Freddie Mac Monthly Volume Summary: September 2008
(dollars in millions)
Oct 24, 2008 8:30:00 AM
MCLEAN, Va., Oct. 24 /PRNewswire-FirstCall/ -- The following is being issued by Freddie Mac (NYSE: FRE):
September 2008 Highlights:
-- 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.
-- The aggregate unpaid principal balance (UPB) of our retained portfolio declined to $736.9 billion at September 30, 2008.
-- Total mortgage portfolio has increased at an annualized rate of 5.9% year-to-date and increased 2.3% in September.
-- The amount of retained portfolio mortgage purchase and sales agreements entered into during the month of September totaled $2.5 billion, up from the $(15.4) billion entered into during the month of August.
-- Total guaranteed PCs and Structured Securities issued have increased at an annualized rate of 7.3% year-to-date and 3.6% in September.
-- The single-family delinquency rate for all loans was 122 basis points in September, up from 111 basis points in August.
-- Other Investments (Table 7) includes $50.2 billion of cash and cash equivalents, $8.0 billion of securities purchased under agreements to resell and $10.4 billion of non-agency asset-backed securities as of September 30, 2008.
-- The measure of our exposure to changes in portfolio market value (PMVS- L) averaged $395 million in September. Duration Gap averaged 0 months. See Endnote (15) 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
or sending an email to shareholder@freddiemac.com.
TABLE 1 - TOTAL MORTGAGE PORTFOLIO (1),(2)
Net
Purchases and Increase/
Issuances (3) Sales (4) Liquidations (Decrease)
Sep 2007 $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
Aug 25,777 (20,355) (22,617) (17,195)
Sep 27,234 (3,454) (19,632) 4,148
YTD 2008 (6) $384,070 ($29,753) ($260,655) $93,662
Annualized Annualized
Ending Balance Growth Rate Liquidation Rate
Sep 2007 $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%
Aug 2,192,190 (9.3%) 12.3%
Sep 2,196,338 2.3% 10.7%
YTD 2008 (6) $2,196,338 5.9% 16.5%
TABLE 2 - RETAINED PORTFOLIO 1
Net
Retained Sales, net of Increase/
Purchases(7) Other Activity(8) Liquidations (Decrease)
Sep 2007 $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
Aug 4,353 (32,505) (9,206) (37,358)
Sep 17,373 (33,383) (7,997) (24,007)
YTD 2008 $204,784 ($99,228) ($89,493) $16,063
Mortgage
Purchase and
Ending Annualized Annualized Sales
Balance Growth Rate Liquidation Rate Agreements(9)
Sep 2007 $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)
Aug 760,883 (56.2%) 13.8% (15,410)
Sep 736,876 (37.9%) 12.6% 2,521
YTD 2008 $736,876 3.0% 16.6% $150,129
TABLE 3 - RETAINED PORTFOLIO COMPONENTS (1)
PCs and Non-Freddie Mac Mortgage- Portfolio
Structured Related Securities Mortgage Ending
Securities Agency Non-Agency Loans Balance
Sep 2007 $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
Aug 397,573 59,526 206,972 96,812 760,883
Sep 374,946 57,108 204,510 100,312 736,876
YTD 2008 $374,946 $57,108 $204,510 $100,312 $736,876
TABLE 4 - TOTAL GUARANTEED PCs AND STRUCTURED SECURITIES ISSUED (1), (10)
Net
Increase/
Issuances Liquidations(11) (Decrease)
Sep 2007 $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
Aug 22,072 (18,701) 3,371
Sep 21,994 (16,466) 5,528
YTD 2008 (6) $313,822 ($218,247) $95,575
Annualized Annualized
Ending Balance Growth Rate Liquidation Rate
Sep 2007 $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%
Aug 1,828,880 2.2% 12.3%
Sep 1,834,408 3.6% 10.8%
YTD 2008 (6) $1,834,408 7.3% 16.7%
TABLE 5 - DEBT ACTIVITIES (12)
Original
Maturity Original
1 Year
Maturities
Ending and
Balance Issuances Redemptions
Sep 2007 $153,985 $7,620 ($22,001)
Oct 151,531 11,201 (20,876)
Nov 166,536 6,872 (24,257)
Dec (5) 199,498 16,255 (19,520)
Full-Year 2007 199,498 188,548 (209,592)
Jan 2008 202,298 20,459 (28,415)
Feb 200,541 27,343 (32,944)
Mar 201,961 46,916 (16,864)
Apr 232,590 29,507 (31,194)
May 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 5,038 (37,277)
YTD 2008 $224,230 $220,296 ($197,761)
Original Maturity > 1 Year
Foreign
Exchange Total Debt
Repurchases Translation Ending Balance Outstanding
Sep 2007 ($287) $929 $615,783 $769,768
Oct (922) 388 605,574 757,105
Nov (256) 333 588,266 754,802
Dec (5) (3,156) (82) 581,763 781,261
Full-Year 2007 (15,096) 2,284 581,763 781,261
