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Fannie Mae and Freddie Mac Presentation
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© Freddie Mac 2013
Freddie Mac Update
September 2013
2
Table of contents
For more information about Freddie Mac and its business, please see the company’s filings with the Securities and Exchange Commission, including the company’s Annual Report on Form 10-K for the year ended December 31, 2012, which are available on the Investor Relations page of the company’s Web site at www.FreddieMac.com/investors and the Securities and Exchange Commission’s Web site at www.sec.gov.
Section Page
I
II
III
IV
V
VI
Freddie Mac Overview
U.S. Housing Market
Credit Guarantee Business
Investment Management Business
Multifamily Business
Debt Funding Program
3
23
37
51
56
70
VII
Mortgage Funding 80
© Freddie Mac 2013
Freddie Mac Overview
4
Freddie Mac’s mission
“A primary purpose is to provide stability in the secondary market for home mortgages including mortgages securing housing for low and moderate income families. This can be accomplished through both portfolio purchasing and selling activities, as well as through the securitization of home mortgages.”1
U.S. Residential
Mortgage Market
Mortgage
Investments
Mortgage
Securitization
1 House of Representatives report on FIRREA, No. 54, 101st Congress, 1st Session, Part 3 at 2 (1989).
Freddie Mac
Global Capital
Markets
Mortgage-backed
Securities
Debt
Securities
5
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 and will continue to direct certain of our business activities and strategies
» FHFA delegated certain authority to our Board of Directors to oversee, and to management to conduct, day-to-day operations
Our ability to access funds from the Treasury under the Purchase Agreement is critical to keeping us solvent.
There is significant uncertainty as to whether or when we will emerge from conservatorship, as it has no specified termination date.
Our future structure and role will be determined by the Administration and Congress, and there will likely be significant changes beyond the near term.
6
On February 21, 2012, FHFA sent to Congress a strategic plan for the next phase of the
conservatorships of Freddie Mac and Fannie Mae (the Enterprises).
The plan sets forth three strategic goals:
» Build. Build a new infrastructure for the secondary mortgage market.
» Contract. Gradually contract the Enterprises’ dominant presence in the marketplace while
simplifying and shrinking their operations.
» Maintain. Maintain foreclosure prevention activities and credit availability for new and
refinanced mortgages.
The steps envisioned in the strategic plan are consistent with each of the housing finance reform
frameworks set forth in the Treasury white paper released in February 2011 as well as leading
congressional proposals previously introduced.
The plan envisions actions by the Enterprises that will help establish a new secondary mortgage
market while leaving open options regarding the resolution of the conservatorships and the
degree of government involvement in supporting the secondary mortgage market in the future.
In accomplishing the strategic goals, the plan notes that:
» Public interest is best served by ensuring that the Enterprises have the best available
corporate leaders to carry out the necessary work.
» Managers and staff also have critical roles to play.
FHFA strategic plan
7
2013 Conservatorship scorecard
Strategic Goal Weight Scorecard Objective
BUILD 30%
Common Securitization Platform
Contractual and Disclosure Framework
Uniform Mortgage Data Program
CONTRACT 50%
Single Family: Conduct Risk Transfer Transactions
Multifamily: Reduce New Business
Retained Portfolio: Reduce Balance by Selling Assets
MAINTAIN 20%
Adapt to statutory, regulatory, and market changes by making appropriate
modifications/enhancements to loss mitigation and refinance options
Enhance post-delivery quality control practices and transparency
associated with new representation and warranty framework
Complete representation and warranty demands for pre-conservatorship
loan activity
Develop counterparty risk management standards for mortgage insurers
Incorporate policies related to lender placed insurance within Servicing
Alignment Initiative
8
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:
» Replacement of the fixed dividend rate with a net worth sweep dividend
beginning for the first quarter of 2013
» Accelerated wind-down of the retained portfolio
» Submission of annual risk management plan to Treasury
» Suspension of periodic commitment fee
9
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 policy levers that could be used to wind down Freddie Mac and Fannie Mae, shrink the government’s footprint in housing finance, and help bring private capital back to the mortgage market, including:
– Increasing GSE g-fees
– Phasing in a 10 percent down payment requirement on mortgages insured by Freddie Mac and Fannie Mae
– Reducing conforming loan limits
– Winding down Freddie Mac and Fannie Mae’s investment portfolios, consistent with Freddie Mac and Fannie Mae’s Purchase Agreements with Treasury
The report states that the government is committed to ensuring that the GSEs have sufficient capital to perform under any guarantees issued now or in the future and the ability to meet any of their debt obligations
» The report states that the Administration will not pursue policies or reforms in a way that would impair the GSEs’ ability to honor their obligations
» The report states the Administration’s belief that under the Purchase Agreements there is sufficient funding to ensure the orderly and deliberate wind down of Freddie Mac and Fannie Mae
Source: The Department of the Treasury and U.S. Department of Housing and Urban Development’s “Reforming America’s Housing Finance Market: A Report to Congress”, February
2011.
2005 2006 2007 2008 2009 2010 2011 2012
YTD
2013
Enterprises & Ginnie Mae 44.8% 44.0% 62.1% 95.2% 96.7% 95.9% 97.7% 99.3% 98.3%
Private Label 55.2% 56.0% 37.9% 4.8% 3.3% 4.1% 2.3% 0.7% 1.7%
0.0
0.4
0.8
1.2
1.6
2.0
2.4
2005 2006 2007 2008 2009 2010 2011 2012 YTD2013
$ Trillions
Freddie Mac Fannie Mae Ginnie Mae Private Label
10
Market presence
$1.8T
$1.5T
$1.2T
$1.7T
MBS Issuance Volume
$1.2T
$1.9T
$2.0T $2.2T
$0.9T
1
1 2013 data as of June 30, 2013.
Source: Inside Mortgage Finance.
2,480
2,089
1,830
2,472
1,466
540 600755 723 743
0
500
1,000
1,500
2,000
2,500
3,000
2009 2010 2011 2012 YTD2013
2Q 2012
3Q2012
4Q2012
1Q2013
2Q2013
11
Market liquidity provided
Number of Families Freddie Mac
Helped to Own or Rent a Home1
In Thousands
Purchase and Issuance Volume2, 3
(Single-Family and Multifamily) $ Billions
1 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 Includes cash purchases of single-family and multifamily mortgage loans, issuances of Freddie Mac mortgage-related securities through the company’s guarantor swap program,
issuances of other guarantee commitments and purchases of non-Freddie Mac mortgage-related securities.
3 In the first quarter of 2013, Freddie Mac made certain changes to more closely align the presentation of the company’s single-family and multifamily securitization activities. As a
result, the purchase and issuance volumes for all prior periods have been revised to conform with the current period presentation.
$546
$406
$349
$456
$276
$95 $110 $140 $138 $138
0
100
200
300
400
500
600
2009 2010 2011 2012 YTD2013
2Q 2012
3Q2012
4Q2012
1Q2013
2Q2013
Number of Families Freddie Mac Helped to Own or Rent a Home1 (In Thousands)
Refinance borrowers (includes HARP)
Purchase borrowers
Multifamily rental units
Freddie Mac Purchase and Issuance Volume2
Cumulative Totals
Since 2009
10,337
$2.0 Trillion
7,167
1,751
1,419
0
50
100
150
200
250
300
2009 2010 2011 2012 YTD2013
Number of Loans(000)
0
30
60
2Q 2012 3Q 2012 4Q 2012 1Q 2013 2Q 2013
Number of Loans (000)
Repayment plans
12
Loan modifications Forbearance agreements Short sales and deed-in-lieu of foreclosure transactions
Single-family loan workouts
Home Retention Actions 1 Foreclosure Alternatives 1
133
275
41 208 45 43
1 These categories are not mutually exclusive and a borrower in one category may also be included within another category in the same period. For the periods presented, borrowers
helped through home retention actions in each period may subsequently lose their home through foreclosure or a short sale or deed-in-lieu transaction.
46
169
41
87
Number of Families Avoiding Foreclosure1 (In Thousands)
Families Retaining Homes
Cumulative Totals Since
2009
872
8 out of every 10
0
40
80
120
160
200
2009 2010 2011 2012 YTD2013
Number of Loans(000)
0
10
20
30
2Q 2012 3Q 2012 4Q 2012 1Q 2013 2Q 2013
Number of Loans(000)
No change in terms Term extension
Reduction of contractual interest rate, and in certain cases,
term extension
Rate reduction, term extension and principal forbearance
13
Single-family loan modifications
1 Includes completed loan modifications under HAMP and under the company’s other modification programs. Excludes those loan modification activities for which the borrower has
started the required process, but the modification has not been made permanent or effective, such as loans in a modification trial period.
2 Principal forbearance is a change to a loan’s terms to designate a portion of the principal as non-interest bearing and non-amortizing.
Single-family Loan Modifications
(HAMP and non-HAMP) 1
2
65
170
109 15
21 20
70
21 19
40
14
Single-family refinance activity1
1 Consists of all single-family refinance mortgage loans that the company either purchased or guaranteed during the period, including those associated with other guarantee commitments and
Other Guarantee Transactions. 2 Some loans have multiple borrowers, but the company has counted them as one borrower for this purpose. For the periods presented, a borrower may be counted more than once if the
company purchased more than one refinance loan relating to the same borrower. 3 The relief refinance mortgage initiative is Freddie Mac’s implementation of the Home Affordable Refinance Program (HARP). Under the program, the company allows eligible borrowers who
have mortgages with high current LTV ratios to refinance their mortgages without obtaining new mortgage insurance in excess of what was already in place. HARP is targeted at borrowers
with current LTV ratios above 80%; however, Freddie Mac’s program also allows borrowers with LTV ratios at or below 80% to participate.
