FEDERAL HOME LOAN MORTGAGE CORP - FORM 8-K - EX-99.1 - EXHIBIT 99.1

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8-K - 8-K - FEDERAL HOME LOAN MORTGAGE CORP	f71520e8vk.htm

Exhibit 99.1


		Monthly Volume Summary: January 2011 (unaudited & subject to change) (dollars in millions)


TABLE 1 - TOTAL MORTGAGE PORTFOLIO ^{1, 2}																					January 2011 Highlights:

	Purchases and Issuances		Sales and Other Activity ³			Liquidations			Net Increase/ (Decrease)			Ending Balance			Annualized Growth Rate			Annualized Liquidation Rate			> The total mortgage portfolio decreased at an annualized rate of 7.3% in January. > Single-family refinance-loan purchase and guarantee volume was $32.4 billion in January, reflecting 83% of total mortgage purchases and issuances. > Total number of loan modifications for the one month ended January 31, 2011 were 11,153. > The aggregate unpaid principal balance (UPB) of our mortgage-related investments portfolio decreased by approximately $2.0 billion in January. > Total Freddie Mac mortgage-related securities and other guarantee commitments decreased at an annualized rate of 8.1% in January. > Our single-family seriously delinquent rate decreased to 3.82% in January. Our multifamily delinquency rate increased to 0.28% in January. See Endnote 13 for further information. > The measure of our exposure to changes in portfolio market value (PMVS-L) averaged $563 million in January. Duration gap averaged -1 month. See Endnote 16 for further information. > On September 6, 2008, the Director of the Federal Housing Finance Agency (FHFA) appointed FHFA as Conservator of Freddie Mac.

Jan 2010	$	36,583	$	—			($39,729	)		($3,146	)	$	2,247,393			(1.7	%)		21.2	%
Feb		29,215		(1,110	)		(32,918	)		(4,813	)		2,242,580			(2.6	%)		17.6	%
Mar ⁴		31,044		(18,890	)		(29,080	)		(16,926	)		2,225,654			(9.1	%)		15.6	%
Apr ⁴		26,109		15,049			(35,667	)		5,491			2,231,145			3.0	%		19.2	%
May		25,151		365			(33,045	)		(7,529	)		2,223,616			(4.0	%)		17.8	%
Jun		30,916		(250	)		(32,408	)		(1,742	)		2,221,874			(0.9	%)		17.5	%
Jul		28,368		(500	)		(35,028	)		(7,160	)		2,214,714			(3.9	%)		18.9	%
Aug		29,129		(231	)		(38,466	)		(9,568	)		2,205,146			(5.2	%)		20.8	%
Sep		39,885		(4,307	)		(48,645	)		(13,067	)		2,192,079			(7.1	%)		26.5	%
Oct		39,641		(49	)		(51,563	)		(11,971	)		2,180,108			(6.6	%)		28.2	%
Nov		46,039		(1,248	)		(52,889	)		(8,098	)		2,172,010			(4.5	%)		29.1	%
Dec		49,731		—			(56,882	)		(7,151	)		2,164,859			(4.0	%)		31.4	%


Full-Year 2010		411,811		(11,171	)		(486,320	)		(85,680	)		2,164,859			(3.8	%)		21.6	%


Jan 2011		38,868		—			(52,069	)		(13,201	)		2,151,658			(7.3	%)		28.9	%


YTD 2011	$	38,868	$	—			($52,069	)		($13,201	)	$	2,151,658			(7.3	%)		28.9	%




TABLE 2 - MORTGAGE-RELATED INVESTMENTS PORTFOLIO ¹																											TABLE 3 - MORTGAGE-RELATED INVESTMENTS PORTFOLIO COMPONENTS ¹

																		Mortgage			Mortgage			Net Purchase				PCs, REMICs and Other		Non-Freddie Mac Mortgage-
									Ending			Annualized			Annualized			Purchase			Sale			(Sale)				Structured		Related Securities				Mortgage		Ending

	Purchases ⁵		Sales			Liquidations			Balance			Growth Rate			Liquidation Rate			Agreements ⁶			Agreements ⁷			Agreements ⁸				Securities		Agency		Non-Agency		Loans		Balance

