freddie mac update - memberclicks updat… · time by the assigning rating agency. freddie...
Post on 09-Jun-2020
4 Views
Preview:
TRANSCRIPT
Freddie Mac Update
October 2016
© Freddie Mac 2
“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
Freddie Mac’s mission
© Freddie Mac 3
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:
» FHFA assumed all powers of the Board, 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.
Conservatorship
© Freddie Mac 4
Freddie Mac’s Credit Rating
1. Fitch assigns Recovery Ratings to certain lower-rated securities and issues. The Recovery Scale ("RR1," highest, to "RR6,"
lowest) is based upon the expected relative recovery characteristics of an obligation.
Ratings are not a recommendation to purchase, hold or sell securities and may be changed, suspended or withdrawn at any
time by the assigning rating agency. Freddie Mac's current ratings and the rating outlooks currently assigned to Freddie Mac
are dependent upon economic conditions and other factors affecting credit risk that are outside the control of Freddie Mac.
Each rating should be evaluated independently of the others. Detailed explanations of the ratings may be obtained from the
rating agencies. The information above was obtained from information available on the websites of the rating agencies.
Freddie Mac makes no representations or warranties with respect to the information contained herein and takes no
responsibility for supplementing, updating or correcting any such information.
© Freddie Mac 5
2016 Conservatorship Scorecard
5
Strategic Goal Weight Scorecard Objective
Maintain 40%
Increase access to mortgage credit for creditworthy borrowers
Develop post-crisis loss mitigation activities and prepare for expiration of HAMP and HARP
Continue to responsibly reduce the number of severely-aged delinquent loans and REO
properties
Maintain new multifamily business volume at $35 billion or below (excluding certain mission-
related activity)
Reduce 30%
Single-family:
• Complete credit risk transfers on at least 90% UPB of newly acquired mortgages in loan
categories targeted for risk transfer
• Work with FHFA to assess front-end credit risk transfer transactions
Multifamily: Continue current multifamily credit risk transfer initiatives and explore additional
risk transfer opportunities
Retained Portfolio: Continue to implement approved plan to meet the annual PSPA
requirements and the $250 billion PSPA cap by December 31, 2018
Support FHFA in its development for a risk measurement framework
Build 30%
Continue implementation of required changes to systems and operations for integration into
Common Securitization Platform
• Implement the CSP for Freddie Mac’s existing single-class securities in 2016
Finalize the Single Security structure and develop a plan to implement the single security on
the CSP in 2018
Provide active support for Mortgage Data Standardization Initiatives:
• Uniform Closing Disclosure Dataset (UCD)
• Uniform Loan Application Dataset (ULAD)
• Assess and implement strategies to improve origination and delivery of e-mortgages to
the Enterprises
© Freddie Mac 6
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
Amended Purchase Agreement
© Freddie Mac 7
Market presence
1 2016 data as of June 30, 2016.
Source: Inside Mortgage Finance.
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
YTD
2016
Enterprises &
Ginnie Mae 44% 62% 95% 97% 96% 98% 99% 98% 96% 96% 98%
Private Label 56% 38% 5% 3% 4% 2% 1% 2% 4% 4% 2%
MBS Issuance Volume $ in Trillions
1
$2.0
$1.9
$1.2
$1.8
$1.5
$1.2
$1.7 $1.6
$0.9
$1.3
$0.6
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 YTD2016
Freddie Mac Fannie Mae Ginnie Mae Private Label
© Freddie Mac 8
$23.8
$47.6
$19.6
$5.5 $2.7
$99.1
2008 -2012
2013 2014 2015 YTD2016
CumulativeTotal1,3
Dividend Payments to Treasury4 Draw Requests from Treasury
Treasury draw requests and dividend payments
1 Data for the three months ended June 30, 2016.
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. The
company received no cash proceeds as a result of issuing this initial $1 billion liquidation preference of senior preferred stock.
3 Includes the September 2016 dividend obligation of $933 million.
4 Represents quarterly cash dividends paid by Freddie Mac to Treasury during the periods presented. Through December 31, 2012, Treasury was entitled to receive cumulative
quarterly cash dividends at the annual rate of 10% per year on the liquidation preference of the senior preferred stock. However, the fixed dividend rate was replaced with a net
worth sweep dividend payment beginning in the first quarter of 2013. See the company’s Annual Report on Form 10-K for the year ended December 31, 2015 for more information.
