(unaudited & subject to change) (dollars in millions) MCLEAN,
Va., Dec. 23 /PRNewswire-FirstCall/ -- The following is being
issued by Freddie Mac (NYSE:FRE): November 2009 Highlights: -- The
total mortgage portfolio decreased at an annualized rate of 2.2% in
November. -- The aggregate unpaid principal balance (UPB) of our
mortgage-related investments portfolio was $761.8 billion at
November 30, 2009, down from $770.1 billion at October 31, 2009. --
The net amount of mortgage-related investments portfolio mortgage
purchase (sale) agreements entered into during the month of
November totaled $378 million, down from the $1.7 billion entered
into during the month of October. -- Refinance-loan purchase and
guarantee volume was $19.3 billion in November, up from $18.0
billion in October. Borrowers that made their last trial period
payment and completed the documentation requirements of the Home
Affordable Modification Program (HAMP) totaled 7,313 completed
loans as of November 30, 2009. -- Total guaranteed PCs and
Structured Securities issued decreased at an annualized rate of
1.9% in November. -- Our single-family portfolio delinquency rate
rose to 3.72% in November, up 18 basis points from October. Our
multifamily delinquency rate was 0.14% in November. -- The measure
of our exposure to changes in portfolio market value (PMVS-L)
averaged $452 million in November. Duration gap averaged 0 months.
See endnote (18) for further information. -- On September 6, 2008,
the Director of the Federal Housing Finance Agency (FHFA) appointed
FHFA as Conservator of Freddie Mac. A glossary of selected Monthly
Volume Summary terms is available on the Investor Relations page of
our website, http://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,
McLean, VA 22102-3110 or sending an email to . TABLE 1 - TOTAL
MORTGAGE PORTFOLIO (1, 2) Purchases and Sales (4) Liquidations Net
Increase/ Issuances (3) (Decrease)
--------------------------------------------------------------------------
Nov 2008 $26,867 $(31) $(21,712) $5,124 Dec 29,799 (4,986) (17,356)
7,457
--------------------------------------------------------------------------
Full-Year 2008 460,015 (35,669) (319,546) 104,800
--------------------------------------------------------------------------
Jan 2009 21,709 (5,350) (21,527) (5,168) Feb 40,052 (734) (33,776)
5,542 Mar 86,085 (4) (47,428) 38,653 Apr 58,090 (20,222) (53,079)
(15,211) May 50,223 (5,334) (47,890) (3,001) Jun 63,150 (1,065)
(49,893) 12,192 Jul 44,052 - (50,206) (6,154) Aug 47,886 - (40,948)
6,938 Sep 32,926 (250) (31,241) 1,435 Oct 32,181 (2,125) (28,838)
1,218 Nov 27,975 - (32,087) (4,112)
--------------------------------------------------------------------------
YTD 2009(5) $504,329 $(35,084) $(436,913) $32,332
--------------------------------------------------------------------------
Ending Annualized Annualized Balance Growth Rate Liquidation Rate
--------------------------------------------------------------------------
Nov 2008 $2,200,019 2.8% 11.9% Dec 2,207,476 4.1% 9.5%
--------------------------------------------------------------------------
Full-Year 2008 2,207,476 5.0% 15.2%
--------------------------------------------------------------------------
Jan 2009 2,202,308 (2.8%) 11.7% Feb 2,207,850 3.0% 18.4% Mar
2,246,503 21.0% 25.8% Apr 2,231,292 (8.1%) 28.4% May 2,228,291
(1.6%) 25.8% Jun 2,240,483 6.6% 26.9% Jul 2,234,329 (3.3%) 26.9%
Aug 2,241,267 3.7% 22.0% Sep 2,242,702 0.8% 16.7% Oct 2,243,920
0.7% 15.4% Nov 2,239,808 (2.2%) 17.2%
--------------------------------------------------------------------------
YTD 2009(5) $2,239,808 1.6% 21.6%
--------------------------------------------------------------------------
