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| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Exhibit 99.1 |
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| Monthly Volume Summary: August 2012
(unaudited & subject to change) (dollars in millions) |
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TABLE 1 – TOTAL MORTGAGE PORTFOLIO1, 2 | | | | | August 2012 Highlights: „ The total mortgage portfolio decreased at an annualized rate of 5.5% in August. „ Single-family refinance-loan purchase and guarantee volume was $29.2 billion in August, representing 71% of total mortgage portfolio purchases and issuances. „ Total number of loan modifications were7,817 in August 2012 and 43,414 for the eight months ended August 31, 2012. „ The aggregate unpaid principal balance (UPB) of our mortgage-related investments portfolio decreased by approximately $3.0 billion in August. „ Freddie Mac mortgage-related securities and other guarantee commitments decreased at an annualized rate of 3.4% in August. „ Our single-family seriously delinquent rate decreased from 3.42% in July to 3.36% in August. Our multifamily delinquency rate remained flat at 0.29% in August. „ The measure of our exposure to changes in portfolio market value (PMVS-L) averaged $253 million in August. Duration gap averaged -1 month. „ On September 6, 2008, the Director of the Federal Housing Finance Agency (FHFA) appointed FHFA as Conservator of Freddie Mac. |
| | Purchases and Issuances | | | Sales 3 | | | Liquidations | | | Net Increase/ (Decrease) | | | Ending Balance | | | Annualized Growth Rate | | | Annualized Liquidation Rate | | | | |
Aug 2011 | | | $27,727 | | | | ($1,781 | ) | | | ($29,803 | ) | | | ($3,857 | ) | | | $2,116,873 | | | | (2.2% | ) | | | 16.9% | | | | |
Sep | | | 32,285 | | | | (1,766 | ) | | | (33,223 | ) | | | (2,704 | ) | | | 2,114,169 | | | | (1.5% | ) | | | 18.8% | | | | |
Oct | | | 33,436 | | | | (2,185 | ) | | | (40,480 | ) | | | (9,229 | ) | | | 2,104,940 | | | | (5.2% | ) | | | 23.0% | | | | |
Nov | | | 38,072 | | | | (3,273 | ) | | | (46,832 | ) | | | (12,033 | ) | | | 2,092,907 | | | | (6.9% | ) | | | 26.7% | | | | |
Dec | | | 30,713 | | | | (1,230 | ) | | | (46,996 | ) | | | (17,513 | ) | | | 2,075,394 | | | | (10.0% | ) | | | 26.9% | | | | |
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Full-Year 2011 | | | 361,047 | | | | (20,981 | ) | | | (429,531 | ) | | | (89,465 | ) | | | 2,075,394 | | | | (4.1% | ) | | | 19.8% | | | | |
Jan 2012 | | | 34,381 | | | | — | | | | (42,709 | ) | | | (8,328 | ) | | | 2,067,066 | | | | (4.8% | ) | | | 24.7% | | | | |
Feb | | | 37,633 | | | | (3,517 | ) | | | (39,771 | ) | | | (5,655 | ) | | | 2,061,411 | | | | (3.3% | ) | | | 23.1% | | | | |
Mar | | | 41,999 | | | | (1,603 | ) | | | (45,306 | ) | | | (4,910 | ) | | | 2,056,501 | | | | (2.9% | ) | | | 26.4% | | | | |
Apr | | | 25,851 | | | | (2,639 | ) | | | (47,361 | ) | | | (24,149 | ) | | | 2,032,352 | | | | (14.1% | ) | | | 27.6% | | | | |
May | | | 30,701 | | | | (1,302 | ) | | | (45,398 | ) | | | (15,999 | ) | | | 2,016,353 | | | | (9.4% | ) | | | 26.8% | | | | |
Jun | | | 44,103 | | | | (2,467 | ) | | | (45,765 | ) | | | (4,129 | ) | | | 2,012,224 | | | | (2.5% | ) | | | 27.2% | | | | |
Jul | | | 32,549 | | | | (1,324 | ) | | | (45,821 | ) | | | (14,596 | ) | | | 1,997,628 | | | | (8.7% | ) | | | 27.3% | | | | |
Aug | | | 41,335 | | | | (1,412 | ) | | | (49,016 | ) | | | (9,093 | ) | | | 1,988,535 | | | | (5.5% | ) | | | 29.4% | | | | |