2009 2010 2011 20121Q
2013
2Q
2013
Cumulative
Total
Number of Borrowers2 (In Thousands)
Other Refinance 1,595 947 740 996 343 308 4,929
Relief Refinance - LTV ≤ 80% 83 324 268 253 84 89 1,101
Relief Refinance - LTV > 80% to 100% (HARP) 3
72 166 126 191 52 54 661
Relief Refinance - LTV > 100% to 125% (HARP) 3
14 43 59 144 37 36 333
Relief Refinance - LTV > 125% (HARP) 3
0 0 0 99 24 20 143
Total Number of Borrowers 1,764 1,480 1,193 1,683 540 507 7,167
$ Volume (In Billions)
Other Refinance $345 $200 $168 $228 $78 $68 $1,087
Relief Refinance - LTV ≤ 80% $15 $58 $42 $36 $11 $12 $174
Relief Refinance - LTV > 80% to 100% (HARP) 3
$17 $38 $27 $37 $10 $10 $139
Relief Refinance - LTV > 100% to 125% (HARP) 3
$3 $10 $13 $30 $7 $7 $70
Relief Refinance - LTV > 125% (HARP) 3
$0 $0 $0 $20 $5 $3 $28
Total $ Volume $380 $306 $250 $351 $111 $100 $1,498
$(1.1)
$(4.4)
$1.5 $1.8
$2.9
$5.6 $5.7
$7.0
$4.4
(6)
(4)
(2)
0
2
4
6
8
2Q 2011
3Q 2011
4Q 2011
1Q 2012
2Q 2012
3Q2012
4Q2012
1Q2013
2Q2013
$ Billions
Net income (loss)
Total other comprehensive income (loss), net of taxes
Comprehensive income (loss)
15
Comprehensive income (loss)
1
1 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.
A
B
C = A + B
Senior Preferred Stock Purchase Agreement with Treasury
Senior preferred stock outstanding and held by Treasury remained $72.3 billion at June
30, 2013. 1
» Dividend payments do not reduce prior Treasury draws.
» Any future draws will increase the balance of senior preferred stock outstanding.
Since entering conservatorship in September 2008, Freddie Mac has:
» Received cumulative draws of $71.3 billion from Treasury. No draws have been requested for
the past five quarters; last draw request was $19 million for first quarter 2012.
Freddie Mac’s net worth was $7.4 billion at June 30, 2013. As a result:
» The company’s dividend obligation to Treasury will be $4.4 billion in September 2013.
» The company’s aggregate cash dividends paid to Treasury will total approximately $41 billion
including the September obligation.
The amount of remaining Treasury funding currently available to Freddie Mac under the
Purchase Agreement is $140.5 billion. Any future draws will reduce this amount.
1 Senior preferred stock outstanding of $72.3 billion at June 30, 2013 includes cumulative draws of $71.3 billion plus the initial liquidation preference of $1 billion. 16
$0.2 $4.1 $5.7 $6.5 $7.2
$12.8
2008 2009 2010 2011 2012 YTD2Q 2013
$44.6
$6.1
$13.0
$7.6
$0.02 $0.0
2008 2009 2010 2011 2012 YTD2Q 2013
Dividend Payment to Treasury Draw Request from Treasury
17
Treasury draw requests and dividend payments
1 Amounts may not add due to rounding.
2 Data as of June 30, 2013.
3 Amount does not include the September 2013 dividend obligation of $4.4 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 1Q 2012 was funded in 2Q 2012).
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 Quarterly Report on Form 10-Q for the quarter ended June 30, 2013 for more information.
$ Billions
5 4
2, 3 2
($ Billions) Cumulative
Total
Initial Liquidation Preference $1.0
Treasury Draw Requests $71.3
Total Senior Preferred Stock
Outstanding$72.3
($ Billions) Cumulative
Total
Dividend Payments as of 6/30/13 $36.6
3Q 2013 Dividend Obligation $4.4
Total Dividend Payments1 $40.9
Deferred tax asset valuation allowance
A deferred tax asset (DTA) is recorded on the company’s balance sheet and reflects future deductions against the
company’s taxable income. The realization of these net DTAs depends on sufficient taxable income in future periods.
Valuation allowances are recorded to reduce net DTAs when it is more likely than not that a tax benefit will not be
realized. As of June 30, 2013, the company maintains a valuation allowance of $28.6 billion on its net DTAs.
The company determines whether a valuation allowance is necessary on its net DTAs considering objective and
subjective evidence including, but not limited to, the following:
The company’s consideration of evidence requires significant judgments, estimates, and assumptions about inherently
uncertain matters.
If the housing market continues to improve, the company’s positive trend in book and taxable income continues, and
the company retains its positive outlook for book and taxable income, then the company may release its valuation
allowance in 2013. Any release of the valuation allowance would be recognized in income and the company would
expect to report a significant tax benefit and a corresponding increase in net worth in that period. The increase in net
worth would result in an increased dividend obligation to Treasury.
18
Objective Evidence Subjective Evidence
Its cumulative income position for the past three years Difficulty in predicting unsettled circumstances related
to conservatorship
The trend of the company’s financial and tax results
Its estimated 2012 taxable income (loss), which is
expected to be breakeven
Its significant tax net operating loss and low income
housing tax credit carryforwards
Forecasts of future book and tax income
Its access to capital under the agreements associated
with the conservatorship
$558$534 $521
$650 $650 $650 $650
$553
12/31/2012 3/31/2013 6/30/2013 9/30/2013 12/31/2013
Mortgage-related investments portfolio ending balance
Mortgage-related investments portfolio limit
19
Purchase Agreement portfolio limits
Indebtedness 1, 3
($ Billions)
Mortgage Assets 1, 2
($ Billions)
1 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
consolidation of variable interest entities (VIEs). See the company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2013 for more information.
2 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
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).
3 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
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.
4 Limit under the Purchase Agreement, as amended on August 17, 2012.
Indebtedness limit
Total debt outstanding
4
4
4
4
$552 $535 $526
$874.8
$780 $780 $780 $780
$663
12/31/2012 3/31/2013 6/30/2013 9/30/2013 12/31/2013 1/1/2014
47,974 44,628
16,420
(19,766)
3/31/13 Inventory
Acquisitions Dispositions 6/30/13 Inventory
20
Real estate owned1
Property Inventory
2Q 2013 Activity Geographic Distribution2
Based on Number of Properties in Inventory
Historical Trend
Ending Property Inventory
1 Includes single-family and multifamily REO. Multifamily ending property inventory was 6 properties as of March 31, 2013 and 5 properties as of June 30, 2013.
2 Region designation: West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA); Northeast (CT, DE, DC, MA, ME, MD, NH, NJ, NY, PA, RI, VT, VA, WV); Southeast (AL, FL, GA, KY, MS,
NC, PR, SC, TN, VI); North Central (IL, IN, IA, MI, MN, ND, OH, SD, WI); and Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY).
((Number of Properties)
In 2Q13 REO dispositions continued to exceed the volume of REO acquisitions.
The volume of our single-family REO acquisitions in recent periods has been
significantly affected by the length of the foreclosure process and a high volume of
foreclosure alternatives, which result in fewer loans proceeding to foreclosure, and
thus fewer properties transitioning to REO.
The North Central region comprised 40 percent of our REO property inventory at
June 30, 2013. This region generally has experienced more challenging economic
conditions, and includes a number of states with longer foreclosure timelines due to
the local laws and foreclosure process in the region. Seven of the nine states in the
North Central region require a judicial foreclosure process. Foreclosures generally
take longer to complete in states where judicial foreclosures (those conducted under
the supervision of a court) are required than in states where non-judicial
foreclosures are permitted.
61k
48k
60k 61k 59k
53k51k
49k
45k
30,000
40,000
50,000
60,000
70,000
2Q2011
3Q2011
4Q2011
1Q2012
2Q2012
3Q2012
4Q2012
1Q2013
2Q2013
Number of Properties
5k
12k
20k
5k 6k 6k
12k
18k
5k 5k
0
5,000
10,000
15,000
20,000
25,000
Northeast Southeast North Central Southwest West
Number of Properties
3/31/2013 6/30/2013
21
Quarterly Percentages of Modified Single-Family Loans
(HAMP and non-HAMP) 1
Performance of single-family modified loans
1 Represents the percentage of loans that are current and performing (no payment is 30 days or more past due) or have been paid in full. Excludes loans in modification trial periods.
2 Loan modifications are recognized as completed in the quarterly period in which the servicer has reported the modification as effective and the agreement has been accepted by the
company. For loans that have been remodified (e.g., where a borrower has received a new modification after defaulting on the prior modification) the rates reflect the status of each
modification separately. For example, in the case of a remodified loan where the borrower is performing, the previous modification would be presented as being in default in the
applicable period.
Time Since Modification 2Q 2011 3Q 2011 4Q 2011 1Q 2012 2Q 2012 3Q 2012 4Q 2012 1Q 2013
3 to 5 months 83% 81% 86% 85% 87% 84% 85% 86%
6 to 8 months 77% 79% 80% 80% 83% 82% 81% N/A
9 to 11 months 76% 75% 75% 77% 81% 78% N/A N/A
12 to 14 months 73% 71% 73% 76% 78% N/A N/A N/A
15 to 17 months 69% 69% 73% 74% N/A N/A N/A N/A
18 to 20 months 68% 69% 71% N/A N/A N/A N/A N/A
21 to 23 months 68% 67% N/A N/A N/A N/A N/A N/A
24 to 26 months 66% N/A N/A N/A N/A N/A N/A N/A
% Current and Performing
Quarter of Loan Modification Completion2
$3.6 $4.2 $3.8$2.7
$3.0$3.2
20% 20%
34%
39% 41% 45%
0
5
10
15
20
25
30
35
40
45
50
0
1
2
3
4
5
6
12/31/2008 12/31/2009 12/31/2010 12/31/2011 12/31/2012 6/30/2013
Percent(%)
UPB $ Billions
Outstanding repurchase requests
Requests outstanding more than 4 months
$3.0 $3.2
$4.9
($1.7)
($2.9)
UPB ofoutstandingrequests at12/31/2012
New RequestsIssued
RequestsCollected
RequestsCancelled
UPB ofoutstandingrequests at6/30/2013
22
The UPB of outstanding repurchase requests issued to our single-family seller/servicers
based on breaches of representations and warranties increased from $3.0 billion as of
December 31, 2012 to $3.2 billion as of June 30, 2013.1
1 The amount the company expects to collect on outstanding requests is significantly less than the unpaid principal balance (UPB) of the loans subject to repurchase requests primarily because many of these requests are likely to be satisfied by reimbursement of the company’s realized credit losses by seller/servicers, or rescinded in the course of the contractual appeals process. Based on historical loss experience and the fact that many of these loans are covered by credit enhancements (e.g., mortgage insurance), Freddie Mac expects the actual credit losses experienced by the company should it fail to collect on these repurchase requests to also be less than the UPB of the loans.