TABLE 2 - MORTGAGE-RELATED INVESTMENTS PORTFOLIO (1, 6) Purchases
(7) Sales, net of Other Liquidations Activity (8) Nov 2008 $49,649
$761 $(8,647) Dec 21,511 (14,703) (7,473) Full-Year 2008 321,310
(124,267) (113,094) Jan 2009 25,055 (22,340) (8,557) Feb 36,621
(2,355) (11,150) Mar 66,574 (6,797) (14,709) Apr 20,982 (42,274)
(15,522) May 14,724 (7,207) (14,376) Jun 26,418 (5,376) (14,636)
Jul 18,006 (33,343) (15,444) Aug 9,488 (15,945) (13,190) Sep 18,844
(3,289) (10,793) Oct 9,188 (12,908) (10,399) Nov 3,489 (979)
(10,810) YTD 2009 $249,389 $(152,813) $(139,586) -------- --------
--------- --------- Ending Balance Annualized Annualized Growth
Liquidation Rate Rate Nov 2008 $805,427 65.6% 13.6% Dec 804,762
(1.0%) 11.1% Full-Year 2008 804,762 11.6% 15.7% Jan 2009 798,920
(8.7%) 12.8% Feb 822,036 34.7% 16.7% Mar 867,104 65.8% 21.5% Apr
830,290 (50.9%) 21.5% May 823,431 (9.9%) 20.8% Jun 829,837 9.3%
21.3% Jul 799,056 (44.5%) 22.3% Aug 779,409 (29.5%) 19.8% Sep
784,171 7.3% 16.6% Oct 770,052 (21.6%) 15.9% Nov 761,752 (12.9%)
16.8% YTD 2009 $761,752 (5.8%) 18.9% -------- -------- ------ ----
Mortgage Mortgage Sale Net Purchase Purchase Agreements (10) (Sale)
Agreements (9) Agreements Nov 2008 $50,406 $(35,429) $14,977 Dec
84,492 (59,127) 25,365 Full-Year 2008 632,634 (424,800) 207,834 Jan
2009 42,971 (25,944) 17,027 Feb 36,851 (32,863) 3,988 Mar 80,250
(64,405) 15,845 Apr 48,057 (47,101) 956 May 46,382 (41,064) 5,318
Jun 63,240 (53,327) 9,913 Jul 35,786 (24,773) 11,013 Aug 32,529
(20,401) 12,128 Sep 15,178 (10,552) 4,626 Oct 9,106 (7,444) 1,662
Nov 8,466 (8,088) 378 YTD 2009 $418,816 $(335,962) $82,854 --------
-------- --------- ------- TABLE 3 - MORTGAGE-RELATED INVESTMENTS
PORTFOLIO COMPONENTS (1) Non-Freddie Mac Mortgage-Related
Securities -------------------------------- PCs and Agency
Non-Agency Structured ------ ---------- Securities ---------- Nov
2008 $431,976 $67,586 $199,798 Dec 424,524 70,852 197,910 Full-Year
2008 424,524 70,852 197,910 Jan 2009 420,886 66,198 195,749 Feb
436,257 68,709 193,941 Mar 455,421 92,638 192,099 Apr 435,590
77,563 189,905 May 431,156 72,355 188,050 Jun 440,478 72,889
186,195 Jul 412,650 71,145 184,322 Aug 396,217 69,505 182,489 Sep
403,490 68,050 180,752 Oct 389,928 69,056 179,065 Nov 382,751
67,497 177,334 YTD 2009 $382,751 $67,497 $177,334 -------- --------
------- -------- Mortgage Ending Loans Balance ----- ------- Nov
2008 $106,067 $805,427 Dec 111,476 804,762 Full-Year 2008 111,476
804,762 Jan 2009 116,087 798,920 Feb 123,129 822,036 Mar 126,946
867,104 Apr 127,232 830,290 May 131,870 823,431 Jun 130,275 829,837
Jul 130,939 799,056 Aug 131,198 779,409 Sep 131,879 784,171 Oct
132,003 770,052 Nov 134,170 761,752 YTD 2009 $134,170 $761,752
-------- -------- -------- TABLE 4 - MAKING HOME AFFORDABLE PROGRAM
ACTIVITY Refinance Loan Purchases --------- Home Affordable # of
Balance(1) Modification Loans (in Program, # of Loans (in units)
millions) Statistics (12) (in units) -------- --------
-------------- --------- For the month ended November 30, 2009:
Freddie Mac Relief Refinance Mortgage(SM): Estimated LTV: As of
November 30, 2009: 105% 257 60 Loans in HAMP --- -- trial period
Subtotal (11) 21,558 4,268 Zero to three 91,175 months Other
refinance More than mortgages 71,687 15,011 three months 24,435
------ ------ ------ Total refinance mortgages 93,245 $19,279 Total
115,610 ------ ------ ------- TABLE 5 - TOTAL GUARANTEED PCs AND
STRUCTURED SECURITIES ISSUED (1, 13) Liquidations Issuances (14)
Net Increase/ --------- ------------ (Decrease) ---------- Nov 2008
$14,514 $(19,163) $(4,649) Dec 15,722 (15,052) 670 Full-Year 2008
