2019 investor day - freddie mac · 12/31/2018 · $28.7 billion settled since 2011 $17.9 billion...
TRANSCRIPT
2019 SINGLE-FAMILY INVESTOR DAY Draft - For Internal Review Only 1Draft - For Internal Review Only
2019 SINGLE-FAMILY INVESTOR DAY
Index
1. Servicing Update 3
2. SCRT/SLST Update 16
3. STACR Update 27
4. ACIS & IMAGIN Update 37
5. President’s Perspective 45
2019 SINGLE-FAMILY INVESTOR DAY Draft - For Internal Review Only 3Draft - For Internal Review Only
Servicing UpdateYvette Gilmore, VP, Servicer Relationship and Performance Management
2019 SINGLE-FAMILY INVESTOR DAY
Single Family Servicing – Who We Are
Servicing CapitalStructured TransactionsPortfolio Analytics
Yvette Gilmore
Servicing Relationship & Performance Management
Servicing PolicyRelationship ManagementQuality AssurancePerformance ManagementOperational Risk
Ken Burke
Servicing Operations
Loan Servicing Settlement Operations Loss Mitigation
Bill Maguire
Servicing Portfolio Management
Highly experienced talent
Relationship Managers
• Average 25+ years of industry
experience
• All have worked in servicing
through the housing crisis
Analytics
• Over 60% with advanced
degrees
• Average 6+ years of
experience at Freddie Mac
2019 SINGLE-FAMILY INVESTOR DAY
The Servicing Lifecycle
CORE
Fraud, Risk, Audit,
Legal and FHFA, OIG
Data Analytics
SF Operations
Homesteps
Servicing Policy
Servicing Relationship Management
Servicing Quality
Assurance
Servicer Scorecard
Serv
icer
Pe
rform
an
ce /S
co
rec
ard
/Rem
ed
iatio
n
Se
rvic
er
Up
da
tes
/In
qu
irie
s/S
tatu
s/I
ss
ues
2019 SINGLE-FAMILY INVESTOR DAY
Seriously Delinquency Rate
8.6%
6.8%
4.5%
2.6%2.1%
4.5%
3.3%
1.9%
1.2%0.8%
3.8%
3.3%
1.9%
1.0%0.7%
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
2010 2012 2014 2016 2018
Total Mortgage Market Fannie Mae Freddie Mac
December 2018, seriously
delinquent single-family loans in
our portfolio fell to 0.69%.
This is down from a crisis peak of
4.20% in February 2010.
2019 SINGLE-FAMILY INVESTOR DAY
How We Monitor Performance
Key Components
Account Plans
▪ Focused on covered National, Regional and Community Servicers, Independent Mortgage Bankers, Specialty Servicers, Master Servicers, and Subservicers.
▪ Sets goals and objectives.
▪ Establishes agreed-upon action plans and milestones.
File Reviews, Rewards & Remedies
▪ Identifies servicing
performance gaps and trends.
▪ Helps identify and resolve
issues that prevent
achievement of top
performance.
▪ Encourages and rewards
quality servicing.
▪ Provides consequences for
poor data quality and
servicing processes.
Scorecard
▪ Covers Master, Interim, Sub, and
Consolidated servicing modes
▪ Performance Categories:
▪ Default Mgmt
▪ Investor Reporting
▪ File Review Defect Rates
▪ Performance evaluation:
▪ Specific to servicer segments
(rank groups)
▪ Uses synthetics & ranks
▪ Provides loan-level data and
analyses
▪ SHARPSM – Servicer Honors and
Rewards Program
CORE
▪ Identifies SF counterparty operational risk issues and monitors remediation.
▪ Provides assessment of Counterparty’s compliance to Guide Requirements
▪ Conducts on-site due diligence of Servicers’ preparedness for large MSR transfers.
▪ Works closely with Account Managers to ensure review scope addresses new/ emerging risks.
2019 SINGLE-FAMILY INVESTOR DAY
Servicer Success Scorecard & Manager Series
* All data shown is for demonstration purposes only and does not represent factual data.
