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Freddie Mac Monthly Volume Summary: October 2009
(unaudited & subject to change)
(dollars in millions)
MCLEAN, Va., Nov. 24 /PRNewswire-FirstCall/ -- The following is being issued by Freddie Mac (NYSE: FRE):
October 2009 Highlights:
- The total mortgage portfolio increased at an annualized rate of 0.7% in October.
- Refinance-loan purchase and guarantee volume was $18.0 billion in October, down from $21.4 billion in September.
- The aggregate unpaid principal balance (UPB) of our mortgage-related investments portfolio was $770.1 billion at October 31, 2009, down from $784.2 billion at September 30, 2009.
- The net amount of mortgage-related investments portfolio mortgage purchase (sale) agreements entered into during the month of October totaled $1.7 billion, down from the $4.6 billion entered into during the month of September.
- Total guaranteed PCs and Structured Securities issued increased at an annualized rate of 1.1% in October.
- Our single-family portfolio delinquency rate rose to 3.54% in October, up 21 basis points from September. Our multifamily delinquency rate was 0.12% in October.
- The measure of our exposure to changes in portfolio market value (PMVS-L) averaged $472 million in October. Duration gap averaged 0 months. 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.
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)
Purchases
and Net Increase/
Issuances(3) Sales (4) Liquidations (Decrease)
Oct 2008 $19,279 $(899) $(19,823) $(1,443)
Nov 26,867 (31) (21,712) 5,124
Dec 29,799 (4,986) (17,356) 7,457
Full-Year 2008 460,015 (35,669) (319,546) 104,800
-------------- ------- ------- -------- -------
Jan 2009 21,709 (5,350) (21,527) (5,168)
Feb 40,052 (734) (33,776) 5,542
Mar 86,085 (4) (47,428) 38,653
Apr 58,090 (20,222) (53,079) (15,211)
May 50,223 (5,334) (47,890) (3,001)
Jun 63,150 (1,065) (49,893) 12,192
Jul 44,052 - (50,206) (6,154)
Aug 47,886 - (40,948) 6,938
Sep 32,926 (250) (31,241) 1,435
Oct 32,181 (2,125) (28,838) 1,218
YTD 2009(5) $476,354 $(35,084) $(404,826) $36,444
---------- -------- -------- --------- -------
Annualized
Ending Annualized Liquidation
Balance Growth Rate Rate
Oct 2008 $2,194,895 (0.8%) 10.8%
Nov 2,200,019 2.8% 11.9%
Dec 2,207,476 4.1% 9.5%
Full-Year 2008 2,207,476 5.0% 15.2%
-------------- --------- --- ----
Jan 2009 2,202,308 (2.8%) 11.7%
Feb 2,207,850 3.0% 18.4%
Mar 2,246,503 21.0% 25.8%
Apr 2,231,292 (8.1%) 28.4%
May 2,228,291 (1.6%) 25.8%
Jun 2,240,483 6.6% 26.9%
Jul 2,234,329 (3.3%) 26.9%
Aug 2,241,267 3.7% 22.0%
Sep 2,242,702 0.8% 16.7%
Oct 2,243,920 0.7% 15.4%
YTD 2009(5) $2,243,920 2.0% 22.0%
---------- ---------- --- ----
TABLE 2 - MORTGAGE-RELATED INVESTMENTS PORTFOLIO (1, 6)
Sales, net of
Purchases Other
(7) Activity (8) Liquidations
------------ ----------------- ------------
Oct 2008 $45,366 $(11,097) $(7,481)
Nov 49,649 761 (8,647)
Dec 21,511 (14,703) (7,473)
Full-Year 2008 321,310 (124,267) (113,094)
-------------- ------- -------- --------
Jan 2009 25,055 (22,340) (8,557)
Feb 36,621 (2,355) (11,150)
Mar 66,574 (6,797) (14,709)
Apr 20,982 (42,274) (15,522)
May 14,724 (7,207) (14,376)
Jun 26,418 (5,376) (14,636)
Jul 18,006 (33,343) (15,444)
Aug 9,488 (15,945) (13,190)
Sep 18,844 (3,289) (10,793)
Oct 9,188 (12,908) (10,399)
YTD 2009 $245,900 $(151,834) $(128,776)
-------- -------- --------- ---------
Annualized
Ending Annualized Liquidation
Balance Growth Rate Rate
------- ----------- -----------
Oct 2008 $763,664 43.6% 12.2%
Nov 805,427 65.6% 13.6%
Dec 804,762 (1.0%) 11.1%
Full-Year 2008 804,762 11.6% 15.7%
-------------- ------- ---- ----
Jan 2009 798,920 (8.7%) 12.8%