357,861 (269,456) 88,405 -------------- ------- -------- ------ Jan
2009 16,277 (19,241) (2,964) Feb 29,815 (32,018) (2,203) Mar 57,684
(44,935) 12,749 Apr 51,068 (49,296) 1,772 May 43,733 (44,309) (576)
Jun 61,137 (46,029) 15,108 Jul 42,954 (46,155) (3,201) Aug 47,458
(37,306) 10,152 Sep 31,839 (27,893) 3,946 Oct 27,469 (25,694) 1,775
Nov 25,984 (28,973) (2,989) YTD 2009 (5) $435,418 $(401,849)
$33,569 ------------ -------- --------- ------- Ending Annualized
Annualized Balance Growth Rate Liquidation ------- ----------- Rate
(5) -------- Nov 2008 $1,826,568 (3.0%) 12.6% Dec 1,827,238 0.4%
9.9% Full-Year 2008 1,827,238 5.1% 15.5% -------------- ---------
--- ---- Jan 2009 1,824,274 (1.9%) 12.6% Feb 1,822,071 (1.4%) 21.1%
Mar 1,834,820 8.4% 29.6% Apr 1,836,592 1.2% 32.2% May 1,836,016
(0.4%) 29.0% Jun 1,851,124 9.9% 30.1% Jul 1,847,923 (2.1%) 29.9%
Aug 1,858,075 6.6% 24.2% Sep 1,862,021 2.5% 18.0% Oct 1,863,796
1.1% 16.6% Nov 1,860,807 (1.9%) 18.7% YTD 2009 (5) $1,860,807 2.0%
24.0% ------------ ---------- --- ---- TABLE 6 - DEBT ACTIVITIES
(15) Original Maturity 1 Year --------------
-------------------------- Maturities and Ending Balance Issuances
Redemptions Repurchases -------------- --------- --------------
----------- Nov 2008 $305,481 $2,809 $(8,108) $(30) Dec 330,902
10,777 (49,265) (3,808) Full-Year 2008 330,902 244,313 (268,038)
(17,954) --------- ------- ------- -------- ------- Jan 2009
352,212 34,134 (36,968) (15) Feb 373,285 38,276 (33,467) (21) Mar
350,269 67,042 (25,637) - Apr 295,797 44,033 (22,421) - May 277,038
39,435 (27,655) - Jun 262,792 21,797 (21,020) (22,484) Jul 258,647
13,129 (18,145) (3,875) Aug 253,813 23,353 (6,588) (2,026) Sep
241,527 12,570 (25,730) (2,776) Oct 235,875 14,650 (18,005) (3,109)
Nov 231,082 19,774 (19,709) (250) YTD 2009 $231,082 $328,193
$(255,345) $(34,556) -------- -------- -------- --------- --------
Original Maturity > 1 Year -------------------------- Foreign
Exchange Total Debt Translation Ending Balance Outstanding
----------- -------------- ----------- Nov 2008 $8 $580,544
$886,025 Dec 1,126 539,374 870,276 Full-Year 2008 (710) 539,374
870,276 -------------- ---- ------- ------- Jan 2009 (1,008)
535,517 887,729 Feb (107) 540,198 913,483 Mar 536 582,139 932,408
Apr (24) 603,727 899,524 May 840 616,347 893,385 Jun (161) 594,479
857,271 Jul 66 585,654 844,301 Aug 68 600,461 854,274 Sep 105
584,630 826,157 Oct 54 578,220 814,095 Nov 102 578,137 809,219 YTD
2009 $471 $578,137 $809,219 -------- ---- -------- -------- TABLE 7
- DELINQUENCIES (16) ============================ Single-Family
Multifamily ------------- ----------- Non-Credit Credit Enhanced
Enhanced Total Total ---------- -------- ----- ----- Nov 2008 1.09%
3.41% 1.52% 0.01% Dec 1.26% 3.79% 1.72% 0.01% Jan 2009 1.46% 4.31%
1.98% 0.03% Feb 1.60% 4.54% 2.13% 0.08% Mar 1.73% 4.85% 2.29% 0.09%
Apr 1.86% 5.10% 2.44% 0.10% May 2.01% 5.45% 2.62% 0.12% Jun 2.13%
5.82% 2.78% 0.11% Jul 2.27% 6.17% 2.95% 0.11% Aug 2.41% 6.59% 3.13%
0.10% Sep 2.57% 6.98% 3.33% 0.11% Oct 2.73% 7.43% 3.54% 0.12% Nov
2.88% 7.84% 3.72% 0.14% TABLE 8 - OTHER INVESTMENTS
=========================== Ending Balance(17) ------------------
Nov $79,119 Dec 64,270 Full-Year 2008 64,270 -------------- ------
Jan 2009 94,311 Feb 98,611 Mar 99,414 Apr 110,947 May 114,498 Jun
73,345 Jul 90,749 Aug 117,724 Sep 83,696 Oct 86,138 Nov 84,821 YTD
2009 $84,821 -------- ------- TABLE 9 - INTEREST RATE RISK
SENSITIVITY DISCLOSURES (18) Portfolio Market Value- Portfolio
Market Value- Level Yield Curve (PMVS-L) (50bp) (PMVS-YC) (25bp)
(dollars in millions) (dollars in millions) ---------------------
--------------------- Monthly Quarterly Monthly Quarterly Average