2 Approximately $1.2 billion of the total amount of repurchase requests outstanding at June 30, 2013 were issued due to mortgage insurance rescission or mortgage insurance claim denial.
3 Repurchase requests outstanding more than four months include repurchase requests for which appeals were pending.
4 Requests collected are based on the UPB of the loans associated with the repurchase request, which in many cases is more than the amount of payments received for reimbursement of losses for requests associated with foreclosed mortgage loans, negotiated settlements and other alternative remedies.
5 During the first half of 2013, repurchase requests related to $2.9 billion of UPB of loans were cancelled, primarily as a result of the servicer providing missing documentation or a successful appeal of the request. In addition, requests cancelled includes $80 million of other items that affect the UPB of the loan while the repurchase request is outstanding, such as a change in UPB due to payments made on the loan, as well as requests deemed uncollectible due to the insolvency or other failure of the counterparty.
Repurchase requests
Trend in Repurchase Requests Outstanding YTD June 2013 Repurchase Request Activity
4
2
$ Billions
3
5
© Freddie Mac 2013
U.S. Housing Market
0
5
10
15
20
25
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
$ Trillions
24
U.S. single-family mortgage debt in relation to total value of
housing stock
1 Value of U.S. housing stock: Federal Reserve Board’s Flow of Funds Accounts, June 6, 2013, Table B.100 (line #49). This figure includes homes with and without underlying
mortgages.
2 U.S. home equity is the difference between the value of the U.S. housing stock and the amount of U.S. single-family mortgage debt outstanding.
3 U.S. single-family mortgage debt outstanding: Federal Reserve Board’s Flow of Funds Accounts, June 6, 2013, Table L.100 (line #26).
Source: Federal Reserve Board’s Flow of Funds Accounts. Data as of March 31, 2013.
$9.1
Trillion
$9.4
Trillion
Value of U.S. Housing Stock1
U.S. Single-family Mortgage Debt Outstanding3
U.S. Home
Equity 2
Record:
$13.5 Trillion
(2006)
-12
-10
-8
-6
-4
-2
0
2
4
6
8
10
12
14
16
195
2
195
4
195
6
195
8
196
0
196
2
196
4
196
6
196
8
197
0
197
2
197
4
197
6
197
8
198
0
198
2
198
4
198
6
198
8
199
0
199
2
199
4
199
6
199
8
200
0
200
2
200
4
200
6
200
8
201
0
201
2
25
- Recession Year
Note: Growth rates for 1952 to 2012 are calculated using the annual average of certain third party and Freddie Mac indices.
Sources: E. H. Boeckh and Associates, Bureau of Labor Statistics, U.S. Census Bureau and Freddie Mac.
U.S. nominal house prices
Annual Changes in National House Prices
Percent
3.9%: 1952-2012
Average Growth Rate
2.5
5.2
2.4
1.3
2.9
4.7
2.6
0.4
1.3
2.2
(0.8)
(1.6)
0.8 0.8
(2.1)
(4.3)
(3.1)
(0.7)
(2.8)
(5.4)
(2.6)
1.2
(0.0)
(1.6)
(0.4)
0.7
(2.5)(2.8)
(1.3)
1.1
(1.1)
(2.1)
0.5
4.1
1.1
0.1
2.7
5.2
(6)
(4)
(2)
0
2
4
6
1Q2004
1Q2005
1Q2006
1Q2007
1Q2008
1Q2009
1Q2010
1Q2011
1Q2012
1Q2013
Percent (%)
1 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 change from June 2006
to June 2013.
Source: Freddie Mac. 26
National home prices have experienced a cumulative decline
of 16% since June 20061
2Q
2013
Home Price Performance By State
June 2006 to June 20131
-9%
AL
6%
AK
≥ 0%
-12 to -1%
≤-21%
-20 to -13%
-1%
AR -32%
AZ
-26%
CA
4%
CO
CT -19%
DC 20%
DE -20%
-37%
FL
-19%
GA
-4%
HI
1%
IA
-16%
ID
-24%
IL -5%
IN
0%
KS KY -1%
2%
LA
-12%
-21%
-10%
ME
-23%
MI
-16%
MN
-14%
MO
-4%
MS
1%
MT
NC -7%
33%
ND
1%
NE
-12%
NM
-45%
NV
-12%
NY
-13%
OH
8%
OK
-14%
OR
-7%
PA
RI -29%
-9%
SC
11%
SD
TN -3%
13%
TX
-1%
UT -14%
VA
-3%
VT
-15%
WA
-15%
WI
1%
WV
6%
WY
-20%
NH
MA
MD
NJ -21%
United States -16%
1 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 Freddie Mac House Price Index for the U.S. is a non-seasonally adjusted monthly series.
Source: Freddie Mac 27
Home Price Performance By State
June 2012 to June 20131
3%
AL
4%
AK
≥ 10%
5 to 9%
0 to 2%
3 to 4%
4%
AR 19%
AZ
23%
CA 10%
CO
CT 2%
DC 14%
DE 1%
14%
FL
12%
GA
10%
HI
2%
IA
9%
ID
5%
IL
4%
IN
3%
KS KY 3%
4%
LA
6%
4%
ME
12%
MI
9%
MN
3%
MO
6%
MS
7%
MT
NC 4%
8%
ND
4%
NE
NJ 3%
2%
NM
30%
NV
1%
NY
4%
OH
5%
OK
14%
OR
2%
PA
RI 2%
4%
SC
6%
SD
TN 5%
7%
TX
13%
UT 5%
VA
11%
WA
2%
WI
2%
WV
3%
WY
3%
2%
VT
6%
MD
MA
NH
United States 9%
1 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 Freddie Mac House Price Index for the U.S. is a non-seasonally adjusted monthly series.
Source: Freddie Mac 28
Vacant housing oversupply
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
2.0
Excess for-Rent Inventory
Excess for-Sale Inventory
Source: Freddie Mac calculations using U.S. Census Bureau data, 2013 data as of June 30, 2013. Negative values reflect undersupply. The under/oversupply of vacant housing was estimated based on the average vacancy rate from 1994Q1 to 2003Q4.
Excess Vacant Homes
(Numbers in Millions)
2003 2004 2005 2006 2007 2008 2009 2010 2000 2001 2002 2011 2012
0.2
29
2013
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
1976 1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009 2013
30
Inventories of homes for sale
Sources: U.S. Census Bureau and National Association of Realtors. 2013 data as of July 31, 2013.
New Homes
Existing Homes
- Recession Year
Months Supply of
Homes for Sale
-100
0
100
200
300
400
500
600
700
800
900
1,000
2005 2000 2004
31
Excess unsold homes for sale
Note: The excess unsold homes were estimated using a vacancy rate of 1.7%, which represents the average vacancy rate from 1996Q1 to 2005Q4.
Source: U.S. Census Bureau.
Annual Data Quarterly Data
Numbers in
Thousands
2006 2007 2008
Excess Unsold Homes for Sale
2009 2010 2011
Q1 Q4 Q1 Q4 Q1 Q4 Q1 Q4 Q1 Q4 Q1 Q4 Q1 Q4 Q1 Q4 Q1
1996 2012 2013
0
1,000
2,000
3,000
4,000
1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012Est.
2013Est.
$ Billions
Refinance Originations
Home Purchase Originations
32 32
Source: U.S. Department of Housing and Urban Development and Federal Financial Institutions Examination Council. 2012 and 2013 data based on the August 2013
estimate of Freddie Mac’s Office of the Chief Economist.
Note: Estimates and forecasts by the Office of the Chief Economist do not necessarily represent the views of Freddie Mac or its management, should not be construed as
indicating Freddie Mac's business prospects or expected results, and are subject to change without notice.
Single-family mortgage originations
$2.1T
$1.8T
3.0
3.5
4.0
4.5
5.0
5.5
0
20
40
60
80
100
120
140
Oct-09 Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12 Apr-13
Freddie Mac Fannie Mae 30-Year Fixed Mortgage Rate
GSE purchases under the Home Affordable Refinance Program
# of Loans
(Thousands)
30-Year Fixed
Mortgage Rate1
(Percent)
33
1 Based on Freddie Mac’s Primary Mortgage Market Survey rate for the last week in the period, which represents the national average mortgage commitment rate to a qualified
borrower exclusive of any fees and points required by the lender on conforming mortgages with LTV ratios of 80%.
2 The Relief Refinance MortgageSM initiative is Freddie Mac’s implementation of the Home Affordable Refinance Program (HARP).
3 Fannie Mae’s Refi PlusTM initiative includes loans refinanced under HARP.
Source: Federal Housing Finance Agency, Freddie Mac. 2013 data as of June 30, 2013.
2 3
80
90
100
110
120
130
140
150
160
170
180
190
200
1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013
34
Housing affordability
Index
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 index above 100 signifies that a median
income family has more than enough income to qualify for a mortgage on a median-priced home. Data seasonally adjusted.
Source: National Association of Realtors. 2013 data as of June 30, 2013.
182
Average = 136
0
20
40
60
80
100
120
140
160
180
200
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
Basis points
35
Effective Jumbo-conforming Interest Rate Spread
Jumbo-conforming spreads
Note: Effective spread adds fees and points to the interest rate.
Source: HSH Associates. Data as of August 30, 2013.
Record: 184 bps
12/19/08
Most recent: 20 bps
08/30/13
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
8.0
8.5
Jan-08
May-08
Sep-08
Jan-09
May-09
Sep-09
Jan-10
Jun-10
Oct-10
Feb-11
Jun-11
Oct-11
Feb-12
Jun-12
Nov-12
Mar-13
Aug-13
Percent
30-Year Conforming 30-Year Conforming Jumbo 30-Year Non-Conforming Jumbo
36
30-year fixed mortgage rates
Note: Points and fees are added to interest rates.
Source: HSH Associates. Data as of August 30, 2013.
