Fannie Mae and Freddie Mac Investor-presentation

© 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


0

10

20

30

2Q 2012 3Q 2012 4Q 2012 1Q 2013 2Q 2013


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


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


$17 $38 $27 $37 $10 $10 $139


$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%



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.


Credit Score2,3

30-year Fixed Rate63%


15-year Fixed Rate

23%

ARMs3%

Multifamily Conventional

5%Other<1%




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.


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.


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.


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.


© 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



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.


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.


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.

($ 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.


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.


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.


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.


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

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


$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.



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



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.

Fannie Mae and Freddie Mac Investor-presentation

Documents

Transcript of Fannie Mae and Freddie Mac Investor-presentation