Average Average Average ------- --------- ------- --------- Nov
2008 $394 -- $65 -- Dec 260 $332 149 $84 Full-Year 2008 397 -- 73
-- -------------- --- --- --- --- Jan 2009 102 -- 90 -- Feb 447 --
44 -- Mar 429 328 121 87 Apr 493 -- 130 -- May 570 -- 101 -- Jun
577 547 40 90 Jul 556 -- 89 -- Aug 549 -- 105 -- Sep 566 557 91 95
Oct 472 -- 19 -- Nov 452 -- 21 -- YTD 2009 $476 - $78 - --------
---- --- --- --- Duration Gap (Rounded to Nearest Month)
-------------------------- Monthly Average Quarterly Average
------- ----------------- Nov 2008 0 -- Dec 1 0 Full-Year 2008 0 --
-------------- --- --- Jan 2009 0 -- Feb 1 -- Mar 1 1 Apr 0 -- May
0 -- Jun 0 0 Jul 0 -- Aug 0 -- Sep 0 0 Oct 0 -- Nov 0 -- YTD 2009 0
- -------- --- --- ENDNOTES (1) The activity and balances set forth
in these tables represent contractual amounts of unpaid principal
balances, which are measures that differ from the balance of the
mortgage-related investments portfolio as calculated in conformity
with GAAP, and exclude mortgage loans and mortgage-related
securities traded, but not yet settled. For PCs and Structured
Securities, the balance reflects reported security balances and not
the unpaid principal of the underlying mortgage loans. 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 issuances (Table 4) less purchases of
Freddie Mac PCs and Structured Securities into the mortgage-related
investments portfolio. Purchases of Freddie Mac PCs and Structured
Securities into the mortgage-related investments portfolio totaled
$1,498 million (based on unpaid principal balance) during the month
of November 2009. (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) Issuances
and liquidations for the eleven months ended November 30, 2009
include approximately $5.7 billion of conversions of previously
issued long-term standby commitments into either PCs or Structured
Transactions. These conversion amounts, based on the unpaid
principal balance of the underlying single-family mortgage loans,
are included in liquidations, representing the termination of the
original agreement and, in the same month, are included in
issuances, representing the new securities issued. Excluding these
conversions, the amount of our issuances for the eleven months
ended November 30, 2009 would have been $429.7 billion in Table 4
and the annualized liquidation rate for the eleven months ended
November 30, 2009 in Tables 1 and 4 would have been 21.3% and
23.7%, respectively. As of November 30, 2009, the ending balance of
our PCs and Structured Securities, excluding outstanding long-term
standby commitments, would have been $1,856 billion in Table 4. (6)
As of November 30, 2009, we had net unsettled purchase (sale)
agreements of approximately $(549) million. The ending balance of
our mortgage-related investments portfolio, after giving effect to
these unsettled agreements and assuming we did not enter any other
purchase (sale) agreements after November 30, 2009, would have been
$761.2 billion. (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. Other
activity consists of: (a) net additions for delinquent mortgage
loans purchased out of PC pools, (b) net additions for
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
agreements reflects trades entered into during the month and
includes: (a) monthly commitments to purchase mortgage-related
securities for our mortgage-related investments portfolio, and (b)
the amount of monthly mortgage loan purchase 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. Our purchase commitments
may settle during the same month in which we have entered into the
related commitment. (10) Mortgage sale agreements reflects trades
