(unaudited & subject to change)
(dollars in millions)
-- On September 6, 2008, the Director of the Federal Housing Finance Agency (FHFA) appointed FHFA as Conservator of Freddie Mac. See our website, www.FreddieMac.com/investors for more information.
-- Total mortgage portfolio has increased at an annualized rate of 5.0% year-to-date and increased 4.1% in December.
-- The aggregate unpaid principal balance (UPB) of our mortgage-related investments portfolio (formerly known as the retained portfolio) declined to $804.8 billion at December 31, 2008.
-- The amount of mortgage-related investments portfolio mortgage purchase and sale agreements entered into during the month of December totaled $25.4 billion, up from the $15.0 billion entered into during the month of November.
-- Total guaranteed PCs and Structured Securities issued increased 5.1% during 2008 and increased at a rate of 0.4% in December.
-- The single-family delinquency rate was 172 basis points in December, up from 152 basis points in November and 65 basis points in December 2007.
-- Other Investments includes $45.3 billion of cash and cash equivalents, $10.2 billion of securities purchased under agreements to resell and federal funds sold, and $8.8 billion of non-mortgage investments as of December 31, 2008.
-- The measure of our exposure to changes in portfolio market value (PMVS-L) averaged $260 million in December. Duration Gap averaged 1 month. See Endnote (15) for further information.
A glossary of selected Monthly Volume Summary terms is available on the Investor Relations page of our website, www.FreddieMac.com/investors.
The Monthly Volume Summary includes volume and statistical data pertaining to our portfolios. Inquiries should be addressed to our Investor Relations Department, which can be reached by calling (703) 903-3883 or writing to:
8200 Jones Branch Drive, Mail Stop 486,
or sending an email to shareholder@freddiemac.com.
TABLE 1 - TOTAL MORTGAGE PORTFOLIO (1),(2) ========================================== Purchases Net and Increase/ Issuances(3) Sales(4) Liquidations (Decrease) Dec 2007 (5) $55,072 - ($10,688) $44,384 Full-Year 2007 577,691 (3,646) (298,089) 275,956 Jan 2008 32,089 - (23,713) 8,376 Feb 47,723 (143) (26,453) 21,127 Mar 54,604 (829) (36,265) 17,510 Apr 43,287 (636) (34,258) 8,393 May 65,064 (115) (31,708) 33,241 Jun 53,661 (1,721) (41,569) 10,371 Jul 34,631 (2,500) (24,440) 7,691 Aug 25,777 (20,355) (22,617) (17,195) Sep 27,234 (3,454) (19,632) 4,148 Oct 19,279 (899) (19,823) (1,443) Nov 26,867 (31) (21,712) 5,124 Dec 29,799 (4,986) (17,356) 7,457 ------------------ -------- -------- ---------- -------- Full-Year 2008 (6) $460,015 ($35,669) ($319,546) $104,800 ------------------ -------- -------- ---------- -------- Ending Annualized Annualized Balance Growth Rate Liquidation Rate Dec 2007 (5) $2,102,676 25.9% 6.2% Full-Year 2007 2,102,676 15.1% 16.3% Jan 2008 2,111,052 4.8% 13.5% Feb 2,132,179 12.0% 15.0% Mar 2,149,689 9.9% 20.4% Apr 2,158,082 4.7% 19.1% May 2,191,323 18.5% 17.6% Jun 2,201,694 5.7% 22.8% Jul 2,209,385 4.2% 13.3% Aug 2,192,190 (9.3%) 12.3% Sep 2,196,338 2.3% 10.7% Oct 2,194,895 (0.8%) 10.8% Nov 2,200,019 2.8% 11.9% Dec 2,207,476 4.1% 