▪ One-Stop shop for Scorecard & Manager Series
▪ Covers servicers in every mode of servicing (Master,
Interim, Subservicer, and Consolidated)
Scorecard:
▪ Covers all active servicers
▪ Focused on early delinquency
▪ Provides detail and definitions enabling better tool use
Manager Series:
▪ Loan-level data updated daily; Organized by loan
lifecycle and is activity-based
2019 SINGLE-FAMILY INVESTOR DAY
Servicer Success Scorecard Overall Ranks
▪ Default Management only
▪ Conditionally provided based on groups and Overall Rank qualifiers
▪ Introducing Annual Rank to measure overall performance for Rank Groups 1-3 to support rewards program
▪ Bottom 25% performance are measured against Overall Rank
Rank Group 1 Rank Group 2 Rank Group 3 Rank Group 4
Overall Rank Yes Yes Yes No
Total Loan Count (NEW) > 200,000 75,000-199,999 20,000-74,999 <20,000
Overall Rank Qualifier
(metric weighting in
parentheses- NEW)
• Must have calculable metric
performance with minimum 20 loans
in the denominator for:
• Transition from 30 to 60+ (40%)
• Cure Efficiency (20%)
• Retention Efficiency (20%)
• Liquidation Efficiency (5%)
• 6-Month Modification Performance
(5%)
• Total Timeline Trend (10%)
• Must have synthetic performance
• Must have calculable metric
performance with minimum 20
loans in the denominator for:
• Transition from 30 to 60+
(40%)
• Cure Efficiency (30%)
• Retention Efficiency (30%)
• Must have synthetic
performance
• Must have calculable metric
performance with minimum 20
loans in the denominator for:
• Transition from 30 to 60+ (40%)
• Cure Efficiency (30%)
• Retention Efficiency (30%)
• Must have synthetic performance
• Not Applicable
Synthetic Yes Yes Yes Yes
2019 SINGLE-FAMILY INVESTOR DAY
Introducing Freddie Mac’s SHARPSM
A component of the Servicer Success Program
▪ Freddie Mac’s Servicer Honors and Rewards ProgramSM (SHARP)
enables eligible servicing clients to receive annual rewards based
on completion of the Servicer Success Scorecard.
▪ SHARP aims to augment Servicer performance through monetary
and non-monetary rewards and recognition.
Monetary Rewards (for Rank Groups 1-3)
Gold
$100K
Silver
$50K
Bronze
$25K
2019 SINGLE-FAMILY INVESTOR DAY
Recent Policy Announcements
▪ Revised Foreclosure Timeline State Standards and Compensatory Fees methodology
and assessment process
▪ Eliminate REO Responsibility Enhancements to our Foreclosure Alternative policies
▪ Simplifying our Forbearance offering
▪ Disaster Response for 2018 Hurricanes (Florence and Michael)
▪ Providing Support for Borrowers impacting by Government Shutdown
2019 SINGLE-FAMILY INVESTOR DAY
2019 Servicing Policy
In 2019, working with FHFA and Fannie Mae, we continue to develop and augment other post-crisis loss mitigation options and changes for new normal servicing, including:
▪ Continue efforts related to mortgage servicing that promote mortgage market stability by furthering
opportunities to improve the borrower experience, expand liquidity, and increase efficiency.
▪ Prepare for transition from LIBOR. Assess impact and perform industry outreach to inform policy and
implementation plans.
▪ Servicer Eligibility Requirements 2.0: Evaluate the current liquidity requirements for non-depository
Seller/Servicer Enterprise counterparties to determine whether changes are appropriate.