4.85%
4.65% 4.75%
© Freddie Mac 2013
Credit Guarantee Business
$332
$189
$1,421
0
200
400
600
800
1,000
1,200
1,400
1,600
1,800
2,000
2,200
2,400
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Outstanding Freddie Mac Mortgage-Related Securities and Other Guarantee Commitments
Mortgage-related Investments Portfolio (PCs, REMICs and Other Structured Securities)
Mortgage-related Investments Portfolio (Non-Freddie Mac Mortgage-Related Securities & Mortgage Loans)
$1,505
$1,684
$1,827
$2,103$2,207
$2,251$2,165
$2,075
$1,956 $1,942
38
1 Includes Freddie Mac mortgage-related securities and other guarantee commitments Freddie Mac held in connection with PC market-making and support activities accomplished
through the Securities Sales & Trading Group business unit and the Money Manager program. These programs ceased in the fourth quarter of 2004.
Note: Totals may not add due to rounding.
Source: Freddie Mac. 2013 data as of July 31, 2013. Figures for 2013 are subject to change.
$1,610
1
$ Billions
$521
Total mortgage portfolio
43% 43%
40%
37% 38%
35% 35%
38%
30
35
40
45
50
2006 2007 2008 2009 2010 2011 2012 YTD 2013
39
Source: Freddie Mac and Fannie Mae Monthly Volume Summaries. Freddie Mac Monthly Volume Summary figures for 2013 are subject to change. 2013 data as of July 31, 2013.
Freddie Mac share of
PC/MBS issuances
Freddie Mac’s GSE market share
40
Freddie Mac’s single-family credit guarantee portfolio by
region1
West
28% Southwest
11%
North Central
18%
Southeast
17%
Northeast
26%
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 on its
consolidated balance sheets and those underlying Freddie Mac mortgage-related securities, or covered by the company's other guarantee commitments.
Source: Freddie Mac. Data as of June 30, 2013.
0
4
8
12
16
20
24
28
32
Dec-08
Mar-09
Jun-09
Sep-09
Dec-09
Mar-10
Jun-10
Sep-10
Dec-10
Mar-11
Jun-11
Sep-11
Dec-11
Mar-12
Jun-12
Sep-12
Dec-12
Mar-13
June-13
Se
rio
us
ly D
eli
nq
ue
nt
(%)
Total Mortgage Market Prime Subprime Freddie Mac
41
1 Source: National Delinquency Survey from the Mortgage Bankers Association. Categories represent first lien single-family loans.
2 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, 2012, for information about the company’s reported delinquency rates.
1 1 1
19.05%
5.88%
3.50% 2.79%
Single-family Serious Delinquency Rates
Mortgage market and Freddie Mac serious delinquency rates
2
56%57%
63%
72%
77%78%
80%
75%
73%
55
60
65
70
75
80
2005 2006 2007 2008 2009 2010 2011 2012 YTD 2013
42
Weighted Average Estimated
Current LTV Ratio (Percent)
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
1 Based on the unpaid principal balance of the single-family credit guarantee portfolio, excluding Other Guarantee Transactions for which the loan characteristics data is not available.
Current LTV ratios are management estimates, which are updated on a monthly basis. Current market values are estimated by adjusting the value of the property at origination
based on changes in the market value of homes in the same geographical area since origination.
Source: Freddie Mac. 2013 data as of June 30, 2013.
740 and above57%
700 to 73921%
660 to 69913%
620 to 6596%
Less than 6203%
60 and below30%
Above 60 to 7016%
Above 70 to 8020%
Above 80 to 9013%
Above 90 to 1008%
Above 100 to 1208%
Above 1205%
43
Risk characteristics of our single-family credit guarantee
portfolio
Estimated Current
Loan-to-Value Ratio1,2
(Percent)
1 Current LTV ratios are management estimates, which are updated on a monthly basis. Current market values are estimated by adjusting the value of the property at origination based
on changes in the market value of homes in the same geographical area since origination.
2 Based on the unpaid principal balance of the single-family credit guarantee portfolio, excluding Other Guarantee Transactions for which the loan characteristics data are not available.
3 Credit score data is at the time of mortgage loan origination and is based on FICO scores. Excludes less than 1% of loans in the portfolio because the FICO scores at origination were
not available at June 30, 2013.
Source: Freddie Mac. Data as of June 30, 2013.
Credit Score2,3
30-year Fixed Rate63%
20-year Fixed Rate5%
15-year Fixed Rate
23%
ARMs3%
Multifamily Conventional
5%Other<1%
30-year Fixed Rate61%
20-year Fixed Rate5%
15-year Fixed Rate17%
IO2%
ARMs4%
Multifamily Conventional
5%
Other8%
44
Total Mortgage Portfolio Purchases
Seven Months Ended July 31, 2013
Composition of our total mortgage portfolio
Total Mortgage Portfolio
As of July 31, 2013
Note: Excludes non-Freddie Mac mortgage-related securities. Percentages may not add up to 100% due to rounding.
Source: Freddie Mac.
$1.8 Trillion $316 Billion
45
Credit quality of single-family credit guarantee portfolio
purchases
1 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
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. 2 Credit score data is based on FICO scores at the time of origination and may not be indicative of the borrowers’ creditworthiness at June 30, 2013. FICO scores can range between
approximately 300 to 850 points. 3 HARP is the portion of the company’s relief refinance initiative targeted at borrowers with current LTV ratios above 80%. In April 2013, HARP was extended by two years to
December 31, 2015.
2009 2010 2011 20121Q
2013
2Q
2013
Weighted Average Original LTV Ratio1
Relief refinance (includes HARP) 80% 77% 77% 97% 93% 91%
All other 66% 67% 67% 68% 68% 70%
Total purchases 67% 70% 70% 76% 74% 75%
Weighted Average Credit Score2
Relief refinance (includes HARP) 738 747 744 740 731 729
All other 757 758 759 762 760 757
Total purchases 756 755 755 756 753 750
2009 2010 2011 20121Q
2013
2Q
2013
Purchase of Relief Refinance Mortgages > 80% LTV (HARP loans)3
$ Billions $19.6 $47.9 $39.7 $86.9 $21.5 $20.3
% of single-family credit guarantee portfolio purchases 4% 12% 12% 20% 16% 16%
$3.1 $3.2 $3.2 $3.3 $2.9 $3.0
$2.5 $2.1
$1.9
$2.5
$3.6
$2.6
$1.8
$0.2
$0.6
($0.7)($0.5) ($0.6)
$39.1 $39.7 $39.5$38.3
$35.8$33.8
$30.9
$28.6$26.4
$5.0
$15.0
$25.0
$35.0
$45.0
($2.0)
($1.0)
$0.0
$1.0
$2.0
$3.0
$4.0
$5.0
$6.0
2Q 2011 3Q 2011 4Q 2011 1Q 2012 2Q 2012 3Q 2012 4Q 2012 1Q 2013 2Q 2013
Period End Balances$ Billions$ Billions
Net Charge-offs Provision (Benefit) Loan Loss Reserves
46
Loan loss reserves
1
1
1 Includes amounts related to certain loans purchased under financial guarantees and reflected within other expenses on the company’s consolidated statements of comprehensive income.
2 Consists of the allowance for loan losses and the reserve for guarantee losses.
2
47
Single-family 2Q 2013 credit losses and REO
by region and state
1 Based on the unpaid principal balance (UPB) of the single-family credit guarantee portfolio at June 30, 2013.
2 UPB amounts exclude $487 million of Other Guarantee Transactions since these securities are backed by non-Freddie Mac issued securities for which loan characteristic data was not available.
3 Based on the number of loans that are three monthly payments or more past due or in the process of foreclosure.
4 Based on the UPB of loans at the time of REO acquisition.
5 Consist of the aggregate amount of charge-offs, net of recoveries, and REO operations expense for 2Q 2013.
6 Region designation: West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA); Northeast (CT, DE, DC, MA, ME, MD, NH, NJ, NY, PA, RI, VT, VA, WV); Southeast (AL, FL, GA, KY, MS, NC, PR, SC, TN, VI); North Central (IL, IN, IA, MI, MN, ND, OH, SD, WI); and Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY).
7 States presented are those with the highest credit losses during the three months ended June 30, 2013.
($ Billions) % of Total
UPB2
($ Millions) % of Total
Serious
Delinquency
Rate3
(%)
2Q 2013
Acquisitions
($ Millions)
REO
Inventory
($ Millions)
% of Total
Inventory ($ Millions) % of Total
Region6
1 West $459 28% $11,314 22% 2.17% $367 $1,044 15% $480 27%
2 Northeast 427 26 17,620 34 3.55% 362 1,000 15 242 14
3 North Central 292 18 6,881 13 2.12% 628 2,400 35 376 21
4 Southeast 275 17 13,553 26 4.19% 827 1,778 26 607 35
5 Southwest 193 11 2,779 5 1.47% 213 605 9 58 3
6 Total $1,646 100% $52,147 100% 2.79% $2,397 $6,827 100% $1,763 100%
State7
7 California $269 16% $5,260 10% 1.71% $133 $461 7% 246 14%
8 Florida 93 6 9,501 18 8.18% 537 1,043 15 496 28
9 Illinois 83 5 3,372 6 3.43% 232 891 13 190 11
10 Washington 55 3 1,824 4 2.93% 77 194 3 65 4
11 Ohio 46 3 1,031 2 2.33% 106 296 4 63 3
12 Michigan 46 3 720 1 1.54% 106 557 8 55 3
13 Nevada 16 1 1,350 3 6.41% 27 56 1 85 5
14 All other 1,038 63 29,089 56 2.45% 1,179 3,329 49 563 32
15 Total $1,646 100% $52,147 100% 2.79% $2,397 $6,827 100% $1,763 100%
Total Portfolio UPB1
Credit Losses5
REO Acquisitions & Balance4Seriously Delinquent Loans
48
Single-family credit guarantee portfolio characteristics1
1 Portfolio characteristics are based on the unpaid principal balance (UPB) of the single-family credit guarantee portfolio. Approximately $1 billion in UPB for Other Guarantee Transactions
is included in total UPB and percentage seriously delinquent but not included in the calculation of other statistics since these securities are backed by non-Freddie Mac issued securities for
which loan characteristic data was not available.
