(unaudited & subject to change)
(dollars in millions)
MCLEAN, Va., Aug. 26 /PRNewswire-FirstCall/ -- The following is being
issued by Freddie Mac (NYSE: FRE):
July 2008 Highlights:
-- The aggregate unpaid principal balance (UPB) of our retained portfolio
increased to $798.2 billion at July 31, 2008.
-- Total mortgage portfolio has increased at an annualized rate of 8.7%
year-to-date and 4.2% in July.
-- The amount of retained portfolio mortgage purchase and sales agreements
entered into during the month of July totaled $(0.3) billion, down from the
$34.7 billion entered into during the month of June.
-- Total guaranteed PCs and Structured Securities issued have increased at
an annualized rate of 8.5% year-to-date and 1.1% in July.
-- The single-family delinquency rate for all loans was 101 basis points
in July, up from 93 basis points in June.
-- The measure of our exposure to changes in portfolio market value
averaged $348 million for PMVS-L in July. Duration Gap averaged 0 months. See
Endnote (14) for further 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
TABLE 1 - TOTAL MORTGAGE PORTFOLIO (1),(2)
Purchases and Net Increase/
Issuances (3) Sales (4) Liquidations (Decrease)
Jul 2007 $40,546 ($2,712) ($26,249) $11,585
Aug 44,989 -- (26,029) 18,960
Sep 59,650 (13) (21,196) 38,441
Oct 40,211 (38) (22,887) 17,286
Nov 41,359 -- (22,288) 19,071
Dec (5) 55,072 -- (10,688) 44,384
Full-Year 2007 577,691 (3,646) (298,089) 275,956
Jan 2008 32,089 -- (23,713) 8,376
Feb 47,723 (143) (26,453) 21,127
Mar 54,604 (829) (36,265) 17,510
Apr 43,287 (636) (34,258) 8,393
May 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
YTD 2008 (6) $331,059 ($5,944) ($218,406) $106,709
Annualized Annualized
Ending Balance Growth Rate Liquidation Rate
Jul 2007 $1,964,534 7.1% 16.1%
Aug 1,983,494 11.6% 15.9%
Sep 2,021,935 23.3% 12.8%
Oct 2,039,221 10.3% 13.6%
Nov 2,058,292 11.2% 13.1%
Dec (5) 2,102,676 25.9% 6.2%
Full-Year 2007 2,102,676 15.1% 16.3%
Jan 2008 2,111,052 4.8% 13.5%
Feb 2,132,179 12.0% 15.0%
Mar 2,149,689 9.9% 20.4%
Apr 2,158,082 4.7% 19.1%
May 2,191,323 18.5% 17.6%
Jun 2,201,694 5.7% 22.8%
Jul 2,209,385 4.2% 13.3%
YTD 2008 (6) $2,209,385 8.7% 17.8%
TABLE 2 - RETAINED PORTFOLIO (1)
Net
Retained Sales, net of Increase/
Purchases (7) Other Activity (8) Liquidations (Decrease)
Jul 2007 $29,213 ($7,785) ($12,935) $8,493
Aug 26,720 (2,250) (12,880) 11,590
Sep 11,268 (19,367) (10,956) (19,055)
Oct 23,933 (23,197) (10,755) (10,019)
Nov 9,403 (480) (10,716) (1,793)
Dec (5) 27,432 (644) (7,327) 19,461
Full-Year 2007 247,774 (81,468) (149,452) 16,854
Jan 2008 13,518 (7,550) (9,849) (3,881)
Feb 7,870 (6,156) (9,123) (7,409)
Mar 18,598 (5,150) (10,509) 2,939
Apr 36,887 (696) (11,116) 25,075
May 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
YTD 2008 $183,058 ($33,340) ($72,290) $77,428
Mortgage
Purchase
Ending Annualized Annualized and Sales
Balance Growth Rate Liquidation Rate Agreements (9)
Jul 2007 $720,629 14.3% 21.8% $3,413
Aug 732,219 19.3% 21.4% 20,354
Sep 713,164 (31.2%) 18.0% 11,520
Oct 703,145 (16.9%) 18.1% (11,051)
Nov 701,352 (3.1%) 18.3% (1,981)
Dec (5) 720,813 33.3% 12.5% 7,871
Full-Year 2007 720,813 2.4% 21.2% 150,770
Jan 2008 716,932 (6.5%) 16.4% 581
Feb 709,523 (12.4%) 15.3% 14,802
Mar 712,462 5.0% 17.8% 43,479
Apr 737,537 42.2% 18.7% 43,485
May 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)
YTD 2008 $798,241 18.4% 17.2% $163,018
TABLE 3 - RETAINED PORTFOLIO COMPONENTS (1)
Retained
PCs and Non-Freddie Mac Mortgage- Portfolio
Structured Related Securities Mortgage Ending
Securities Agency Non-Agency Loans Balance
Jul 2007 $365,332 $44,271 $241,780 $69,246 $720,629
Aug 374,638 46,866 238,962 71,753 732,219
Sep 356,005 48,281 235,851 73,027 713,164
Oct 342,083 47,693 238,479 74,890 703,145
Nov 338,403 47,121 237,074 78,754 701,352
Dec (5) 356,970 47,836 233,849 82,158 720,813
Full-Year 2007 356,970 47,836 233,849 82,158 720,813