2019 SINGLE-FAMILY INVESTOR DAY
Reimagine ServicingSM
2019 SINGLE-FAMILY INVESTOR DAY
And now we’re looking ahead at
focused client solutions to provide …
Action and investment
based on feedback
Streamlined
operations
Reduced costs Innovative technology
applications
A single access /
user-friendly portalImproved client
communications
2019 SINGLE-FAMILY INVESTOR DAY
We’re committed to developing solutions that transform the servicing life cycle
Developing and deploying
solutions that meet our
clients’ needs
Eliminating manual processes
Improving data quality
Making access to servicing data easier
Providing a no cost
servicing and default tool
Creating an easier path
to do business with us
Working with Service
Bureaus
Transforming the Client
Experience
Improving Efficiency
Innovation and speed to market
Reducing Costs
Improving the experience for servicing Freddie Mac loans …
2019 SINGLE-FAMILY INVESTOR DAY Draft - For Internal Review Only 16Draft - For Internal Review Only
SCRT and SLST UpdateJeff Willoughby, Senior Director, RPL/NPL Portfolio
2019 SINGLE-FAMILY INVESTOR DAY
Freddie Mac Fixed Rate MBS: Delinquency and Buyout Rates
0
0.5
1
1.5
2
2.5
3
3.5
4
Rate
Date
Delinquent 90+ % Conditional Buyout Rate
Source: KDS
2019 SINGLE-FAMILY INVESTOR DAY
Retained Portfolio
(1) Includes loans that are 30+ and 60+ days delinquent
Source: Freddie Mac Annual Report on Form 10-K for the year ended December 31, 2018
Single-family residential less liquid assets:
End of 2017 End of 2018 Change
Re-performing Loans and Performing
Modified Loans(1)$46.7B $39.4B $(7.3B)
Unsecuritized Seriously Delinquent Loans $12.3B $8.5B $(3.8B)
Total $59.0B $47.9B $(11.1B)
2019 SINGLE-FAMILY INVESTOR DAY
Our Programs
Source: Press releases on FreddieMac.com
PCs – Fully Guaranteed
SecuritizationsSCRT - RPL Senior/Sub NPL Sales
SLST - RPL Structured
Sales
R, M and H PoolsGuaranteed Senior/ Non-guaranteed
SubsSPO and EXPO Offerings
Guaranteed Senior/ Non-guaranteed
Subs
$28.7 billion settled since 2011 $17.9 billion settled since Q4 2016 $7.8 billion settled since 2014 $3.1 billion settled since Q4 2016
Primarily 12+ months clean pay
history
Primarily 12+ months clean pay
historyPrimarily 12+ months delinquent
Primarily inconsistent pay RPLs and
moderately DQ NPLs
Serviced to Freddie Mac Guide Not serviced to Freddie Mac Guide Not serviced to Freddie Mac Guide Not serviced to Freddie Mac Guide
No forborne UPB Includes forborne UPB Includes forborne UPB Includes forborne UPB
No servicing change Freddie Mac selects servicer for trust NPL buyer selects servicer Buyer of subs selects servicer
2019 SINGLE-FAMILY INVESTOR DAY
Historical RPL Supply
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
2011 2012 2013 2014 2015 2016 2017 2018 2019
Volu
me in B
illio
ns
FH RPL PCs FH SCRT/SLST Other GSE RPL Sales Other GSE RPL MBS Rated RPL
(1) Rated RPL includes “TPMT” and “MCMLT” securitizations
Source: Bloomberg, FannieMae.com
2019 SINGLE-FAMILY INVESTOR DAY
Senior Profiles
Deal Group Class Balance Coupon Initial C/E WAL Window Level
SCRT 19-1 H HT $154,183,000 3.00% 9.25% 7.50 1-298 46 back
SCRT 19-1 H HA $115,637,000 3.00% 9.25% 4.56 1-136 83/I
SCRT 19-1 H HB $38,546,000 3.00% 9.25% 16.32 136-298 105/I
SCRT 19-1 H HV $19,273,000 3.00% 9.25% 9.75 1-160
SCRT 19-1 H HZ $19,273,000 3.00% 9.25% 17.70 160-298
SCRT 19-1 M MT $1,590,781,000 3.50% 9.25% 7.86 1-309 36 back
SCRT 19-1 M MA $1,193,087,000 3.50% 9.25% 4.80 1-143 90/I
SCRT 19-1 M MB $397,694,000 3.50% 9.25% 17.04 143-309 105/I
SCRT 19-1 M MV $198,847,000 3.50% 9.25% 9.39 1-162 95/I
SCRT 19-1 M MZ $198,847,000 3.50% 9.25% 18.15 162-309 115/I
SCRT 19-1 M55 M55D $157,879,000 4.00% 9.25% 4.44 1-214 90/I
SLST 18-2 n/a A-1 $749,198,199 3.50% 24.13% 5.20 1-120 83/I
SLST 18-2 n/a A-2 $249,732,734 3.50% 24.13% 9.99 120-120 88/I
SCRT
SLST
2019 SINGLE-FAMILY INVESTOR DAY
Subordinate Profiles
