Freddie Mac Investor Presentation · © Freddie Mac 8 On August 17, 2012, the Conservator, acting on our behalf, and Treasury entered into a third amendment to the Purchase Agreement

Freddie Mac Investor Presentation

November 2018

© Freddie Mac 2

A Better Freddie Mac …and a better housing finance system

For families

...innovating to improve the liquidity, stability and

affordability of mortgage markets

For customers

...competing to earn their business

For taxpayers

...reducing their exposure to mortgage risks, innovating to

access private capital

© Freddie Mac 3

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, 2017, Quarterly Reports on Form 10-Q for the quarters ended March 31, 2018, June 30, 2018 and September 30, 2018, and Current Reports on Form 8-K, which are available on the Investor Relations page of the company’s website at www.FreddieMac.com/investors and the Securities and Exchange Commission’s website at www.sec.gov.

Section Page

I

II

III

IV

V

VI

Freddie Mac Overview

U.S. Housing Market

Credit Guarantee Business

Multifamily Business

Capital Markets Business

Debt Funding Program

4

14

18

23

29

31

VII Single-family Securitization 38

Table of Contents

© Freddie Mac 4

Freddie Mac Overview

© Freddie Mac 5

“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 asthrough the securitization of home mortgages.”1

U.S. Residential

Mortgage Market

Mortgage

Investments

Mortgage

Securitization Freddie Mac

Global Capital

Markets

Mortgage-backed

Securities

Debt

Securities

Freddie Mac’s Mission

© Freddie Mac 6

▪ We continue to operate under the conservatorship that commenced on September 6, 2008, under the direction of the Federal Housing Finance Agency (FHFA) as our Conservator.

▪ FHFA as our Conservator:

» Assumed all powers of the Board, management and shareholders

» Has directed and will continue to direct certain of our business activities and strategies

» 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 it is possible, and perhaps likely, that there will be significant changes beyond the near term.

Conservatorship

© Freddie Mac 7

FHFA Strategic Plan – Fiscal Years 2018 - 2022

▪ On January 29, 2018, FHFA released the FHFA Strategic Plan: Fiscal Years 2018-2022,

which reflects the Agency’s priorities as regulator and conservator of Freddie Mac and

Fannie Mae (the Enterprises).

▪ FHFA’s Strategic Plan sets forth three goals for the Agency:

» Ensure safe and sound regulated entities

» Ensure liquidity, stability and access in housing finance

» Manage the Enterprises’ ongoing conservatorships

▪ FHFA, acting as conservator and regulator, must follow the mandates assigned to it by

statute and oversee the missions assigned to the Enterprises by their charters until such

time as Congress revises those mandates and missions.

© Freddie Mac 8

▪ On August 17, 2012, the Conservator, acting on our behalf, and Treasury entered into a third

amendment to the Purchase Agreement.

▪ The principal changes included:

» Replacement of the fixed dividend rate with a net worth sweep dividend beginning in the

first quarter of 2013

» Accelerated wind-down of the retained portfolio

» Submission of an annual risk management plan to Treasury

» Suspension of the periodic commitment fee

Amended Purchase Agreement

© Freddie Mac 9

▪ On December 21, 2017, the Conservator, acting on our behalf, entered into a Letter

Agreement with Treasury.

▪ The principal changes pursuant to the Letter Agreement are as follows:

» The senior preferred stock dividend for the dividend period from October 1, 2017

through and including December 31, 2017 was reduced to $2.25 billion.

» The applicable Capital Reserve Amount from January 1, 2018 and thereafter will be

$3.0 billion, rather than zero as previously provided. If for any reason we were not to

pay our dividend requirement on the senior preferred stock in full in any future period,

the applicable Capital Reserve Amount would thereafter be zero.

» The liquidation preference of the senior preferred stock increased by $3.0 billion, to

$75.3 billion, on December 31, 2017.

2017 Letter Agreement

© Freddie Mac 10

2018 Conservatorship Scorecard

Source: FHFA

▪ Continue efforts to increase access to single-family mortgage credit for creditworthy borrowers, including underserved segments of the market.

▪ Finalize post-crisis loss mitigation activities.

▪ Continue to responsibly support the Neighborhood Stabilization Initiative.