2 For a description of Alt-A, see the “Glossary” in the company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2013.
3 Beginning September 1, 2010, the company fully discontinued purchases of interest-only loans.
4 Represents the FICO score of the borrower at loan origination. The company estimates that less than 1% of loans within the portfolio are missing origination FICO scores and as such are
excluded.
5 Indicates year of loan origination. Calculated based on the loans remaining in the portfolio as of June 30, 2013, rather than all loans originally guaranteed by the company and originated in
the respective year. Each Book Year category represents the percentage of loans referenced in line 1 of the same vertical column.
6 Based on the number of loans that are three monthly payments or more past due or in the process of foreclosure.
Note: Individual categories are not mutually exclusive, and therefore are not additive across columns.
Option FICO FICO
Original
LTV
FICO < 620 &
Original
Attribute Alt-A2
Interest-only3
ARM < 6204
620 - 6594
> 90% LTV > 90%4
1 UPB $ Billions $1,646 $64 $41 $7 $49 $99 $244 $13
2 Percent of Total Portfolio 100% 4% 2% 0% 3% 6% 15% 1%
3 Average UPB per loan $152,797 $152,877 $228,749 $202,641 $126,137 $132,619 $168,148 $134,734
4 Fixed Rate (% of total portfolio) 93% 63% 20% 0% 94% 93% 98% 98%
5 Owner Occupied 90% 82% 81% 76% 95% 94% 91% 96%
6 Original Loan-to-Value (OLTV) 74% 73% 74% 71% 81% 79% 106% 106%
7 OLTV > 90% 15% 4% 3% 2% 26% 22% 100% 100%
8 Current Loan-to-Value (CLTV) 73% 92% 100% 94% 86% 84% 103% 107%
9 CLTV > 90% 21% 52% 62% 51% 42% 38% 72% 73%
10 CLTV > 100% 13% 39% 47% 38% 30% 26% 45% 55%
11 CLTV > 110% 8% 29% 33% 28% 20% 18% 29% 38%
12 Average FICO Score4
739 712 718 711 585 642 724 583
13 FICO < 6204
3% 5% 3% 4% 100% 0% 5% 100%
Book Year5
14 2013 12% 0% 0% 0% 6% 6% 15% 10%
15 2012 24% 0% 0% 0% 10% 10% 35% 22%
16 2011 12% 0% 0% 0% 5% 6% 12% 7%
17 2010 12% 0% 1% 0% 5% 6% 11% 7%
18 2009 10% 0% 1% 0% 4% 5% 5% 4%
19 2008 4% 7% 9% 0% 6% 7% 3% 3%
20 2007 6% 30% 36% 2% 20% 16% 6% 18%
21 2006 4% 27% 28% 10% 11% 11% 3% 6%
22 2005 5% 20% 21% 59% 10% 11% 2% 5%
23 2004 and prior 11% 16% 4% 29% 23% 22% 8% 18%
24 % of Loans with Credit Enhancement 13% 13% 10% 16% 24% 21% 49% 59%
25 % Seriously Delinquent6
2.79% 10.69% 14.56% 14.28% 10.96% 8.02% 3.78% 10.64%
Total Portfolio
as of
June 30, 2013
49
Single-family credit profile by book year and product
feature1
1 Portfolio characteristics are based on the unpaid principal balance (UPB) of the single-family credit guarantee portfolio. Approximately $1 billion in UPB for Other Guarantee Transactions
is included in total UPB and percentage seriously delinquent but not included in the calculation of other statistics since these securities are backed by non-Freddie Mac issued securities
for which loan characteristic data was not available.
2 Indicates year of loan origination. Calculated based on the loans remaining in the portfolio as of June 30, 2013, rather than all loans originally guaranteed by the company and originated
in the respective year.
3 Represents the average of the borrowers’ FICO scores at origination. The company estimates that less than 1% of loans within the portfolio are missing FICO scores and as such are
excluded.
4 Beginning September 1, 2010, the company fully discontinued purchases of interest-only loans.
5 States presented are those with the highest percentage of credit losses during the three months ended June 30, 2013.
6 Based on the number of loans that are three monthly payments or more past due or in the process of foreclosure.
Attribute2013 2012 2011 2010 2009 2008 2007 2006 2005
2004 and
prior
1 UPB $ Billions $1,646 $202 $398 $193 $197 $161 $61 $97 $74 $83 $180
2 Original Loan-to-Value (OLTV) 74% 75% 78% 72% 72% 71% 74% 77% 75% 73% 72%
3 OLTV > 90% 15% 18% 22% 15% 14% 8% 10% 16% 9% 7% 10%
4 Current Loan-to-Value (CLTV) 73% 76% 73% 65% 67% 67% 84% 101% 98% 83% 53%
5 CLTV > 100% 13% 11% 11% 4% 4% 4% 22% 47% 43% 24% 4%
6 CLTV > 110% 8% 7% 8% 2% 2% 1% 12% 34% 31% 16% 2%
7 Average FICO Score3
739 751 754 751 750 748 716 697 703 710 712
8 FICO < 6203
3% 1% 1% 1% 1% 1% 5% 10% 8% 6% 6%
9 Adjustable-rate 7% 3% 4% 7% 4% 1% 7% 11% 18% 21% 11%
10 Interest-only4
2% 0% 0% 0% 0% 0% 7% 15% 16% 10% 1%
11 Investor 5% 8% 6% 5% 4% 3% 8% 7% 6% 5% 5%
12 Condo 8% 7% 6% 6% 6% 7% 11% 11% 12% 12% 8%
Geography5
13 California 16% 20% 20% 16% 15% 12% 15% 16% 15% 15% 12%
14 Florida 6% 4% 4% 4% 4% 4% 8% 10% 12% 11% 8%
15 Illinois 5% 5% 5% 5% 6% 5% 5% 5% 5% 5% 5%
16 Washington 3% 3% 3% 4% 4% 4% 4% 3% 3% 2% 2%
17 Ohio 3% 3% 3% 3% 3% 2% 2% 2% 2% 3% 4%
18 Michigan 3% 3% 3% 2% 2% 2% 1% 2% 2% 3% 5%
19 Nevada 1% 1% 1% 0% 0% 1% 1% 2% 2% 2% 1%
20 All other 63% 61% 61% 66% 66% 70% 64% 60% 59% 59% 63%
21 % of Loans with Credit Enhancement 13% 15% 13% 10% 8% 8% 25% 26% 15% 12% 12%
22 % Seriously Delinquent6
2.79% 0.00% 0.11% 0.35% 0.60% 1.00% 7.13% 12.00% 10.95% 7.07% 3.26%
Total Portfolio
as of
June 30, 2013
Book Year 2
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
7.00%
8.00%
9.00%
10.00%
11.00%
Yr1Q1
Yr1Q3
Yr2Q1
Yr2Q3
Yr3Q1
Yr3Q3
Yr4Q1
Yr4Q3
Yr5Q1
Yr5Q3
Yr6Q1
Yr6Q3
Yr7Q1
Yr7Q3
Yr8Q1
Yr8Q3
Yr9Q1
Yr9Q3
Yr10Q1
Yr10Q3
Yr11Q1
Cu
mu
lati
ve F
ore
clo
su
re T
ran
sfe
r an
d S
ho
rt S
ale
Rate
Quarter Post Origination
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
2012
50
Single-family cumulative foreclosure transfer and short sale
rates1 by book year
1 Rates are calculated for each year of origination as the number of loans that have proceeded to foreclosure transfer or short sale and resulted in a credit loss, excluding any
subsequent recoveries, divided by the number of loans originated in that year that were acquired in the company’s single-family credit guarantee portfolio. Includes Other Guarantee
Transactions where loan characteristic data is available.
2007
2006
2005
2004
2003
2008
2009 2010 2011 2013
Yr11
Q2
© Freddie Mac 2013
Investment Management
Business
$867
$830
$784
$755
$697
$653
$558
$900
$810
$729
$650
$553
$400
$500
$600
$700
$800
$900
$1,000
3/31/2009 6/30/2009 9/30/2009 12/31/2009 12/31/2010 12/31/2011 12/31/2012 12/31/2013
Mortgage-related investments portfolio ending balance
Mortgage-related investments portfolio limit (changes on Dec. 31 annually)
52
Mortgage-related investments portfolio
UPB
$ Billions
1 Represents the unpaid principal balance (UPB) of the company’s mortgage-related investments portfolio. 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 The mortgage-related investments portfolio limit as of December 31, 2013 under the Purchase Agreement, as amended on August 17, 2012.
3 Under FHFA regulation and the Purchase Agreement with Treasury, as amended on August 17, 2012, the company’s mortgage-related investments portfolio is subject to a cap beginning
in 2013 that decreases by 15% each year until the portfolio reaches $250 billion. Prior to the August 17, 2012 amendment, the portfolio was subject to a cap that decreased by 10% each
year.
Source: Freddie Mac. 2013 data as of July 31, 2013. Figures for 2013 are subject to change.
2,3
2
1
Portfolio
Balance at
7/31/2013:
$521 Billion
PCs, REMICs and Other Structured Securities
35%($184.6 B)
Mortgage Loans39%
($201.7 B)
Agency4%
($20.1 B)
Non-Agency Backed by Subprime Loans
8%($41.9 B)
Non-Agency Backed by Alt-A and Other Loans
3% ($13.1 B)
Non-Agency Backed by Option ARM Loans
2%($11.2 B)
OtherNon-Agency
9%($48.5 B)
53
Mortgage-related investments portfolio composition
Mortgage-related Investments Portfolio
$521 billion
Note: Dollars and percentages may not add due to rounding. Credit ratings for most non-agency mortgage-related securities are designated by no fewer than two nationally recognized
statistical rating organizations. Approximately 20% of total non-agency mortgage-related securities held at June 30, 2013 were AAA-rated based on the unpaid principal balance and the
lowest rating available. 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).
Source: Freddie Mac. Data based on unpaid principal balances as of June 30, 2013 and excludes mortgage loans and mortgage-related securities traded, but not yet settled.
54
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).
