The following is being issued by Freddie Mac (NYSE: FRE):
November 2005 Highlights:
* Total mortgage portfolio has increased at an annualized rate of 11.1%
year-to-date and 16.2% in November.
* Retained portfolio has increased at an annualized rate of 6.7% year-to- date and increased at an annualized rate of 25.8% in November.
* Retained portfolio purchases increased to $32.6 billion in November,
from $20.3 billion in October.
* Retained portfolio mortgage purchase agreements, net were $26.9 billion
in November, up from $15.6 billion in October.
* Total Guaranteed PCs and Structured Securities Issued have increased at
an annualized rate of 9.5% year-to-date and 16.4% in November.
* Structured securitizations were $16.4 billion in November, down from
$19.9 billion in October.
* Single-family non-credit enhanced delinquency rate was 23 basis points
in October, up from 22 basis points in the prior month.
* Portfolio market value sensitivity (PMVS-L) averaged 1% in November,
unchanged from October; our duration gap averaged 0 months in November,
unchanged from October.
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 Ma ortgage-Related
New Business Security Sales &
Purchases(3) Other Activity Liquidations
Full Year 2004 $494,588 ($2,752)($401,029)
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)
Sep 62,543(4,574) (34,756)
Oct 45,481(3,791) (33,286)
Nov 52,902 (183) (30,661)
YTD 2005 $523,180 ($15,185)($355,321)
Net Increase/ Ending Annualized Annualized
(Decrease)BalanceGrowth Rate Liquidation Rate
Full Year 2004 $90,807 $1,505,206 6.4% 28.4%
Jan 2005 $9,848 $1,515,054 7.9% 20.7%
Feb 8,9181,523,972 7.1% 20.5%
Mar 6,0651,530,037 4.8% 25.8%
Apr 18,3181,548,355 14.4% 23.7%
May 19,5671,567,922 15.2% 23.6%
Jun 11,5071,579,429 8.8% 27.0%
Jul 3,5911,583,020 2.7% 28.0%
Aug 21,1851,604,205 16.1% 29.7%
Sep 23,2131,627,418 17.4% 26.0%
Oct 8,4041,635,822 6.2% 24.5%
Nov 22,0581,657,880 16.2% 22.5%
YTD 2005 $152,674 $1,657,880 11.1% 25.8%
TABLE 2 - RETAINED PORTFOLIO (1)
Sales, ne etained of Other Net Increase/
Purchases(4) Activity(5) Liquidations (Decrease)
Full Year 2004 $225,715($36,515)($181,730) $7,470
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
Sep 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
YTD 2005$284,366($73,216)($171,328) $39,822
Mortgage Purchas nding Annualized Annualized Agreements,
Balance Growth Rate Liquidation Rate net(6)
Full Year 2004 $652,936 1.2 %28.2 % N/A
Jan 2005 $646,925(11.0%) 24.7 %$11,988
Feb654,182 13.5 % 23.1 % 13,291
Mar656,720 4.7 % 25.9 % 31,998
Apr662,063 9.8 % 27.6 % 20,260
May668,137 11.0 % 26.7 % 15,668
Jun665,003 (5.6%) 28.9 % 15,922
Jul660,035 (9.0%) 31.0 % 10,763
Aug677,764 32.2 % 31.9 % 34,167
Sep684,530 12.0 % 30.9 % 17,114
Oct678,178(11.1%) 29.6 % 15,631
Nov692,758 25.8 % 28.8 % 26,938
YTD 2005 $692,758 6.7 % 28.6 % $213,740
TABLE 3 - TOTAL GUARANTEED PCs AND STRUCTURED SECURITIES ISSUED (1, 8)
Ne ncrease/ Ending Annualized
Issuances Liquidations(9) (Decrease) Balance Growth Rate
Full Year 2004 $365,108 ($318,208)$46,900 $1,208,968 4.0%
Jan 2005 $26,135($17,850) $8,285 $1,217,253 8.2%
Feb25,081 (19,069) 6,012 1,223,265 5.9%
Mar25,912 (25,470) 442 1,223,707 0.4%
Apr32,043 (21,059) 10,984 1,234,69110.8%
May33,654 (21,693) 11,961 1,246,65211.6%
Jun29,917 (25,910) 4,007 1,250,659 3.9%
Jul28,633 (26,382) 2,251 1,252,910 2.2%
Aug40,883 (28,847) 12,036 1,264,94611.5%
Sep43,002 (23,555) 19,447 1,284,39318.4%
Oct34,986 (22,280) 12,706 1,297,09911.9%
Nov37,837 (20,157) 17,680 1,314,77916.4%
YTD 2005 $358,083 ($252,272) $105,811 $1,314,779(10) 9.5%
TABLE 4 - RETAINED PORTFOLIO COMPONENTS (1)
Non-Freddie Mac Retained
Mortgage-Related Portfolio
FreddieSecurities MortgageEnding
Mac PCs Agency Non-AgencyLoans Balance
Full Year 2004 $356,698$59,715$175,163$61,360 $652,936
Jan 2005 $349,124$58,525$177,493$61,783 $646,925
Feb 353,475 57,644 181,664 61,399654,182
Mar 350,390 56,381 188,213 61,736656,720
Apr 348,399 55,338 197,229 61,097662,063
May 346,867 54,126 206,265 60,879668,137
Jun 336,233 54,464 213,320 60,986665,003
Jul 329,925 51,980 217,046 61,084660,035
Aug 338,505 49,664 227,948 61,647677,764
Sep 341,505 46,023 235,795 61,207684,530
Oct 339,455 45,642 232,437 60,644678,178
Nov 349,657 45,096 236,956 61,049692,758
YTD 2005 $349,657$45,096$236,956$61,049 $692,758
TABLE 5 - Multi-Class Structured Securitization Activity (11)
Structured
Securitizations Activity
Full Year 2004 $215,430
Jan 2005 $16,171
Feb 22,993
Mar 16,816
Apr 14,643
May 15,829
Jun 13,056
Jul 25,745
Aug 20,342
Sep 13,296
Oct 19,907
Nov 16,400
YTD 2005$195,198
TABLE 6 - OUTSTANDING GUARANTEED PCs AND STRUCTURED SECURITIES (1, 12)
PC Purchases PC Sales From
PC Into RetainedRetained
Issuances Portfolio PortfolioLiquidations(13)
Full Year 2004 $365,108 ($96,235) $38,601 ($224,137)
Jan 2005 $26,135($4,735) $7,390 ($12,931)
