Freddie Mac Monthly Volume Summary: January 200626 February 2006
The following is being issued by Freddie Mac (NYSE: FRE):
January 2006 Highlights:
* Total mortgage portfolio grew at an annualized rate of 13.2% in
January.
* Retained portfolio decreased at an annualized rate of 9.9% in January.
* Retained portfolio purchases decreased to $12.4 billion in January
2006, from $36.2 billion in December 2005.
* The amount of Retained portfolio Mortgage Purchase Agreements, Net
entered into during the month of January 2006 totaled $13.5 billion,
down from the $19.0 billion entered into during the month of December
2005.
* Total Guaranteed PCs and Structured Securities Issued have increased
at an annualized rate of 17.1% in January.
* Single-family non-credit enhanced delinquency rate was 30 basis points
in December 2005, up from 29 basis points in November 2005.
* Portfolio market value sensitivity (PMVS-L) averaged 1% in January
2006, unchanged from December 2005; our duration gap averaged zero
months in January 2006, unchanged from December 2005.
* 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 (571) 382-4732 or writing to:
1551 Park Run Drive, Mail stop D40,
McLean, VA 22102-3110
or sending an email to shareholder@freddiemac.com.
TABLE 1 - TOTAL MORTGAGE PORTFOLIO (1, 2)
Non-Freddie Mac
Mortgage-Related
New Business Security Sales &
Purchases(3) Other Activity Liquidations
Jan 2005 $35,888 ($59) ($25,981)
Feb 36,601 (1,742) (25,941)
Mar 39,077 (223) (32,789)
Apr 48,541 (24) (30,199)
May 50,025 (55) (30,403)
Jun 47,954 (1,212) (35,235)
Jul 41,889 (1,380) (36,918)
Aug 62,279 (1,942) (39,152)
Sept 62,543 (4,574) (34,756)
Oct 45,481 (3,791) (33,286)
Nov 52,902 (183) (30,661)
Dec 58,753 (3,063) (29,353)
Full-Year 2005 $581,933 ($18,248) ($384,674)
Jan 2006 $43,020 ($204) ($24,282)
YTD 2006 $43,020 ($204) ($24,282)
Net Increase/ Ending Annualized Annualized
(Decrease) Balance Growth Rate Liquidation Rate
Jan 2005 $9,848 $1,515,054 7.9% 20.7%
Feb 8,918 1,523,972 7.1% 20.5%
Mar 6,065 1,530,037 4.8% 25.8%
Apr 18,318 1,548,355 14.4% 23.7%
May 19,567 1,567,922 15.2% 23.6%
Jun 11,507 1,579,429 8.8% 27.0%
Jul 3,591 1,583,020 2.7% 28.0%
Aug 21,185 1,604,205 16.1% 29.7%
Sept 23,213 1,627,418 17.4% 26.0%
Oct 8,404 1,635,822 6.2% 24.5%
Nov 22,058 1,657,880 16.2% 22.5%
Dec 26,337 1,684,217 19.1% 21.2%
Full-Year 2005 $179,011 $1,684,217 11.9% 25.6%
Jan 2006 $18,534 $1,702,751 13.2% 17.3%
YTD 2006 $18,534 $1,702,751 13.2% 17.3%
TABLE 2 - RETAINED PORTFOLIO (1)
Sales,
Retained net of Other Net Increase/
Purchases(4) Activity(5) Liquidations (Decrease)
Jan 2005 $14,488 ($7,042) ($13,457) ($6,011)
Feb 22,441 (2,730) (12,454) 7,257
Mar 20,755 (4,095) (14,122) 2,538
Apr 24,516 (4,077) (15,096) 5,343
May 28,316 (7,538) (14,704) 6,074