▪ Assess the current mortgage servicing business model and develop plans to support ongoing liquidity in the mortgage servicing market.

▪ Continue to gather and report to FHFA information needed to inform policy decisions regarding single-family rentals, and assist FHFA in assessing single-

family rental strategies.

▪ Develop plans to further support liquidity in the multifamily workforce housing market and consider market cost differences.

▪ Manage the dollar volume of new multifamily business to remain at or below $35 billion (excluding loans in affordable and underserved market segments).

Maintain, in a safe and sound manner, credit availability and foreclosure prevention activities for new and refinanced mortgages to

foster liquid, efficient, competitive, and resilient national housing finance markets. (40%)

Reduce taxpayer risk through increasing the role of private capital in the mortgage market. (30%)

▪ Single-family Credit Risk Transfers:

» Transfer a meaningful portion of credit risk on at least 90 percent of the unpaid principal balance (UPB) of newly acquired single-family mortgages in

loan categories targeted for credit risk transfer, subject to FHFA target adjustments as may be necessary to reflect market conditions and economic

considerations.

» For 2018, targeted single-family loan categories include: non-HARP, fixed-rate mortgages with terms greater than 20 years and loan-to-value (LTV)

ratios above 60 percent.

» Report to FHFA the actual amount of underlying mortgage credit risk transferred.

▪ Multifamily Credit Risk Transfers: Transfer a meaningful portion of the credit risk on newly acquired mortgages, subject to FHFA target adjustments as

may be necessary to reflect market conditions and economic considerations. Report to FHFA the actual amount of underlying mortgage credit risk

transferred.

▪ Retained Portfolio: Execute FHFA-approved retained portfolio plans that meet, even under adverse conditions, the annual Preferred Stock Purchase

Agreement (PSPA) requirements and the $250 billion PSPA cap by December 31, 2018. Any sales should be commercially reasonable transactions that

consider impacts to the market, borrowers, and neighborhood stability.

▪ Private Mortgage Insurer Eligibility Requirements (PMIERs 2.0): Evaluate existing PMIERs and whether changes or updates are appropriate.

Build a new single-family infrastructure for use by the Enterprises and adaptable for use by other participants in the secondary

market in the future. (30%)

▪ Common Securitization Platform (CSP) and Single Security Initiative:

» Continue working with FHFA, Fannie Mae, and Common Securitization Solutions, LLC (CSS) to implement the Single Security Initiative on the CSP.

» Incorporate certain design principles in developing the CSP such as allowing for the integration of additional market participants in the future.

» Continue to work with Fannie Mae and CSS to obtain and use input from the Single Security Initiative/CSP Industry Advisory Group.

» Work proactively with the industry to help market participants prepare for the implementation of the Single Security Initiative.

▪ Provide active support for Mortgage Data Standardization Initiatives.

© Freddie Mac 11

Market Presence

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 YTD 2018

Enterprises &

Ginnie Mae62% 95% 97% 96% 98% 99% 98% 95% 95% 97% 96% 95%

Private Label 38% 5% 3% 4% 2% 1% 2% 5% 5% 3% 4% 5%

$1.9

$1.2

$1.7

$1.4$1.2

$1.7 $1.6

$1.0

$1.3$1.5

$1.4

$0.9

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 YTD2018

Freddie Mac Fannie Mae Ginnie Mae Private Label

MBS Issuance Volume$ Trillions

Data as of October 13, 2018.

Source: Inside MBS & ABS.

*

*

© Freddie Mac 12

$71.3

$0.3

$71.6

$96.5

$5.0$10.9

$1.6

$114.0

2008 - 2015 2016 2017 YTD 2018 Cumulative Total

Draw Requests from Treasury Dividend Payments to Treasury

Treasury Draw Requests and Dividend Payments

Treasury draw requests and dividend payments$ Billions

Data as of September 30, 2018.

Note: Totals may not add due to rounding.

2

*

*

© Freddie Mac 1313© Freddie Mac

Number of single-family loan workouts4

In Thousands

Housing Market Support

Number of families Freddie Mac helped

to own or rent a home3

In Thousands


*As of September 30.

Home

Retention

Actions

Foreclosure

Alternatives

5

5

5

5

© Freddie Mac 14

U.S. Housing Market

15© Freddie Mac

Source: Freddie Mac September 2018 Economic and Housing Research Outlook.

