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| (1) | The activity and balances set forth in these tables represent contractual amounts of unpaid principal balances, 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. Effective January 1, 2010, we adopted amendments to the accounting standards for transfers of financial assets and consolidation of VIEs. The 2010 amounts do not include the impact of these amendments. |
| (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 $1,995 million (based on unpaid principal balance) during the month of January 2010. See endnote (13) for information on our HFA initiative activity in January 2010. |
| (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) | As of January 31, 2010, we had net unsettled purchase (sale) agreements of approximately $279 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 January 31, 2010, would have been $744.0 billion. |
| (6) | Single-family mortgage loans purchased for cash are reported net of transfers of such mortgage loans through transactions that qualify as sales as well as all transfers through swap-based exchanges. |
| (7) | 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. |
| (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 month 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 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. |
| (10) | Includes PCs, Structured Securities and tax-exempt multifamily housing revenue bonds and HFA bonds for which we provide a guarantee, as well as credit-related commitments with respect to single-family mortgage loans and HFA bonds 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 onForm 10-K, dated February 24, 2010. |
| (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) | As of January 31, 2010, the ending balance of our PCs and Structured Securities, excluding outstanding long-term standby commitments, would have been $1,865 billion in Table 4. |
| (13) | In October 2009, as part of a cooperative agreement with Treasury and Fannie Mae, we agreed to provide assistance to state and local HFAs. Our January 2010 issuance includes $7.2 billion of guarantees under this initiative. Treasury bears initial losses on these securities up to 35% of the program-wide issuance. See our annual report onForm 10-K, dated February 24, 2010, for additional information on these programs. |
| (14) | Represents the combined balance and activity of our senior and subordinated debt based on the par values of these liabilities. |
| (15) | 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 any loan-level credit protection that may also exist. Additional information concerning Structured Transactions can be found in our annual report onForm 10-K, dated February 24, 2010. |
| | The unpaid principal balance of our single-family Structured Transactions at January 31, 2010 was $29.7 billion, representing approximately 1% of our total mortgage portfolio. Included in this balance is $4.5 billion that are backed by subordinated securities, including $1.6 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. In addition, there were $6.2 billion in unpaid principal balance that are backed by single-family HFA bonds for which Treasury provides up to 35% credit protection, based on conditions specified in the related programs. The remaining $19 billion of our Structured Transactions as of January 31, 2010 are single-class, or pass-through securities, including $9.6 billion of option ARMs, which do not benefit from structural or other credit enhancement protections. The delinquency rate for our single-family Structured Transactions (excluding those backed by HFA bonds) was 9.79% at January 31, 2010. The total single-family delinquency rate including our Structured Transactions (except for those backed by HFA bonds) was 4.15% at January 31, 2010. Below are the delinquency rates of our Structured Transactions: |
| | Structured Transactions securitized by: subordinated securities, including FHA/VA guarantees 24.90%; HFA bonds N/A; option ARM pass-through securities 18.56%; 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. |
| (16) | Other Investments consists of our cash and investments portfolio, which as of January 31, 2010 consists of: $48.5 billion of cash and cash equivalents; $45.7 billion of federal funds sold and securities purchased under agreements to resell; and $17.2 billion of non-mortgage investments. Non-mortgage investments are presented at fair value. |
| (17) | 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. |
| (18) | Excludes loans underlying Fixed-rate20-year, Fixed-rate40-year and Balloon PCs, as well as certain conforming jumbo loans underlying non-TBA PCs. As of January 31, 2010, the outstanding unpaid principal balance (UPB) of mortgage loans that were 120 days or more delinquent for these categories was $1.3 billion, which are eligible to be purchased. An “N/A” indicates there were no PCs issued in the specified PC category or loan origination year. |
| (19) | Loans in PCs with coupons less than 4.0% have been excluded. As of January 31, 2010, the outstanding UPB of mortgage loans that were 120 days or more delinquent for this category was $1.2 billion. |
| (20) | Represents loan-level UPB. The loan-level UPB may vary from the Fixed-rate PC UPB primarily due to guaranteed principal payments made by Freddie Mac on the PCs. In the case of Fixed-rate Initial Interest PCs, if they have not begun to amortize, there is no variance. |
| (21) | Delinquency rates (percent) are based on the number of loans in each category. |
| (22) | ARM PC coupons are rounded to the nearest whole or half-percent-coupon. For example, the 5.0% PC Coupon category includes ARM PCs with coupons between 4.75% and 5.24%, except for the 4.0% Coupon category which includes ARM PCs with coupons between 4.0% and 4.24%. |