Note: Percentages may not add due to rounding.
Source: Freddie Mac. Data as of June 30, 2013
Freddie Mac’s mortgage-related investments portfolio product
types
Mortgage-Related
Investments Portfolio1 Non-Freddie Mac MBS1
Non-Freddie Mac MBS
26%
Freddie Mac Single-class
PCs 23%
Freddie Mac Multi-class
REMICs and Other
Structured Securities
12%
Mortgage Loans39%
CMBS32%
Subprime31%
Fannie Mae15%
Alt-A & Other10%
Option ARM8%
Obligations of State and Political Subdivisions
3%
Manufactured Housing
1%
Ginnie Mae<1%
(6)
(5)
(4)
(3)
(2)
(1)
0
1
2
3
4
5
6
Jul12
Aug12
Sept12
Oct12
Nov12
Dec12
Jan13
Feb13
Mar13
Apr13
May13
June13
July13
$33
$253
$371
$204 $205
$363
$203
$255
$301
$355 $359
$286 $263
0
100
200
300
400
500
600
Jul12
Aug12
Sep12
Oct12
Nov12
Dec12
Jan13
Feb13
Mar13
Apr13
May13
June13
July13
$ Millions
55
Average Monthly PMVS-Level1
Interest-rate risk measures
Average Monthly Duration Gap2
Months
1 PMVS is an estimate of the change in the market value of Freddie Mac’s net assets from an instantaneous 50 basis point shock to interest rates, assuming no rebalancing actions
are undertaken and assuming the mortgage-to-LIBOR basis does not change. PMVS-Level or PMVS-L measures the estimated sensitivity of the company’s portfolio market value
to parallel movements in interest rates.
2 Duration gap measures the difference in price sensitivity to interest rate changes between Freddie Mac’s assets and liabilities, and is expressed in months relative to the market
value of assets.
Source: Freddie Mac. 2013 data as of July 31, 2013. Figures for 2013 are subject to change.
© Freddie Mac 2013
Multifamily Business
57
0
1
2
3
4
5
6
7
8
9
1990 1993 1997 2000 2004 2007 2011
Percent
Multifamily market rental vacancy rates
4.3%
Source: Reis U.S. Metro data. 2013 data as of June 30, 2013.
2013
Apartment price index vs. Freddie Mac house price index
90
100
110
120
130
140
150
160
170
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Freddie Mac House Price Index1
NCREIF Apartment Index
8%
Down
16%
Down
U.S. Property
Value Index
(2000 = 100)
58
1 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.
Source: Freddie Mac House Price Index, National Council of Real Estate Investment Fiduciaries. 2013 data as of June 30, 2013.
$145 $150
$160
0
25
50
75
100
125
150
175
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
Multifamily total market originations
Sources: FFIEC (HMDA), OTS Thrift Financial Report, ACLI Investment Bulletin, MBA
Commercial Mortgage Banker Origination Survey, Freddie Mac.
Multifamily Mortgage Originations (Billions of Dollars) Forecast $Billions
Sources: FFIEC (HMDA), OTS Thrift Financial Report, ACLI Investment Bulletin, MBA Commercial Mortgage Banker Origination Survey, Freddie Mac’s Office of the Chief
Economist.
Note: Estimates and forecasts by the Office of the Chief Economist do not necessarily represent the views of Freddie Mac or its management, should not be construed as
indicating Freddie Mac's business prospects or expected results, and are subject to change without notice.
59
$180
$135
$154$164 $169 $177 $180
0
20
40
60
80
100
120
140
160
180
200
12/31/2007 12/31/2008 12/31/2009 12/31/2010 12/31/2011 12/31/2012 6/30/2013
MF loan portfolio MF investment securities portfolio MF guarantee portfolio
UPB$ Billions
60
Total Multifamily (MF) Portfolio
Multifamily portfolio composition
61
Multifamily mortgage portfolio by attribute1
1 Based on the unpaid principal balance (UPB) of the multifamily mortgage portfolio.
2 Based on the UPB of mortgages two monthly payments or more past due or in the process of foreclosure.
3 Based on either: (a) the year of acquisition, for loans recorded on the company’s consolidated balance sheets; or (b) the year that the company issued its guarantee, for the remaining loans in its multifamily mortgage portfolio.
4 Presents the six states with the highest UPB at June 30, 2013.
Year of Acquisition or Guarantee3
1 2004 and prior $11.1 0.22% $8.3 0.19% $7.6 0.06%
2 2005 6.9 0.64 6.3 0.14 6.0 -
3 2006 10.3 0.47 9.5 - 9.2 -
4 2007 19.4 0.73 16.5 0.89 16.1 0.53
5 2008 18.7 0.38 16.0 0.22 15.0 0.11
6 2009 13.1 - 12.1 - 11.8 -
7 2010 12.4 - 11.8 - 11.5 0.08
8 2011 17.5 - 16.9 - 16.6 -
9 2012 12.0 - 25.6 - 24.5 -
10 2013 N/A N/A 6.0 - 13.5 -
Total $121.4 0.27% $129.0 0.16% $131.8 0.09%
Maturity Dates
11 2013 $5.7 0.49% $1.9 1.07% $1.1 1.02%
12 2014 7.3 0.66 5.2 - 4.3 -
13 2015 10.7 0.27 9.2 0.15 8.7 -
14 2016 14.0 0.16 12.6 0.05 12.4 -
15 2017 10.4 0.38 10.6 0.19 10.5 0.45
16 Beyond 2017 73.3 0.22 89.5 0.17 94.8 0.06
Total $121.4 0.27% $129.0 0.16% $131.8 0.09%
Geography4
17 California $21.0 0.14% $21.2 0.10% $21.5 0.04%
18 Texas 14.7 0.50 16.0 0.13 16.2 0.13
19 New York 10.1 0.10 10.8 0.09 11.3 0.09
20 Florida 7.8 - 9.0 0.04 9.2 -
21 Virginia 6.4 - 7.0 - 7.1 0.35
22 Maryland 5.8 - 6.6 - 6.8 -
23 All other states 55.6 0.39 58.4 0.26 59.7 0.09
Total $121.4 0.27% $129.0 0.16% $131.8 0.09%
UPB
($ Billions)
June 30, 2013
UPB
($ Billions)
Delinquency
Rate2
(%)
March 31, 2013
Delinquency
Rate2
(%)
June 30, 2012
Delinquency
Rate2
(%)
UPB
($ Billions)
62
Multifamily mortgage portfolio by attribute, continued1
1 Based on the unpaid principal balance (UPB) of the multifamily mortgage portfolio.
2 Based on the UPB of mortgages two monthly payments or more past due or in the process of foreclosure.
3 DSCR – Debt Service Coverage Ratio – is an indicator of future credit performance for multifamily loans. DSCR estimates a multifamily borrower’s ability to service its mortgage obligation using the secured property’s cash flow, after deducting non-mortgage expenses from income. The higher the DSCR, the more likely a multifamily borrower will be able to continue servicing its mortgage obligation.
Current Loan Size
1 > $25M $44.4 0.12% $49.1 - % $49.9 0.05%
2 > $5M & <= $25M 67.8 0.38 71.0 0.26 73.0 0.09
3 > $3M & <= $5M 5.8 0.15 5.7 0.17 5.8 0.22
4 > $750K & <= $3M 3.2 0.25 3.0 0.56 2.9 0.46
5 <= $750K 0.2 0.67 0.2 0.37 0.2 0.38
6 Total $121.4 0.27% $129.0 0.16% $131.8 0.09%
Legal Structure
7 Unsecuritized Loans $79.6 0.18% $73.7 0.06% $69.4 0.04%
8 Freddie Mac mortgage-related securities 32.3 0.45 46.0 0.35 53.1 0.17
9 Other guarantee commitments 9.5 0.40 9.3 - 9.3 -
10 Total $121.4 0.27% $129.0 0.16% $131.8 0.09%
Credit Enhancement
11 Credit Enhanced $39.5 0.44% $52.2 0.34% $59.3 0.15%
12 Non-Credit Enhanced 81.9 0.19 76.8 0.04 72.5 0.04
13 Total $121.4 0.27% $129.0 0.16% $131.8 0.09%
Other
14 Original LTV > 80% $6.1 2.64% $5.6 2.34% $5.5 0.51%
15 Original DSCR below 1.103
$2.7 2.35% $2.2 3.76% $2.1 0.91%
June 30, 2013
UPB
($ Billions)
Delinquency
Rate2
(%)
March 31, 2013
Delinquency
Rate2
(%)
June 30, 2012
Delinquency
Rate2
(%)
UPB
($ Billions)
UPB
($ Billions)
0
2
4
6
8
10
12
14
1Q 2009 3Q 2009 1Q 2010 3Q 2010 1Q 2011 3Q 2011 1Q 2012 3Q 2012 1Q 2013
Freddie Mac (60+ day) FDIC Insured Institutions (90+ day)
MF CMBS Market (60+ day) ACLI Investment Bulletin (60+ day)
0.01%
Multifamily market and Freddie Mac delinquency rates
Percent
1 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,
2012, for information about the company’s reported multifamily delinquency rate. The multifamily delinquency rate at June 30, 2013 was 0.09%.
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 2013.
63
8.54%
1.35%
0.16%
1
64
Multifamily portfolio net charge-offs1
1 Data point for each quarter equals sum of previous four quarters of net charge-offs, divided by the average multifamily loan portfolio and guarantee portfolio balance.
Source: Freddie Mac. Data as of June 30, 2013.
0
2
4
6
8
10
12
2Q 2005 2Q 2006 2Q 2007 2Q 2008 2Q 2009 2Q 2010 2Q 2011 2Q 2012 2Q 2013
Basis Points
Multifamily K Certificates are regularly-issued structured pass-through securities
backed by multifamily mortgage loans.
More than $63 billion of securities have been issued since the start of the K-deal
program in 2008.
As of July 31, 2013, none of our CME1 loans are delinquent 60 days or more.
1 Reflects performance of K-deals backed by Capital Markets Execution issued since 2008.
Note: Additional information is provided on http://www.freddiemac.com/multifamily/investors/kcerts.html.
Source: Freddie Mac.