Deal Rating Class Balance Coupon Initial C/E WAL Window Level
SCRT 19-1B (low ) (sf)
/ B-sfM $78,630,000 4.75% 5.50% 8.76 75~145 350/N
SCRT 19-1 BXS $115,323,997 0.00% 22.87 145~469 $41mm
SLST 18-2 M-1 $54,350,700 3.00% 20.00% 3.27 29-50
SLST 18-2 M-2 $87,773,767 3.00% 13.33% 5.92 50-94
SLST 18-2 M-3 $87,773,767 3.00% 6.67% 16.28 94~288
SLST 18-2 B $87,773,767 3.00% 0.00% 28.73 288-444
SLST 18-2 XS $1,316,602,934
SCRT
SLST
2019 SINGLE-FAMILY INVESTOR DAY
RPL Transactions Away
Source: Bloomberg
2019 SINGLE-FAMILY INVESTOR DAY
“YT NEW” on Bloomberg
Source: Bloomberg
2019 SINGLE-FAMILY INVESTOR DAY
“BCMV” on Bloomberg
Source: Bloomberg
2019 SINGLE-FAMILY INVESTOR DAY
Yield Book
Source: Yield Book
2019 SINGLE-FAMILY INVESTOR DAY Draft - For Internal Review Only 27Draft - For Internal Review Only
STACR UpdatesMike Reynolds, VP, Credit Risk Transfer
2019 SINGLE-FAMILY INVESTOR DAY
STACR Snapshot
Bonds Issued Covered Deals Issued
$33.2 B $1.2 T47
Unique Investors Active Broker
Dealers
Rating Agencies
>200 12 6
2019 SINGLE-FAMILY INVESTOR DAY
Key Factors in Development of CRT
✓ Programmatic and large issuance volumes ✓ Detailed transaction disclosures
✓ Release of Single-Family Loan-Level Dataset ✓ Strong performance to date
✓ Investor Development and Education ✓ Substantial rating upgrades
✓ Partnership with dealer community
2019 SINGLE-FAMILY INVESTOR DAY
Recent Enhancements
Trust Issuance Sale of First Loss 30 Year Legal Final
Extended term from 12.5 years
to 30 years
Started selling Class B-2
notes with 10 bps CE
Inaugural CRT Trust
transaction
2019 SINGLE-FAMILY INVESTOR DAY
Cumulative STACR Issuance
180
185
190
195
200
205
210
-
5
10
15
20
25
30
35
2017 2018 2019
Inve
sto
r C
ou
nt
($ B
illio
ns)
Cumulative Issuance Cumulative Outsanding Cumulative Investors
Cumulative Issuance and Investor Count
2019 SINGLE-FAMILY INVESTOR DAY
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Fannie Freddie FHA VA
Note: Serious delinquency is defined as 90 days or more past due or in the foreclosure process. Not seasonally adjusted.
3.76%
1.96%
0.76%
0.70%
Serious Delinquency Rates
2019 SINGLE-FAMILY INVESTOR DAY
Credit Quality of Portfolio – Serious Delinquencies
Source: Data included in tables were derived from Freddie Mac’s Single Family Loan Level Dataset (SF LLD) as of June 2018 refresh:
Originations 1999-June 30, 2017. Performance data: 1999-December 31, 2017, losses reported for loans liquidated as of 3Q2017.
(1) Loans with an LTV between 60% and 97%, Fixed Rate with term between 241-360, and 7 months seasoned.
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
18.0%
1 6 11 16 21 26 31 36 41 46 51 56 61 66 71 76 81 86 91 96
2002 2004 2005 2006 2007 2008
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
1 6 11 16 21 26 31 36 41 46 51 56 61 66 71 76 81 86 91 96
2002 2012 2013 2014 2015 2016 2017
Pre-Crisis Cumulative D90 by Vintage Post-Crisis Cumulative D90 by Vintage
2019 SINGLE-FAMILY INVESTOR DAY
Stellar Performance
Total
Ever D60 Default CE
DNA
HQA
$787 B
$282 B
$504 B 0.01%
0.03%
0.02%
0.18%
0.30%
0.22%
Ref. UPB Issued Severity
11%
5%
22%
Loss (bp)
0.2
0.2
0.2
Actual Loss Deals Only
2019 SINGLE-FAMILY INVESTOR DAY
Robust Secondary Activity
Monthly Trading Volume Over Trailing 12 Months
0%
2%
4%
6%
8%
10%
12%
14%
16%
0.0
0.5
1.0
1.5
2.0
2.5
3.0
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
2018 2019
Nominal ($billions) % of Outstanding
2019 SINGLE-FAMILY INVESTOR DAY
2019 Outlook
REMIC Off the RunDeal Calendar
Total Projected Issuance is $6-8 Billion
2019 SINGLE-FAMILY INVESTOR DAY Draft - For Internal Review Only 37Draft - For Internal Review Only
ACIS and IMAGIN UpdateGina Healy, VP, Credit Risk Transfer
2019 SINGLE-FAMILY INVESTOR DAY
ACIS Update
2019 SINGLE-FAMILY INVESTOR DAY
Key Messages – ACIS Program
A Key Source of Capital
▪ Reinsurers are a key source
of institutional based capital
▪ $15 B limit placed
