博鱼体育Freddie Mac Monthly Volume Summary: December 2007


  MCLEAN, Va., Jan. 24 /PRNewswire-FirstCall/ -- The following is being issued by Freddie Mac (NYSE: FRE - News):

December 2007: -- The aggregate unpaid principal balance (UPB) of our retained portfolio increased to $720.8 billion at December 31, 2007. See the Portfolio Note below for more information about our voluntary, temporary growth limit. -- Total mortgage portfolio has increased at an annualized rate of 15.1% year-to-date and 18.1% in December. -- The amount of retained portfolio mortgage purchase and sales agreements entered into during the month of December totaled $8.0 billion, up from the $(2.0) billion entered into during the month of November. -- Total guaranteed PCs and Structured Securities issued have increased at an annualized rate of 17.7% year-to-date and 21.4% in December. -- We established a trust in December for administration of cash remittances received on the assets that underlie our PCs and Structured Securities. This change resulted in a reduction to liquidations in our December portfolio activity. See Endnote (14) for further information. -- The single-family delinquency rate for all loans was 60 basis points in November, up from 54 basis points in October. -- Our potential loss in portfolio market value related to PMVS-L and PMVS-YC averaged $385 million and $50 million, respectively, in December, up from November. Duration Gap averaged 0 months in December, unchanged from November. See Endnote (13) for further information.

PORTFOLIO NOTE

On August 1, 2006, we announced that we would voluntarily limit the annual growth of our retained portfolio to 2.0 percent per annum. This voluntary, temporary growth limit is in response to a request of the Office of Federal Housing Enterprise Oversight, or OFHEO, our safety-and-soundness regulator. On September 19, 2007, OFHEO provided an interpretation regarding the calculation methodology of the voluntary, temporary growth limit. The interpretation defines the measuring methodology for the growth limit using the UPB of the retained portfolio. Net increases in delinquent loan balances in the retained portfolio after September 30, 2007 are not counted for purposes of determining our compliance with the growth limit.

According to OFHEO''s interpretation, the portfolio limit for the third quarter of 2007 was $735.0 billion UPB. For the fourth quarter of 2007, the quarterly growth limit was $742.4 billion. Beginning October 1, 2007, quarterly compliance with the growth limit is determined based on the cumulative average month-end retained portfolio balances beginning with July 2007 (until it becomes and remains a 12-month moving average) compared to the applicable quarterly growth limit. For purposes of this calculation, OFHEO''s interpretation sets the July 31, 2007 UPB at $725.0 billion.

We believe we are meeting the terms of OFHEO''s September 19, 2007 interpretation. For additional information, please see our Information Statement dated March 23, 2007 and related supplements and our letter to OFHEO dated July 31, 2006, which are available on the Investor Relations page of our website at