Multifamily K-deal securities
65
0
5
10
15
20
25
2009 2010 2011 2012 YTD 2013
UPB$ Billions
Total UPB1
$2.14 $6.44 $13.66 $21.20 $19.19
K-Deals 2 6 12 17 13
Multifamily securitization program
1 Total UPB represents the total collateral UPB associated with each transaction, including the portion Freddie Mac does not guarantee.
Source: Freddie Mac. 2013 data as of August 31, 2013. 66
K-Deal Execution Volume
Multifamily new business volume by state1 (%)
AL
0.8%
AK
0.0%
> 5%
> 3% - 5%
≤ 1%
> 1% - 3%
MF New Business Volume $13.5B Six Months Ended June 30, 2013
AR
<0.1% AZ
3.3%
CA
13.8%
CO
3.2%
CT
0.4%
DC
0.2%
DE
0.5%
FL
10.0%
GA
6.3%
HI
0.0%
IA
0.2%
ID
0.1%
IL
2.7%
IN
0.6%
KS
0.2% KY
0.4%
LA
0.1%
MD
3.0%
ME
0.1%
MI
1.0%
MN
0.5%
MO
0.4%
MS
0.1%
MT
0.0%
NC
2.3%
ND
<0.1%
NE
0.2%
NJ
7.5%
NM
0.1%
NV
1.0%
NY
8.6%
OH
1.4%
OK
0.3%
OR
1.5%
PA
4.5%
RI
0.4%
SC
0.4%
SD
0.0%
TN
0.4%
TX
11.4%
UT
1.1% VA
6.7%
VT
0.0%
WA
3.0%
WI
0.3%
WV
0.0%
WY
<0.1%
NH
0.0%
67 1 Based on the unpaid principal balance (UPB) of the multifamily loan purchases and issuance of other guarantee commitments. Percentages shown above are rounded to the
nearest tenth of a percent although classifications are based on unrounded figures.
MA 1.1%
Multifamily mortgage portfolio UPB concentration by state1
AL
0.9%
AK
0.0%
MF Mortgage Portfolio $131.8B2
As of June 30, 2013
AR
0.3% AZ
2.4%
CA
16.2%
CO
3.0%
CT
0.9%
DC
0.7%
DE
0.2%
FL
7.0%
GA
4.7%
HI
0.2%
IA
0.3%
ID
0.1%
IL
2.6%
IN
0.6%
KS
0.8% KY
0.5%
LA
0.8%
MA 1.9%
MD
5.2%
ME
<0.1%
MI
0.9%
MN
1.2%
MO
1.1%
MS
0.4%
MT
<0.1%
NC
2.8%
ND
0.1%
NE
0.5%
NJ
2.9%
NM
0.3%
NV
1.1%
NY
8.5%
OH
1.9%
OK
0.5%
OR
0.8%
PA
2.6%
RI
0.2%
SC
1.0%
SD
0.1%
TN
1.4%
TX
12.5%
UT
0.6% VA
5.4%
VT
0.0%
WA
3.2%
WI
0.6%
WV
0.1%
WY
<0.1%
NH
0.1%
68
> 5%
> 2% - 5%
≤ 1%
> 1% - 2%
1 Based on the unpaid principal balance (UPB) of unsecuritized mortgage loans, other guarantee commitments, and collateral underlying both Freddie Mac guaranteed mortgage-
related securities and related unguaranteed K Certificates. Percentages shown above are rounded to the nearest tenth of a percent although classifications are based on unrounded
figures. 2 Consists of the UPB of unsecuritized multifamily loans, other guarantee commitments, and guaranteed Freddie Mac mortgage-related securities. Excludes the UPB associated with
unguaranteed K Certificates.
Multifamily K-deal structure
Loans deposited into the
third-party trust by the depositor
Freddie Mac acquires
Guaranteed Bonds and
deposits them into a Freddie
Mac trust
Freddie Mac sells guaranteed
K-Certificates backed by the Guaranteed
Bonds
Senior Investors
Subordinate Investors
Mezzanine Investors
Unguaranteed Mezzanine
Bonds
Unguaranteed Subordinate
Bonds
Freddie Mac sells loans to a
third-party depositor
69
K-deals include guaranteed K-Certificates and interest-only classes. The related
underlying private label trust includes unguaranteed mezzanine, subordinate and
interest-only bonds.
In a typical K-deal, the private-label securities that back the K-Certificates are
generally rated AAA.
© Freddie Mac 2013
Debt Funding Program
($ Billions)
Instrument Type 2009 2010 2011 2012 YTD 2013
Short Term Reference Bills® & Discount Notes $228.0 $194.9 $161.3 $118.5 $136.1
Medium Term Notes (MTNs) MTN Callable 171.4 130.3 122.1 99.0 100.0
Callables with Expired Options 23.0 11.7 7.7 7.0 4.7
MTN Other 115.0 137.5 142.0 102.2 80.6
Freddie Notes 11.5 12.4 4.2 1.2 0.8
Total MTNs $320.9 $291.9 $276.0 $209.5 $186.1
Mortgage-Linked Amortizing Notes®
$0.0 $0.0 $0.0 $1.9 $1.2
Structured Agency Credit Risk Debt Notes - - - - $0.5
Reference Notes® USD Reference Notes
®$253.8 $239.5 $238.1 $225.9 $211.2
€Reference Notes®
3.8 1.6 1.4 1.0 0.5
Total Reference Notes®
$257.6 $241.1 $239.5 $226.8 $211.7
Subordinated Debt $0.9 $0.9 $0.6 $0.6 $0.6
Total Debt Outstanding $807.3 $728.8 $677.5 $557.3 $536.1
71
Freddie Mac’s total debt outstanding
Note: Totals may not recalculate due to rounding. Excludes debt securities of consolidated trusts held by third parties. All figures represent par amounts in USD billions
based on trade date. These figures could differ significantly from proceeds, amortized principal amount and book value figures, particularly for zero-coupon securities. For
non-dollar denominated instruments, the U.S. dollar amounts reflected are based on the exchange rate at issuance. Short-term debt is debt with an original maturity of less
than or equal to one year, except certain medium-term notes that have original maturities of one year or less which are categorized as long-term debt.
Source: Freddie Mac. 2013 data as of August 31, 2013.
0
100
200
300
400
500
600
700
800
900
2004 2005 2006 2007 2008 2009 2010 2011 2012 YTD2013
$ Billions
Short-term Debt Callable Debt
MTN Bullet Debt Subordinated Debt
US$ Reference Notes® €Reference Notes®
Mortgage-Linked Amortizing Notes® Structured Agency Credit Risk Debt Notes
72
1 Includes Callable MTNs, other callable debt securities with expired options and Freddie Notes® securities.
Note: Totals may not recalculate due to rounding. Excludes debt securities of consolidated trusts held by third parties. All figures represent par amounts in USD billions based on
trade date. These figures could differ significantly from proceeds, amortized principal amount and book value figures, particularly for zero-coupon securities. For non-dollar
denominated instruments, the U.S. dollar amounts reflected are based on the exchange rate at issuance. Short-term debt is debt with an original maturity of less than or equal to one
year, except certain medium-term notes that have original maturities of one year or less are categorized as long-term debt.
Source: Freddie Mac. 2013 data as of August 31, 2013.
Freddie Mac’s suite of debt products
Debt Securities Outstanding
1
$43
$82
$76
$59
0
20
40
60
80
100
120
140
160
2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024+
$ Billions
Long-Term Short-Term
73
Debt maturity profile
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 less
than or equal to one year, except certain medium-term notes that have original maturities of one year or less are categorized as long-term debt. Excludes debt securities
of consolidated trusts held by third parties.
Source: Freddie Mac. Data as of August 31, 2013.
$14
$29 $28
$9
$24 $21
$21
$55
$38
$18
$3
0
10
20
30
40
50
60
70
80
90
3Q13 4Q13 1Q14 2Q14 3Q14 4Q14
$ Billions
Long-term Short-term
74
Debt maturity profile by quarter
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 less
than or equal to one year, except certain medium-term notes that have original maturities of one year or less are categorized as long-term debt. Excludes debt securities
of consolidated trusts held by third parties.
Source: Freddie Mac. Data as of August 31, 2013.
0
50
100
150
200
250
300
350
1Q04 2Q06 3Q08 4Q10 1Q13
$ Billions
15%
20%
25%
30%
35%
40%
1Q04 2Q06 3Q08 4Q10 1Q13
Average = 25%
75
Short-term debt balances
Total Short-term Debt Outstanding Total Short-term Debt Outstanding
as a % of Total Debt Outstanding
Note: Outstanding balance using par amounts based on settle date. Short-term debt is debt with an original maturity of less than or equal to one year, except certain
medium-term notes that have original maturities of one year or less are categorized as long-term debt. Excludes debt securities of consolidated trusts held by third parties.
Source: Freddie Mac. 2013 data as of June 30, 2013.
$24
$21
$10
$17
$10
$16 $16
$2$1
$6
$3
$10
$4
$11
$5
$10
$5$7
$8
$1
$8 $7$6
$4 $3
($27)
($19)
($14)
($11)
($13)($12)
($18)
($21)
($11)
($7)
($12)
($5)
($7)
($2)
($5)($7) ($7) ($7)
($11)
($6)
($2)
($8)
($1)
($5)
($1)
0.20
0.25
0.30
0.35
0.40
0.45
0.50
(30)
(20)
(10)
0
10
20
30
Aug-11 Dec-11 Apr-12 Aug-12 Dec-12 Apr-13 Aug-13
$ Billions
Issued
2-YearUST Yield
Called 2-Year UST Yield
2-YearUST Yield
76
Freddie Mac callable debt issued and called
Note: All figures represent par amounts in USD billions based on the trade date.
Source: Freddie Mac. Data as of August 31, 2013.
Callable Debt
Central Bank21%
Investment Manager
57%
Bank9%
Insurance & Pension
5%
Other8%
Asia10%
N. America86%
Other4%
Europe<1%
77
Note: Data reflects orders placed in the company’s US$ Reference Notes® securities syndicated bond offerings. Percentages may not add up to 100% due to rounding.
Source: Freddie Mac. Data for the 12 months ended August 31, 2013.