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YTD 2012 | | | $288,552 | | | | ($14,264 | ) | | | ($361,147 | ) | | | ($86,859 | ) | | | $1,988,535 | | | | (6.3% | ) | | | 26.1% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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TABLE 2 – MORTGAGE-RELATED INVESTMENTS PORTFOLIO1 | | | | | TABLE 3 – MORTGAGE-RELATED INVESTMENTS PORTFOLIO COMPONENTS 1 |
| | Purchases 4 | | | Sales | | | Liquidations | | | Ending Balance | | | Annualized Growth Rate | | | Annualized Liquidation Rate | | | Mortgage Purchase Agreements 5 | | | | | Mortgage Sale Agreements 6 | | Net Purchase (Sale) Agreements 7 | | | | | | | PCs, REMICs and Other Structured Securities | | | Non-Freddie Mac Mortgage-Related Securities | | | Mortgage Loans | | | Ending Balance |
| | | | | | | | | | | | | | | Agency | | | Non-Agency | | | |
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Aug 2011 | | | $11,860 | | | | ($4,423 | ) | | | ($9,904 | ) | | | $680,570 | | | | (4.3% | ) | | | 17.4% | | | | $40,654 | | | | | ($33,942) | | | $6,712 | | | | | Aug 2011 | | | $256,494 | | | | $35,258 | | | | $147,739 | | | | $241,079 | | | $680,570 |
Sep | | | 18,867 | | | | (9,800 | ) | | | (10,504 | ) | | | 679,133 | | | | (2.5% | ) | | | 18.5% | | | | 38,384 | | | | | (31,289) | | | 7,095 | | | | | Sep | | | 254,055 | | | | 35,582 | | | | 146,553 | | | | 242,943 | | | 679,133 |
Oct | | | 12,772 | | | | (12,389 | ) | | | (10,416 | ) | | | 669,100 | | | | (17.7% | ) | | | 18.4% | | | | 29,987 | | | | | (26,113) | | | 3,874 | | | | | Oct | | | 243,930 | | | | 33,643 | | | | 145,021 | | | | 246,506 | | | 669,100 |
Nov | | | 16,798 | | | | (11,552 | ) | | | (11,071 | ) | | | 663,275 | | | | (10.4% | ) | | | 19.9% | | | | 29,310 | | | | | (21,393) | | | 7,917 | | | | | Nov | | | 236,607 | | | | 33,660 | | | | 143,938 | | | | 249,070 | | | 663,275 |
Dec | | | 11,467 | | | | (9,571 | ) | | | (11,858 | ) | | | 653,313 | | | | (18.0% | ) | | | 21.5% | | | | 13,697 | | | | | (5,502) | | | 8,195 | | | | | Dec | | | 223,667 | | | | 33,042 | | | | 142,634 | | | | 253,970 | | | 653,313 |
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Full-Year 2011 | | | 177,391 | | | | (90,748 | ) | | | (130,204 | ) | | | 653,313 | | | | (6.3% | ) | | | 18.7% | | | | 315,861 | | | | | (277,802) | | | 38,059 | | | | | Full-Year 2011 | | | 223,667 | | | | 33,042 | | | | 142,634 | | | | 253,970 | | | 653,313 |
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Jan 2012 | | | 8,921 | | | | (9,257 | ) | | | (10,480 | ) | | | 642,497 | | | | (19.9% | ) | | | 19.2% | | | | 8,982 | | | | | (10,191) | | | (1,209 | ) | | | | Jan 2012 | | | 212,346 | | | | 32,352 | | | | 141,409 | | | | 256,390 | | | 642,497 |
Feb | | | 592 | | | | (5,507 | ) | | | (9,763 | ) | | | 627,819 | | | | (27.4% | ) | | | 18.2% | | | | 7,951 | | | | | (11,695) | | | (3,744 | ) | | | | Feb | | | 206,100 | | | | 31,048 | | | | 139,780 | | | | 250,891 | | | 627,819 |
Mar | | | 3,510 | | | | (2,362 | ) | | | (10,669 | ) | | | 618,298 | | | | (18.2% | ) | | | 20.4% | | | | 9,958 | | | | | (21,009) | | | (11,051 | ) | | | | Mar | | | 201,746 | | | | 30,249 | | | | 138,318 | | | | 247,985 | | | 618,298 |
Apr | | | 1,758 | | | | (8,016 | ) | | | (10,556 | ) | | | 601,484 | | | | (32.6% | ) | | | 20.5% | | | | 10,939 | | | | | (11,699) | | | (760 | ) | | | | Apr | | | 196,514 | | | | 29,552 | | | | 136,923 | | | | 238,495 | | | 601,484 |
