Exhibit 99.1
Monthly Volume Summary: June 2009 (unaudited & subject to change) (dollars in millions) |
TABLE 1 - TOTAL MORTGAGE PORTFOLIO 1, 2 | June 2009 Highlights: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchases and | Net Increase/ | Ending | Annualized | Annualized Liquidation | > The total mortgage portfolio increased at an annualized rate of 6.6% in June. > Refinance-loan purchase volume was $50.9 billion in June, up from $40.3 billion in May. > The aggregate unpaid principal balance (UPB) of our mortgage-related investments portfolio increased to $829.8 billion at June 30, 2009. > The net amount of mortgage-related investments portfolio mortgage purchase and sale agreements entered into during the month of June totaled $9.9 billion, up from the $5.3 billion entered into during the month of May. > Total guaranteed PCs and Structured Securities issued increased at an annualized rate of 9.9% in June. > We completed tender offers to repurchase certain of our short-term and long-term debt securities in June 2009. Consequently, our outstanding debt declined to $857.3 billion and our other investments balance declined to $73.3 billion at June 30, 2009. > The measure of our exposure to changes in portfolio market value (PMVS-L) averaged $577 million in June. Duration gap averaged 0 months. See Endnote (15) for further information. > 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. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issuances 3 | Sales 4 | Liquidations | (Decrease) | Balance | Growth Rate | Rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Jun 2008 | $ | 53,661 | $ | (1,721 | ) | $ | (41,569 | ) | $ | 10,371 | $ | 2,201,694 | 5.7 | % | 22.8 | % | ||||||||||||||||||||||||||||||||||||||||||||
Jul | 34,631 | (2,500 | ) | (24,440 | ) | 7,691 | 2,209,385 | 4.2 | % | 13.3 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Aug | 25,777 | (20,355 | ) | (22,617 | ) | (17,195 | ) | 2,192,190 | (9.3 | %) | 12.3 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Sep | 27,234 | (3,454 | ) | (19,632 | ) | 4,148 | 2,196,338 | 2.3 | % | 10.7 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Oct | 19,279 | (899 | ) | (19,823 | ) | (1,443 | ) | 2,194,895 | (0.8 | %) | 10.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Nov | 26,867 | (31 | ) | (21,712 | ) | 5,124 | 2,200,019 | 2.8 | % | 11.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Dec | 29,799 | (4,986 | ) | (17,356 | ) | 7,457 | 2,207,476 | 4.1 | % | 9.5 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Full-Year 2008 | 460,015 | (35,669 | ) | (319,546 | ) | 104,800 | 2,207,476 | 5.0 | % | 15.2 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Jan 2009 | 21,709 | (5,350 | ) | (21,527 | ) | (5,168 | ) | 2,202,308 | (2.8 | %) | 11.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Feb | 40,052 | (734 | ) | (33,776 | ) | 5,542 | 2,207,850 | 3.0 | % | 18.4 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Mar | 86,085 | (4 | ) | (47,428 | ) | 38,653 | 2,246,503 | 21.0 | % | 25.8 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Apr | 58,090 | (20,222 | ) | (53,079 | ) | (15,211 | ) | 2,231,292 | (8.1 | %) | 28.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
May | 50,223 | (5,334 | ) | (47,890 | ) | (3,001 | ) | 2,228,291 | (1.6 | %) | 25.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Jun | 63,150 | (1,065 | ) | (49,893 | ) | 12,192 | 2,240,483 | 6.6 | % | 26.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
YTD 20095 | $ | 319,309 | $ | (32,709 | ) | $ | (253,593 | ) | $ | 33,007 | $ | 2,240,483 | 3.0 | % | 23.0 | % | ||||||||||||||||||||||||||||||||||||||||||||