Jan 2010		$2,113		($1,737	)		($11,940	)		$743,708			(18.4	%)		19.0	%		$5,651			($5,413	)		$238		Jan 2010		$366,920		$64,444		$173,984		$138,360		$743,708
Feb		466		(1,347	)		(10,578	)		732,249			(18.5	%)		17.1	%		5,049			(7,046	)		(1,997	)	Feb		360,872		63,032		172,749		135,596		732,249
Mar		39,291		(5,688	)		(12,531	)		753,321			34.5	%		20.5	%		6,231			(11,093	)		(4,862	)	Mar		333,641		61,643		171,383		186,654		753,321
Apr		24,935		(5,402	)		(15,588	)		757,266			6.3	%		24.8	%		5,393			(7,540	)		(2,147	)	Apr		322,165		57,360		169,726		208,015		757,266
May		7,736		(2,885	)		(14,013	)		748,104			(14.5	%)		22.2	%		6,462			(6,782	)		(320	)	May		312,689		54,554		168,118		212,743		748,104
Jun		9,454		(3,273	)		(14,776	)		739,509			(13.8	%)		23.7	%		14,350			(14,053	)		297		Jun		304,969		51,343		166,599		216,598		739,509
Jul		11,894		(11,131	)		(14,336	)		725,936			(22.0	%)		23.3	%		12,369			(15,103	)		(2,734	)	Jul		291,957		48,784		165,089		220,106		725,936
Aug		10,002		(6,312	)		(13,956	)		715,670			(17.0	%)		23.1	%		14,722			(12,720	)		2,002		Aug		283,235		47,374		163,679		221,382		715,670
Sep		15,395		(6,515	)		(14,302	)		710,248			(9.1	%)		24.0	%		9,581			(7,706	)		1,875		Sep		281,865		43,265		162,365		222,753		710,248
Oct		9,052		(3,180	)		(13,257	)		702,863			(12.5	%)		22.4	%		17,046			(13,104	)		3,942		Oct		274,467		42,200		160,893		225,303		702,863
Nov		14,251		(4,742	)		(13,678	)		698,694			(7.1	%)		23.4	%		17,736			(6,749	)		10,987		Nov		267,646		41,164		159,680		230,204		698,694
Dec		14,471		(2,466	)		(13,825	)		696,874			(3.1	%)		23.7	%		14,719			(5,009	)		9,710		Dec		263,603		40,133		158,392		234,746		696,874


Full-Year 2010		159,060		(54,678	)		(162,780	)		696,874			(7.7	%)		21.6	%		129,309			(112,318	)		16,991		Full-Year 2010		263,603		40,133		158,392		234,746		696,874


Jan 2011		15,304		(4,318	)		(13,014	)		694,846			(3.5	%)		22.4	%		15,707			(15,933	)		(226	)	Jan 2011		263,151		39,291		157,019		235,385		694,846


YTD 2011		$15,304		($4,318	)		($13,014	)		$694,846			(3.5	%)		22.4	%		$15,707			($15,933	)		($226	)	YTD 2011		$263,151		$39,291		$157,019		$235,385		$694,846

Please see Endnotes on page 3.

Page 1 of 3


TABLE 4 - FREDDIE MAC MORTGAGE-RELATED SECURITIES AND OTHER GUARANTEE COMMITMENTS ^{1, 9}																			TABLE 5 - OTHER DEBT ACTIVITIES ¹²

																				Original Maturity < 1 Year		Original Maturity > 1 Year

	Issuances			Liquidations ¹⁰			Net Increase/ (Decrease)			Ending Balance ¹¹			Annualized Growth Rate			Annualized Liquidation Rate				Ending Balance		Issuances		Maturities and Redemptions			Repurchases			Foreign Exchange Translation			Ending Balance		Total Debt Outstanding