May | | | 6,763 | | | | (5,519 | ) | | | (10,782 | ) | | | 591,946 | | | | (19.0% | ) | | | 21.5% | | | | 10,028 | | | | | (10,850) | | | (822 | ) | | | | May | | | 189,767 | | | | 28,838 | | | | 135,490 | | | | 237,851 | | | 591,946 |
Jun | | | 5,049 | | | | (4,293 | ) | | | (11,423 | ) | | | 581,279 | | | | (21.6% | ) | | | 23.2% | | | | 11,416 | | | | | (9,509) | | | 1,907 | | | | | Jun | | | 186,991 | | | | 28,069 | | | | 134,107 | | | | 232,112 | | | 581,279 |
Jul | | | 8,292 | | | | (2,390 | ) | | | (10,865 | ) | | | 576,316 | | | | (10.2% | ) | | | 22.4% | | | | 13,149 | | | | | (8,723) | | | 4,426 | | | | | Jul | | | 188,897 | | | | 27,303 | | | | 132,731 | | | | 227,385 | | | 576,316 |
Aug | | | 11,585 | | | | (3,063 | ) | | | (11,476 | ) | | | 573,362 | | | | (6.2% | ) | | | 23.9% | | | | 12,098 | | | | | (2,062) | | | 10,036 | | | | | Aug | | | 190,454 | | | | 26,565 | | | | 131,154 | | | | 225,189 | | | 573,362 |
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YTD 2012 | | | $46,470 | | | | ($40,407 | ) | | | ($86,014 | ) | | | $573,362 | | | | (18.4% | ) | | | 19.7% | | | | $84,521 | | | | | ($85,738) | | | ($1,217 | ) | | | | YTD 2012 | | | $190,454 | | | | $26,565 | | | | $131,154 | | | | $225,189 | | | $573,362 |
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Please see Endnotes on page 3. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Page 1 of 3 |
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TABLE 4 – FREDDIE MAC MORTGAGE-RELATED SECURITIES AND OTHER GUARANTEE COMMITMENTS1,8 | | | | | TABLE 5 – OTHER DEBT ACTIVITIES11 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Original Maturity £ 1 Year | | | | | Original Maturity > 1 Year | | | | |
| | Issuances | | | Liquidations 9 | | | Net Increase/ (Decrease) | | | | | Ending Balance 10 | | | | | Annualized Growth Rate | | | Annualized Liquidation Rate | | | | | | | | | Ending Balance | | | | | Issuances | | | | | Maturities and Redemptions | | | Repurchases | | | | | Foreign Exchange Translation | | | Ending Balance | | | Total Debt Outstanding | |
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Aug 2011 | | | $26,044 | | | | ($27,018 | ) | | | ($974 | ) | | | | | $1,692,797 | | | | | | (0.7%) | | | | 19.1% | | | | | Aug 2011 | | | | | $187,718 | | | | | | $23,433 | | | | | | ($26,846 | ) | | | ($4,174 | ) | | | | | $3 | | | | $505,266 | | | | $692,984 | |
Sep | | | 26,536 | | | | (30,242 | ) | | | (3,706 | ) | | | | | 1,689,091 | | | | | | (2.6%) | | | | 21.4% | | | | | Sep | | | | | 180,810 | | | | | | 37,190 | | | | | | (33,218 | ) | | | — | | | | | | (130 | ) | | | 509,108 | | | | 689,918 | |
Oct | | | 28,707 | | | | (38,028 | ) | | | (9,321 | ) | | | | | 1,679,770 | | | | | | (6.6%) | | | | 27.0% | | | | | Oct | | | | | 167,251 | | | | | | 24,137 | | | | | | (19,365 | ) | | | — | | | | | | 71 | | | | 513,951 | | | | 681,202 | |
Nov | | | 30,498 | | | | (44,029 | ) | | | (13,531 | ) | | | | | 1,666,239 | | | | | | (9.7%) | | | | 31.5% | | | | | Nov | | | | | 160,544 | | | | | | 23,515 | | | | | | (16,448 | ) | | | (4,080 | ) | | | | | (65 | ) | | | 516,873 | | | | 677,417 | |
Dec | | | 22,687 | | | | (43,178 | ) | | | (20,491 | ) | | | | | 1,645,748 | | | | | | (14.8%) | | | | 31.1% | | | | | Dec | | | | | 161,443 | | | | | | 27,045 | | | | | | (30,684 | ) | | | (300 | ) | | | | | (63 | ) | | | 512,871 | | | | 674,314 | |