TABLE 2 - MORTGAGE-RELATED INVESTMENTS PORTFOLIO 1 | TABLE 3 - MORTGAGE-RELATED INVESTMENTS COMPONENTS 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage | Mortgage | Net Purchase | PCs and | Non-Freddie Mac Mortgage- | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sales, net of | Ending | Annualized | Annualized | Purchase | Sale | and Sale | Structured | Related Securities | Mortgage | Ending | ||||||||||||||||||||||||||||||||||||||||||||||||||
Purchases 6 | Other Activity 7 | Liquidations | Balance | Growth Rate | Liquidation Rate | Agreements 8 | Agreements 9 | Agreements | Securities | Agency | Non-Agency | Loans | Balance | |||||||||||||||||||||||||||||||||||||||||||||||
Jun 2008 | $ | 37,983 | $ | (5,795 | ) | $ | (10,773 | ) | $ | 791,798 | 33.4 | % | 16.8 | % | $ | 58,385 | $ | (23,639 | ) | $ | 34,746 | Jun 2008 | $ | 413,907 | $ | 74,143 | $ | 212,725 | $ | 91,023 | $ | 791,798 | ||||||||||||||||||||||||||||
Jul | 22,076 | (5,775 | ) | (9,858 | ) | 798,241 | 9.8 | % | 14.9 | % | 61,637 | (61,961 | ) | (324 | ) | Jul | 414,365 | 80,857 | 209,848 | 93,171 | 798,241 | |||||||||||||||||||||||||||||||||||||||
Aug | 4,353 | (32,505 | ) | (9,206 | ) | 760,883 | (56.2 | %) | 13.8 | % | 73,028 | (88,438 | ) | (15,410 | ) | Aug | 397,573 | 59,526 | 206,972 | 96,812 | 760,883 | |||||||||||||||||||||||||||||||||||||||
Sep | 17,373 | (33,383 | ) | (7,997 | ) | 736,876 | (37.9 | %) | 12.6 | % | 37,098 | (34,577 | ) | 2,521 | Sep | 374,946 | 57,108 | 204,510 | 100,312 | 736,876 | ||||||||||||||||||||||||||||||||||||||||
Oct | 45,366 | (11,097 | ) | (7,481 | ) | 763,664 | 43.6 | % | 12.2 | % | 60,880 | (43,517 | ) | 17,363 | Oct | 399,986 | 57,815 | 202,172 | 103,691 | 763,664 | ||||||||||||||||||||||||||||||||||||||||
Nov | 49,649 | 761 | (8,647 | ) | 805,427 | 65.6 | % | 13.6 | % | 50,406 | (35,429 | ) | 14,977 | Nov | 431,976 | 67,586 | 199,798 | 106,067 | 805,427 | |||||||||||||||||||||||||||||||||||||||||
Dec | 21,511 | (14,703 | ) | (7,473 | ) | 804,762 | (1.0 | %) | 11.1 | % | 84,492 | (59,127 | ) | 25,365 | Dec | 424,524 | 70,852 | 197,910 | 111,476 | 804,762 | ||||||||||||||||||||||||||||||||||||||||
Full-Year 2008 | 321,310 | (124,267 | ) | (113,094 | ) | 804,762 | 11.6 | % | 15.7 | % | 632,634 | (424,800 | ) | 207,834 | Full-Year 2008 | 424,524 | 70,852 | 197,910 | 111,476 | 804,762 | ||||||||||||||||||||||||||||||||||||||||
Jan 2009 | 25,055 | (22,340 | ) | (8,557 | ) | 798,920 | (8.7 | %) | 12.8 | % | 42,971 | (25,944 | ) | 17,027 | Jan 2009 | 420,886 | 66,198 | 195,749 | 116,087 | 798,920 | ||||||||||||||||||||||||||||||||||||||||
Feb | 36,621 | (2,355 | ) | (11,150 | ) | 822,036 | 34.7 | % | 16.7 | % | 36,851 | (32,863 | ) | 3,988 | Feb | 436,257 | 68,709 | 193,941 | 123,129 | 822,036 | ||||||||||||||||||||||||||||||||||||||||
Mar | 66,574 | (6,797 | ) | (14,709 | ) | 867,104 | 65.8 | % | 21.5 | % | 80,250 | (64,405 | ) | 15,845 | Mar | 455,421 | 92,638 | 192,099 | 126,946 | 867,104 | ||||||||||||||||||||||||||||||||||||||||
Apr | 20,982 | (42,274 | ) | (15,522 | ) | 830,290 | (50.9 | %) | 21.5 | % | 48,057 | (47,101 | ) | 956 | Apr | 435,590 | 77,563 | 189,905 | 127,232 | 830,290 | ||||||||||||||||||||||||||||||||||||||||
May | 14,724 | (7,207 | ) | (14,376 | ) | 823,431 | (9.9 | %) | 20.8 | % | 46,382 | (41,064 | ) | 5,318 | May | 431,156 | 72,355 | 188,050 | 131,870 | 823,431 | ||||||||||||||||||||||||||||||||||||||||
Jun | 26,418 | (5,376 | ) | (14,636 | ) | 829,837 | 9.3 | % | 21.3 | % | 63,240 | (53,327 | ) | 9,913 | Jun | 440,478 | 72,889 | 186,195 | 130,275 | 829,837 | ||||||||||||||||||||||||||||||||||||||||
YTD 2009 | $ | 190,374 | $ | (86,349 | ) | $ | (78,950 | ) | $ | 829,837 | 6.2 | % | 19.6 | % | $ | 317,751 | $ | (264,704 | ) | $ | 53,047 | YTD 2009 | $ | 440,478 | $ | 72,889 | $ | 186,195 | $ | 130,275 | $ | 829,837 | ||||||||||||||||||||||||||||
Please see Endnotes on page 3.