CRT Expansion / Enhancements
▪ B-2 tranche aligns with Freddie
Mac’s strategic objective of
transferring more first loss risk
▪ Life of loan coverage
▪ Secure ACIS collateral
▪ Develop robust CRT investor
reporting tools
Innovation
▪ IMAGIN
▪ Seasoned collateral
CRT has been a strategic successTransferred over $1 trillion UPB between reinsurance and capital markets
2019 SINGLE-FAMILY INVESTOR DAY
ACIS / Reinsurance Program Offerings
$0.8 B
$3.6 B
$6.2 B $9.0 B
$11.6 B
~ $14.7 B
$9.2 B
$11.7 B
Pre 2015 2015 2016 2017 2018 2019(Projected)
ACIS Cumulative Volume
Coverage Placed Fill-Up
2019 Deal Placement Schedule
~$3 billion of limit across 12 transactions for 2019
▪ 8 DNA and HQA on the run transactions
▪ 1 AFRM (forward transaction)
▪ Seasoned B Collateral
▪ 15-year Standalone Deals
IMAGIN represents a new asset class and
opportunity to participate in CRT market
2019 SINGLE-FAMILY INVESTOR DAY
100%
63%
73%65% 61% 63% 60%
38%27%
35% 39% 37% 40%
1
8
15
20
2630
38*
2013 2014 2015 2016 2017 2018 2019
Foreign Domestic Total
ACIS Stable Pricing and Strong Demand Strengthens CRT
Reinsurance is an important part of CRT providing stable pricing throughout the market.
Strong global demand from a diversified reinsurer base.
Foreign vs. Domestic Investors
* Figure is cumulative
1.20% 1.20% 1.10% 1.10%0.85% 0.80% 0.85% 0.85%
1.05% 1.05% 1.05% 1.05%
3.25%3.50%
3.25%3.10%
2.75% 2.70% 2.70%2.90%
2.70% 2.70%2.90%
2.60%
5.25%5.00% 4.95%
4.70%4.50% 4.40% 4.50%
4.75%4.50% 4.50%
4.85%4.55%
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
B1
M2
M1
Stability of Premium Trends for ACIS
2019 SINGLE-FAMILY INVESTOR DAY
IMAGIN Update
2019 SINGLE-FAMILY INVESTOR DAY
IMAGIN Update
Broadening and Enhancing IMAGIN –
Unique Opportunity for Reinsurers
▪ Provides long-term committed capital to
support the housing market
▪ Increasing demand from reinsurers; 7 to
11 participants across a globally
diversified panel
Provides CRT investors with more
certainty and confidence in coverage
▪ Increases the certainty of MI claims on
high LTV transactions and obligations of
the CRT investor
▪ High take-up rate from diverse lender
base and growing volumes as pilot
achieves scale
▪ Increased risk limit while continuing to
provide representative mix
2019 SINGLE-FAMILY INVESTOR DAY
Key Messages
IMAGIN provides key benefits to CRT Investors, Lenders, and Borrowers
Levels the playing field
Follows Freddie Mac’s credit
guidelines
Operational efficiencies to
lenders
Lowers mortgage costs
for borrowers
Diversifies sources of
private capital supporting
low down payment lending
2019 SINGLE-FAMILY INVESTOR DAY Draft - For Internal Review Only 45Draft - For Internal Review Only
President’s PerspectiveDavid Brickman, President, Freddie Mac
2019 SINGLE-FAMILY INVESTOR DAY
Overview
01 The CRT Story 04 What You Can Expect From Us
02 Current State 05 Freddie Mac’s Commitment
03 Benefits of CRT
2019 SINGLE-FAMILY INVESTOR DAY
The CRT Story
2019 SINGLE-FAMILY INVESTOR DAY
Since CRT began in 2013, the program has
been a huge strategic success
▪ Serves as primary source of private capital
investment in residential credit
▪ Provides additional sources of capital to support
our business
Laid off significant risk on more than $1.2T
of our $1.9T guarantee book
$8 Billion reduction in capital requirements
87 transactions, totaling $0.8T in current
UPB (and growing)
Total Credit Risk Transferred (UPB, $ Billions)
$205
$385
$598
$858
$ $1,205 $1,263
$193 $329
$457
$643
$859 $897 12%
19%
26%
35%
45%47%
2014 2015 2016 2017 2018 YTD 2019
Reference Pool UPB at Issuance Reference Pool UPB Outstanding
Outstanding reference pool UPB as a
percentage of total Single-family portfolio
Single-Family
The basic formula: lower risk, lower capital, higher ROE
2019 SINGLE-FAMILY INVESTOR DAY
Asia2%
Caribbean14%
Canada1%
Europe4%
US78%
Other/Unknown1%
Data based on number of Unique Investors as of December 2018.