Jan 2008 (58) 237 573,986 776,284
Feb (21) 330 568,694 769,235
Mar - 647 599,393 801,354
Apr (1,721) (269) 595,716 828,306
May (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) 590,712 814,942
YTD 2008 ($13,048) ($538) $590,712 $814,942
TABLE 6 - DELINQUENCIES (13)
Single-Family Multifamily
Non-Credit Credit
Enhanced Enhanced Total Total
Sep 2007 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%
Aug 0.79% 2.50% 1.11% 0.02%
Sep 0.87% 2.75% 1.22% 0.01%
TABLE 7 - OTHER INVESTMENTS
Ending
Balance (14)
Sep 2007 $50,758
Oct 49,081
Nov 48,424
Dec 50,237
Full-Year 2007 50,237
Jan 2008 47,312
Feb 48,838
Mar 73,804
Apr 78,320
May 70,846
Jun 71,687
Jul 68,697
Aug 84,064
Sep 68,590
YTD 2008 $68,590
TABLE 8 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES (15)
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
Sep 2007 $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 --
Aug 271 -- 81 -- 0 --
Sep 395 338 87 70 0 0
YTD 2008 $418 -- $70 -- 0 --
ENDNOTES
(1) The activity and balances set forth in this table 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 loans and 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 PCs and Structured Securities issued (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 nine months ended September 30, 2008 include approximately $18.8 billion of conversions of previously issued long-term credit guarantees 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 nine months ended September 30, 2008 would have been $295 billion in Table 4 and the liquidation rates for the nine months ended September 30, 2008 in Tables 1 and 4 would have been 15.3% and 15.3%, respectively. As of September 30, 2008 the ending balance of our PCs and Structured Securities, excluding outstanding long-term credit guarantees would have been $1,822 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 transfers through 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) transfers 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 the 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 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 Registration Statement on Form 10, dated July 18, 2008.
The unpaid principal balance of our single-family Structured Transactions at September 30, 2008 was $24.4 billion, representing approximately 1% of our total mortgage portfolio. Included in this balance is $1.9 billion that are securitized by FHA/VA loans, for which those agencies provide recourse for 100% of qualifying losses associated with the loan and $5.3 billion that are backed by subordinated securities, which benefit from credit protection from the related subordinated tranches, which we do not purchase. The remaining $17.2 billion of our Structured Transactions as of September 30, 2008 are single-class, or pass-through securities, including $10.0 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 6.3% at September 30, 2008. The total single- family delinquency rate including our Structured Transactions was 1.32% at September 30, 2008. Below are the delinquency rates of our Structured Transactions population:
Structured Transactions securitized by: FHA/VA loans 17.8%; subordinated securities 16.9%; option ARM pass-through securities 6.7%; Other pass-through securities 0.1%.
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 "total" delinquency rates.
(14) Other Investments ending balance consists of our cash and investments portfolio, which as of September 30, 2008 includes; $50.2 billion of cash and cash equivalents; $8.0 billion of securities purchased under agreements to resell; and $10.4 billion of non-mortgage investments, excluding non-mortgage investment securities traded, but not yet settled. Non-mortgage investments within this balance are presented at fair value.
(15) 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. For the month of September, we made changes to update our prepayment and model assumptions consistent with more current information related to certain securities that resulted in a decrease of $503 million in PMVS-L, a decrease of $88 million in PMVS-YC and an increase of one month in duration gap.
SOURCE Freddie Mac
----------------------------------------------
Michael Cosgrove of Freddie Mac
+1-703-903-2123
AI