TABLE 4 - TOTAL GUARANTEED PCs AND STRUCTURED SECURITIES ISSUED 1, 10 | TABLE 5 - DEBT ACTIVITIES 12 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Original Maturity< 1 Year | Original Maturity > 1 Year | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issuances | Liquidations 11 | Net Increase/ (Decrease) | Ending Balance | Annualized Growth Rate | Annualized Liquidation Rate 5 | Ending Balance | Issuances | Maturities and Redemptions | Repurchases | Foreign Exchange Translation | Ending Balance | Total Debt Outstanding | |||||||||||||||||||||||||||||||||||||||||||||
Jun 2008 | $ | 43,981 | $ | (36,473 | ) | $ | 7,508 | $ | 1,823,803 | 5.0 | % | 24.1 | % | Jun 2008 | $ | 243,557 | $ | 36,603 | $ | (19,330 | ) | $ | (779 | ) | $ | 209 | $ | 625,959 | $ | 869,516 | |||||||||||||||||||||||||||
Jul | 21,712 | (20,006 | ) | 1,706 | 1,825,509 | 1.1 | % | 13.2 | % | Jul | 246,316 | 13,944 | (6,657 | ) | (5,103 | ) | (148 | ) | 627,995 | 874,311 | |||||||||||||||||||||||||||||||||||||
Aug | 22,072 | (18,701 | ) | 3,371 | 1,828,880 | 2.2 | % | 12.3 | % | Aug | 228,635 | 7,164 | (7,312 | ) | (2,584 | ) | (858 | ) | 624,405 | 853,040 | |||||||||||||||||||||||||||||||||||||
Sep | 21,994 | (16,466 | ) | 5,528 | 1,834,408 | 3.6 | % | 10.8 | % | Sep | 224,230 | 5,037 | (37,278 | ) | (796 | ) | (658 | ) | 590,710 | 814,940 | |||||||||||||||||||||||||||||||||||||
Oct | 13,803 | (16,994 | ) | (3,191 | ) | 1,831,217 | (2.1 | %) | 11.1 | % | Oct | 282,601 | 10,432 | (12,903 | ) | (1,068 | ) | (1,306 | ) | 585,865 | 868,466 | ||||||||||||||||||||||||||||||||||||
Nov | 14,514 | (19,163 | ) | (4,649 | ) | 1,826,568 | (3.0 | %) | 12.6 | % | Nov | 305,481 | 2,809 | (8,108 | ) | (30 | ) | 8 | 580,544 | 886,025 | |||||||||||||||||||||||||||||||||||||
Dec | 15,722 | (15,052 | ) | 670 | 1,827,238 | 0.4 | % | 9.9 | % | Dec | 330,902 | 10,777 | (49,265 | ) | (3,808 | ) | 1,126 | 539,374 | 870,276 | ||||||||||||||||||||||||||||||||||||||
Full-Year 2008 | 357,861 | (269,456 | ) | 88,405 | 1,827,238 | 5.1 | % | 15.5 | % | Full-Year 2008 | 330,902 | 244,313 | (268,038 | ) | (17,954 | ) | (710 | ) | 539,374 | 870,276 | |||||||||||||||||||||||||||||||||||||
Jan 2009 | 16,277 | (19,241 | ) | (2,964 | ) | 1,824,274 | (1.9 | %) | 12.6 | % | Jan 2009 | 352,212 | 34,134 | (36,968 | ) | (15 | ) | (1,008 | ) | 535,517 | 887,729 | ||||||||||||||||||||||||||||||||||||
Feb | 29,815 | (32,018 | ) | (2,203 | ) | 1,822,071 | (1.4 | %) | 21.1 | % | Feb | 373,285 | 38,276 | (33,467 | ) | (21 | ) | (107 | ) | 540,198 | 913,483 | ||||||||||||||||||||||||||||||||||||
Mar | 57,684 | (44,935 | ) | 12,749 | 1,834,820 | 8.4 | % | 29.6 | % | Mar | 350,269 | 67,042 | (25,637 | ) | — | 536 | 582,139 | 932,408 | |||||||||||||||||||||||||||||||||||||||
Apr | 51,068 | (49,296 | ) | 1,772 | 1,836,592 | 1.2 | % | 32.2 | % | Apr | 295,797 | 44,033 | (22,421 | ) | — | (24 | ) | 603,727 | 899,524 | ||||||||||||||||||||||||||||||||||||||
May | 43,733 | (44,309 | ) | (576 | ) | 1,836,016 | (0.4 | %) | 29.0 | % | May | 277,038 | 39,435 | (27,655 | ) | — | 840 | 616,347 | 893,385 | ||||||||||||||||||||||||||||||||||||||
