2019 investor day - freddie mac · 12/31/2018 · $28.7 billion settled since 2011 $17.9 billion...

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


Servicing UpdateYvette Gilmore, VP, Servicer Relationship and Performance Management


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


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


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.


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.


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


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


performance with minimum 20

loans in the denominator for:

• Transition from 30 to 60+

(40%)



• Must have synthetic

performance


performance with minimum 20

loans in the denominator for:

• Transition from 30 to 60+ (40%)



• Must have synthetic performance

• Not Applicable

Synthetic Yes Yes Yes Yes


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


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 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.


Reimagine ServicingSM


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


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 …


SCRT and SLST UpdateJeff Willoughby, Senior Director, RPL/NPL Portfolio


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


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)


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


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


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


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


RPL Transactions Away

Source: Bloomberg


“YT NEW” on Bloomberg

Source: Bloomberg


“BCMV” on Bloomberg

Source: Bloomberg


Yield Book

Source: Yield Book


STACR UpdatesMike Reynolds, VP, Credit Risk Transfer


STACR Snapshot

Bonds Issued Covered Deals Issued

$33.2 B $1.2 T47

Unique Investors Active Broker

Dealers

Rating Agencies

>200 12 6


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


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


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


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


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


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


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 Outlook

REMIC Off the RunDeal Calendar

Total Projected Issuance is $6-8 Billion


ACIS and IMAGIN UpdateGina Healy, VP, Credit Risk Transfer


ACIS Update


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


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


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


IMAGIN Update


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


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


President’s PerspectiveDavid Brickman, President, Freddie Mac


Overview

01 The CRT Story 04 What You Can Expect From Us

02 Current State 05 Freddie Mac’s Commitment

03 Benefits of CRT


The CRT Story


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


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


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


Current State


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


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


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)


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


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


Benefits of CRT


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.


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


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


What You Can Expect


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


$6-8B STACR $2.5-3B ACIS12 Transactions10-12 Transactions

Expected Transaction Volume in 2019


Freddie Mac’s Commitment


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

2019 investor day - freddie mac · 12/31/2018 · $28.7 billion settled since 2011 $17.9 billion...

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