Note: Totals may not add due to rounding.
Draw Requests From Treasury $ Billions
Dividend Payments to Treasury $ Billions
$71.3
$0.0 $0.0 $0.0 $0.0
$71.3
2008 -2012
2013 2014 2015 YTD2016
CumulativeTotal
1 2 3
© Freddie Mac 9
$347 $340 $321
$399 $399 $399 $399
$339
12/31/15 3/31/16 6/30/16 9/30/16 12/31/16
Mortgage-Related Investments Portfolio Ending Balance
Mortgage-Related Investments Portfolio Limit
Investments – 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 Annual Report on Form 10-K for the year ended December 31, 2015 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.
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 in its Monthly Volume Summary reports, which are available on its Web site.
$418 $391 $382
$564
$479 $479 $479 $479
12/31/15 3/31/16 6/30/16 9/30/16 12/31/16
Total Debt Outstanding
Indebtedness Limit
© Freddie Mac 10
$177
$144
$1,640
$1,827
$2,103
$2,207 $2,251
$2,165 $2,075
$1,956 $1,915 $1,910 $1,942 $1,961
0
200
400
600
800
1,000
1,200
1,400
1,600
1,800
2,000
2,200
2,400
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 YTD2016
$ 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)
Note: Totals may not add due to rounding.
Source: Freddie Mac. 2016 data as of June 30, 2016.
$1,784
Total mortgage portfolio
$321
11 © Freddie Mac
Note: 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.
Source: U.S. Department of Housing and Urban Development and Federal Financial Institutions Examination Council. 2016 and 2017 data based on the July 2016 estimate of
Freddie Mac’s Economic and Housing Research Department.
Single-family mortgage originations
0
500
1,000
1,500
2,000
2,500
3,000
3,500
4,000
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016Fcst.
2017Fcst.
$ Billions
Home Purchase Originations Refinance Originations
$1.8T
$1.6T
© Freddie Mac 12
1
Mortgage-related investments portfolio
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, 2016 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 cap 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.
2,3
2
$755 $697 $653
$558 $461
$[VALUE] $347
$900
$810
$729
$650
$553
$470
$399
$339
12/31/09 12/31/10 12/31/11 12/31/12 12/31/13 12/31/14 12/31/15 12/31/16
UPB $ Billions
Mortgage-related investments portfolio ending balance
Mortgage-related investments portfolio limit (changes on Dec. 31 annually)
Portfolio
Balance at
6/30/2016:
$321 Billion
© Freddie Mac 13
Source: Freddie Mac and Fannie Mae Monthly Volume Summaries. 2016 data as of June 30, 2016.
Freddie Mac Share of PC/MBS Issuances Percent (%)
Freddie Mac’s GSE market share
37%
38%
35% 35%
38%
41%
43%
42%
2009 2010 2011 2012 2013 2014 2015 YTD2016
14 © Freddie Mac
Home price performance by state
June 2015 to June 20161
United States 6%
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. Percent changes were rounded to nearest whole percentage point.
Source: Freddie Mac
4%
AL 2%
AK
≥ 7%
4 to 6%
˂ 0%
0 to 3%
3%
AR 7%
AZ
8%
CA
11%
CO
CT -1%
DC 7%
DE 3%
11%
FL
8%
GA
9%
HI
2%
IA
8%
ID
3%
IL
5%
IN
6%
KS KY 5%
4%
LA
3%
4%
ME
6%
MI
6%
MN
5%
MO
3%
MS
5%
MT
NC 6%
2%
ND
4%
NE
NJ 2%
3%
NM
10%
NV
3%
NY
5%
OH
0%
OK
13%
OR
4%
PA
5%
SC
3%
SD
TN 7%
7%
TX
8%
UT 4%
VA
12%
WA
5%
WI
-1%
WV
2%
WY
5%
5%
MD
MA
NH
-1%
VT
RI 7%
© Freddie Mac 15
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.
Source: Freddie Mac. 2016 data as of July 31, 2016.
1 Under the Purchase Agreement with Treasury, the company’s total debt outstanding is subject to a limit of $479 billion in 2016.