Jun | 61,137 | (46,029 | ) | 15,108 | 1,851,124 | 9.9 | % | 30.1 | % | Jun | 262,792 | 21,797 | (21,020 | ) | (22,484 | ) | (161 | ) | 594,479 | 857,271 | |||||||||||||||||||||||||||||||||||||
YTD 2009 5 | $ | 259,714 | $ | (235,828 | ) | $ | 23,886 | $ | 1,851,124 | 2.6 | % | 25.8 | % | YTD 2009 | $ | 262,792 | $ | 244,717 | $ | (167,168 | ) | $ | (22,520 | ) | $ | 76 | $ | 594,479 | $ | 857,271 | |||||||||||||||||||||||||||
TABLE 6 - DELINQUENCIES 13 | TABLE 7 - OTHER INVESTMENTS | TABLE 8 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES 15 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Single-Family | Multifamily | Portfolio Market Value- Level (PMVS-L) (50bp) (dollars in millions) | Portfolio Market Value- Yield Curve (PMVS-YC) (25bp) (dollars in millions) | Duration Gap (Rounded to Nearest Month) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Credit Enhanced | Credit Enhanced | Total | Total | Ending Balance 14 | Monthly Average | Quarterly Average | Monthly Average | Quarterly Average | Monthly Average | Quarterly Average | |||||||||||||||||||||||||||||||||||||||||||||||
Jun 2008 | 0.67 | % | 2.10 | % | 0.93 | % | 0.04 | % | Jun 2008 | $ | 71,687 | Jun 2008 | $ | 390 | $ | 513 | $ | 49 | $ | 90 | 0 | 0 | |||||||||||||||||||||||||||||||||||
Jul | 0.72 | % | 2.30 | % | 1.01 | % | 0.03 | % | Jul | 68,697 | Jul | 348 | — | 42 | — | 0 | — | ||||||||||||||||||||||||||||||||||||||||
Aug | 0.79 | % | 2.50 | % | 1.11 | % | 0.02 | % | Aug | 84,064 | Aug | 271 | — | 81 | — | 0 | — | ||||||||||||||||||||||||||||||||||||||||
Sep | 0.87 | % | 2.75 | % | 1.22 | % | 0.01 | % | Sep | 68,590 | Sep | 395 | 338 | 87 | 70 | 0 | 0 | ||||||||||||||||||||||||||||||||||||||||
Oct | 0.96 | % | 3.04 | % | 1.34 | % | 0.01 | % | Oct | 94,793 | Oct | 354 | — | 34 | — | 0 | — | ||||||||||||||||||||||||||||||||||||||||
Nov | 1.09 | % | 3.41 | % | 1.52 | % | 0.01 | % | Nov | 79,119 | Nov | 394 | — | 65 | — | 0 | — | ||||||||||||||||||||||||||||||||||||||||
Dec | 1.26 | % | 3.79 | % | 1.72 | % | 0.01 | % | Dec | 64,270 | Dec | 260 | 332 | 149 | 84 | 1 | 0 | ||||||||||||||||||||||||||||||||||||||||
Full-Year 2008 | 64,270 | Full-Year 2008 | 397 | — | 73 | — | 0 | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Jan 2009 | 1.46 | % | 4.31 | % | 1.98 | % | 0.03 | % | Jan 2009 | 94,311 | Jan 2009 | 102 | — | 90 | — | 0 | — | ||||||||||||||||||||||||||||||||||||||||
Feb | 1.60 | % | 4.54 | % | 2.13 | % | 0.08 | % | Feb | 98,611 | Feb | 447 | — | 44 | — | 1 | — | ||||||||||||||||||||||||||||||||||||||||
Mar | 1.73 | % | 4.85 | % | 2.29 | % | 0.09 | % | Mar | 99,414 | Mar | 429 | 328 | 121 | 87 | 1 | 1 | ||||||||||||||||||||||||||||||||||||||||
Apr | 1.86 | % | 5.10 | % | 2.44 | % | 0.10 | % | Apr | 110,947 | Apr | 493 | — | 130 | — | 0 | — | ||||||||||||||||||||||||||||||||||||||||
May | 2.01 | % | 5.45 | % | 2.62 | % | 0.12 | % | May | 114,498 | May | 570 | — | 101 | — | 0 | — | ||||||||||||||||||||||||||||||||||||||||
Jun | 2.13 | % | 5.82 | % | 2.78 | % | 0.11 | % | Jun | 73,345 | Jun | 577 | 547 | 40 | 90 | 0 | 0 | ||||||||||||||||||||||||||||||||||||||||
YTD 2009 | $ | 73,345 | YTD 2009 | $ | 439 | — | $ | 88 | — | 1 | — | ||||||||||||||||||||||||||||||||||||||||||||||