Jan 2010	$	36,163			($35,440	)	$	723		$	1,870,605			0.5	%		22.7	%	Jan 2010	$	234,639	$	28,021		($11,158	)		($500	)		($177	)	$	582,966	$	817,605
Feb		29,522			(28,924	)		598			1,871,203			0.4	%		18.6	%	Feb		241,312		32,615		(30,664	)		(70	)		(98	)		584,749		826,061
Mar ⁴		31,011			(96,240	)		(65,229	)		1,805,974			(41.8	%)		61.7	%	Mar		238,249		40,827		(32,357	)		—			(45	)		593,174		831,423
Apr		25,089			(35,019	)		(9,930	)		1,796,044			(6.6	%)		23.3	%	Apr		227,988		25,633		(32,224	)		(1,255	)		(92	)		585,236		813,224
May		24,444			(32,287	)		(7,843	)		1,788,201			(5.2	%)		21.6	%	May		209,790		25,913		(21,851	)		(3,056	)		(369	)		585,873		795,663
Jun		29,226			(30,093	)		(867	)		1,787,334			(0.6	%)		20.2	%	Jun		218,198		42,387		(42,099	)		(500	)		(31	)		585,630		803,828
Jul		26,634			(33,233	)		(6,599	)		1,780,735			(4.4	%)		22.3	%	Jul		205,213		27,636		(45,457	)		—			292			568,101		773,314
Aug		28,489			(36,513	)		(8,024	)		1,772,711			(5.4	%)		24.6	%	Aug		205,557		25,012		(36,311	)		—			(119	)		556,683		762,240
Sep		37,615			(46,630	)		(9,015	)		1,763,696			(6.1	%)		31.6	%	Sep		215,233		21,864		(51,443	)		—			214			527,318		742,551
Oct		38,405			(50,389	)		(11,984	)		1,751,712			(8.2	%)		34.3	%	Oct		200,560		21,126		(23,039	)		(745	)		37			524,697		725,257
Nov		40,652			(51,402	)		(10,750	)		1,740,962			(7.4	%)		35.2	%	Nov		192,887		11,843		(14,729	)		(359	)		(133	)		521,319		714,206
Dec		45,787			(55,161	)		(9,374	)		1,731,588			(6.5	%)		38.0	%	Dec		197,239		27,957		(17,916	)		(442	)		60			530,978		728,217

Full-Year 2010		393,037			(531,331	)		(138,294	)		1,731,588			(7.4	%)		28.4	%	Full-Year 2010		197,239		330,834		(359,248	)		(6,927	)		(461	)		530,978		728,217

Jan 2011		39,071			(50,696	)		(11,625	)		1,719,963			(8.1	%)		35.1	%	Jan 2011		193,852		22,417		(22,270	)		(200	)		44			530,969		724,821

YTD 2011	$	39,071			($50,696	)		($11,625	)	$	1,719,963			(8.1	%)		35.1	%	YTD 2011	$	193,852	$	22,417		($22,270	)		($200	)	$	44		$	530,969	$	724,821



TABLE 6 - DELINQUENCIES - TOTAL ¹³													TABLE 7 - OTHER INVESTMENTS ¹⁵						TABLE 8 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES ¹⁶

	Single-Family ¹⁴									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

Jan 2010		3.15	%		9.05	%		4.15	%		0.19	%	Jan 2010			$	111,444		Jan 2010	$	425		—	$	18			—			0			—
Feb		3.20	%		9.12	%		4.20	%		0.23	%	Feb				129,127		Feb		474		—		15			—			0			—
Mar		3.18	%		8.87	%		4.13	%		0.22	%	Mar				105,262		Mar		520		476		22			19			0			0
Apr		3.15	%		8.68	%		4.06	%		0.22	%	Apr				85,698		Apr		397		—		20			—			0			—
May		3.15	%		8.69	%		4.06	%		0.29	%	May				77,184		May		455		—		28			—			0			—
Jun		3.08	%		8.50	%		3.96	%		0.22	%	Jun				107,467		Jun		396		415		20			23			0			0
Jul		3.03	%		8.33	%		3.89	%		0.23	%	Jul				91,349		Jul		81		—		33			—			0			—
Aug		2.99	%		8.17	%		3.83	%		0.27	%	Aug				90,592		Aug		35		—		28			—			0			—
Sep		2.97	%		8.13	%		3.80	%		0.31	%	Sep				78,160		Sep		159		91		16			26			0			0
Oct		2.99	%		8.20	%		3.82	%		0.39	%	Oct				66,792		Oct		237		—		14			—			0			—
Nov		3.01	%		8.26	%		3.85	%		0.34	%	Nov				63,589		Nov		437		—		34			—			0			—
Dec		3.01	%		8.27	%		3.84	%		0.26	%	Dec				82,082		Dec		449		377		27			25			0			0

													Full-Year 2010				82,082		Full-Year 2010		338		—		23			—			0			—

Jan 2011		2.99	%		8.24	%		3.82	%		0.28	%	Jan 2011				79,503		Jan 2011		563		—		31			—			(1	)		—

													YTD 2011			$	79,503		YTD 2011	$	563		—	$	31			—			(1	)		—

Please see Endnotes on page 3.