9.5% ------------------ ---------- --- ---- Full-Year 2008 (6) $2,207,476 5.0% 15.2% ------------------ ---------- --- ---- TABLE 2 - MORTGAGE-RELATED INVESTMENTS PORTFOLIO (RETAINED PORTFOLIO) (1) =========================================================== Sales, net Net of Other Increase/ Purchases(7) Activity(8) Liquidations (Decrease) Dec 2007 (5) $27,432 ($644) ($7,327) $19,461 Full-Year 2007 247,774 (81,468) (149,452) 16,854 Jan 2008 13,518 (7,550) (9,849) (3,881) Feb 7,870 (6,156) (9,123) (7,409) Mar 18,598 (5,150) (10,509) 2,939 Apr 36,887 (696) (11,116) 25,075 May 46,126 (2,218) (11,062) 32,846 Jun 37,983 (5,795) (10,773) 21,415 Jul 22,076 (5,775) (9,858) 6,443 Aug 4,353 (32,505) (9,206) (37,358) Sep 17,373 (33,383) (7,997) (24,007) Oct 45,366 (11,097) (7,481) 26,788 Nov 49,649 761 (8,647) 41,763 Dec 21,511 (14,703) (7,473) (665) -------------- -------- --------- --------- ------- Full-Year 2008 $321,310 ($124,267) ($113,094) $83,949 -------------- -------- --------- --------- ------- Mortgage Annualized Annualized Purchase Ending Growth Liquidation and Sale Balance Rate Rate Agreements(9) Dec 2007 (5) $720,813 33.3% 12.5% $7,871 Full-Year 2007 720,813 2.4% 21.2% 150,770 Jan 2008 716,932 (6.5%) 16.4% 581 Feb 709,523 (12.4%) 15.3% 14,802 Mar 712,462 5.0% 17.8% 43,479 Apr 737,537 42.2% 18.7% 43,485 May 770,383 53.4% 18.0% 26,249 Jun 791,798 33.4% 16.8% 34,746 Jul 798,241 9.8% 14.9% (324) Aug 760,883 (56.2%) 13.8% (15,410) Sep 736,876 (37.9%) 12.6% 2,521 Oct 763,664 43.6% 12.2% 17,363 Nov 805,427 65.6% 13.6% 14,977 Dec 804,762 (1.0%) 11.1% 25,365 -------------- -------- ---- ---- -------- Full-Year 2008 $804,762 11.6% 15.7% $207,834 -------------- -------- ---- ---- -------- TABLE 3 - MORTGAGE-RELATED INVESTMENTS PORTFOLIO COMPONENTS(1) ============================================================== Non-Freddie Mac Mortgage-Related PCs and Securities Portfolio Structured ------ ---------- Mortgage Ending Securities Agency Non-Agency Loans Balance Dec 2007 $356,970 $47,836 $233,849 $82,158 $720,813 Full-Year 2007 356,970 47,836 233,849 82,158 720,813 Jan 2008 356,105 48,182 230,354 82,291 716,932 Feb 349,129 47,798 226,701 85,895 709,523 Mar 346,850 54,349 222,929 88,334 712,462 Apr 375,200 54,668 218,964 88,705 737,537 May 395,355 69,642 215,283 90,103 770,383 Jun 413,907 74,143 212,725 91,023 791,798 Jul 414,365 80,857 209,848 93,171 798,241 Aug 397,573 59,526 206,972 96,812 760,883 Sep 374,946 57,108 204,510 100,312 736,876 Oct 399,986 57,815 202,172 103,691 763,664 Nov 431,976 67,586 199,798 106,067 805,427 Dec 424,524 70,852 197,910 111,476 804,762 -------------- -------- ------- -------- -------- -------- Full-Year 2008 $424,524 $70,852 $197,910 $111,476 $804,762 -------------- -------- ------- -------- -------- -------- TABLE 4 - TOTAL GUARANTEED PCs AND STRUCTURED SECURITIES ISSUED (1),(10) ========================================================= Net Increase/ Issuances Liquidations(11) (Decrease) Dec 2007 (5) $48,210 ($4,720) $43,490 Full-Year 2007 470,976 (209,166) 261,810 Jan 2008 29,480 (18,088) 11,392 Feb 42,968 (21,408) 21,560 Mar 43,526 (31,234) 12,292 Apr 40,779 (29,111) 11,668 May 47,310 (26,760) 20,550 Jun 43,981 (36,473) 7,508 Jul 21,712 (20,006) 1,706 Aug 22,072 (18,701) 3,371 Sep 21,994 (16,466) 5,528 Oct 13,803 (16,994) (3,191) Nov 14,514 (19,163) (4,649) Dec 15,722 (15,052) 670 ------------------ -------- --------- ------- Full-Year 2008 (6) $357,861 ($269,456) $88,405 ------------------ -------- --------- ------- Ending Annualized Annualized Balance Growth Rate Liquidation Rate Dec 2007 (5) $1,738,833 30.8% 3.3% Full-Year 2007 1,738,833 17.7% 14.2% Jan 2008 1,750,225 7.9% 12.5% Feb 1,771,785 14.8% 14.7% Mar 1,784,077 8.3% 21.2% Apr 1,795,745 7.8% 19.6% May 1,816,295 13.7% 17.9% Jun 1,823,803 5.0% 24.1% Jul 1,825,509 1.1% 13.2% Aug 1,828,880 2.2% 12.3% Sep 1,834,408 3.6% 10.8% Oct 1,831,217 (2.1%) 11.1% Nov 1,826,568 (3.0%) 12.6% Dec 1,827,238 0.4% 9.9% ------------------ ---------- --- ---- Full-Year 2008 (6) $1,827,238 5.1% 15.5% ------------------ ---------- --- ---- TABLE 5 - DEBT ACTIVITIES (12) ============================== Original Maturity Original Maturity > 1 = 1 Year Year ---------- --------------------- Maturities Ending and Balance Issuances Redemptions ------- --------- ----------- Dec 2007 $199,498 $16,255 $(19,520) Full-Year 2007 199,498 188,548 (209,592) Jan 2008 202,298 20,459 (28,415) Feb 200,541 27,343 (32,944) Mar 201,961 46,916 (16,864) Apr 232,590 29,507 (31,194) May 239,226 33,322 (17,768) Jun 243,557 36,603 (19,330) Jul 246,316 13,944 (6,657) Aug 228,635 7,164 (7,312) Sep 224,230 5,037 (37,278) Oct 282,601 10,432 (12,903) Nov 305,481 2,809 (8,108) Dec 330,902 10,777 (49,265) -------------- -------- -------- --------- Full-Year 2008 $330,902 $244,313 ($268,038) -------------- -------- -------- --------- Original Maturity > 1 Year -------------------------- Foreign Exchange Ending Total Debt Repurchases Translation Balance Outstanding ----------- ----------- ------- ----------- Dec 2007 $(3,156) $(82) $581,763 $781,261 Full-Year 2007 (15,096) 2,284 581,763 781,261 Jan 2008 (58) 237 573,986 776,284 Feb (21) 330 568,694 769,235 Mar - 647 599,393 801,354 Apr (1,721) (269) 595,716 828,306 May (1,986) (28) 609,256 848,482 Jun (779) 209 625,959 869,516 Jul (5,103) (148) 627,995 874,311 Aug (2,584) (858) 624,405 853,040 Sep (796) (658) 590,710 814,940 Oct (1,068) (1,306) 585,865 868,466 Nov (30) 8 580,544 886,025 Dec (3,808) 1,126 539,374 870,276 -------------- -------- ----- -------- -------- Full-Year 2008 ($17,954) ($710) $539,374 $870,276 -------------- -------- ----- -------- -------- TABLE 6 - DELINQUENCIES 13 ========================== Single-Family Multifamily --------------------------- ----------- Non-Credit Credit Enhanced Enhanced Total Total Dec 2007 0.45% 1.62% 0.65% 0.02% Jan 2008 0.49% 1.73% 0.71% 0.01% Feb 0.52% 1.78% 0.74% 0.01% Mar 0.54% 1.81% 0.77% 0.01% Apr 0.57% 1.88% 0.81% 0.03% May 0.61% 1.98% 0.86% 0.03% Jun 0.67% 2.10% 0.93% 0.04% Jul 0.72% 2.30% 1.01% 0.03% Aug 0.79% 2.50% 1.11% 0.02% Sep 0.87% 2.75% 1.22% 0.01% Oct 0.96% 3.04% 1.34% 0.01% Nov 1.09% 3.41% 1.52% 0.01% Dec 1.26% 3.79% 1.72% 0.01% TABLE 7 - OTHER INVESTMENTS =========================== Ending Balance(14) ---------- Dec 2007 50,237 -------------- ------ Full-Year 2007 50,237 -------------- ------ Jan 2008 47,312 Feb 48,838 Mar 73,804 Apr 78,320 May 70,846 Jun 71,687 Jul 