Freddie Mac Monthly Volume Summary: December 2009

(unaudited & subject to change)

(dollars in millions)

Jan 27, 2010, 16:30 ET from Freddie Mac

MCLEAN, Va., Jan. 27 /PRNewswire-FirstCall/ -- The following is being issued by Freddie Mac (NYSE: FRE):

December 2009 Highlights:

  • The total mortgage portfolio increased at an annualized rate of 5.7% in December.
  • The aggregate unpaid principal balance (UPB) of our mortgage-related investments portfolio was $755.3  billion at December 31, 2009, down from $761.8 billion at November 30, 2009.
  • The net amount of mortgage-related investments portfolio mortgage purchase (sale) agreements entered into during the month of December totaled $2,618 million, up from the $378 million entered into during the month of November.
  • Refinance-loan purchase and guarantee volume was $27.3 billion in December, up from $19.3 billion in November.
  • Total guaranteed PCs and Structured Securities issued increased at an annualized rate of 5.9% in December. Our December 2009 issuance includes $4.4 billion of guarantees under the Housing Finance Agencies (HFA) initiative, under which Treasury bears initial losses on these securities up to 35% of the program-wide issuance.  See  endnote (13) for further information.
  • Our single-family portfolio delinquency rate rose to 3.87% in December, up 15 basis points from November.  Our multifamily delinquency rate was 0.15% in December.
  • The measure of our exposure to changes in portfolio market value (PMVS-L) averaged $469 million in December. Duration gap averaged 0 months. See endnote (17) 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     
                         Issuances                              Increase/  
                            (3)       Sales (4)  Liquidations   (Decrease) 
                                                                     
    Dec 2008              $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 
    Nov                    27,975           -        (32,087)      (4,112)
    Dec                    44,039         (15)       (33,293)      10,731 
                                                                     
    ------------------   --------    --------      ---------      ------- 
    Full-Year 2009 (5)   $548,368    $(35,099)     $(470,206)     $43,063 
    ------------------   --------    --------      ---------      ------- 
                                                                     
                                                                     
                                                                     
                                         Annualized     Annualized        
                           Ending          Growth      Liquidation  
                           Balance          Rate           Rate           
                                                                     
    Dec 2008              $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%             
    Nov                    2,239,808        (2.2%)         17.2%             
    Dec                    2,250,539         5.7%          17.8%             
                                                                     
    ------------------    ----------         ---           ----              
    Full-Year 2009 (5)    $2,250,539         2.0%          21.3%             
    ------------------    ----------         ---           ----              
    
    
    
    
    
    TABLE 2 - MORTGAGE-RELATED INVESTMENTS PORTFOLIO (1),(6)
    ========================================================
    
                                Sales, net                
                                 of Other                 
                  Purchases (7)  Activity (8)  Liquidations
                                                          
    Dec 2008           $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)
    Nov                  3,489        (979)       (10,810)
    Dec                  5,954      (1,429)       (11,005)
                                                          
    --------------    --------   ---------      --------- 
    Full-Year 2009    $255,343   $(154,242)     $(150,591)
    --------------    --------   ---------      --------- 
                                                          
                                                          
                                                          
                                    Annualized    Annualized
                      Ending         Growth       Liquidation
                      Balance         Rate           Rate 
                                                          
    Dec 2008          $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%
    Nov                761,752       (12.9%)         16.8%
    Dec                755,272       (10.2%)         17.3%
                                                          
    --------------    --------        ----           ---- 
    Full-Year 2009    $755,272        (6.1%)         18.7%
    --------------    --------        ----           ---- 
                                                          
                                                          
                                                          
                     Mortgage     Mortgage          Net   
                     Purchase       Sale         Purchase  
                    Agreements   Agreements       (Sale)   
                         (9)         (10)        Agreements
                                                          
    Dec 2008           $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 
    Nov                  8,466      (8,088)           378 
    Dec                  9,273      (6,655)         2,618 
                                                          
    --------------    --------   ---------        ------- 
    Full-Year 2009    $428,089   $(342,617)       $85,472 
    --------------    --------   ---------        ------- 
    
    
    
    
    
    TABLE 3 - MORTGAGE-RELATED INVESTMENTS PORTFOLIO COMPONENTS (1) 
    ===============================================================  
    
                                     Non-Freddie Mac 
                                    Mortgage-Related
                                       Securities
                                    -----------------
                         PCs and                                        
                        Structured            Non-    Mortgage   Ending 
                        Securities  Agency   Agency     Loans    Balance
                                                                        
    Dec 2008              $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
    Nov                    382,751  67,497   177,334   134,170   761,752
    Dec                    374,615  66,171   175,670   138,816   755,272
                                                                        
    --------------        -------- -------  --------  --------  --------
    Full-Year 2009        $374,615 $66,171  $175,670  $138,816  $755,272
    --------------        -------- -------  --------  --------  --------
    
    
    
    
    
    TABLE 4 - MAKING HOME AFFORDABLE PROGRAM ACTIVITY 
    ================================================= 
                                                     
    For information on our MHA Program activities, see FHFA's "Foreclosure 
    Prevention and Refinance Report," which is available on FHFA's website 
    at www.fhfa.gov.                            
    