Jun 22,996 (10,030) (16,100) (3,134)
Jul 23,228 (11,021) (17,175) (4,968)
Aug 40,431 (5,150) (17,552) 17,729
Sept 34,319 (10,083) (17,470) 6,766
Oct 20,304 (9,744) (16,912) (6,352)
Nov 32,572 (1,706) (16,286) 14,580
Dec 36,187 (3,182) (15,746) 17,259
Full-Year 2005 $320,553 ($76,398) ($187,074) $57,081
Jan 2006 $12,363 ($4,068) ($14,140) ($5,845)
YTD 2006 $12,363 ($4,068) ($14,140) ($5,845)
Annualized Mortgage Purchase
Ending Annualized Liquidation Agreements,
Balance Growth Rate Rate Net(6)
Jan 2005 $646,925 (11.0%) 24.7% $11,988
Feb 654,182 13.5% 23.1% 13,291
Mar 656,720 4.7% 25.9% 31,998
Apr 662,063 9.8% 27.6% 20,260
May 668,137 11.0% 26.7% 15,668
Jun 665,003 (5.6%) 28.9% 15,922
Jul 660,035 (9.0%) 31.0% 10,763
Aug 677,764 32.2% 31.9% 34,167
Sept 684,530 12.0% 30.9% 17,114
Oct 678,178 (11.1%) 29.6% 15,631
Nov 692,758 25.8% 28.8% 26,938
Dec 710,017 29.9% 27.3% 19,002
Full-Year 2005 $710,017 8.7% 28.7% $232,742
Jan 2006 $704,172 (9.9%) 23.9% $13,478
YTD 2006 $704,172 (9.9%) 23.9% $13,478
TABLE 3 - RETAINED PORTFOLIO COMPONENTS (1)
Non-Freddie Mac
PCs and Mortgage-Related Retained
Structured Securities Mortgage Portfolio
Securities Agency Non-Agency Loans Ending Balance
Jan 2005 $349,124 $58,525 $177,493 $61,783 $646,925
Feb 353,475 57,644 181,664 61,399 654,182
Mar 350,390 56,381 188,213 61,736 656,720
Apr 348,399 55,338 197,229 61,097 662,063
May 346,867 54,126 206,265 60,879 668,137
Jun 336,233 54,464 213,320 60,986 665,003
Jul 329,925 51,980 217,046 61,084 660,035
Aug 338,505 49,664 227,948 61,647 677,764
Sept 341,505 46,023 235,795 61,207 684,530
Oct 339,455 45,642 232,437 60,644 678,178
Nov 349,657 45,096 236,956 61,049 692,758
Dec 361,324 44,626 242,586 61,481 710,017
Full Year
2005 $361,324 $44,626 $242,586 $61,481 $710,017
Jan 2006 $355,921 $44,160 $241,176 $62,915 $704,172
YTD 2006 $355,921 $44,160 $241,176 $62,915 $704,172
TABLE 4 - TOTAL GUARANTEED PCs AND STRUCTURED SECURITIES ISSUED (1, 7)
Net Annualized Annualized
Liquidations Increase/ Ending Growth Liquidation
Issuances (8) (Decrease) Balance Rate Rate
Jan 2005 $26,135 ($17,850) $8,285 $1,217,253 8.2% 17.7%
Feb 25,081 (19,069) 6,012 1,223,265 5.9% 18.8%
Mar 25,912 (25,470) 442 1,223,707 0.4% 25.0%
Apr 32,043 (21,059) 10,984 1,234,691 10.8% 20.7%
May 33,654 (21,693) 11,961 1,246,652 11.6% 21.1%
Jun 29,917 (25,910) 4,007 1,250,659 3.9% 24.9%
Jul 28,633 (26,382) 2,251 1,252,910 2.2% 25.3%
Aug 40,883 (28,847) 12,036 1,264,946 11.5% 27.6%
Sept 43,002 (23,555) 19,447 1,284,393 18.4% 22.3%
Oct 34,986 (22,280) 12,706 1,297,099 11.9% 20.8%
Nov 37,837 (20,157) 17,680 1,314,779 16.4% 18.6%
Dec 39,784 (19,039) 20,745 1,335,524 18.9% 17.4%
Full-Year
2005 $397,867 ($271,311) $126,556 $1,335,524 10.5% 22.4%
Jan 2006 $33,669 ($14,693) $18,976 $1,354,500 17.1% 13.2%