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Full-Year 2011 | | | 317,261 | | | | (403,101 | ) | | | (85,840 | ) | | | | | 1,645,748 | | | | | | (5.0%) | | | | 23.3% | | | | | Full-Year 2011 | | | | | 161,443 | | | | | | 297,774 | | | | | | (303,069 | ) | | | (12,772 | ) | | | | | (40 | ) | | | 512,871 | | | | 674,314 | |
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Jan 2012 | | | 31,233 | | | | (40,066 | ) | | | (8,833 | ) | | | | | 1,636,915 | | | | | | (6.4%) | | | | 29.2% | | | | | Jan 2012 | | | | | 155,579 | | | | | | 29,650 | | | | | | (28,084 | ) | | | (1,147 | ) | | | | | (1 | ) | | | 513,289 | | | | 668,868 | |
Feb | | | 40,098 | | | | (37,321 | ) | | | 2,777 | | | | | | 1,639,692 | | | | | | 2.0% | | | | 27.4% | | | | | Feb | | | | | 137,864 | | | | | | 25,988 | | | | | | (20,520 | ) | | | — | | | | | | 25 | | | | 518,782 | | | | 656,646 | |
Mar | | | 42,470 | | | | (42,213 | ) | | | 257 | | | | | | 1,639,949 | | | | | | 0.2% | | | | 30.9% | | | | | Mar | | | | | 134,865 | | | | | | 14,064 | | | | | | (37,836 | ) | | | (550 | ) | | | | | (5 | ) | | | 494,455 | | | | 629,320 | |
Apr | | | 31,972 | | | | (44,539 | ) | | | (12,567 | ) | | | | | 1,627,382 | | | | | | (9.2%) | | | | 32.6% | | | | | Apr | | | | | 127,539 | | | | | | 3,837 | | | | | | (17,184 | ) | | | (50 | ) | | | | | (7 | ) | | | 481,051 | | | | 608,590 | |
May | | | 28,879 | | | | (42,087 | ) | | | (13,208 | ) | | | | | 1,614,174 | | | | | | (9.7%) | | | | 31.0% | | | | | May | | | | | 125,776 | | | | | | 7,899 | | | | | | (15,799 | ) | | | — | | | | | | (77 | ) | | | 473,074 | | | | 598,850 | |
Jun | | | 45,760 | | | | (41,998 | ) | | | 3,762 | | | | | | 1,617,936 | | | | | | 2.8% | | | | 31.2% | | | | | Jun | | | | | 130,144 | | | | | | 7,716 | | | | | | (21,282 | ) | | | — | | | | | | 29 | | | | 459,537 | | | | 589,681 | |
Jul | | | 34,653 | | | | (42,380 | ) | | | (7,727 | ) | | | | | 1,610,209 | | | | | | (5.7)% | | | | 31.4% | | | | | Jul | | | | | 125,018 | | | | | | 13,463 | | | | | | (16,106 | ) | | | — | | | | | | (33 | ) | | | 456,861 | | | | 581,879 | |
Aug | | | 40,176 | | | | (44,758 | ) | | | (4,582 | ) | | | | | 1,605,627 | | | | | | (3.4%) | | | | 33.4% | | | | | Aug | | | | | 124,911 | | | | | | 14,536 | | | | | | (22,298 | ) | | | — | | | | | | 26 | | | | 449,125 | | | | 574,036 | |
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YTD 2012 | | | $295,241 | | | | ($335,362 | ) | | | ($40,121 | ) | | | | | $1,605,627 | | | | | | (3.7%) | | | | 30.6% | | | | | YTD 2012 | | | | | $124,911 | | | | | | $117,153 | | | | | | ($179,109 | ) | | | ($1,747 | ) | | | | | ($43 | ) | | | $449,125 | | | | $574,036 | |
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TABLE 6 – DELINQUENCIES – TOTAL12 | | | | | TABLE 7 – OTHER INVESTMENTS 14 | | | | | TABLE 8 – INTEREST-RATE RISK SENSITIVITY DISCLOSURES15 | | | | |
| | Single-Family13 | | | | | 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 | | | | | | | | | Monthly Average | | | | | Quarterly Average | | | | | Monthly Average | | | Quarterly Average | | | | | Monthly Average | | | Quarterly Average | | | | |
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Aug 2011 | | | 2.75% | | | | 7.66% | | | | 3.49% | | | | | | 0.35% | | | | | | Aug 2011 | | | | $55,685 | | | | | Aug 2011 | | | | | $335 | | | | | | — | | | | | | $19 | | | | — | | | | | | 0 | | | | — | | | | | |
Sep | | | 2.77% | | | | 7.70% | | | | 3.51% | | | | | | 0.33% | | | | | | Sep | | | | 49,638 | | | | | Sep | | | | | 152 | | | | | | 304 | | | | | | 17 | | | | 21 | | | | | | 0 | | | | 0 | | | | | |