Jan 2008 356,105 48,182 230,354 82,291 716,932
Feb 349,129 47,798 226,701 85,895 709,523
Mar 346,850 54,349 222,929 88,334 712,462
Apr 375,200 54,668 218,964 88,705 737,537
May 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
YTD 2008 $414,365 $80,857 $209,848 $93,171 $798,241
TABLE 4 - TOTAL GUARANTEED PCs AND STRUCTURED SECURITIES ISSUED (1),(10)
Net
Increase/
Issuances Liquidations (11) (Decrease)
Jul 2007 $35,483 ($18,770) $16,713
Aug 35,348 (18,672) 16,676
Sep 54,262 (15,399) 38,863
Oct 31,085 (17,702) 13,383
Nov 34,215 (17,031) 17,184
Dec (5) 48,210 (4,720) 43,490
Full-Year 2007 470,976 (209,166) 261,810
Jan 2008 29,480 (18,088) 11,392
Feb 42,968 (21,408) 21,560
Mar 43,526 (31,234) 12,292
Apr 40,779 (29,111) 11,668
May 47,310 (26,760) 20,550
Jun 43,981 (36,473) 7,508
Jul 21,712 (20,006) 1,706
YTD 2008 (6) $269,756 ($183,080) $86,676
Annualized Annualized
Ending Balance Growth Rate Liquidation Rate
Jul 2007 $1,609,237 12.6% 14.1%
Aug 1,625,913 12.4% 13.9%
Sep 1,664,776 28.7% 11.4%
Oct 1,678,159 9.6% 12.8%
Nov 1,695,343 12.3% 12.2%
Dec (5) 1,738,833 30.8% 3.3%
Full-Year 2007 1,738,833 17.7% 14.2%
Jan 2008 1,750,225 7.9% 12.5%
Feb 1,771,785 14.8% 14.7%
Mar 1,784,077 8.3% 21.2%
Apr 1,795,745 7.8% 19.6%
May 1,816,295 13.7% 17.9%
Jun 1,823,803 5.0% 24.1%
Jul 1,825,509 1.1% 13.2%
YTD 2008 (6) $1,825,509 8.5% 18.0%
TABLE 5 - DEBT ACTIVITIES (12)
Original
Maturity
less than
or equal to
1 Year Original Maturity > 1 Year
Ending Maturities and
Balance Issuances Redemptions Repurchases
Jul 2007 $162,485 $15,867 ($4,173) ($2,443)
Aug 164,064 7,178 (14,750) (1,748)
Sep 153,985 7,620 (22,001) (287)
Oct 151,531 11,201 (20,876) (922)
Nov 166,536 6,872 (24,257) (256)
Dec 199,498 16,255 (19,520) (3,156)
Full-Year 2007 199,498 188,548 (209,592) (15,096)
Jan 2008 202,298 20,459 (28,415) (58)
Feb 200,541 27,343 (32,944) (21)
Mar 201,961 46,916 (16,864) --
Apr 232,590 29,507 (31,194) (1,721)
May 239,226 33,322 (17,768) (1,986)
Jun 243,557 36,603 (19,330) (779)
Jul 246,316 13,944 (6,657) (5,103)
YTD 2008 $246,316 $208,094 ($153,172) ($9,668)
Original Maturity > 1 Year
Foreign
Exchange Total Debt
Translation Ending Balance Outstanding
Jul 2007 $290 $638,930 $801,415
Aug (88) 629,522 793,586
Sep 929 615,783 769,768
Oct 388 605,574 757,105
Nov 333 588,266 754,802
Dec (82) 581,763 781,261
Full-Year 2007 2,284 581,763 781,261
Jan 2008 237 573,986 776,284
Feb 330 568,694 769,235
Mar 647 599,393 801,354
Apr (269) 595,716 828,306
May (28) 609,256 848,482
Jun 209 625,959 869,516
Jul (148) 627,995 874,311
YTD 2008 $978 $627,995 $874,311
TABLE 6 - DELINQUENCIES (13)
Single-Family Multifamily
Non-Credit Credit
Enhanced Enhanced Total Total
Jul 2007 0.28% 1.21% 0.44% 0.05%
Aug 0.30% 1.25% 0.46% 0.05%
Sep 0.34% 1.34% 0.51% 0.06%
Oct 0.36% 1.40% 0.54% 0.05%
Nov 0.40% 1.55% 0.60% 0.05%
Dec 0.45% 1.62% 0.65% 0.02%
Jan 2008 0.49% 1.73% 0.71% 0.01%
Feb 0.52% 1.78% 0.74% 0.01%
Mar 0.54% 1.81% 0.77% 0.01%
Apr 0.57% 1.88% 0.81% 0.03%
May 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%
TABLE 7 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES (14)
Portfolio
Portfolio Market 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
Jul 2007 $161 -- $15 -- 0 --
Aug 181 -- 40 -- 0 --
Sep 264 200 66 39 0 0
Oct 322 -- 24 -- 0 --
Nov 378 -- 39 -- 0 --
Dec 385 361 50 37 0 0
Full-Year 2007 261 -- 31 -- 0 --
Jan 2008 438 -- 55 -- 0 --
Feb 331 -- 55 -- 0 --
Mar 437 403 41 50 1 0
Apr 571 -- 20 -- 1 --
May 576 -- 202 -- 0 --
Jun 390 513 49 90 0 0
Jul 348 -- 42 -- 0 --
YTD 2008 $443 -- $66 -- 0 --
ENDNOTES
(1) The activity and balances set forth in this report represent
contractual amounts of unpaid principal balances, which are measures that
differ from the balance of the retained portfolio as calculated in conformity
with GAAP, and exclude mortgage-related securities traded, but not yet
settled. The retained 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 retained