entered into during the month and includes: (a) monthly commitments
to sell mortgage-related securities from our mortgage-related
investments portfolio, and (b) the amount of monthly mortgage loan
sale 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. Our
sales commitments may settle during the same month in which we have
entered into the related commitment. (11) The Freddie Mac Relief
Refinance Mortgage is our implementation of the Home Affordable
Refinance Program for our loans. See our third quarter report on
Form 10-Q, filed November 6, 2009, for additional information. (12)
Based on information reported by our servicers to the MHA program
administrator. Trial period loans under HAMP are those where the
borrower has made the first payment under the terms of a trial
period offer. Completed HAMP loans are those where the borrower has
made the last trial period payment, provided the required
documentation to the servicer and the modification has become
effective. (13) 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 Annual Report
on Form 10-K, dated March 11, 2009. (14) 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. (15) Represents the combined balance and
activity of our senior and subordinated debt based on the par
values of these liabilities. (16) 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 the net carrying value of mortgages 90 days or more
delinquent or in foreclosure as of period end. Delinquency rates
presented in Table 7 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 any loan-level credit protection that may also exist.
Additional information concerning Structured Transactions can be
found in our Annual Report on Form 10-K, dated March 11, 2009. The
unpaid principal balance of our single-family Structured
Transactions at November 30, 2009 was $24.2 billion, representing
approximately 1% of our total mortgage portfolio. Included in this
balance is $4.6 billion that are backed by subordinated securities,
including $1.7 billion that are secured by FHA/VA loans, for which
those agencies provide recourse for 100% of the qualifying losses
associated with the loan. Structured Transactions backed by
subordinated securities benefit from credit protection from the
related subordinated tranches, which we do not purchase. The
remaining $19.6 billion of our Structured Transactions as of
November 30, 2009 are single-class, or pass-through securities,
including $9.8 billion of option ARMs, which do not benefit from
structural or other credit enhancement protections. The delinquency
rate for our single-family Structured Transactions was 9.19% at
November 30, 2009. The total single-family delinquency rate
including our Structured Transactions was 3.83% at November 30,
2009. Below are the delinquency rates of our Structured
Transactions: Structured Transactions securitized by: subordinated
securities, including FHA/VA guarantees 23.52%; option ARM
pass-through securities 17.19%; other pass-through securities
0.94%. 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
delinquency rates. (17) Other Investments consists of our cash and
investments portfolio, which as of November 30, 2009 consists of:
$39.1 billion of cash and cash equivalents; $28.4 billion of
federal funds sold and securities purchased under agreements to
resell; and $17.3 billion of non-mortgage investments. Non-mortgage
investments are presented at fair value. (18) 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. DATASOURCE: Freddie Mac CONTACT: Michael
Cosgrove of Freddie Mac, +1-703-903-2123 Web Site:
http://www.freddiemac.com/
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