68,697 Aug 84,064 Sep 68,590 Oct 94,793 Nov 79,119 Dec 64,270 -------------- ------- Full-Year 2008 $64,270 -------------- ------- TABLE 8 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES(15) ======================================================== Portfolio Market Portfolio Market Value- Value-Level Yield Curve (PMVS-L) (50bp) (PMVS-YC) (25bp) Duration Gap (dollars in (dollars in (Rounded to millions) millions) Nearest Month) ----------- ----------- --------------- Monthly Quarterly Monthly Quarterly Monthly Quarterly Average Average Average Average Average Average Dec 2007 $385 $361 $50 $37 0 0 Full-Year 2007 261 -- 31 -- 0 -- Jan 2008 438 -- 55 -- 0 -- Feb 331 -- 55 -- 0 -- Mar 437 403 41 50 1 0 Apr 571 -- 20 -- 1 -- May 576 -- 202 -- 0 -- Jun 390 513 49 90 0 0 Jul 348 -- 42 -- 0 -- Aug 271 -- 81 -- 0 -- Sep 395 338 87 70 0 0 Oct 354 -- 34 -- 0 -- Nov 394 -- 65 -- 0 -- Dec 260 332 149 84 1 0 Full-Year 2008 $397 -- $73 -- 0 --
ENDNOTES
(1) The activity and balances set forth in this table represent contractual amounts of unpaid principal balances, which are measures that differ from the balance of the mortgage-related investments portfolio (formerly known as the retained portfolio) as calculated in conformity with GAAP, and exclude mortgage loans and mortgage-related securities traded, but not yet settled. The mortgage-related investments portfolio amounts set forth in this report exclude premiums, discounts, deferred fees and other basis adjustments, the allowance for loan losses on mortgage loans held-for-investment, and unrealized gains or losses on mortgage-related securities that are reflected in our mortgage-related investments portfolio under GAAP.
(2) Total mortgage portfolio (Table 1) is defined as total guaranteed PCs and Structured Securities issued (Table 4) plus the sum of mortgage loans (Table 3) and non-Freddie Mac mortgage-related securities (agency and non-agency) (Table 3).
(3) Total mortgage portfolio Purchases and Issuances (Table 1) is defined as mortgage-related investments portfolio purchases (Table 2) plus total guaranteed PCs and Structured Securities issued (Table 4) less purchases into the mortgage-related investments portfolio. Purchases of Freddie Mac PCs and Structured Securities into the mortgage-related investments portfolio totaled
(4) "Includes: sales of non-Freddie Mac mortgage-related securities and multifamily mortgage loans from our mortgage-related investments portfolio. Excludes the transfer of single-family mortgage loans through transactions that qualify as sales and all transfers through swap-based exchanges.
(5) Effective
(6) Issuances and liquidations for the year ended
(7) "Single-family mortgage loans purchased for cash are reported net of transfers of such mortgage loans through transactions that qualify as sales under GAAP as well as all transfers through swap-based exchanges.
(8) See Endnote 4. Also includes: (a) net additions to our mortgage-related investments portfolio for delinquent mortgage loans purchased out of PC pools, (b) balloon reset mortgages purchased out of PC pools and (c) transfers of PCs and Structured Securities from our mortgage-related investments portfolio reported as sales.
