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

Attached files

file	filename
8-K - 8-K - FEDERAL HOME LOAN MORTGAGE CORP	f71682e8vk.htm

Exhibit 99.1


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


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

	Purchases and Issuances		Sales ³			Liquidations			Net Increase/ (Decrease)			Ending Balance			Annualized Growth Rate			Annualized Liquidation Rate			> The total mortgage portfolio decreased at an annualized rate of 2.2% in August. > Single-family refinance-loan purchase and guarantee volume was $16.3 billion in August, reflecting 59% of total mortgage portfolio purchases and issuances. > Total number of loan modifications were 8,639 in August 2011 and 83,661 for the eight months ended August 31, 2011. > The aggregate unpaid principal balance (UPB) of our mortgage-related investments portfolio decreased by approximately $2.5 billion in August. > Freddie Mac mortgage-related securities and other guarantee commitments decreased at an annualized rate of 0.7% in August. > Our single-family seriously delinquent rate decreased from 3.51% in July to 3.49% in August. Our multifamily delinquency rate remained flat at 0.35% in August. > The measure of our exposure to changes in portfolio market value (PMVS-L) averaged $335 million in August. Duration gap averaged 0 months. > On September 6, 2008, the Director of the Federal Housing Finance Agency (FHFA) appointed FHFA as Conservator of Freddie Mac.

Aug 2010	$	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	%
Feb		38,903		(1,173	)		(37,571	)		159			2,151,817			0.1	%		21.0	%
Mar		26,911		(2,253	)		(33,003	)		(8,345	)		2,143,472			(4.7	%)		18.4	%
Apr		23,836		(1,351	)		(28,124	)		(5,639	)		2,137,833			(3.2	%)		15.7	%
May		23,163		(2,635	)		(26,721	)		(6,193	)		2,131,640			(3.5	%)		15.0	%
Jun		26,406		(3,280	)		(26,107	)		(2,981	)		2,128,659			(1.7	%)		14.7	%
Jul		20,727		(54	)		(28,602	)		(7,929	)		2,120,730			(4.5	%)		16.1	%
Aug		27,727		(1,781	)		(29,803	)		(3,857	)		2,116,873			(2.2	%)		16.9	%


YTD 2011	$	226,541		($12,527	)		($262,000	)		($47,986	)	$	2,116,873			(3.3	%)		18.2	%




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 ⁴		Sales			Liquidations			Balance			Growth Rate			Liquidation Rate			Agreements ⁵			Agreements ⁶			Agreements ⁷				Securities		Agency		Non-Agency		Loans		Balance

Aug 2010	$	10,002		($6,312	)		($13,956	)	$	715,670			(17.0	%)		23.1	%	$	14,722			($12,720	)	$	2,002		Aug 2010	$	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
Feb		21,696		(8,997	)		(11,365	)		696,180			2.3	%		19.6	%		16,601			(14,062	)		2,539		Feb		261,832		38,368		155,916		240,064		696,180
Mar		14,984		(7,515	)		(11,611	)		692,038			(7.1	%)		20.0	%		15,397			(15,875	)		(478	)	Mar		258,480		38,547		154,676		240,335		692,038
Apr		12,277		(7,121	)		(10,448	)		686,746			(9.2	%)		18.1	%		24,208			(24,576	)		(368	)	Apr		255,059		37,657		153,297		240,733		686,746
May		17,916		(4,739	)		(10,290	)		689,633			5.0	%		18.0	%		28,185			(28,071	)		114		May		260,663		36,602		151,993		240,375		689,633
Jun		10,653		(5,028	)		(10,225	)		685,033			(8.0	%)		17.8	%		27,439			(24,686	)		2,753		Jun		258,768		36,041		150,274		239,950		685,033
Jul		12,797		(5,295	)		(9,498	)		683,037			(3.5	%)		16.6	%		36,292			(36,360	)		(68	)	Jul		256,078		35,564		149,125		242,270		683,037
Aug		11,860		(4,423	)		(9,904	)		680,570			(4.3	%)		17.4	%		40,654			(33,942	)		6,712		Aug		256,494		35,258		147,739		241,079		680,570


YTD 2011	$	117,487		($47,436	)		($86,355	)	$	680,570			(3.5	%)		18.6	%	$	204,483			($193,505	)	$	10,978		YTD 2011	$	256,494	$	35,258	$	147,739	$	241,079	$	680,570

Please see Endnotes on page 3.