    
    
    
    
    TABLE 5 - TOTAL GUARANTEED PCs AND STRUCTURED SECURITIES  ISSUED (1),(11) 
    ========================================================================= 
                                                              
                                                     Net Increase/
                        Issuances  Liquidations (12)    (Decrease) 
                                                              
    Dec 2008              $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 
    Nov                    25,984        (28,973)         (2,989)
    Dec 13                 39,994        (30,919)          9,075 
                                                              
    ------------------   --------      ---------         ------- 
    Full-Year 2009 (5)   $475,412      $(432,768)        $42,644 
    ------------------   --------      ---------         ------- 
                                                              
                                                              
                                                              
                                                          Annualized   
                           Ending         Annualized     Liquidation 
                          Balance        Growth Rate       Rate (5)    
                                                              
    Dec 2008             $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%
    Nov                   1,860,807           (1.9%)          18.7%
    Dec 13                1,869,882            5.9%           19.9%
                                                              
    ------------------   ----------            ---            ---- 
    Full-Year 2009 (5)   $1,869,882            2.3%           23.7%
    ------------------   ----------            ---            ---- 
    
    
    
    
    
    TABLE 6 - DEBT ACTIVITIES (14)                                  
    ==============================   
                                    
                     Original                             
                     Maturity    
                    </= 1 Year       Original Maturity >/= 1 Year   
                   -----------  -----------------------------------  
                                           Maturities               
                     Ending                   and                  
                     Balance    Issuances  Redemptions  Repurchases 
                                                                   
    Dec 2008         $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)
    Nov               231,082     19,774      (19,709)        (250)
    Dec               238,293     20,486      (21,429)     (10,152)
                                                                   
    --------------   --------   --------    ---------     -------- 
    Full-Year 2009   $238,293   $348,679    $(276,774)    $(44,708)
    --------------   --------   --------    ---------     -------- 
                                                                   
                                                                   
                                                                   
                    Original Maturity                            
                        >/= 1 Year                                   
                   ---------------------                            
                    Foreign                                        
                    Exchange     Ending    Total Debt             
                   Translation   Balance   Outstanding  
                                                                   
    Dec 2008           $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              
    Nov                   102    578,137      809,219              
    Dec                  (262)   566,780      805,073              
                                                                   
    --------------       ----   --------     --------              
    Full-Year 2009       $209   $566,780     $805,073              
    --------------       ----   --------     --------              
    
    
    
    
    
    TABLE 7 - DELINQUENCIES (15)                                   
    ============================                                   
                                                                 
                             Single-Family            Multifamily 
                      ----------------------------    ----------- 
                        Non-                                       
                       Credit     Credit                           
                      Enhanced   Enhanced    Total       Total    
                                                        
    Dec 2008            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%
    Nov                 2.88%      7.84%     3.72%        0.14%
    Dec                 3.00%      8.17%     3.87%        0.15%
    
    
    
    
    
    TABLE 8 - OTHER INVESTMENTS      
    ===========================      
                                     
                             Ending   
                          Balance (16)
                                     
    Dec 2008                  $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
    Nov                        84,821
    Dec                        90,954
                                     
    --------------            -------
    Full-Year 2009            $90,954
    --------------            -------
    
    
    
    
    
    TABLE 9 - INTEREST RATE RISK SENSITIVITY DISCLOSURES (17)              
    ========================================================= 
                    
                   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 
                                                                            
    Dec 2008         $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         --
    Nov               452         --       21         --        0         --
    Dec               469        465       28         23        0          0
                                                                            
    --------------   ----        ---      ---        ---      ---        ---
    Full-Year 2009   $476          -      $74          -        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 5) 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 5) 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 $1,909 million (based on unpaid principal balance) during the month of December 2009. See endnote (13) for information on our HFA initiative in December 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 twelve months ended December 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 twelve months ended December 31, 2009 would have been $469.7 billion in Table 5 and the annualized liquidation rate for the twelve months ended December 31, 2009 in Tables 1 and 5 would have been 21.0% and 23.4%, respectively.  As of December 31, 2009, the ending balance of our PCs and Structured Securities, excluding outstanding long-term standby commitments, would have been $1,865 billion in Table 5.

(6)  As of December 31, 2009, we had net unsettled purchase (sale) agreements of approximately $(714) 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 December 31, 2009, would have been $754.6 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)  In October 2009, as part of a cooperative agreement with Treasury and Fannie Mae, we agreed to provide assistance to state and local housing finance agencies, or HFAs.  Our December 2009 issuance includes $4.4 billion of guarantees under this initiative, under which Treasury bears initial losses on these securities up to 35% of the program-wide issuance.  We have $7.36 billion in additional outstanding commitments under this initiative, which will settle in January 2010.  See our current report on Form 8-K, filed January 15, 2010, for additional information on these programs.

(14)  Represents the combined balance and activity of our senior and subordinated debt based on the par values of these liabilities.

(15)  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 7 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 December 31, 2009 was $23.8 billion, representing approximately 1% of our total mortgage portfolio.  Included in this balance is $4.5 billion that are backed by subordinated securities, including $1.6 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 $19.3 billion of our Structured Transactions as of December 31, 2009 are single-class, or pass-through securities, including $9.6 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 9.44% at December 31, 2009.  The total single-family delinquency rate including our Structured Transactions was 3.98% at December 31, 2009.  Below are the delinquency rates of our Structured Transactions:

Structured Transactions securitized by: subordinated securities, including FHA/VA guarantees 24.09%; option ARM pass-through securities 17.93%; other pass-through securities 0.89%.

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.

(16)  Other Investments consists of our cash and investments portfolio, which as of December 31, 2009 consists of: $64.7 billion of cash and cash equivalents; $7.0 billion of federal funds sold and securities purchased under agreements to resell; and $19.3 billion of non-mortgage investments. Non-mortgage investments are presented at fair value.

(17)  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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