Feb 822,036 34.7% 16.7%
Mar 867,104 65.8% 21.5%
Apr 830,290 (50.9%) 21.5%
May 823,431 (9.9%) 20.8%
Jun 829,837 9.3% 21.3%
Jul 799,056 (44.5%) 22.3%
Aug 779,409 (29.5%) 19.8%
Sep 784,171 7.3% 16.6%
Oct 770,052 (21.6%) 15.9%
YTD 2009 $770,052 (5.2%) 19.2%
-------- -------- ------ ----
Mortgage
Purchase Mortgage Sale Net Purchase
Agreements Agreements (Sale)
(9) (10) Agreements
------------ ----------------- ------------
Oct 2008 $60,880 $(43,517) $17,363
Nov 50,406 (35,429) 14,977
Dec 84,492 (59,127) 25,365
Full-Year 2008 632,634 (424,800) 207,834
-------------- ------- -------- -------
Jan 2009 42,971 (25,944) 17,027
Feb 36,851 (32,863) 3,988
Mar 80,250 (64,405) 15,845
Apr 48,057 (47,101) 956
May 46,382 (41,064) 5,318
Jun 63,240 (53,327) 9,913
Jul 35,786 (24,773) 11,013
Aug 32,529 (20,401) 12,128
Sep 15,178 (10,552) 4,626
Oct 9,106 (7,444) 1,662
YTD 2009 $410,350 $(327,874) $82,476
-------- -------- --------- -------
TABLE 3 - MORTGAGE-RELATED INVESTMENTS PORTFOLIO COMPONENTS (1)
Non-Freddie Mac
Mortgage-Related
Securities
----------------
PCs and Agency Non-Agency Mortgage Ending
Structured ------ ---------- Loans Balance
Securities ----- -------
----------
Oct 2008 $399,986 $57,815 $202,172 $103,691 $763,664
Nov 431,976 67,586 199,798 106,067 805,427
Dec 424,524 70,852 197,910 111,476 804,762
Full-Year 2008 424,524 70,852 197,910 111,476 804,762
-------------- ------- ------ ------- ------- -------
Jan 2009 420,886 66,198 195,749 116,087 798,920
Feb 436,257 68,709 193,941 123,129 822,036
Mar 455,421 92,638 192,099 126,946 867,104
Apr 435,590 77,563 189,905 127,232 830,290
May 431,156 72,355 188,050 131,870 823,431
Jun 440,478 72,889 186,195 130,275 829,837
Jul 412,650 71,145 184,322 130,939 799,056
Aug 396,217 69,505 182,489 131,198 779,409
Sep 403,490 68,050 180,752 131,879 784,171
Oct 389,928 69,056 179,065 132,003 770,052
YTD 2009 $389,928 $69,056 $179,065 $132,003 $770,052
-------- -------- ------- -------- -------- --------
TABLE 4 -TOTAL GUARANTEED PCs AND STRUCTURED SECURITIES ISSUED (1, 11)
Liquidations Net Increase/
Issuances (12) (Decrease)
--------- ---------------- -------------
Oct 2008 $13,803 $(16,994) $(3,191)
Nov 14,514 (19,163) (4,649)
Dec 15,722 (15,052) 670
Full-Year 2008 357,861 (269,456) 88,405
-------------- ------- -------- ------
Jan 2009 16,277 (19,241) (2,964)
Feb 29,815 (32,018) (2,203)
Mar 57,684 (44,935) 12,749
Apr 51,068 (49,296) 1,772
May 43,733 (44,309) (576)
Jun 61,137 (46,029) 15,108
Jul 42,954 (46,155) (3,201)
Aug 47,458 (37,306) 10,152
Sep 31,839 (27,893) 3,946
Oct 27,469 (25,694) 1,775
YTD 2009 (5) $409,434 $(372,876) $36,558
----------- -------- --------- -------
Annualized
Annualized Liquidation
Ending Balance Growth Rate Rate (5)
-------------- ----------- --------------
Oct 2008 $1,831,217 (2.1%) 11.1%
Nov 1,826,568 (3.0%) 12.6%
Dec 1,827,238 0.4% 9.9%
Full-Year 2008 1,827,238 5.1% 15.5%
-------------- --------- --- ----
Jan 2009 1,824,274 (1.9%) 12.6%
Feb 1,822,071 (1.4%) 21.1%
Mar 1,834,820 8.4% 29.6%
Apr 1,836,592 1.2% 32.2%
May 1,836,016 (0.4%) 29.0%
Jun 1,851,124 9.9% 30.1%
Jul 1,847,923 (2.1%) 29.9%
Aug 1,858,075 6.6% 24.2%
Sep 1,862,021 2.5% 18.0%
Oct 1,863,796 1.1% 16.6%
YTD 2009 (5) $1,863,796 2.4% 24.5%
----------- ---------- --- ----
TABLE 5 - DEBT ACTIVITIES (13)
Original
Maturity </=
1 Year Original Maturity > 1 Year
------------ --------------------------
Maturities
and
Ending Balance Issuances Redemptions Repurchases
-------------- --------- ----------- -----------
Oct 2008 $282,601 $10,432 $(12,903) $(1,068)
Nov 305,481 2,809 (8,108) (30)
Dec 330,902 10,777 (49,265) (3,808)
Full-Year 2008 330,902 244,313 (268,038) (17,954)