YTD 2006 $33,669 ($14,693) $18,976 $1,354,500(9) 17.1% 13.2%
TABLE 5 - TOTAL GUARANTEED PCs AND STRUCTURED SECURITIES OUTSTANDING (1, 7, 10)
Purchases into Sales out of
the Retained the Retained
Issuances Portfolio Portfolio Liquidations(8)
Jan 2005 $26,135 ($4,735) $7,390 ($12,931)
Feb 25,081 (10,921) 1,401 (13,900)
Mar 25,912 (7,590) 4,281 (19,076)
Apr 32,043 (8,018) 4,324 (15,374)
May 33,654 (11,945) 7,766 (15,982)
Jun 29,917 (4,959) 9,141 (19,458)
Jul 28,633 (9,972) 9,954 (20,056)
Aug 40,883 (19,035) 3,575 (21,967)
Sept 43,002 (14,778) 5,877 (17,654)
Oct 34,986 (9,809) 6,349 (16,770)
Nov 37,837 (17,507) 1,948 (14,800)
Dec 39,784 (17,218) 619 (14,107)
Full-Year 2005 $397,867 ($136,487) $62,625 ($202,075)
Jan 2006 $33,669 ($3,012) $4,289 ($10,567)
YTD 2006 $33,669 ($3,012) $4,289 ($10,567)
Net Increase/ Ending Annualized Annualized
(Decrease) Balance Growth Rate Liquidation Rate
Jan 2005 $15,859 $868,129 22.3% 18.2%
Feb 1,661 869,790 2.3% 19.2%
Mar 3,527 873,317 4.9% 26.3%
Apr 12,975 886,292 17.8% 21.1%
May 13,493 899,785 18.3% 21.6%
Jun 14,641 914,426 19.5% 26.0%
Jul 8,559 922,985 11.2% 26.3%
Aug 3,456 926,441 4.5% 28.6%
Sept 16,447 942,888 21.3% 22.9%
Oct 14,756 957,644 18.8% 21.3%
Nov 7,478 965,122 9.4% 18.5%
Dec 9,078 974,200 11.3% 17.5%
Full-Year 2005 $121,930 $974,200 14.3% 23.7%
Jan 2006 $24,379 $998,579 30.0% 13.0%
YTD 2006 $24,379 $998,579 30.0% 13.0%
TABLE 6 - DELINQUENCIES (11)
Single-Family (90 days or more delinquent) Multifamily(12)
Non Credit Credit (60 days or
Enhanced Enhanced All Loans more delinquent)
Jan 2005 0.24% 2.71% 0.72% 0.09%
Feb 0.24% 2.70% 0.72% 0.09%
Mar 0.22% 2.56% 0.67% 0.05%
Apr 0.22% 2.42% 0.63% 0.05%
May 0.21% 2.38% 0.62% 0.05%
Jun 0.21% 2.37% 0.61% 0.01%
Jul 0.22% 2.34% 0.61% 0.00%
Aug 0.22% 2.28% 0.60% 0.00%
Sep 0.22% 2.26% 0.59% 0.00%
Oct 0.23% 2.30% 0.60% 0.01%
Nov 0.29% 2.47% 0.68% 0.06%
Dec 0.30% 2.46% 0.69% 0.00%
TABLE 7 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES (13)
Portfolio Market Portfolio Market
Value-Level Value-Yield Curve
(PMVS-L) (50bp) (PMVS-YC) (25bp) Duration Gap
(Rounded to (Rounded to (Rounded to
Nearest Percent) Nearest Percent) Nearest Month)
Monthly Quarterly Monthly Quarterly Monthly Quarterly
Average Average Average Average Average Average
Jan 2005 2% -- 0% -- 0 --
Feb 1% -- 0% -- 0 --
Mar 1% 1% 0% 0% 0 0
Apr 1% -- 0% -- 0 --
May 1% -- 0% -- 0 --
Jun 1% 1% 0% 0% 0 0
Jul 1% -- 0% -- 0 --
Aug 1% -- 0% -- 0 --
Sept 1% 1% 0% 0% 0 0
Oct 1% -- 0% -- 0 --
Nov 1% -- 0% -- 0 --
Dec 1% 1% 0% 0% 0 0
Full Year
2005 1% -- 0% -- 0 --
Jan 2006 1% -- 0% -- 0 --
YTD 2006 1% -- 0% -- 0 --
ENDNOTES
(1) Ending balances and activity are based on unpaid principal balances
and exclude mortgage loans and mortgage-related securities traded,
but not yet settled.
