 31, 2018
Freddie Mac (60+ day) FDIC Insured Institutions (90+ day)
MF CMBS Market (60+ day)
1Q14 1Q15 1Q16 1Q17 1Q18
0.02
1.14
1Q17 2Q17 3Q17 4Q17 1Q18
$445 $462
$370
$660
$404
0.15
4Q17
10© Freddie Mac
Multifamily securitization volume12
$ Billions
K Certificate UPB SB Certificate UPB
2009-2013 2014 2015 2016 2017 YTD 2018*
$71.5
$21.3
$35.6
$47.3
$56.7
$14.8
$1.8
$37.4
$3.9
$51.2 $5.5
$62.2
$1.4
$16.2
Purchase Volume Subject to Cap
Purchase Volume not Subject to Cap
2014 2015 2016 2017 YTD 2018*
$25.9 $30.0
$36.5 $33.7
$6.2
$2.4
$28.3
$17.3
$47.3
$20.3
$56.8
$39.5
$73.2
$6.8
$13.0
Multifamily Key Metrics, continued
New funding volume
$ Billions
Note: Totals may not add due to rounding.
*As of March 31, 2018
Cap = $30.0
Cap = $36.5
Cap = $25.9
13
Cap = $35.0
11© Freddie Mac
Mortgage Investments Portfolio
Other Investments and Cash Portfolio
1Q17 2Q17 3Q17 4Q17 1Q18
$225 $222 $207 $196 $190
$92
$317
$82
$304
$82
$289
$89
$285
$70
$260
Liquid Securitization Pipeline
Less Liquid
1Q17 2Q17 3Q17 4Q17 1Q18
$141 $137 $129 $130 $126
$8 $12 $13 $10 $11
$76 $73 $64 $56 $53
$225 $222 $207 $196 $190
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
-16%
(63%) (62%) (62%) (66%)
Note: Totals may not add due to rounding.
(66%)
-18%
1Q17 2Q17 3Q17 4Q17 1Q18
$31
$25
$32
$35
$29
1Q17 2Q17 3Q17 4Q17 1Q18
$1.1 $0.7
$4.0
$0.6 $1.0
12© Freddie Mac
Number of single-family loan workouts15
In Thousands
Housing Market Support
Loan modifications
Repayment plans
Forbearance agreements
Short sales and deed-in-lieu
of foreclosure transactions
2014 2015 2016 2017 YTD 2018*
67
54
43 45
14
25
21
12 10
3
9
6
5 15
8
19
120
13
94
9
69 5
75
1
26
Multifamily rental units Purchase borrowers
Refinance borrowers
2014 2015 2016 2017 YTD 2018*
413
650 739
820
152
606
677
745
828
158
608
1,627 910
2,237
937
2,421
663
2,311
124
434
Number of families Freddie Mac helped
to own or rent a home14
In Thousands
Note: Totals may not add due to rounding.
*As of March 31, 2018
Home
Retention
Actions
Foreclosure
Alternatives
16
16
16
16
13© 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 March 31, 2018.
2 Based on unpaid principal balances (UPB) of loans and securities. Excludes mortgage-related securities traded, but not yet settled.
3 Primarily Freddie Mac’s K Certificate and SB (Small Balance) Certificate transactions.
4 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.
5 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.
6 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.
7 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)
8 The company evaluates the potential benefits of fair value hedge accounting by evaluating a range of interest rate scenarios and identifying which of those scenarios produces the
most adverse GAAP earnings outcome. At March 31, 2018, the GAAP adverse scenario before fair value hedge accounting was a nonparallel shift in which long-term rates decrease
by 100 basis points, while the GAAP adverse scenario after fair value hedge accounting was a non-parallel shift in which short and medium-term rates increase by 100 basis points.
9 Portfolio Market Value Sensitivity (PMVS) is the company's estimate of the change in the market value of its financial assets and liabilities from an instantaneous shock to interest rates,
assuming spreads are held constant and no rebalancing actions are undertaken. PMVS-Level or PMVS-L measures the estimated sensitivity of the company’s portfolio market value to
parallel movements in interest rates.
10 Duration gap measures the difference in price sensitivity to interest rate changes between our financial assets and liabilities and is expressed in months relative to the market value of
assets.
11 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.
12 Excludes other types of Multifamily securitization products.
13 Includes K Certificates without subordination, which are fully guaranteed and issued without subordinate or mezzanine securities.
14 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.
15 Consists of both home retention actions and foreclosure alternatives.
16 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.
14© 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 owns or 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, Quarterly Reports on Form 10-Q for the quarter ended March 31, 2018 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 occurring after the date of this presentation.