Refi

Purchase

Total value of U.S. real estate held by households7

$ Trillions

Source: Federal Reserve Board’s Flow of Funds Accounts, Table B. 101. Data as of June 30, 2018.

Annual Single-family mortgage originations6

$ Trillions

Total cash-out dollars as a percentage of aggregate

refinanced originations UPB

Source: Freddie Mac Economic & Housing Research Quarterly Refinance Statistics 2Q18.

Total home equity cashed out $ Billions

Source: Freddie Mac Economic & Housing Research Quarterly Refinance Statistics 2Q18.

Housing Market Trends

Value of Housing Stock

$10.2

$15.2

$25.4

Home Equity

Single-family Mortgage Debt Outstanding

0

5

10

15

20

25

1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018

Home Equity

Single-family Mortgage Debt Outstanding

6.0%

31.2%

8.1%

2.6%

8.0%

21.8%

2Q03 2Q06 2Q09 2Q12 2Q15 2Q18

$38.8

$84.0

$24.7

$5.9 $11.7

$15.8

2Q03 2Q06 2Q09 2Q12 2Q15 2Q18

0.60.8 0.8 0.9

1.0 1.1 1.2 1.3

1.5 1.1

0.5

0.8

1.0 0.7 0.5 0.4

2.1T

1.9T

1.3T

1.8T

2.1T

1.8T1.6T 1.7T

2012 2013 2014 2015 2016 2017 2018F 2019F

16© Freddie Mac

Vacant Housing Over/Undersupply8

Housing Market Trends, continued

Source: Freddie Mac calculations using US Census Bureau data. 2018 data as of August 31, 2018.

Source: US Census Bureau, Freddie Mac September 2018 Economic and Housing Research

Outlook.

Note: Dashed line indicates forecasted data

Source: US Census Bureau, Freddie Mac September 2018 Economic and Housing Research

Outlook

Note: Dashed line indicates forecasted data

Source: US Census Bureau

Note: Data as of June 30, 2018.

3.5

4.0

4.5

5.0

5.5

6.0

6.5

7.0

7.5

8.0

8.5

9.0

1999 2000 2002 2003 2005 2006 2008 2009 2011 2012 2014 2015 20172018F

Mill

ion U

nits

Home Sales (Existing + New)

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1.8

2.0

2.2

1990 1993 1996 1999 2002 2005 2008 2011 2014 2017

Housing Starts (millions)

62

63

64

65

66

67

68

69

70

Homeownership Rate (percent)

Homeownership rates are low despite

low unemployment levels:

• Many more millennial renters

• High student debt loan burden

• Limited access to credit

• Affordability

• Prices increasing quicker than wages

64.3%

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2000 2001 2003 2004 2006 2007 2009 2010 2012 2013 2015 2016 2018

For-Rent Inventory(Millions)

For-Sale Inventory(Millions)

-0.8


National home prices have surpassed the 2006 peak

Key Economic Indicators

National home prices increased by an average of 5.9% over the past year

Quarterly ending interest rates

Unemployment rate and job creation

Freddie Mac House Price Index (December 2000 = 100)

(2006 Peak)



© Freddie Mac 18

Credit Guarantee Business

© Freddie Mac 19

$106

$122

$1924

$1,827

$2,103

$2,207$2,251

$2,165$2,075

$1,956$1,915 $1,910 $1,942

$2,011$2,098

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 YTD 2018

$ Billions

Outstanding Freddie Mac Mortgage-Related Securities and Other Mortgage-Related Guarantees

Mortgage-Related Investments Portfolio (PCs, REMICs and Other Securitization Products)

Mortgage-Related Investments Portfolio (Non-Freddie Mac Mortgage-Related Securities & Mortgage Loans)

$2,045

Total Mortgage Portfolio

$228

* Data as of September 30, 2018.


$2,151

*

© Freddie Mac 20

Freddie Mac Share of PC/MBS IssuancesPercent (%)

Freddie Mac’s GSE Market Share

37%

38%

35% 35%

38%

41%

43%

41%

42%

41%

2009 2010 2011 2012 2013 2014 2015 2016 2017 YTD2018


Source: Freddie Mac and Fannie Mae Monthly Volume Summaries.