(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 New Business Purchases (Table 1) is defined
as Retained Purchases (Table 2) plus Total Guaranteed PC and
Structured Securities Issuances (Table 4) less Purchases into the
Retained Portfolio (Table 5).
(4) Mortgage loans that are purchased through our Cash Window are
reported net of sales through auctions in the form of issued PCs.
(5) Includes a reduction in the Retained portfolio for mortgage-related
securities that have been sold and credit-related impairments net of
additions to the Retained portfolio for delinquent mortgage loans and
balloon reset mortgage loans that have been purchased out of PC
pools.
(6) Mortgage Purchase Agreements, Net reflects trades entered into during
the month and includes: (a) monthly commitments to purchase mortgage-
related securities for the Retained portfolio offset by monthly
commitments to sell mortgage-related securities out of the Retained
portfolio during the month and (b) the net amount of monthly mortgage
loan purchases and sales agreements entered into during the month.
Substantially all of these commitments are settled by delivery of a
mortgage-related security or mortgage loan; the rest are net settled
for cash. Mortgage Purchase Agreements, Net 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.
(7) Excludes Structured Securities where we have resecuritized PCs and
other previously issued Structured Securities. These excluded
Structured Securities do not increase our credit-related exposure and
consist of single-class Structured Securities backed by PCs, Real
Estate Mortgage Investment Conduits (REMICs) and principal-only
strips. The notional balances of interest-only strips are excluded
because this table is based on unpaid principal balance. Also
excluded are modifiable and combinable REMIC tranches and interest
and principal classes, where the holder has the option to exchange
the security tranches for other pre-defined security tranches.
Additional information concerning "Credit Guarantee Activities -
Guarantees Issued Through Resecuritization" can be found in our
Information Statement dated June 14, 2005.
(8) Includes all principal payments relating to PCs and Structured
Securities backed by non-Freddie Mac mortgage-related securities and
relating to securities issued by others that we guarantee (see
Endnote 9 for more information). Also includes the purchase of
delinquent mortgage loans and balloon reset mortgage loans out of PC
pools.
(9) Includes, as of January 31, 2006, our guarantee of the payment of
principal and interest on (a) $6 billion unpaid principal balance of
(1) multifamily mortgage loans that are originated and held by state
and municipal housing finance agencies to support tax-exempt
multifamily housing revenue bonds and (2) tax-exempt multifamily
housing revenue bonds that support pass-through certificates issued
by third parties; and (b) $1 billion unpaid principal balance of
single-family mortgage loans held by third parties for which we
provide a credit guarantee.
(10) Represents guaranteed PCs and Structured Securities held by third
parties.
(11) Single-family delinquencies are based on the number of mortgages 90
days or more delinquent or in foreclosure while multifamily
delinquencies are based on net carrying value of mortgages 60 days or
more delinquent or in foreclosure. Includes delinquencies on
mortgage loans where we have transferred primary or full default risk
to third parties as well as Structured Securities backed by
alternative collateral deals. Excludes 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.
Previously reported delinquency data is subject to change to reflect
currently available information. For example, delinquency data
reported for some Structured Securities may be omitted or
subsequently revised by servicers of the underlying loans, which may
require revision to previously reported numbers. For periods
presented in this report, 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. Delinquencies on
mortgage loans underlying alternative collateral deals may be
categorized as delinquent on a different schedule than other mortgage
loans due to variances in industry practice.
(12) Hurricane Katrina has not affected our reported multifamily
delinquency rate because the contractual terms of certain affected
mortgage loans, with unpaid principal balances totaling $210 million
at December 31, 2005, have been modified. (See Endnote 11 for more
information.)
(13) Our PMVS and Duration Gap measures provide useful estimates of key
interest-rate risk exposures. While we believe that PMVS and
Duration Gap 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 underlying estimation processes.
Source: prnewswire
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