Page 1 of 3


TABLE 4 - FREDDIE MAC MORTGAGE-RELATED SECURITIES AND OTHER GUARANTEE COMMITMENTS ^{1, 8}																			TABLE 5 - OTHER DEBT ACTIVITIES ¹¹

																				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

Aug 2010	$	28,489			($36,513	)		($8,024	)	$	1,772,711			(5.4	%)		24.6	%	Aug 2010	$	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
Feb		35,752			(38,246	)		(2,494	)		1,717,469			(1.7	%)		26.7	%	Feb		185,128		25,033		(21,787	)		(2,648	)		15			531,582		716,710
Mar		23,893			(31,448	)		(7,555	)		1,709,914			(5.3	%)		22.0	%	Mar		196,736		29,526		(28,751	)		(90	)		57			532,324		729,060
Apr		22,689			(26,457	)		(3,768	)		1,706,146			(2.6	%)		18.6	%	Apr		190,663		16,875		(38,964	)		(350	)		97			509,982		700,645
May		20,700			(24,176	)		(3,476	)		1,702,670			(2.4	%)		17.0	%	May		190,696		14,737		(16,491	)		—			(68	)		508,160		698,856
Jun		22,834			(23,110	)		(276	)		1,702,394			(0.2	%)		16.3	%	Jun		189,160		28,116		(29,305	)		(930	)		18			506,059		695,219
Jul		17,850			(26,473	)		(8,623	)		1,693,771			(6.1	%)		18.7	%	Jul		181,416		25,750		(18,940	)		—			(19	)		512,850		694,266
Aug		26,044			(27,018	)		(974	)		1,692,797			(0.7	%)		19.1	%	Aug		187,718		23,433		(26,846	)		(4,174	)		3			505,266		692,984

YTD 2011	$	208,833			($247,624	)		($38,791	)	$	1,692,797			(3.4	%)		21.5	%	YTD 2011	$	187,718	$	185,887		($203,354	)		($8,392	)	$	147		$	505,266	$	692,984



TABLE 6 - DELINQUENCIES - TOTAL ¹²													TABLE 7 - OTHER INVESTMENTS ¹⁴						TABLE 8 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES ¹⁵

	Single-Family ¹³									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

Aug 2010		2.99	%		8.17	%		3.83	%		0.27	%	Aug 2010			$	90,592		Aug 2010	$	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	)		—
Feb		2.97	%		8.17	%		3.78	%		0.36	%	Feb				74,411		Feb		383		—		17			—			0			—
Mar		2.85	%		7.87	%		3.63	%		0.36	%	Mar				87,212		Mar		401		448		15			21			0			0
Apr		2.82	%		7.76	%		3.57	%		0.40	%	Apr				64,304		Apr		386		—		27			—			0			—
May		2.78	%		7.70	%		3.53	%		0.38	%	May				62,234		May		397		—		28			—			0			—
Jun		2.75	%		7.67	%		3.50	%		0.31	%	Jun				56,684		Jun		469		419		22			25			0			0
Jul		2.77	%		7.70	%		3.51	%		0.35	%	Jul				57,301		Jul		429		—		27			—			0			—
Aug		2.75	%		7.66	%		3.49	%		0.35	%	Aug				55,685		Aug		335		—		19			—			0			—

													YTD 2011			$	55,685		YTD 2011	$	419		—	$	23			—			0			—

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 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, 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)

Includes purchases of Freddie Mac mortgage-related securities into the mortgage-related investments portfolio that totaled $6,994 million (based on unpaid principal balance) during August 2011. Purchases include net additions for seriously delinquent and modified mortgage loans and balloon/reset mortgages purchased out of PC pools.

(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. 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.

(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. 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.

(7)

As of August 31, 2011, we had net unsettled purchase (sale) agreements of approximately ($16,846) million. The ending balance of our mortgage-related investments portfolio as of August 31, 2011 after giving effect to these unsettled agreements and assuming we did not enter into any other purchase (sale) agreements after August 31, 2011 would have been $663.7 billion.

(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.

(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.

(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 8, 2011 because Table 4 includes other guarantee commitments described in Endnote 8.

(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.

(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. 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.

(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, 2011, there were approximately $2.9 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.

(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.

(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.




		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.

Page 3 of 3

FEDERAL HOME LOAN MORTGAGE CORP - FORM 8-K - EX-99.1 - EXHIBIT 99.1 - September 23, 2011

Attached files