.

*

*

© Freddie Mac 21

Data as of September 30 2018.

West

30%

Southwest

14%

North Central

16%

Southeast

16%

Northeast

24%

Freddie Mac’s Single-family Credit Guarantee Portfolio

by Region9


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)10

Serious delinquency rates +4% YoY

increase


(77%) (78%) (79%) (80%) (81%)

© Freddie Mac 23

Multifamily Business

© Freddie Mac 24

0

1

2

3

4

5

6

7

8

9

1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 YTD2018

Multifamily Market Rental Vacancy Rates

Percent

4.8%


Source: Reis U.S. Metro data.

*

*

© Freddie Mac 25

Multifamily Mortgage Originations

Sources: Freddie Mac Form 10-Ks, 10-Qs, FHFA Report to Congress, and Freddie Mac's internal reports, Fannie Mae 10-Ks, 10-Qs, FHFA Report to Congress, and Fannie Mae's Multifamily Monthly New

Business Volumes, American Council of Life Insurers (ACLI), Wells Fargo Securities LLC, Intex Solutions Inc., Mortgage Bankers Association and Freddie Mac internal research.

$250

$269

$295 $305

$-

$50

$100

$150

$200

$250

$300

$350

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017(E)

2018(F)

Multifamily Mortgage Originations $ Billions

Other CMBS Fannie Mae Freddie Mac Life Insurers


Multifamily acquisitions of units by area median

income (% of eligible units acquired)

Multifamily Financial Highlights and

Key Metrics

Total portfolio$ Billions

Multifamily market and Freddie Mac delinquency

rates (%)

Multifamily comprehensive income$ Millions

+57% increase

since 2014

(54%) (64%) (74%) (82%) (85%)


*As of September 30, 2018.

2Q18


Multifamily securitization volume11

$ Billions

Multifamily Key Metrics, continued

New funding volume$ Billions



Cap = $30.0

Cap = $36.5

Cap = $25.9

12

Cap = $35.0

© Freddie Mac 28

Basic K-Deal Transaction Structure

Loans deposited into the

third-party trust by the depositor

Freddie Mac acquires

Guaranteed Bonds13 and

deposits them into a Freddie

Mac trust

Freddie Mac sells

Guaranteed K Certificates

backed by the Guaranteed

Bonds

Senior Bond

Investors

Subordinate Bond

Investors

Mezzanine Bond

Investors

Unguaranteed Mezzanine

Bonds

Unguaranteed Subordinate

Bonds

Freddie Mac sells loans to a

third-party depositor

Freddie Mac securitizes loans via the K-Deal program through the following steps:

▪ The loans are sold to a third-party depositor who places the

loans into a third-party trust.

▪ Private label securities backed by the loans are issued by

the third-party trust.

▪ Freddie Mac purchases and guarantees certain bonds

(“Guaranteed Bonds”13) issued by the third-party trust and

securitizes these bonds via a Freddie Mac trust.

▪ The resulting Freddie Mac guaranteed structured pass-

through certificates (“K Certificates”) are publicly offered via

placement agents.

▪ The unguaranteed mezzanine and subordinate bonds are

issued by the third-party trust and are privately offered to

investors via placement agents.

© Freddie Mac 29

Capital Markets Business


$262

Capital Markets cash window securitization$ Billions

Capital Markets comprehensive income$ Billions

Capital Markets Financial Highlights

and Key Metrics

Capital Markets mortgage investments portfolio$ Billions

Capital Markets investments portfolio $ Billions

-13% YoY decrease

(62%) (66%) (66%) (66%)


(66%)