Oct | | | 2.80% | | | | 7.77% | | | | 3.54% | | | | | | 0.31% | | | | | | Oct | | | | 54,158 | | | | | Oct | | | | | 259 | | | | | | — | | | | | | 12 | | | | — | | | | | | 0 | | | | — | | | | | |
Nov | | | 2.82% | | | | 7.82% | | | | 3.57% | | | | | | 0.28% | | | | | | Nov | | | | 56,633 | | | | | Nov | | | | | 233 | | | | | | — | | | | | | 30 | | | | — | | | | | | 0 | | | | — | | | | | |
Dec | | | 2.84% | | | | 8.03% | | | | 3.58% | | | | | | 0.22% | | | | | | Dec | | | | 67,785 | | | | | Dec | | | | | 302 | | | | | | 266 | | | | | | 12 | | | | 18 | | | | | | 0 | | | | 0 | | | | | |
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| | | | | | | | | | | | | | | | | | | | | | | Full-Year 2011 | | | | 67,785 | | | | | Full-Year 2011 | | | | | 359 | | | | | | — | | | | | | 21 | | | | — | | | | | | 0 | | | | — | | | | | |
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Jan 2012 | | | 2.84% | | | | 8.23% | | | | 3.59% | | | | | | 0.21% | | | | | | Jan 2012 | | | | 73,990 | | | | | Jan 2012 | | | | | 236 | | | | | | — | | | | | | 22 | | | | — | | | | | | 0 | | | | — | | | | | |
Feb | | | 2.84% | | | | 8.20% | | | | 3.57% | | | | | | 0.21% | | | | | | Feb | | | | 77,489 | | | | | Feb | | | | | 201 | | | | | | — | | | | | | 8 | | | | — | | | | | | 0 | | | | — | | | | | |
Mar | | | 2.80% | | | | 8.02% | | | | 3.51% | | | | | | 0.23% | | | | | | Mar | | | | 59,738 | | | | | Mar | | | | | 233 | | | | | | 223 | | | | | | 17 | | | | 16 | | | | | | 0 | | | | 0 | | | | | |
Apr | | | 2.81% | | | | 7.99% | | | | 3.51% | | | | | | 0.25% | | | | | | Apr | | | | 56,734 | | | | | Apr | | | | | 205 | | | | | | — | | | | | | 18 | | | | — | | | | | | 0 | | | | — | | | | | |
May | | | 2.80% | | | | 7.99% | | | | 3.50% | | | | | | 0.26% | | | | | | May | | | | 59,329 | | | | | May | | | | | 148 | | | | | | — | | | | | | 23 | | | | — | | | | | | 0 | | | | — | | | | | |
Jun | | | 2.76% | | | | 7.85% | | | | 3.45% | | | | | | 0.27% | | | | | | Jun | | | | 60,756 | | | | | Jun | | | | | 115 | | | | | | 156 | | | | | | 14 | | | | 18 | | | | | | 0 | | | | 0 | | | | | |
Jul | | | 2.75% | | | | 7.75% | | | | 3.42% | | | | | | 0.29% | | | | | | Jul | | | | 59,052 | | | | | Jul | | | | | 33 | | | | | | — | | | | | | 21 | | | | — | | | | | | 0 | | | | — | | | | | |
Aug | | | 2.70% | | | | 7.64% | | | | 3.36% | | | | | | 0.29% | | | | | | Aug | | | | 55,246 | | | | | Aug | | | | | 253 | | | | | | — | | | | | | 60 | | | | — | | | | | | (1 | ) | | | — | | | | | |
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| | | | | | | | | | | | | | | | | | | | | | | YTD 2012 | | | | $55,246 | | | | | YTD 2012 | | | | | $178 | | | | | | — | | | | | | $23 | | | | — | | | | | | 0 | | | | — | | | | | |
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Please see Endnotes on page 3. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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| | ENDNOTES |
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(1) | | The activity and balances set forth in these tables represent unpaid principal balances, and exclude interest-only loans, mortgage loans and mortgage-related securities traded, but not yet settled. For Freddie Mac mortgage-related securities, the balance reflects security balances based on the monthly PC factor report. Freddie Mac mortgage-related securities include PCs, REMICs and Other Structured Securities and Other Guarantee Transactions. Effective January 1, 2010, we adopted amendments to the accounting standards for transfers of financial assets and consolidation of VIEs, which resulted in significant changes to our financial statements. However, the information in this monthly volume summary is presented without giving effect to those changes. |