Geographical Region Investor Type
Demand for our Reference Notes® securities over the last 12
months
Central Bank
Investment Manager
Bank
Insurance & Pension
Other
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Asia
Europe
North America
Other
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
78
Geographic Region Investor Type
Demand for our Reference Notes® securities
Note: Data reflects 6-month moving average of orders placed in the company’s US$ Reference Notes® securities syndicated bond offerings.
Source: Freddie Mac. 2013 data as of August 31, 2013.
Money Manager
38%
Hedge Fund33%
REIT24%
Insurance2%
Bank / Credit Union
4%
Money Manager
39%
Hedge Fund34%
REIT15%
Insurance1%
Bank / Credit Union10%
Pension Fund<1%
Structured Agency Credit Risk (STACRSM) Debt Notes
79 Note: Data reflects final investor distribution for STACR 2013-DN1. Percentages may not add up to 100% due to rounding.
Source: Freddie Mac. Data as of July 31, 2013.
Final Investor Distribution:
Class M-1
Final Investor Distribution:
Class M-2
© Freddie Mac 2013
Mortgage Funding
Municipal ($3.7) 10%
Treasury ($11.3)29%
Agency Debt ($2.1)
5%
MBS ($8.1)21%
Asset-Backed ($1.7)4%
Money Market ($2.5)6%
CorporateDebt ($9.2)24%
81
Composition of bond market debt outstanding
1 Interest-bearing marketable public debt.
2 Includes Freddie Mac, Fannie Mae, Federal Home Loan Banks, Farmer Mac, the Farm Credit System, and federal budget agencies (e.g. TVA).
3 Includes Ginnie Mae, Fannie Mae and Freddie Mac mortgage-backed securities and CMOs, CMBS and private-label MBS/CMOs.
4 Includes auto, credit card, home equity, manufacturing, student loans and other. CDOs of ABS are included.
5 Includes commercial paper, bankers acceptances and large time deposits.
Note: Percentages may not add up to 100% due to rounding.
Source: Securities Industry and Financial Markets Association as of March 31, 2013. Data revised as of June 30, 2013.
Outstanding Public and Private Bond Market Debt – $38.7 Trillion
1
3
5 4
2
0
200
400
600
800
1000
1200
1400
1600
1800
2000
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 June-302013
REMICs Reference REMIC T-deals/WLR Strips PCs
82
Freddie Mac’s mortgage-related securities products
Mortgage-related Securities Products Outstanding
Source: Freddie Mac.
$Billions
30-year fixed-rate74%
15-year fixed-rate19%
Interest-only2%
Adjustable-rate4%
FHA/VA<1%
83
Composition of Freddie Mac’s single-family pass-through
securities1
1 Based on unpaid principal balances of the securities and excludes mortgage-related debt traded, but not yet settled.
2 Portfolio balance includes $1.0 billion in UPB of option ARM mortgage loans as of June 30, 2013.
3 Includes 20-year fixed-rate mortgage loans.
Note: Percentages may not add up to 100% due to rounding.
Source: Freddie Mac. Data as of June 30, 2013.
3
2
0
100
200
300
400
500
2007 2008 2009 2010 2011 2012 2013YTD
Freddie Mac Fannie Mae Ginnie Mae
0
200
400
600
800
1,000
1,200
1,400
2007 2008 2009 2010 2011 2012 2013YTD
Freddie Mac Fannie Mae Ginnie Mae
84
Agency CMO issuance
Source: Bloomberg. 2013 data as of August 31, 2013.
Agency CMO Outstanding Agency CMO Issuance
$ Billions $ Billions
85
Composition of collateral underlying Freddie Mac REMICs
Note: Percentages may not add up to 100% due to rounding.
Source: Freddie Mac. Data as of August 31, 2013.
15-year16%
20-year10%
30-year73%
Balloon<1%
Other<1%
ARM1%
0
200
400
600
800
1,000
1,200
1,400
$Billions
86
Estimated institutional holdings of Agency MBS
Note: Other investors include hedge funds, structured investment vehicles, pension funds, saving institutions, nonprofits and individuals.
Source: Freddie Mac, Fannie Mae, Federal Reserve, Inside MBS & ABS, National Credit Union Administration, and the U.S. Treasury Department.
Data as of December 31, 2012.
-100
-50
0
50
100
150
200
250
1/08 6/08 11/08 4/09 9/09 2/10 7/10 12/10 5/11 10/11 3/12 8/12 1/13 6/13
$ Billions
Comm Bank PT Comm Bank CMO Freddie Fannie Foreign FHLB Treasury Fed
87
Estimated demand for Agency mortgage-related securities
Note: Presents net purchases/sales of Agency mortgage-related securities by the listed institutions, excluding securitization activity. Comm Bank PT and Comm Bank CMO
represent net purchases/sales of Agency mortgage-related securities by commercial banks through passthroughs and CMOs, respectively. Agency mortgage-related securities
include securities issued by Freddie Mac, Fannie Mae and Ginnie Mae.
Source: Federal Reserve Board, Freddie Mac and Fannie Mae Monthly Volume Summaries, Treasury International Capital data, Federal Home Loan Banks, US Treasury
Department, Federal Reserve Bank of New York.
-30
-20
-10
0
10
20
30
1/08 6/08 11/08 4/09 9/09 2/10 7/10 12/10 5/11 10/11 3/12 8/12 1/13 6/13
$ Billions
Japan China Korea Hong Kong Taiwan Singapore
88
Estimated Asia net flows into Agencies
Note: Consists of agency mortgage-related and debt securities which include securities issued by Freddie Mac, Fannie Mae, Ginnie Mae, Federal Home Loan Banks,
Farmer Mac, the Farm Credit System, and federal budget agencies (e.g. TVA).
Source: Treasury International Capital data.
Freddie Mac Collateral Description
Bloomberg
Ticker Series
Outstanding
Balance2
Gold and 75 Day PCs $375.1B
ReREMICs of Existing
Multiclass Securities $35.3B
Reference REMICs with Guaranteed Final Gold PCs FHRR R001 – R016 $4.5B
T-DealsFreddie Mac Owned
New or Seasoned
Private Label ABS
FSPC T001 – T082 $12.3B
Gold and 75 Day PCs $18.9B
Excess Servicing Assets $14.0B
K-DealsFreddie Mac Owned
Multifamily Loans Held as
Private Label ABS
FHMS K001 – K031 $53.5B
Multifamily Variable Rate Certificates
Municipal Bonds Secured by
Tax-Exempt or Taxable
Multifamily Affordable
Housing Loans
FHM
(Tax-Exempt)
FHMT
(Taxable)
M001 – M026 $3.7B
REMICs FHR 0001 – 4245
Strips FHS 001 – 309,311
89
Freddie Mac structured finance securities1
1 Guaranteed as described in the applicable offering documents.
2 Outstanding balance reflects issuance through August 31, 2013.
REMIC Program Feature Benefit
Callable PCs (CPC)Pass-through securities that are backed by a Giant PC and subject to a call option. In the event of a
call, the callable class is paid off at par and the call class receives the underlying Giant PC.
Callable REMIC Classes (CRC)
Pass-through securities that are backed by a REMIC classes and subject to a call option. In the event of
a call, the callable class is paid off at par and the call class receives the underlying REMIC class.
Callable REMIC Classes may also be backed by a callable class of CPCs and will be retired upon
redemption of the collateral.
Guaranteed Maturity Class (GMC)
GMC is a feature added to a REMIC class to provide a stated legal maturity date, at par, guaranteed by
Freddie Mac. GMCs have a final payment date earlier than the latest date by which these Classes might
be retired solely from payments on their underlying assets.
IO/PO Strips
Floater/Inverse Floater
Combinations
Combinations of Floating Rate, Inverse Floating Rate, Floating Rate IO, Inverse Floating Rate IO
certificates that permit holders to exchange classes for combinations of floating rate and inverse floater
rate classes with various margins and caps.
Gold MACSStrip securities that are exchangeable for other classes of the same series having different class
coupons or coupon formulas.
Excess IO Strips (XSIO)Interest Only securities backed by Excess Servicing Spread
1 held by mortgage servicers. Loan
characteristics for the loans backing each issued XSIO security are pooled to mirror PC pooling
practices.
Modifiable And Combinable REMICs
(MACR)
Holders of a MACR Class can exchange all or part of the class for a predetermined proportionate
interest in other specified REMIC or MACR classes, and vice versa.
90
Deal structure options
1 Excess Servicing Spread is the excess of the Servicer retained mortgage servicing fee rate over the Freddie Mac minimum core servicing fee rate of 25 basis points.
91
Deal structure options (continued)
REMIC Program Feature Benefit
REMIC UnwindsPermits the holder of both the REMIC Residual class and 100% of all outstanding REMIC classes
covered by the Residual class to exchange their REMIC interests for all collateral backing the REMIC.
ReREMICPermits the holder of any portion of an issued REMIC class to use that class as collateral to back a
subsequent REMIC.
Retail ClassesRetail classes are designed primarily for individual investors and are typically issued and receive
principal in $1,000 increments.
Reverse REMICPermits the holder of a pro-rata portion of all outstanding REMIC classes within a REMIC group to
recombine their interests for a pro-rata portion of the underlying REMIC collateral.
Single Group Residual
Simplifies the REMIC Unwind feature for the holder of the Residual class and 100% of all outstanding
REMIC classes issued a single REMIC Group. Holder exchanges its interests for all collateral backing
the specific REMIC Group.
Syndicated IO/PO StripsCollateral is stripped into separate Interest Only and Principal Only securities with transactions
underwritten and distributed by a syndicate of dealers.
92
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 efforts under the MHA Program, the servicing alignment initiative and other programs to assist the U.S. residential mortgage market, future business plans, liquidity, capital management, economic and market conditions and trends, market share, the effect of legislative and regulatory developments, implementation of new accounting guidance, credit losses, internal control remediation efforts, 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-to-debt option-adjusted spread, credit outlook, actions by FHFA, Treasury, the Federal Reserve, the SEC, HUD, other federal agencies, the Administration 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, 2012, Quarterly Reports on Form 10-Q for the quarters ended March 31, 2013 and June 30, 2013 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.