CRT Investor Distribution
▪ Freddie Mac has transferred credit risk to a wide variety of investors.
▪ Approximately 240 investors have participated in our programs and participation continues to grow.
Broadening
the Investor Base
Hedge Fund22%
Money Manager
40%
REIT5%
Insurance4%
Sovereign Fund2%
Reinsurance26%
Bank/Credit Union
1%
CRT International Diversification
Investor Diversification
Balancing risks transferred with investor appetite
2019 SINGLE-FAMILY INVESTOR DAY
Industry leader in credit risk transfer
▪ Through December 31, 2018, we have issued over $300 billion in K-Deals/SB-Deals
▪ Approximately 94% of our mortgage purchases are intended for securitization
▪ Many proposals for U.S. housing finance reform suggest a similar approach
Benefits for our customers
▪ Our model offers lenders and their borrowers access to a reliable and highly competitive funding source for multifamily mortgages
▪ Over time we expect to have negligible credit losses
Multifamily
2019 SINGLE-FAMILY INVESTOR DAY
Current State
2019 SINGLE-FAMILY INVESTOR DAY
Single-Family CRT Product Offerings
STACR® STACR SPISM SCRT/SLST
Seasoned CRTACIS® IMAGIN ACIS AFRM
Seller Facing Risk
Transfer
Issuance
Type
Debt and
Trust Notes
Cash
Securitization/
REMIC
Reinsurance
PolicyNegotiated
Primary
Investor Base
Global Fixed Income Market
Money Managers, Hedge Funds, REITS
Sovereign Funds, Banks & Insurance Companies
Global Reinsurance Industry
Over $500 Billion of CapitalSeller Servicers
Offerings
(Multi Class)
Investment Grade
Non-Investment Grade
Not Rated
(Multi Class)
Guaranteed
Non-Investment Grade
Not Rated
(Multi Class)
Reinsurance
Policy
Forward
Loan-Level
MI Coverage
Forward
Reinsurance
Policy
Forward
(Multi Class)
Capital Markets Offerings Reinsurance Offerings Seller Facing
Offerings
Freddie Mac’s SF CRT Offerings and Access to Diversified Investor Markets
2019 SINGLE-FAMILY INVESTOR DAY
Multifamily CRT Product Offerings
22009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Total2
Total UPB $2.1 $6.4 $13.7 $21.2 $28.0 $21.3 $37.4 $51.2 $62.8 $67.2 $311.5
K-Deals1 $2.1 $6.4 $13.7 $21.2 $28.0 $21.3 $35.6 $47.3 $56.7 $59.9 $292.4
SB-Deals 0 0 0 0 0 0 $1.8 $3.9 $5.5 $7.0 $18.2
ML-Deals 0 0 0 0 0 0 0 0 $0.6 $0.3 $0.9
1 The vast majority of our securitization volume is workforce housing loans. The K-W workforce housing deal type is a securitization type we issue on a limited basis for certain types of workforce housing and represents only a small subset of our overall workforce housing volume.
2 Excludes the total UPB of Value-Add (K-I00), Single Family Rental (SR-00) and Third Party (Q-000) Deal Types in which Freddie Mac is not the mortgage loan seller. Totals may not foot exactly due to rounding.