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(2) | | Total mortgage portfolio (Table 1) is defined as Freddie Mac mortgage-related securities and other guarantee commitments (Table 4) plus the sum of mortgage loans (Table 3) and non-Freddie Mac mortgage-related securities (agency and non-agency) (Table 3). |
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(3) | | Includes sales of non-Freddie Mac mortgage-related securities and multifamily mortgage loans from our mortgage-related investments portfolio. |
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(4) | | Includes purchases of Freddie Mac mortgage-related securities into the mortgage-related investments portfolio that totaled $8,233 million (based on unpaid principal balance) during August 2012. Purchases include net additions for seriously delinquent and modified mortgage loans and balloon/reset mortgages purchased out of PC pools. |
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(5) | | Mortgage purchase agreements reflect trades entered into during the month and include: (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. Our purchase commitments may settle during the same month in which we have entered into the related commitment. |
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(6) | | Mortgage sale agreements reflect trades entered into during the month and include: (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. Our sales commitments may settle during the same month in which we have entered into the related commitment. |
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(7) | | As of August 31, 2012, we had net unsettled purchase (sale) agreements of approximately $11,202 million. The ending balance of our mortgage-related investments portfolio as of August 31, 2012 after giving effect to these unsettled agreements and assuming we did not enter into any other purchase (sale) agreements after August 31, 2012 would have been $584.6 billion. |
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(8) | | Includes other guarantee commitments, which consist of tax-exempt multifamily housing revenue bonds, HFA bonds, and credit-related commitments with respect to single-family mortgage loans. Excludes any resecuritization activity. Notional balances of interest-only strips are excluded because this table is based on unpaid principal balance. |
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(9) | | Represents principal repayments relating to loans underlying Freddie Mac mortgage-related securities and other guarantee commitments. Also includes our purchases of seriously delinquent and modified mortgage loans and balloon/reset mortgage loans out of PC pools. |
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(10) | | The ending balance of Freddie Mac mortgage-related securities and other guarantee commitments (Table 4) differs from the balance of Freddie Mac mortgage-related securities in our quarterly report on Form 10-Q dated August 7, 2012 because Table 4 includes other guarantee commitments described in Endnote 8. |