-------------- ------- ------- -------- -------
Jan 2009 352,212 34,134 (36,968) (15)
Feb 373,285 38,276 (33,467) (21)
Mar 350,269 67,042 (25,637) -
Apr 295,797 44,033 (22,421) -
May 277,038 39,435 (27,655) -
Jun 262,792 21,797 (21,020) (22,484)
Jul 258,647 13,129 (18,145) (3,875)
Aug 253,813 23,353 (6,588) (2,026)
Sep 241,527 12,570 (25,730) (2,776)
Oct 235,875 14,650 (18,005) (3,109)
YTD 2009 $235,875 $308,419 $(235,636) $(34,306)
-------- -------- -------- --------- --------
Original Maturity > 1 Year
--------------------------
Foreign
Exchange Ending Total Debt
Translation Balance Outstanding
----------- ------- -----------
Oct 2008 $(1,306) $585,865 $868,466
Nov 8 580,544 886,025
Dec 1,126 539,374 870,276
Full-Year 2008 (710) 539,374 870,276
-------------- ---- ------- -------
Jan 2009 (1,008) 535,517 887,729
Feb (107) 540,198 913,483
Mar 536 582,139 932,408
Apr (24) 603,727 899,524
May 840 616,347 893,385
Jun (161) 594,479 857,271
Jul 66 585,654 844,301
Aug 68 600,461 854,274
Sep 105 584,630 826,157
Oct 54 578,220 814,095
YTD 2009 $369 $578,220 $814,095
-------- ---- -------- --------
TABLE 6 - DELINQUENCIES(14)
Single-Family Multifamily
------------- -----------
Non-
Credit Credit
Enhanced Enhanced Total Total
-------- -------- ----- -----
Oct 2008 0.96% 3.04% 1.34% 0.01%
Nov 1.09% 3.41% 1.52% 0.01%
Dec 1.26% 3.79% 1.72% 0.01%
Jan 2009 1.46% 4.31% 1.98% 0.03%
Feb 1.60% 4.54% 2.13% 0.08%
Mar 1.73% 4.85% 2.29% 0.09%
Apr 1.86% 5.10% 2.44% 0.10%
May 2.01% 5.45% 2.62% 0.12%
Jun 2.13% 5.82% 2.78% 0.11%
Jul 2.27% 6.17% 2.95% 0.11%
Aug 2.41% 6.59% 3.13% 0.10%
Sep 2.57% 6.98% 3.33% 0.11%
Oct 2.73% 7.43% 3.54% 0.12%
TABLE 7 - OTHER INVESTMENTS
===========================
Ending Balance (15)
------------------
Oct 2008 $94,793
Nov 79,119
Dec 64,270
Full-Year 2008 64,270
-------------- ------
Jan 2009 94,311
Feb 98,611
Mar 99,414
Apr 110,947
May 114,498
Jun 73,345
Jul 90,749
Aug 117,724
Sep 83,696
Oct 86,138
YTD 2009 $86,138
-------- -------
TABLE 8 - INTEREST RATE RISK SENSITIVITY DISCLOSURES (16)
Portfolio Market Portfolio 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
------- --------- ------- --------- ------- ---------
Oct 2008 $354 -- $34 -- 0 --
Nov 394 -- 65 -- 0 --
Dec 260 $332 149 $84 1 0
Full-Year
2008 397 -- 73 -- 0 --
Jan 2009 102 -- 90 -- 0 --
Feb 447 -- 44 -- 1 --
Mar 429 328 121 87 1 1
Apr 493 -- 130 -- 0 --
May 570 -- 101 -- 0 --
Jun 577 547 40 90 0 0
Jul 556 -- 89 -- 0 --
Aug 549 -- 105 -- 0 --
Sep 566 557 91 95 0 0
Oct 472 -- 19 -- 0 --
YTD 2009 $478 -- $83 -- 0 --
-------- ---- --- --- --- --- ---
ENDNOTES
(1) The activity and balances set forth in these tables represent contractual amounts of unpaid principal balances, which are measures that differ from the balance of the mortgage-related investments portfolio as calculated in conformity with GAAP, and exclude mortgage loans and mortgage-related securities traded, but not yet settled. For PCs and Structured Securities, the balance reflects reported security balances and not the unpaid principal of the underlying mortgage loans. The mortgage-related investments 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 mortgage-related investments 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 mortgage-related investments portfolio purchases (Table 2) plus total guaranteed PCs and Structured Securities issuances (Table 4) less purchases of Freddie Mac PCs and Structured Securities into the mortgage-related investments portfolio. Purchases of Freddie Mac PCs and Structured Securities into the mortgage-related investments portfolio totaled $4,476 million (based on unpaid principal balance) during the month of October 2009.
