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May 2009 Highlights:
-- The total mortgage portfolio decreased at an annualized rate of 1.6% in
May.
-- Refinance-loan purchase volume was $40.3 billion in May, down from $43.3
billion in April.
-- The aggregate unpaid principal balance (UPB) of our mortgage-related
investments portfolio decreased to $823.4 billion at May 31, 2009.
-- The amount of mortgage-related investments portfolio mortgage purchase
and sale agreements entered into during the month of May totaled $5.3
billion, up from the $956 million entered into during the month of
April.
-- Total guaranteed PCs and Structured Securities issued decreased at an
annualized rate of 0.4% in May.
-- The measure of our exposure to changes in portfolio market value
(PMVS-L) averaged $570 million in May. Duration gap averaged 0 months.
See Endnote (14) 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.
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, VA 22102-3110
or sending an email to shareholder@freddiemac.com.
TABLE 1 - TOTAL MORTGAGE PORTFOLIO (1),(2)
==========================================
Purchases and Net Increase/
Issuances(3) Sales(4) Liquidations (Decrease)
May 2008 $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 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)
YTD 2009 (5) $256,159 ($31,644) ($203,700) $20,815
Ending Annualized Annualized
Balance Growth Rate Liquidation Rate
May 2008 $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 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%
YTD 2009 (5) $2,228,291 2.3% 22.1%
TABLE 2 - MORTGAGE-RELATED INVESTMENTS PORTFOLIO (1)
====================================================
Sales, net
of Other Net Increase/
Purchases(6) Activity(7) Liquidations (Decrease)
May 2008 $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
Jan 2009 25,055 (22,340) (8,557) (5,842)
Feb 36,621 (2,355) (11,150) 23,116
Mar 66,574 (6,797) (14,709) 45,068
Apr 20,982 (42,274) (15,522) (36,814)
May 14,724 (7,207) (14,376) (6,859)
YTD 2009 $163,956 ($80,973) ($64,314) $18,669
Mortgage
Purchase
Ending Annualized Annualized and Sale
Balance Growth Rate Liquidation Rate Agreements(8)
May 2008 $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
Jan 2009 798,920 (8.7%) 12.8% 17,027
Feb 822,036 34.7% 16.7% 3,988
Mar 867,104 65.8% 21.5% 15,845
Apr 830,290 (50.9%) 21.5% 956
May 823,431 (9.9%) 20.8% 5,318
YTD 2009 $823,431 5.6% 19.2% $43,134
TABLE 3 - MORTGAGE-RELATED INVESTMENTS COMPONENTS (1)
=====================================================
PCs and Non-Freddie Mac
Structured Mortgage-Related Mortgage Ending
Securities Securities Loans Balance
-----------------
Agency Non-Agency
May 2008 $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
Jan 2009 420,886 66,198 195,749 116,087 798,920
Feb 436,257 68,709 193,941 123,129 822,036
Mar 455,421 92,638 192,099 126,946 867,104
Apr 435,590 77,563 189,905 127,232 830,290
May 431,156 72,355 188,050 131,870 823,431
YTD 2009 $431,156 $72,355 $188,050 $131,870 $823,431
TABLE 4 - TOTAL GUARANTEED PCs AND STRUCTURED SECURITIES ISSUED (1),(9)
=======================================================================
Net Increase/
Issuances Liquidations(10) (Decrease)
May 2008 $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 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)
YTD 2009 (5) $198,577 ($189,799) $8,778
Annualized
Ending Annualized Liquidation
Balance Growth Rate Rate (5)
May 2008 $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 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%
YTD 2009 5 $1,836,016 1.2% 24.9%
TABLE 5 - DEBT ACTIVITIES 11
============================
Original Maturity
</= 1 Year Original Maturity > 1 Year
------------------ --------------------------
Ending Maturities and
Balance Issuances Redemptions
------- --------- --------------
May 2008 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)
Jan 2009 352,212 34,134 (36,968)
Feb 373,285 38,276 (33,467)
Mar 350,269 67,042 (25,637)
Apr 295,797 44,033 (22,421)
May 277,038 39,435 (27,655)
YTD 2009 $277,038 $222,920 ($146,148)
Original Maturity > 1 Year
--------------------------
Foreign
Exchange Ending Total Debt
Repurchases Translation Balance Outstanding
----------- ----------- ------- -----------
May 2008 (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
Jan 2009 (15) (1,008) 535,517 887,729
Feb (21) (107) 540,198 913,483
Mar - 536 582,139 932,408
Apr - (24) 603,727 899,524
May - 840 616,347 893,385
YTD 2009 ($36) $237 $616,347 $893,385
TABLE 6 - DELINQUENCIES (12)
============================
Single-Family Multifamily
--------------------------- -----------
Non-Credit Credit
Enhanced Enhanced Total Total
May 2008 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%
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%
TABLE 7 - OTHER INVESTMENTS
===========================
Ending Balance (13)
May 2008 $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
Jan 2009 94,311
Feb 98,611
Mar 99,414
Apr 110,947
May 114,498
YTD 2009 $114,498
TABLE 8 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES (14)
=========================================================
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
May 2008 $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 --
Jan 2009 102 -- 90 -- 0 --
Feb 447 -- 44 -- 1 --
Mar 429 328 121 87 1 1
Apr 493 -- 130 -- 0 --
May 570 -- 101 -- 0 --
YTD 2009 $409 - $99 - 1 -
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 $8,234 million (based on unpaid principal balance) during the month of May 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 five months ended May 31, 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 five months ended May 31, 2009 would have been $192.9 billion in Table 4 and the annualized liquidation rate for the five months ended May 31, 2009 in Tables 1 and 4 would have been 21.5% and 24.2%, respectively. As of May 31, 2009, the ending balance of our PCs and Structured Securities, excluding outstanding long-term standby commitments, would have been $1,832 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 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 and (b) the net amount of monthly mortgage loan purchase and 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. 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.
(9) 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.
(10) 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.
(11) Represents the combined balance and activity of our senior and subordinated debt based on the par values of these liabilities.
(12) 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 May 31, 2009 was $26.6 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 $21.7 billion of our Structured Transactions as of May 31, 2009 are single-class, or pass-through securities, including $10.3 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 7.56% at May 31, 2009. The total single-family delinquency rate including our Structured Transactions was 2.73% at May 31, 2009. Below are the delinquency rates of our Structured Transactions:
Structured Transactions securitized by: subordinated securities, including FHA/VA guarantees 20.6%; option ARM pass-through securities 13.7%; other pass-through securities 0.5%.
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.
(13) Other Investments ending balance consists of our cash and investments portfolio, which as of May 31, 2009 consists of: $59.2 billion of cash and cash equivalents; $36.9 billion of federal funds sold and securities purchased under agreements to resell; and $18.4 billion of non-mortgage investments. Non-mortgage investments within this balance are presented at fair value.
(14) 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
http://www.freddiemac.com
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