(9) Mortgage purchase and sale agreements reflects trades entered into during the month and includes: (a) monthly commitments to purchase mortgage-related securities for our mortgage-related investments portfolio offset by monthly commitments to sell mortgage-related securities out of our mortgage-related investments portfolio during the month and (b) the net amount of monthly mortgage loan purchases and sales agreements entered into during the month. Substantially all of these commitments are settled by delivery of a mortgage-related security or mortgage loan; the rest are net settled for cash. Mortgage purchase and sale agreements also includes the net amount of mortgage-related securities that we expect to purchase or sell pursuant to written and purchased options entered into during the month for which we expect to take or make delivery of the securities. In some instances, commitments may settle during the same period in which we have entered into the related commitment.
(10) Includes PCs, Structured Securities and tax-exempt multifamily housing revenue bonds for which we provide a guarantee, as well as credit-related commitments with respect to single-family mortgage loans held by third parties. Excludes Structured Securities where we have resecuritized our PCs and Structured Securities. These resecuritized securities do not increase our credit-related exposure and consist of single-class Structured Securities backed by PCs, Real Estate Mortgage Investment Conduits (REMICs) and principal-only strips. Notional balances of interest-only strips are excluded because this table is based on unpaid principal balance. Some of the excluded REMICs are modifiable and combinable REMIC tranches, where the holder has the option to exchange the security tranches for other pre-defined security tranches. Additional information concerning our guarantees issued through resecuritization can be found in our Registration Statement on Form 10, dated
(11) Represents principal repayments relating to PCs and Structured Securities including those backed by non-Freddie Mac mortgage-related securities and relating to securities issued by others and single-family mortgage loans held by third parties that we guarantee. Also includes our purchases of delinquent mortgage loans and balloon reset mortgage loans out of PC pools.
(12) Represents the combined balance and activity of our senior and subordinated debt based on the par values of these liabilities.
(13) Single-family delinquencies are based on the number of mortgages 90 days or more delinquent or in foreclosure as of period end while multifamily delinquencies are based on net carrying value of mortgages 90 days or more delinquent or in foreclosure as of period end. Delinquency rates presented in Table 6 exclude mortgage loans underlying Structured Transactions and PCs backed by Ginnie Mae Certificates as well as mortgage loans whose original contractual terms have been modified under an agreement with the borrower as long as the borrower is less than 90 days delinquent under the modified contractual terms. Structured Transactions typically have underlying mortgage loans with a variety of risk characteristics. Many of these Structured Transactions have security-level credit protections from losses in addition to loan-level credit protection that may also exist. Additional information concerning Structured Transactions can be found in our Registration Statement on Form 10, dated
The unpaid principal balance of our single-family Structured Transactions at
Structured Transactions securitized by: subordinated securities, including FHA/VA guarantees 17.2%; option ARM pass-through securities 9.0%; Other pass-through securities 0.3%.
Previously reported delinquency data is subject to change to reflect currently available information. Revisions to previously reported delinquency rates have not been significant nor have they significantly affected the overall trend of our single-family "credit enhanced" and "total" delinquency rates.
(14) Other Investments ending balance consists of our cash and investments portfolio, which as of
(15) Our PMVS and duration gap measures provide useful estimates of key interest-rate risk and include the impact of our purchases and sales of derivative instruments, which we use to limit our exposure to changes in interest rates. Our PMVS measures are estimates of the amount of average potential pre-tax loss in the market value of our net assets due to parallel (PMVS-L) and non-parallel (PMVS-YC) changes in London Interbank Offered Rates (LIBOR). While we believe that our PMVS and duration gap metrics are useful risk management tools, they should be understood as estimates rather than precise measurements. Methodologies employed to calculate interest-rate risk sensitivity disclosures are periodically changed on a prospective basis to reflect improvements in the underlying estimation processes.
SOURCE Freddie Mac