TABLE 1 - TOTAL MORTGAGE PORTFOLIO (1), (2) Purchases and Sales, net of Net Issuances(3) Other Activity(4) Liquidations Increase/ (Decrease) Dec 2006 $45,986 ($3) ($29,449) $16,534 Full-Year 2006 501,982 (19,994) (339,814) 142,174 Jan 2007 44,766 10 (26,867) 17,909 Feb 46,238 - (26,874) 19,364 Mar 55,459 - (27,320) 28,139 Apr 46,707 (251) (28,204) 18,252 May 51,362 - (30,591) 20,771 Jun 51,332 (642) (28,896) 21,794 Jul 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 55,072(10) - (23,978) 31,094 Trust Adj (14) - - 13,290 13,290 YTD 2007 $577,691(10) ($3,646) ($298,089) $275,956 Annualized Annualized Ending Growth Liquidation Balance Rate Rate Dec 2006 $1,826,720 11.0 % 19.5% Full-Year 2006 1,826,720 8.4 % 20.2% Jan 2007 1,844,629 11.8 % 17.6% Feb 1,863,993 12.6 % 17.5% Mar 1,892,132 18.1 % 17.6% Apr 1,910,384 11.6 % 17.9% May 1,931,155 13.0 % 19.2% Jun 1,952,949 13.5 % 18.0% Jul 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 2,089,386 18.1 % 14.0% Trust Adj(14) 2,102,676 n/a n/a YTD 2007 $2,102,676 15.1 % 16.3% TABLE 2 - RETAINED PORTFOLIO (1) Sales, net of Net Retained Other Activity Increase/ Purchases (5) (6) Liquidations (Decrease) Dec 2006 $17,378 ($2,629) ($15,454) ($705) Full-Year 2006 245,483 (69,074) (182,796) (6,387) Jan 2007 17,969 (1,264) (14,143) 2,562 Feb 19,820 (2,592) (14,244) 2,984 Mar 21,384 (4,399) (12,036) 4,949 Apr 13,780 (5,317) (13,697) (5,234) May 21,202 (3,977) (14,996) 2,229 Jun 25,650 (10,196) (14,767) 687 Jul 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 27,432 (644) (10,087) 16,701 Trust Adj (14) - - 2,760 2,760 YTD 2007 $247,774 ($81,468) ($149,452) $16,854 Mortgage Purchase and Annualized Sales Ending Annualized Liquidation Agreements Balance Growth Rate Rate (7) Dec 2006 $703,959 (1.2%) 26.3 % $14,053 Full-Year 2006 703,959 (0.9%) 25.7 % 181,899 Jan 2007 706,521 4.4 % 24.1 % 17,984 Feb 709,505 5.1 % 24.2 % 14,952 Mar 714,454 8.4 % 20.4 % 15,440 Apr 709,220 (8.8%) 23.0 % 14,745 May 711,449 3.8 % 25.4 % 17,132 Jun 712,136 1.2 % 24.9 % 40,391 Jul 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 718,053 28.6 % 17.3 % 7,991 Trust Adj (14) 720,813 n/a n/a n/a YTD 2007 $720,813 2.4 % 21.2 % $150,890 TABLE 3 - RETAINED PORTFOLIO COMPONENTS (1) PCs and Non-Freddie Mac Structured Mortgage-Related Retained Securities Securities Portfolio Mortgage Ending Agency Non-Agency Loans Balance Dec 2006 $354,262 $45,385 $238,465 $65,847 $703,959 Full-Year 2006 354,262 45,385 238,465 65,847 703,959 Jan 2007 357,612 45,092 237,613 66,204 706,521 Feb 362,301 45,083 236,104 66,017 709,505 Mar 358,847 44,647 243,824 67,136 714,454 Apr 351,762 45,818 244,617 67,023 709,220 May 352,370 45,267 246,111 67,701 711,449 Jun 351,711 44,861 246,521 69,043 712,136 Jul 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 354,210 47,836 233,849 82,158 718,053 Trust Adj (14) 2,760 - - - 2,760 YTD 2007 $356,970 $47,836 $233,849 $82,158 $720,813 TABLE 4 - TOTAL GUARANTEED PCs AND STRUCTURED SECURITIES ISSUED (1), (8) Net Increase/ Issuances Liquidations (9) (Decrease) Dec 2006 $32,748 ($19,488) $13,260 Full-Year 2006 360,023 (218,524) 141,499 Jan 2007 36,709 (18,012) 18,697 Feb 38,962 (17,893) 21,069 Mar 38,694 (18,958) 19,736 Apr 36,542 (20,141) 16,401 May 40,648 (21,498) 19,150 Jun 40,818 (20,370) 20,448 Jul 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 48,210 (10) (18,010) 30,200 Trust Adj (14) - 13,290 13,290 YTD 2007 $470,976 (10) ($209,166) $261,810 Annualized Ending Annualized Liquidation Balance Growth Rate Rate Dec 2006 $1,477,023 10.9 % 16.0 % Full-Year 2006 1,477,023 10.6 % 16.4 % Jan 2007 1,495,720 15.2 % 14.6 % Feb 1,516,789 16.9 % 14.4 % Mar 1,536,525 15.6 % 15.0 % Apr 1,552,926 12.8 % 15.7 % May 1,572,076 14.8 % 16.6 % Jun 1,592,524 15.6 % 15.5 % Jul 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 1,725,543 