Feb25,081(10,921)1,401(13,900)
Mar25,912 (7,590)4,281(19,076)
Apr32,043 (8,018)4,324(15,374)
May33,654(11,945)7,766(15,982)
Jun29,917 (4,959)9,141(19,458)
Jul28,633 (9,972)9,954(20,056)
Aug40,883(19,035)3,575(21,967)
Sep43,002(14,778)5,877(17,654)
Oct34,986 (9,809)6,349(16,770)
Nov37,837(17,507)1,948(14,800)
YTD 2005 $358,083 ($119,269) $62,006 ($187,968)
Annualized
Net Growth Rate Annualize ncrease/ Endingon Total PCs, Liquidation
(Decrease) Balance net Rate
Full Year 2004$83,337 $852,270 10.8% 29.1%
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%
Sep 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%
YTD 2005$112,852 $965,122 14.4% 24.1%
TABLE 7 - DELINQUENCIES (14)
Single-Family (90 days or more delinquent) Multifamily
Non Credit Credit (60 days or more
Enhanced Enhanced All Loansdelinquent)
Dec 20040.24% 2.75% 0.73% 0.06%
Jan 20050.24% 2.71% 0.72% 0.09%
Feb0.24% 2.70% 0.72% 0.09%
Mar0.22% 2.56% 0.67% 0.05%
Apr0.22% 2.42% 0.63% 0.05%
May0.21% 2.38% 0.62% 0.05%
Jun0.21% 2.37% 0.61% 0.01%
Jul0.22% 2.34% 0.61% 0.00%
Aug0.22% 2.28% 0.60% 0.00%
Sep0.22% 2.26% 0.59% 0.00%
Oct0.23% 2.30% 0.60% 0.01%
TABLE 8 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES (15)
Portfolio Market Portfolio Market
Value Level Value Yield Curve Duration Gap
(PMVS-L)(50bp)(16) (PMVS-YC)(25 bp)(16) (in months)(17)
Monthly Quarterly Monthly Quarterly Monthly Quarterly
Average Average Average Average Average Average
Full Year 2004 2% --0% -- 0 --
Jan 2005 2% --0% -- 0 -- Feb 1% --0% -- 0 -- Mar 1% 1%0% 0% 00
Apr 1% --0% -- 0 -- May 1% --0% -- 0 -- Jun 1% 1%0% 0% 00
Jul 1% --0% -- 0 -- Aug 1% --0% -- 0 -- Sep 1% 1%0% 0% 00
Oct 1% --0% -- 0 -- Nov 1% --0% -- 0 --
YTD 2005 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 3) plus the sum of mortgage
loans (within Table 4) and non-Freddie Mac mortgage-related
securities (Agency and Non-Agency) (within Table 4).
(3) Total mortgage portfolio New Business Purchases (Table 1) is defined
as Retained Portfolio Purchases (Table 2) plus Total Guaranteed PC
and Structured Securities Issuances (Table 3) less PC Purchases Into
Retained Portfolio (Table 6).
(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 includes: (a) monthly purchase
commitments of mortgage-related securities for the Retained portfolio
offset by monthly sales commitments of mortgage-related securities
out of the Retained portfolio, (b) mortgage-related securities that
we expect to purchase pursuant to options written by us and held by
certain counterparties, and (c) the net amount of monthly mortgage
loan purchases and sales. In some instances, commitments may settle
during the same period in which we have entered into the related
commitment. Substantially all of these commitments are settled by
delivery of a mortgage-related security; the rest are net settled for
cash. For all periods presented, we have purchased all of the
mortgage-related securities associated with written options in
accordance with their contractual terms.
(7) We have reduced previously reported data for the month of May 2005 by
$100 million to correct an error related to certain agreements to
purchase multifamily mortgage loans.
(8) 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.
(9) Represents liquidations of all PCs and Structured Securities backed
by non-Freddie Mac mortgage-related securities and other credit
guarantees of mortgage loans held by third parties. Includes
prepayment activity and delinquent mortgage loans and balloon reset
mortgage loans purchased out of PC pools.
(10) Includes, as of November 30, 2005, (a) $6 billion that pertain to our
guarantee of the payment of principal and interest on (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 of single-family mortgage loans held by third parties
for which we provide a credit guarantee.
(11) Includes activity where we have resecuritized PCs and other
previously issued Structured Securities related to multi-class
Structured Securities, primarily REMICs as well as principal-only
stripped securities and other Structured Securities backed by non- Freddie Mac mortgage-related securities. These amounts exclude
resecuritizations of PCs into single-class securities.
(12) Represents guaranteed PCs and Structured Securities held by third
parties.
(13) Liquidations include prepayment activity and delinquent mortgage
loans and balloon reset mortgage loans purchased out of PC pools and
exclude liquidations on PCs and Structured Securities backed by non- Freddie Mac mortgage-related securities held in the Retained
portfolio.
(14) 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. 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.
(15) 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.
(16) Rounded to the nearest percent.
(17) Rounded to the nearest month.