-9% YoY

decrease

© Freddie Mac 31

Debt Funding Program

© Freddie Mac 32

Freddie Mac’s Total Debt Outstanding14

$ Billions

Instrument Type 2014 2015 2016 2017 YTD 2018*

Short-term Overnight Discount Notes $ - $ 1.0 $ 1.0 $ 1.0 $ 1.0

Reference Bills® & Discount Notes 134.7 103.1 60.1 44.7 32.4

Total Short-term $ 134.7 $ 104.1 $ 61.1 $ 45.7 $ 33.4

Medium-Term Notes (MTN) MTN Callable $ 98.2 $ 96.0 $ 82.8 $ 93.5 $ 92.9

Callables with Expired Options 11.1 12.3 16.0 20.6 17.4

MTN Other 53.8 56.2 59.7 48.3 31.2

Freddie Notes 0.1 - - - -

Total MTN $ 163.2 $ 164.5 $ 158.5 $ 162.3 $ 141.5

Reference Notes® USD Reference Notes® $ 151.7 $ 137.2 $ 118.7 $ 80.0 $ 65.4

€Reference Notes® - - - - -

Total Reference Notes® $ 151.7 $ 137.2 $ 118.7 $ 80.0 $ 65.4

Other Mortgage-Linked Amortizing Notes® $ 0.6 $ 0.5 $ 0.3 $ 0.3 $ 0.2

Structured Agency Credit Risk Debt Notes $ 5.9 $ 11.6 $ 14.5 $ 17.8 $ 17.9

Multifamily Structured Credit Risk Note $ - $ - $ 0.1 $ 0.1 $ 0.1

Subordinated Debt $ 0.6 $ 0.6 $ 0.5 $ 0.5 $ 0.5

Total Debt Outstanding15,16 $ 456.7 $ 418.4 $ 353.7 $ 306.7 $ 259.1

* Data as of October 31, 2018.


© Freddie Mac 33

Freddie Mac’s Outstanding Debt by Type17

$321 $315 $326 $317

$304 $297 $282 272 279 279 283 283 281

Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18

Discount Notes Term Callable Debt Term Bullet Debt Other

$ Billions

$407

Debt Limit

$34616

34© Freddie Mac

Debt Maturity Profile18

$ Billions

42

53

1

74 5

11

7

23 23

13 14

2 1 2

811

13

15

6

19

6

73

3 2

1

5

20

4Q18 1Q19 2Q19 3Q19 4Q19 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029+

Short-term Long-term Callable Long-term Non-callable

© Freddie Mac 35

Short-term Debt Balances19

Total Short-term Debt OutstandingTotal Short-term Debt Outstanding

as a % of Total Debt Outstanding

$104

$78

$57

$50

0

20

40

60

80

100

120

3Q15 3Q16 3Q17 3Q18

$ Billions

18%

10%

15%

20%

25%

30%

3Q15 3Q16 3Q17 3Q18

Average= 24%

© Freddie Mac 36

Freddie Mac Callable Debt Issued and Called20

Callable Debt

$6

$4$2

$9

$6 $5

$9

$5 $5

$2 $2$4 $4 $5

$1$3 $2

$1$3

$4$2

$3 $4 $4$2

($13)

($2)($0) ($0) ($0) ($1)

($5)

($2) ($3) ($3)

($7)

($3)($2)

($1) ($0) ($0) ($1) ($0) ($1) ($1) ($0) ($0) ($0) ($0) ($0)

(30)

(20)

(10)

0

10

20

30

Oct-16 Apr-17 Oct-17 Apr-18 Oct-18

Called

$ Billions

Issued

© Freddie Mac 37

S&P Moody’s Fitch

Senior Long-term

Debt

AA+ Aaa AAA

Short-term Debt A-1+ P-1 F1+

Subordinated Debt AA- Aa2 AA-

Preferred Stock21 D Ca C/RR6

Outlook Stable Stable Stable

Note: Data as of February 1, 2018.

▪ Freddie Mac’s credit ratings and outlooks are primarily based on the support the company

receives from Treasury, and therefore, are affected by changes in the credit ratings and

outlooks of the U.S. government.

Credit Ratings

© Freddie Mac 38

Single-family Securitization

© Freddie Mac 39

Composition of Bond Market Debt Outstanding

Note: Percentages may not add to 100% due to rounding.

Source: Securities Industry and Financial Markets Association. Data as of November 7, 2018.

Outstanding Public and Private Bond Market Debt ($T) – $41.9 Trillion

Municipal($3.9)

9%

Treasury($15.0)

36%

Agency Debt($1.9)

5%

MBS($9.5)23%Asset-Backed

($1.6)4%

Money Market($1.1)

3%

Corporate Debt($9.1)22%

22

23

27

26

25

24

© Freddie Mac 40

Freddie Mac’s Mortgage-related Securities Products

Mortgage-related Securities Products Outstanding

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 YTD2018*

$ Billions

REMICs Reference REMIC T-Deals/WLR Strips PCs

* Data as of September 30, 2018.