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 retained portfolio purchases (Table 2) plus total guaranteed PC and
Structured Securities issuances (Table 4) less purchases into the retained
portfolio.
(4) Includes: (a) sales of non-Freddie Mac mortgage-related securities
from our retained portfolio and (b) sales of multifamily mortgage loans from
our retained portfolio. Excludes the transfer of single-family mortgage loans
through transactions that qualify as sales and all transfers through swap-
based exchanges.
(5) Effective December 2007, we established securitization trusts for the
underlying assets of our guaranteed PCs and Structured Securities issued. As a
result, we adjusted the reported balance of our mortgage portfolio to reflect
the publicly-available security balances of guaranteed PCs and Structured
Securities. Previously we reported these balances based on the unpaid
principal balance of the underlying mortgage loans. Our reported annualized
growth rate and annualized liquidation rate for the month of December 2007 and
full-year 2007 presented in Tables 1, 2, and 4 are affected by this reporting
change.
(6) Issuances and liquidations for the seven months ended July 31, 2008
include approximately $18.8 billion of conversions of previously issued long-
term credit guarantees into either PCs or Structured Transactions in the same
month. 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 are included in issuances,
representing the new securities issued. Excluding these conversions, the
amount of our issuances for the seven months ended July 31, 2008 would have
been $251 billion in Table 4 and the liquidation rates for the seven months
ended July 2008 in Tables 1 and 4 would have been 16.3% and 16.2%,
respectively. As of July 31, 2008 the ending balances of our PCs and
Structured Securities, excluding outstanding long-term credit guarantees would
have been $1,815 billion in Table 4.
(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 swap-based exchanges.
(8) See Endnote 4. Also includes: (a) net additions to our retained
portfolio for delinquent mortgage loans purchased out of PC pools, (b) balloon
reset mortgages purchased out of PC pools and (c) sales of our PCs and
Structured Securities from our retained portfolio reported as sales.
(9) Mortgage purchases and sales agreements reflects trades entered into
during the month and includes: (a) monthly commitments to purchase mortgage-
related securities for our retained portfolio offset by monthly commitments to
sell mortgage-related securities out of our retained portfolio during the
month and (b) the net amount of monthly mortgage loan purchases and sales
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 purchases and sales
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.
(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. 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 Registration Statement on Form
10, dated July 18, 2008.
(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 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 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 complies with 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 Registration Statement on Form 10, dated July
18, 2008.
The unpaid principal balance of our single-family Structured
Transactions at July 31, 2008 was $25.1 billion, representing approximately 1%
of our total mortgage portfolio. The delinquency rate for our single-family
Structured Transactions was 5.8% at July 31, 2008.
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 'credit enhanced' and 'all loans'
delinquency rates.
(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 the
London Interbank Offered Rates, or LIBOR, yield curve. 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 LIBOR rates. 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