21.4 % 12.7 % Trust Adj (14) 1,738,833 n/a n/a YTD 2007 $1,738,833 17.7 % 14.2 % TABLE 5 - TOTAL GUARANTEED PCs AND STRUCTURED SECURITIES OUTSTANDING (1), (8) Purchases into the Sales out of Retained the Retained Liquidations Issuances Portfolio Portfolio (9) Dec 2006 $32,748 ($4,140) $3,214 ($14,583) Full-Year 2006 360,023 (103,524) 54,130 (162,068) Jan 2007 36,709 (9,912) 1,950 (13,400) Feb 38,962 (12,544) 3,272 (13,310) Mar 38,694 (4,619) 4,416 (15,301) Apr 36,542 (3,615) 5,683 (15,124) May 40,648 (10,488) 4,601 (16,219) Jun 40,818 (15,136) 10,281 (14,856) Jul 35,483 (24,150) 5,811 (14,052) Aug 35,348 (17,079) 3,175 (14,074) Sep 54,262 (5,880) 20,437 (11,323) Oct 31,085 (14,807) 24,471 (13,444) Nov 34,215 (2,259) 1,936 (13,028) Dec 48,210 (10) (20,570) 746 (13,993) Trust Adj (14) - - - 10,530 YTD 2007 $470,976 (10) ($141,059) $86,779 ($157,594) Net Annualized Increase/ Ending Annualized Liquidation (Decrease) Balance (11) Growth Rate Rate Dec 2006 $17,239 $1,122,761 18.7% 15.8% Full-Year 2006 148,561 1,122,761 15.2% 16.6% Jan 2007 15,347 1,138,108 16.4% 14.3% Feb 16,380 1,154,488 17.3% 14.0% Mar 23,190 1,177,678 24.1% 15.9% Apr 23,486 1,201,164 23.9% 15.4% May 18,542 1,219,706 18.5% 16.2% Jun 21,107 1,240,813 20.8% 14.6% Jul 3,092 1,243,905 3.0% 13.6% Aug 7,370 1,251,275 7.1% 13.6% Sep 57,496 1,308,771 55.1% 10.9% Oct 27,305 1,336,076 25.0% 12.3% Nov 20,864 1,356,940 18.7% 11.7% Dec 14,393 1,371,333 12.7% 12.4% Trust Adj (14) 10,530 1,381,863 n/a n/a YTD 2007 $259,102 $1,381,863 23.1% 14.0% TABLE 6 - DELINQUENCIES (12) Single-Family (90 days or more delinquent) Multifamily (60 days or Non-Credit Credit more Enhanced Enhanced All Loans delinquent) Dec 2006 0.25 % 1.30 % 0.42 % 0.06 % Jan 2007 0.25 % 1.31 % 0.43 % 0.05 % Feb 0.26 % 1.27 % 0.43 % 0.06 % Mar 0.25 % 1.18 % 0.40 % 0.06 % Apr 0.25 % 1.16 % 0.40 % 0.05 % May 0.25 % 1.14 % 0.40 % 0.05 % Jun 0.26 % 1.17 % 0.42 % 0.05 % Jul 0.28 % 1.21 % 0.44 % 0.05 % Aug 0.30 % 1.25 % 0.46 % 0.06 % 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 % TABLE 7 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES (13) Portfolio Market Portfolio Market Value- Value- Level Yield Curve (PMVS-L) (50bp) (PMVS-YC) (25bp) Duration Gap (Rounded to Nearest Month) Monthly Quarterly Monthly Quarterly Monthly Quarterly Average Average Average Average Average Average Dec 2006 $246 $221 $20 $19 0 0 Full-Year 2006 229 -- 20 -- 0 -- Jan 2007 215 -- 28 -- 0 -- Feb 223 -- 27 -- 0 -- Mar 301 248 36 30 0 0 Apr 270 -- 20 -- 0 -- May 272 -- 10 -- 0 -- Jun 174 239 20 17 0 0 Jul 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 YTD 2007 $261 -- $31 -- 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 reserve for losses on mortgage loans held-for- investment, and unrealized gains or losses on mortgage-related securities and PC residuals that are reflected in the 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 purchases (Table 2) plus total guaranteed PC and Structured Securities issuances (Table 4) less purchases into the retained portfolio (Table 5). (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 (see Endnote 5) and all transfers through swap-based exchanges. (5) "Single-family mortgage loans purchased for cash are reported net of transfers of such mortgage loans through transactions that qualify as sales under GAAP. See Endnote 4 for more information regarding the presentation of all transfers through swap-based transactions and multifamily mortgage-loans transferred in transactions that qualify as sales under GAAP. (6) See Endnote 4. Also includes: (a) net additions to the retained portfolio for delinquent mortgage loans purchased out of PC pools (b) balloon reset mortgages purchased out of PC pools and (c) sales of PCs and Structured Securities from the retained portfolio reported as sales out of