Single-family Credit Risk Transfer –

STACR / ACIS / Deep MI

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


42© Freddie Mac

Source: Freddie Mac, Fannie Mae, Federal Reserve, Inside MBS & ABS, National Credit Union Administration and the U.S. Treasury Department.

Data as of June 30, 2018.

Estimated Institutional Holdings of Agency MBS28

17991721

972 938

780

250190 170

10023

US Banks NY Fed Other Foreign MutualFunds

REITs GSEs Life Insurers CreditUnions

State/LocalGovts

$ Billions

43© Freddie Mac

Estimated Demand for Agency Mortgage-related

Securities29

Sources: Federal Reserve Board, Freddie Mac and Fannie Mae Monthly Volume Summaries, Treasury International Capital data, Federal Home Loan Banks, U.S. Treasury Department, Federal Reserve

Bank of New York.

$ Billions

(100)

(50)

0

50

100

150

200

Aug-10 Aug-11 Aug-12 Aug-13 Aug-14 Aug-15 Aug-16 Aug-17 Aug-18

Comm Bank PT/CMO Foreign Agency Treasury Fed

© Freddie Mac 44

(30)

(20)

(10)

0

10

20

30

Aug-10 Aug-11 Aug-12 Aug-13 Aug-14 Aug-15 Aug-16 Aug-17 Aug-18

Japan China S. Korea Hong Kong Taiwan Singapore

Source: Treasury International Capital data.

$ Billions

Estimated Asia Net Flows into Agencies30

© Freddie Mac 45

Note: Percentages may not add to 100% due to rounding. Data as October 31, 2018.

Composition of Collateral Underlying

Freddie Mac REMICs

30-year83%

15-year5% 20-year

6% Other4% ARM

2%

Balloon<1%

© Freddie Mac 46

Sources: Freddie Mac and eMBS.

Freddie Mac and Fannie Mae Aggregate Fixed-rate

Prepayment Speeds31

0

5

10

15

20

25

30

35

Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17 Mar-18 Sep-18

1-Month CPR (%)

Freddie Mac CPR Fannie Mae CPR

11%13%

19%

12%

11% 11%

8%

10%

19%

12%

11%

12%

© Freddie Mac 47

Multi-lender Giant Issuance

as Percentage of Total Fixed-rate Issuance

0

10

20

30

40

50

60

70

80

90

100

0

10,000

20,000

30,000

40,000

50,000

60,000


Percent$ Millions

Total Freddie Mac Fixed-rate Issuance Excluding Multi-lender Giant Issuance

Total Freddie Mac Multi-lender Giant Issuance

Total Multi-lender Giant Issuance Volume as % of Total Fixed-rate Issuance

Total Multi-lender Giant Issuance as % of Total Fixed-rate Non-specified Issuance

© Freddie Mac 48

Freddie Mac Fixed-rate Issuance –

Percentage From Top 5 Sellers32

0

10

20

30

40

50

60

70


Percent

49© Freddie Mac

Freddie Mac Collateral DescriptionBloomberg

Ticker

Outstanding

Balance*

REMICs

Gold and 75-Day PCs

FHR

$311.8B

ReREMICs of Existing

Multiclass Securities$47.3B

Reference REMICs with Guaranteed Final Gold PCs FHRR $1.1B

T-Deals

Freddie Mac Owned

New or Seasoned

Private Label ABS

FSPC $4.7B

Strips Gold and 75-Day PCs

FHS$15.9B

Excess Servicing Assets $9.7B

Freddie Mac Single-family Structured Finance

Securities33

* Reflects issuance through September 30, 2018.

50© Freddie Mac

Deal Structure Options – Agency REMICs

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 class 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 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.

34

51© Freddie Mac

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.

© Freddie Mac 52

Endnotes

1 House of Representatives report on FIRREA, No. 54, 101st Congress, 1st Session, Part 3 at 2 (1989).

2 Excludes the initial $1 billion liquidation preference of senior preferred stock issued to Treasury in September 2008 as consideration for Treasury’s funding commitment and the $3.0

billion increase in the aggregate liquidation preference of the senior preferred stock pursuant to the December 21, 2017 Letter Agreement. The company received no cash proceeds as

a result of issuing the initial $1 billion liquidation preference of senior preferred stock or the $3.0 billion increase on December 31, 2017.