$0
$10
$20
$30
$40
$50
$60
$70
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
To
tal U
PB
($ B
illio
n)
Execution Volume 10 Year
7 Year
5 Year
SASB
No-Subordination
Floating Rate
Seniors Housing
Seasoned
Supplemental
>10 Year
Small Balance
Workforce
ML-Deal
Large Loan
Callable
Our securitization program has seen unprecedented growth as we continue to diversify our product execution options
2019 SINGLE-FAMILY INVESTOR DAY
0%
2%
4%
6%
8%
10%
12%
14%
16%
0
0.5
1
1.5
2
2.5
3
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
2018 2019
Nominal ($billions) % of Outstanding
0
5
10
15
20
25
30
35
2019201820172016201520142013
($ B
illio
ns)
Cumulative Issuance
STACR Estimated Trading Volume and Issuance
(1) Trading volumes reflect the sum of all buy and sell trades. All data as of December 2018
Current Outstanding ($ billions)
Rated 17.8
Unrated 5.9
Total 23.7
2013 2014 2015 2016 2017 2018 2019
Nominal ($ billions) 0.3 0.6 1.1 1.5 1.9 1.7 2.4
% of Outstanding 48% 20% 13% 11% 12% 8% 10%
Average Trading Volume per Month
Monthly Trading Volume Over Trailing 12 Months(1)
0.0
0.5
1.0
1.5
2.0
2.5
2013 2014 2015 2016 2017 2018 2019
($ b
illio
ns)
2019 SINGLE-FAMILY INVESTOR DAY
The growth of high quality investors has increased our liquidity, reduced
yields paid to investors and improved our overall risk-adjusted returns
Since inception, our investor base has grown significantly
Investors – Multifamily
We have created our own dynamic market with multiple types of dedicated investors
Bank47%
Money Manager
39%
Insurance Company/Pension
Plan 13%Hedge Fund 1%
Bank63%
Money Manager
19%
Insurance Company/Pension
Plan 17%Hedge Fund 1%
173 222 218186
22
33 49
5513
82
124
106
31
60
122
167
141 146
208
337
391
347
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
K Investors Both Programs SB Investors (beginning 8/2015)
K-Deal Investors by Type SB-Deal Investors by TypeInvestor Participation
2019 SINGLE-FAMILY INVESTOR DAY
Significant differences in Single-Family CRT vs. Multifamily CRT
Single-Family Multifamily
StructureSynthetic
Derivative-like
Asset Backed
Senior-subordinate
Underlying Assets Generic Pools Specific Properties
Asset Level Due
DiligenceNo Yes
Control of Special/
Default ServicingNo Yes
2019 SINGLE-FAMILY INVESTOR DAY
Benefits of CRT
2019 SINGLE-FAMILY INVESTOR DAY
Large majority of stress loss transferred
Stress Loss
of New
Business
75% Stress Loss
of New
Business
Multifamily
CRT2
90%
Single-Family
CRT1
1 Percentage shown is risk transferred as of March 2019, on 2018 new loan acquisitions. 2 Percentage shown is projected risk transferred on all 2018 new loan acquisitions.
2019 SINGLE-FAMILY INVESTOR DAY
Stress loss transferred projected to grow
26%
34%
45%
60%64%
74%
85%
2013 2014 2015 2016 2017 2018 YTD 2019 proj.
Percent of Risk Transferred on Single-Family New Deliveries
2019 SINGLE-FAMILY INVESTOR DAY
CRT Instills and Supports Market Discipline
▪ Many eyes lead to prudent pricing and credit practices
▪ Improved transparency into all aspects of the mortgage process
▪ Diversification of risk
▪ Deconcentration of risk exposure
▪ Less volatile markets
▪ Facilitates quantification of public policy objectives
2019 SINGLE-FAMILY INVESTOR DAY
What You Can Expect
2019 SINGLE-FAMILY INVESTOR DAY
Enhancements to Single-Family CRT
▪ STACR REMIC
▪ Selling more first loss and seasoned risk
▪ Extending maturities
▪ Lower risk and specialized products
▪ Broader investor participation
▪ More liquid markets
▪ Specified pools?
Enhancements to Multifamily CRT
▪ More reinsurance transactions − Multifamily Credit Insurance Pool (MCIP)
Leverage relative strengths
Enhancements
2019 SINGLE-FAMILY INVESTOR DAY
$6-8B STACR $2.5-3B ACIS12 Transactions10-12 Transactions
Expected Transaction Volume in 2019
2019 SINGLE-FAMILY INVESTOR DAY
Freddie Mac’s Commitment
2019 SINGLE-FAMILY INVESTOR DAY
We are committed to CRT and prudent credit standards
CRT has become
part of our DNA and
is the key to our
future
▪ Enables us to expand
our reach and serve our
mission
▪ Ensures discipline and
reduces volatility in
mortgage finance system
and capital markets
Markets will
continue to grow
and evolve