the retained portfolio (Table 5). (7) Mortgage purchases and sales agreements reflects trades entered into during the month and includes: (a) monthly commitments to purchase mortgage-related securities for the retained portfolio offset by monthly commitments to sell mortgage-related securities out of the 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. (8) 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 PCs and other previously issued Structured Securities. The excluded Structured 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 most recent Information Statement and related supplements. (9) 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 the purchase of delinquent mortgage loans and balloon reset mortgage loans out of PC pools. (10) Includes $13.1 billion in the month of December 2007 and $32.4 billion for the year ended December 31, 2007, of unpaid principal balance of single-family mortgage loans held by third parties for which we provide a long-term credit guarantee, but not in the form of a guaranteed PC or Structured Security. (11) Represents guaranteed PCs and Structured Securities held by third parties and credit-related commitments made to third parties. (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 net carrying value of mortgages 60 days or more delinquent or in foreclosure as of period end. Delinquency rates presented in Table 6 exclude mortgage loans underlying Structured Transactions 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 most recent Information Statement and related supplements. The unpaid principal balance of our single-family Structured Transactions at November 30, 2007 was $19.7 billion, representing in total approximately 1% of our total mortgage portfolio. The delinquency rate for our single-family Structured Transactions was 9.45% at November 30, 2007. Previously reported delinquency data is subject to change to reflect currently available information. Generally, 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. (13) Prior to December 2007, we presented PMVS expressed as a percentage of estimated fair value of our common equity. We have changed to reflect a pre-tax, dollar-value presentation since the wider spreads on mortgage products have adversely affected the fair value of our common equity and the new presentation provides more information on the level and trends of our interest-rate risk. As of September 30, 2007, the fair value of our net assets totaled $23.8 billion, of which $7.4 billion, and $16.4 billion was attributable to preferred and common stockholders, respectively. Our Information Statement for the year ended December 31, 2007 will quantify the fair value of net assets; however, the fair value of our net assets attributable to common stockholders has declined significantly due to the wider spreads on mortgage products. 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 Offering Rates, or LIBOR. Our PMVS measures are estimates of the 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. (14) Effective December 2007, we established a trust for administration of cash remittances received related to the assets that underlie our Guaranteed PCs and Structured Securities issued. As a result, we adjusted the reported balance of our mortgage portfolios to reflect the publicly-available security balances of Guaranteed PCs and Structured Securities. Previously we reported these balances based on the UPB of the underlying mortgage loans. The trust holds remittances from loans underlying our securities in a segregated account. Consequently, we no longer commingle those funds with our general operating funds.

A glossary of selected Monthly Volume Summary terms is available on the Investor Relations page of our website,

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