Please see Endnotes on page 3.
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. 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 $24,405 million (based on unpaid principal balance) during the month of June 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 six months ended June 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 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 six months ended June 30, 2009 would have been $254.0 billion in Table 4 and the annualized liquidation rate for the six months ended June 30, 2009 in Tables 1 and 4 would have been 22.5% and 25.2%, respectively. As of June 30, 2009, the ending balance of our PCs and Structured Securities, excluding outstanding long-term standby commitments, would have been $1,847 billion in Table 4. |
(6) | 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. |
(7) | 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. |
(8) | 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 period in which we have entered into the related commitment. |
(9) | Mortgage sale agreements reflects trades entered into during the month and includes: (a) monthly commitments to sell mortgage-related securities out of 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 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 Annual Report on Form 10-K, dated March 11, 2009. |
(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 the 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 Annual Report on Form 10-K, dated March 11, 2009. |
The unpaid principal balance of our single-family Structured Transactions at June 30, 2009 was $26.2 billion, representing approximately 1% of our total mortgage portfolio. Included in this balance is $4.9 billion that are backed by subordinated securities, including $1.8 billion of these 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 or guarantee. The remaining $21.3 billion of our Structured Transactions as of June 30, 2009 are single-class, or pass-through securities, including $10.2 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 7.79% at June 30, 2009. The total single-family delinquency rate including our Structured Transactions was 2.89% at June 30, 2009. Below are the delinquency rates of our Structured Transactions: | |
Structured Transactions securitized by: subordinated securities, including FHA/VA guarantees 21.1%; option ARM pass-through securities 14.1%; other pass-through securities 0.6%. | |
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. | |
(14) | Other Investments ending balance consists of our cash and investments portfolio, which as of June 30, 2009 consists of: $46.7 billion of cash and cash equivalents; $8.5 billion of federal funds sold and securities purchased under agreements to resell; and $18.1 billion of non-mortgage investments. Non-mortgage investments within this balance are presented at fair value. |
(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. |
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, | ||||
McLean, VA22102-3110 | ||||
or sending an email to shareholder@freddiemac.com. | ||||