2008-07-25 07:30:00
Freddie Mac Monthly Volume Summary: June 2008
(unaudited & subject to change)
(dollars in millions)
MCLEAN, Va., July 25 /EMWNews/ -- The following is being
issued by Freddie Mac (NYSE: FRE):
June 2008 Highlights:
-- The aggregate unpaid principal balance (UPB) of our retained
portfolio increased to $791.8 billion at June 30, 2008.
-- Total mortgage portfolio has increased at an annualized rate of 9.4%
year-to-date and 5.7% in June.
-- The amount of retained portfolio mortgage purchase and sales
agreements entered into during the month of June totaled $34.7 billion, up
from the $26.2 billion entered into during the month of May.
-- Total guaranteed PCs and Structured Securities issued have increased
at an annualized rate of 9.8% year-to-date and 5.0% in June.
-- The single-family delinquency rate for all loans was 86 basis points
in May, up from 81 basis points in April.
-- The measure of our exposure to changes in portfolio market value
averaged $390 million for PMVS-L and averaged $49 million for PMVS-YC in
June. 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, http://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 [email protected].
TABLE 1 - TOTAL MORTGAGE PORTFOLIO 1, 2
Purchases and Net Increase/
Issuances 3 Sales 4 Liquidations (Decrease)
Jun 2007 $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 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 6 53,661 (1,721) (41,569) 10,371
YTD 2008 $296,428 ($3,444) ($193,966) $99,018
Ending Annualized Annualized
Balance Growth Rate Liquidation Rate
Jun 2007 $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 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 6 2,201,694 5.7% 22.8%
YTD 2008 $2,201,694 9.4% 18.4%
TABLE 2 - RETAINED PORTFOLIO 1
Net
Retained Sales, net of Increase/
Purchases 7 Other Activity 8 Liquidations (Decrease)
Jun 2007 $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 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
YTD 2008 $160,982 ($27,565) ($62,432) $70,985
Mortgage
Purchase
Ending Annualized Annualized and Sales
Balance Growth Rate Liquidation Rate Agreements 9
Jun 2007 $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 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
YTD 2008 $791,798 19.7% 17.3% $163,342
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
Jun 2007 $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 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
YTD 2008 $413,907 $74,143 $212,725 $91,023 $791,798
TABLE 4 - TOTAL GUARANTEED PCs AND STRUCTURED SECURITIES ISSUED 1, 10
Net Increase/
Issuances Liquidations 11 (Decrease)
Jun 2007 $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 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 6 43,981 (36,473) 7,508
YTD 2008 $248,044 ($163,074) $84,970
Annualized Annualized
Ending Balance Growth Rate Liquidation Rate
Jun 2007 $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 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 6 1,823,803 5.0% 24.1%
YTD 2008 $1,823,803 9.8% 18.8%
TABLE 5 - TOTAL GUARANTEED PCs AND STRUCTURED SECURITIES OUTSTANDING 1, 10
Purchases Sales out
into the of the
Retained Retained
Issuances Portfolio Portfolio Liquidations 11
Jun 2007 $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 5 48,210 (20,570) 746 (3,463)
Full-Year 2007 470,976 (141,059) 86,779 (157,594)
Jan 2008 29,480 (10,909) 7,723 (14,037)
Feb 42,968 (3,115) 6,172 (17,489)
Mar 43,526 (7,520) 4,561 (25,996)
Apr 40,779 (34,379) 415 (23,497)
May 47,310 (28,372) 2,404 (20,947)
Jun 6 43,981 (28,303) 4,366 (31,088)
YTD 2008 $248,044 ($112,598) $25,641 ($133,054)
Annualized
Net Increase/ Ending Annualized Liquidation
(Decrease) Balance 12 Growth Rate Rate
Jun 2007 $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 5 24,923 1,381,863 22.0% 3.1%
Full-Year 2007 259,102 1,381,863 23.1% 14.0%
Jan 2008 12,257 1,394,120 10.6% 12.2%
Feb 28,536 1,422,656 24.6% 15.1%
Mar 14,571 1,437,227 12.3% 21.9%
Apr (16,682) 1,420,545 (13.9%) 19.6%
May 395 1,420,940 0.3% 17.7%
Jun 6 (11,044) 1,409,896 (9.3%) 26.3%
YTD 2008 $28,033 $1,409,896 4.1% 19.3%
TABLE 6 - DELINQUENCIES 13
Single-Family (90 days or more delinquent) Multifamily
(60 days
Non-Credit Credit or more
Enhanced Enhanced All Loans delinquent)
Jun 2007 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%
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% 0.04%
Apr 0.57% 1.88% 0.81% 0.03%
May 0.61% 1.98% 0.86% 0.04%
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
Jun 2007 $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
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
YTD 2008 $459 -- $70 -- 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 (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 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, 4 and 5
are affected by this reporting change.
(6) Issuances and liquidations in June 2008 and for the six months
ended June 30, 2008 include approximately $13.7 billion and $18.8 billion,
respectively, 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 month of June 2008 and six months ended
June 30, 2008 would have been $30.2 billion and $229.2 billion in Tables 4
and 5, respectively, and the liquidation rates for the month of June 2008
in Tables 1,4, and 5 would have been 15.3%, 15.0%, and 14.7%, respectively,
and for the six months ended June 30, 2008 would have been 16.7%, 16.6%,
and 16.5%, respectively. As of June 30, 2008 the ending balances of our PCs
and Structured Securities, excluding outstanding long-term credit
guarantees would have been $1,813 billion and $1,399 billion in Tables 4
and 5, respectively.
(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
(Table 5).
(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 our guaranteed PCs and Structured Securities held by
third parties and credit-related commitments with respect to single-family
mortgage loans held by third parties.
(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 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 Registration Statement on Form
10, dated July 18, 2008.
The unpaid principal balance of our single-family Structured
Transactions at May 31, 2008 was $17.6 billion, representing approximately
1% of our total mortgage portfolio. The delinquency rate for our
single-family Structured Transactions was 11.4% at May 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 Offering 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.
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