Page 2 of 3

ENDNOTES

(1)

The activity and balances set forth in these tables represent unpaid principal balances, and exclude 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, we continue to present information in this monthly volume summary on the same basis as prior to January 1, 2010.

(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).

(3)

Includes sales of non-Freddie Mac mortgage-related securities and multifamily mortgage loans from our mortgage-related investments portfolio.

(4)

On February 10, 2010, we announced that we would begin purchasing substantially all 120 days or more delinquent mortgages from our related fixed-rate and adjustable-rate (ARM) PCs. The purchases of these loans from related PCs were reflected in the PC factor report published on March 4, 2010, and the corresponding principal payments were passed through to fixed-rate and ARM PC holders on March 15 (45-day remittance cycle) and on April 15, 2010 (75-day remittance cycle), respectively. As a result, our total Freddie Mac mortgage-related securities and other guarantee commitments (Table 4) include liquidations of approximately $73 billion in March. Liquidations of our total mortgage portfolio (Table 1) do not include these liquidations since the activity represents mortgage loans purchased from PCs.

In April 2010, sales and other activity in Table 1 include the amounts for approximately $18 billion of March mortgage loan purchases related to the (75-day) remittance cycle (where timing differences resulted in a reduction of the PC balance in March without a corresponding increase in the mortgage loan balance). Had these mortgage loan purchases related to the 75-day remittance cycle been reflected in March (similar to the 45-day remittance cycle), the March 2010 total mortgage portfolio’s ending balance and annualized growth rate (Table 1) would have been $2,243,813 million and 0.7%, respectively.

(5)

Includes purchases of Freddie Mac mortgage-related securities into the mortgage-related investments portfolio that totaled $10,998 million (based on unpaid principal balance) during January 2011. Purchases include net additions for delinquent mortgage loans and balloon/reset mortgages purchased out of PC pools.

See Endnote 4. In April 2010, purchases in Table 2 include approximately $18 billion of mortgage loan purchases related to the March (75 -day) remittance cycle.

(6)

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. 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.

(7)

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. 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.

(8)

As of January 31, 2011, we had net unsettled purchase (sale) agreements of approximately $6,347 million. The ending balance of our mortgage-related investments portfolio as of January 31, 2011 after giving effect to these unsettled agreements and assuming we did not enter into any other purchase (sale) agreements after January 31, 2011 would have been $701.2 billion.

(9)

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.

(10)

Represents principal repayments relating to loans underlying Freddie Mac mortgage-related securities and other guarantee commitments. Also includes our purchases of delinquent mortgage loans and balloon/reset mortgage loans out of PC pools.

(11)

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 annual report on Form 10-K dated February 24, 2011 because Table 4 includes other guarantee commitments described in Endnote 9.

(12)

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.

(13)

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 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. Since we include loans in the HAMP trial period as seriously delinquent in our statistical reporting, this 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. In January 2011, we revised our 2010 monthly multifamily delinquency rates for all periods presented to exclude multifamily borrowers who have entered into a forbearance agreement and are abiding by the terms of the agreement, but had been previously included in our multifamily delinquency rates due to an error. The error resulted in declines to the 2010 monthly delinquency rates ranging from 3 to 7 bps.

(14)

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. As of January 31, 2011, there were approximately $4.3 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. In certain cases, we expect to purchase, 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 otherwise cure by receipt of payment by the borrower before such date.

(15)

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.

(16)

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. In January 2011, we revised our 2010 monthly and quarterly PMVS measures due to an error. The error resulted in a decline in PMVS of $7 million for the full-year 2010, with monthly changes ranging from a $35 million decrease to a $29 million increase.




		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.

Page 3 of 3

FEDERAL HOME LOAN MORTGAGE CORP - FORM 8-K - EX-99.1 - EXHIBIT 99.1 - February 28, 2011

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