(4) Includes sales of non-Freddie Mac mortgage-related securities and multifamily mortgage loans from our mortgage-related investments portfolio. Excludes the transfer of single-family mortgage loans through transactions that qualify as sales and all transfers through swap-based exchanges.
(5) Issuances and liquidations for the ten months ended October 31, 2009 include approximately $5.7 billion of conversions of previously issued long-term standby commitments into either PCs or Structured Transactions. These conversion amounts, based on the unpaid principal balance of the underlying 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 ten months ended October 31, 2009 would have been $403.7 billion in Table 4 and the annualized liquidation rate for the ten months ended October 31, 2009 in Tables 1 and 4 would have been 21.7% and 24.1%, respectively. As of October 31, 2009, the ending balance of our PCs and Structured Securities, excluding outstanding long-term standby commitments, would have been $1,859 billion in Table 4.
(6) As of October 31, 2009, we had net unsettled purchase (sale) agreements of approximately $(149) million. The ending balance of our mortgage-related investments portfolio, after giving effect to these unsettled agreements and assuming we did not enter any other purchase (sale) agreements after October 31, 2009, would have been $769.9 billion.
(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. Other activity consists of: (a) net additions for delinquent mortgage loans purchased out of PC pools, (b) net additions for balloon/reset mortgages purchased out of PC pools and (c) transfers of PCs and Structured Securities from our mortgage-related investments portfolio reported as sales.
(9) Mortgage purchase agreements reflects trades entered into during the month and includes: (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.
(10) Mortgage sale agreements reflects trades entered into during the month and includes: (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.
(11) 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. These 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 Annual Report on Form 10-K, dated March 11, 2009.
(12) 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.
(13) Represents the combined balance and activity of our senior and subordinated debt based on the par values of these liabilities.
(14) 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 the 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 any loan-level credit protection that may also exist. Additional information concerning Structured Transactions can be found in our Annual Report on Form 10-K, dated March 11, 2009.
The unpaid principal balance of our single-family Structured Transactions at October 31, 2009 was $24.6 billion, representing approximately 1% of our total mortgage portfolio. Included in this balance is $4.7 billion that are backed by subordinated securities, including $1.7 billion that are secured by FHA/VA loans, for which those agencies provide recourse for 100% of the qualifying losses associated with the loan. Structured Transactions backed by subordinated securities benefit from credit protection from the related subordinated tranches, which we do not purchase. The remaining $19.9 billion of our Structured Transactions as of October 31, 2009 are single-class, or pass-through securities, including $9.8 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 8.86% at October 31, 2009. The total single-family delinquency rate including our Structured Transactions was 3.65% at October 31, 2009. Below are the delinquency rates of our Structured Transactions:
Structured Transactions securitized by: subordinated securities, including FHA/VA guarantees 22.91%; option ARM pass-through securities 16.43%; other pass-through securities 0.85%.
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 delinquency rates.
(15) Other Investments consists of our cash and investments portfolio, which as of October 31, 2009 consists of: $53.7 billion of cash and cash equivalents; $13.4 billion of federal funds sold and securities purchased under agreements to resell; and $19.0 billion of non-mortgage investments. Non-mortgage investments are presented at fair value.
(16) 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.
SOURCE Freddie Mac
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