($ Billions)
Instrument Type 2012 2013 2014 2015 YTD 2016
Short Term Overnight Discount Notes $ - $ - $ - $ 1.0 $ 1.0
Reference Bills® & Discount Notes 118.5 137.8 134.7 103.1 71.7
Total Short Term $ 118.5 $ 137.8 $ 134.7 $ 104.1 $ 72.7
Medium Term Notes (MTNs) MTN Callable $ 99.0 $ 100.0 $ 98.2 $ 96.0 $ 97.1
Callables with Expired Options 7.0 9.0 11.1 12.3 13.4
MTN Other 102.2 71.7 53.8 56.2 64.3
Freddie Notes 1.2 0.8 0.1 - -
Total MTNs $ 209.5 $ 181.4 $ 163.2 $ 164.5 $ 174.8
Reference Notes® USD Reference Notes® $ 225.9 $ 190.4 $ 151.7 $ 137.2 $ 127.0
€Reference Notes® 1.0 0.5 - - -
Total Reference Notes® $ 226.8 $ 190.9 $ 151.7 $ 137.2 $ 127.0
Other Mortgage-Linked Amortizing Notes® $ 1.9 $ 1.0 $ 0.6 $ 0.5 $ 0.4
Structured Agency Credit Risk Debt Notes $ - $ 1.1 $ 5.9 $ 11.6 $ 14.3
Subordinated Debt $ 0.6 $ 0.6 $ 0.6 $ 0.6 $ 0.5
Total Debt Outstanding1 $ 557.3 $ 512.7 $ 456.7 $ 418.4 $ 389.6
© Freddie Mac 16
Freddie Mac’s outstanding debt by type
Note: Excludes debt securities of consolidated trusts held by third parties. 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.
Source: Freddie Mac.
$412 $413 $412 $403 $391
$418 $412 $402
$391 $379 $375 $381 $387
Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16
$ Billions
Discount Notes Term Callable Debt Term Bullet Debt
17 © Freddie Mac
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 July 31, 2016.
Debt maturity profile
$32
$95
$62
$11
0
20
40
60
80
100
120
2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 2027+
Long-term Short-term
$ Billions
18 © Freddie Mac
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 July 31, 2016.
Debt maturity profile by quarter
$14 $18
$28
$21 $25
$22
$27
$34 $10
$1
$0
0
10
20
30
40
50
60
3Q16 4Q16 1Q17 2Q17 3Q17 4Q17
Long-term Short-term
$ Billions
© Freddie Mac 19
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 July 31, 2016.
Callable Debt
$11
$3 $4 $5
$9 $8 $9 $8
$10 $11
$17
$10
$7 $9
$11
$17
$10
$8
$4
$15
$12
$16
$12 $14
$12
($4) ($2)
($1)
($9) ($7)
($3) ($4) ($1)
($9) ($9)
($16)
($22)
($5) ($7)
($21)
($17)
($10)
($2) ($2)
($13) ($13)
($8)
($13)
($22)
($12)
(30)
(20)
(10)
0
10
20
30
Jul-14 Jan-15 Jul-15 Jan-16 Jul-16
Called
$ Billions
Issued
© Freddie Mac 20
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. 2016 data as of June 30, 2016.
0
50
100
150
200
250
300
350
2Q07 4Q08 2Q10 4Q11 2Q13 4Q14 2Q16
$ Billions
15%
20%
25%
30%
35%
40%
2Q07 4Q08 2Q10 4Q11 2Q13 4Q14 2Q16
Average= 25%
© Freddie Mac 21
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 Investments segments, its loan workout initiatives and other efforts to assist the U.S. residential mortgage market, liquidity, capital management, economic and market conditions and trends, market share, the effect of legislative and regulatory developments and new accounting guidance, credit quality of loans the company guarantees, 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, 2015, Quarterly Reports on Form 10-Q for the quarters ended March 31, 2016 and June 30, 2016 and Current Reports on Form 8-K, which are available on the Investor Relations page of the company’s Web site at www.FreddieMac.com/investors and the SEC’s Web site at www.sec.gov. The company undertakes no obligation to update forward-looking statements it makes to reflect events or circumstances occurring after the date of this presentation.
top related