3 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.

4 Consists of both home retention actions and foreclosure alternatives.

5 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.

6 Estimates and forecasts by the Economic and Housing Research Department 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.

7 Value of U.S. housing stock includes homes with and without underlying mortgages. 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.

8 Negative values reflect undersupply. The under/oversupply of vacant housing was estimated based on the average vacancy rate from 1Q 1994 to 4Q 2003.

9 Based on the unpaid principal balance (UPB) 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 mortgage-related guarantees.

10 Represents the estimated average rate of guarantee fees for new acquisitions during the period assuming amortization of upfront delivery 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.

11 Excludes other types of Multifamily securitization products.

12 Includes K Certificates without subordination, which are fully guaranteed and issued without subordinate or mezzanine securities.

13 Guaranteed Bonds include senior amortizing bonds as well as interest-only bonds derived from senior and subordinate P&I bonds.

14 All figures represent face 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 USD amounts reflected in the table are based on the exchange rate at issuance.

15 Data excludes securities sold under agreements to repurchase and other secured borrowings.

16 Under the Purchase Agreement with Treasury, the company’s aggregate indebtedness (which primarily includes the par value of other short- and long-term debt, including securities sold under

agreements to repurchase and other secured borrowings) is subject to a limit of $346 billion in 2018 and decreases to a limit of $300 billion on January 1, 2019.

17 Includes securities sold under agreements to repurchase and other secured borrowings. All figures represent par amounts in USD billions based on settlement date. These figures could differ

significantly from proceeds, amortized principal amount and book value figures, particularly for zero-coupon securities.

18 Outstanding balance using par amounts based on settlement date and maturity 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 that are categorized as long-term debt. Excludes debt securities of consolidated trusts held by third parties.

19 Outstanding balance using par amounts based on settlement 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 that are categorized as long-term debt. Excludes debt securities of consolidated trusts held by third parties.

20 All figures represent par amounts in USD billions based on the trade date and redemption date.

21 Does not include senior preferred stock issued to Treasury.

22 Interest-bearing marketable coupon public debt.

23 Includes Freddie Mac, Fannie Mae, Federal Home Loan Banks, Farmer Mac, the Farm Credit System, and federal budget agencies (e.g., TVA).

24 Includes Ginnie Mae, Fannie Mae and Freddie Mac MBS and CMOs, and private-label MBS/CMOs.

© Freddie Mac 53

Endnotes, continued

25 Includes auto, credit card, home equity, manufacturing, student loans and other; USD-denominated CDOs are also included.

26 Includes commercial paper, bankers acceptances, and large time deposits.

27 Includes debt obligations of U.S. financial and nonfinancial corporations including bonds, notes, debentures, mandatory convertible securities, long-term debt, private mortgage-backed

securities, and unsecured debt. Includes bonds issued both in the United States and in foreign countries, but not bonds issued in foreign countries by foreign subsidiaries of U.S. corporations.

Recorded at book value.

28 Other investors include hedge funds, structured investment vehicles, pension funds, savings institutions, nonprofits and individuals. Agency MBS includes Freddie Mac, Fannie Mae and Ginnie

Mae securities.

29 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.

30 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).

31 Prepayment speeds expressed in terms of 1-month constant conditional prepayment rates (CPR) as provided by eMBS. Includes all outstanding GSE fixed-rate products, excluding Freddie Mac

Giants and Fannie Mae Megas.

32 Issuance figures based on monthly Freddie Mac fixed-rate issuance volume and includes both Multi-Lender and Single Lender pools.

33 Guaranteed as described in the applicable offering documents.

34 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.

© Freddie Mac 54

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 quarters ended March 31, 2018, June 30, 2018 and September 30, 2018, and Current Reports on Form 8-K, which are available on the Investor Relations page of the company’s website at www.freddiemac.com/investors and the SEC’s website 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.

Documents

Freddie Mac Investor Presentation · © Freddie Mac 8 On August 17, 2012, the Conservator, acting on our behalf, and Treasury entered into a third amendment to the Purchase Agreement