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(11) | | Represents the combined balance and activity of our other debt, including securities sold under agreements to repurchase and federal funds purchased, based on the par values of these liabilities. |
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(12) | | Single-family serious delinquency rate information is based on the number of loans that are three monthly payments or more past due or in the process of foreclosure as of period end while multifamily delinquencies are based on the UPB of mortgage loans that are two monthly payments or more past due or in the process of foreclosure as of period end. Mortgage loans whose contractual terms have been modified under an agreement with the borrower are not counted as delinquent if the borrower is current under the modified terms. Delinquency rates presented in Table 6 include mortgage loans underlying Other Guarantee Transactions, but exclude financial guarantees that are backed by either HFA bonds or Ginnie Mae Certificates. For HAMP or non-HAMP standard modifications, we include loans in the trial period as seriously delinquent in our statistical reporting, which results in a temporary rise in our seriously delinquent rate until the modifications become effective and are removed from seriously delinquent status. The volume of effective modifications impacts our reported seriously delinquent rate. |
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(13) | | On a monthly basis, Freddie Mac publishes pool-level delinquency disclosures on its single-family PC and Giant PC securities on the company’s Web site, www.FreddieMac.com/mbs. These monthly disclosures include for each PC and Giant PC the loan count and associated aggregate UPB for mortgage loans that fall into one of four delinquency groups: 30-59 days delinquent, 60-89 days delinquent, 90-119 days delinquent, and 120 days or more delinquent. Additionally, the monthly disclosures include information about certain seriously delinquent loans purchased by Freddie Mac from each PC and Giant PC. Generally, we purchase these delinquent loans, and thereby extinguish the related PC debt, at the scheduled PC debt payment date, unless the loans proceed to foreclosure transfer, complete a foreclosure alternative or are paid in full by the borrower before such date. As of August 31, 2012, there were approximately $2.0 billion in UPB of loans that were four monthly payments past due, and that met our criteria to allow for the purchase of delinquent mortgage loans out of PC pools. |
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(14) | | Other Investments exclude amounts related to consolidated variable-interest entities. The balance includes cash and cash equivalents, federal funds sold and securities purchased under agreements to resell, and non-mortgage-related securities. Investments in non-mortgage-related securities are presented at fair value. |
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(15) | | Our primary interest-rate risk measures are PMVS and duration gap. These measures 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) movements 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. |
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| | 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 (571) 382-4732 or writing to: 1551 Park Run Drive, MS D5F, McLean, VA 22102-3110 or sending an email to shareholder@freddiemac.com. |
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