MCLEAN, Va., Sept. 22 /PRNewswire-FirstCall/ -- The following is being issued by Freddie Mac :
Introductory Note:
We have completed the release of our 2003 financial results (see our Information Statement Supplement ("ISS") dated June 30, 2004, available on our website, http://www.freddiemac.com/investors, for additional information). When results for 2004 are released, we will provide certain updated balance information reflected within Tables 1 through 5 for 2004 on a quarterly basis. These changes are not expected to significantly affect the overall growth trend reported for the retained portfolio. We also intend to re-estimate and report certain Interest-Rate Risk Sensitivity Disclosures after the release of our 2004 results. Although these disclosures may change, portfolio market value sensitivities are not expected to change by more than 2 percentage points and duration gap is not expected to change by more than 1 month. Additional information concerning Interest-Rate Risk Sensitivity Disclosures can be found in our Information Statement dated February 27, 2004.
August 2004 Highlights: * Total mortgage portfolio grew at an annualized rate of 5.8% in August. * Retained portfolio increased at an annualized rate of 9.2% in August. * Retained portfolio purchases declined to $23.4 billion in August, from $28.7 billion in July. * Retained portfolio mortgage purchase agreements, net were $9.6 billion in August, down from $20.0 billion in July. * Total PCs Issued increased at an annualized rate of 1.4% in August. * Structured securitizations were $19.4 billion in August, down from $19.7 billion in July. * Single-family non-credit enhanced delinquency rate was 23 basis points in July, unchanged from the prior month. * Portfolio market value sensitivity (PMVS-L) averaged 2% in August, up 1% from July; Freddie Mac''s duration gap was zero months in August, unchanged from July.
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, Mailstop D40, McLean, VA 22102-3110.
TABLE 1 - TOTAL MORTGAGE PORTFOLIO (1,2) New Net Annualized Annualized Business Liquid- Increase/ Ending Growth Liquidation Purchases(3) ations(4) (Decrease) Balance Rate Rate(5) YTD 2003 834,864 (737,074) 97,790 1,414,399 7.4% 54.6% Jan 2004 $36,916 ($24,975) $11,941 $1,426,340 10.1% 20.9% Feb 33,808 (31,094) 2,714 1,429,054 2.3% 26.1% Mar 43,055 (40,486) 2,569 1,431,623 2.2% 33.9% Apr 48,299 (50,862) (2,563) 1,429,060 (2.1%) 42.0% May 50,671 (38,745) 11,926 1,440,986 10.0% 32.5% June 53,283 (33,617) 19,666 1,460,652 16.4% 28.0% July 44,758 (28,935) 15,823 1,476,475 13.0% 23.7% August 37,765 (30,678) 7,087 1,483,562 5.8% 23.9% YTD 2004 $348,555 ($279,392) $69,163 $1,483,562 7.3% 29.3% TABLE 2 - RETAINED PORTFOLIO (1,6) Retained Sales, net of Net Increase/ Purchases Other Activity(7) Liquidations (Decrease) YTD 2003 $388,066 ($55,649) ($254,223) $78,194 Jan 2004 $9,402 ($2,324) ($11,884) ($4,806) Feb 11,252 (1,172) (12,706) (2,626) Mar 17,361 (2,589) (16,211) (1,439) Apr 19,620 (4,216) (19,517) (4,113) May 21,856 (1,765) (17,678) 2,413 June 27,678 (1,687) (15,701) 10,290 July 28,657 (3,105) (14,395) 11,157 August 23,427 (4,056) (14,355) 5,016 YTD 2004 $159,253 ($20,914) ($122,447) $15,892 Annualized Mortgage Purchase Ending Annualized Liquidation Agreements, Balance Growth Rate Rate net(8,9) YTD 2003 $645,466 13.8% 44.8% N/A Jan 2004 $640,660 (8.9%) 22.1% $14,571 Feb 638,034 (4.9%) 23.8% 10,707 Mar 636,595 (2.7%) 30.5% 20,354 Apr 632,482 (7.8%) 36.8% 19,126 May 634,895 4.6% 33.5% 15,934 June 645,185 19.4% 29.7% 25,487 July 656,342 20.8% 26.8% 20,019 August 661,358 9.2% 26.2% 9,633 YTD 2004 $661,358 3.7% 28.5% $135,831 TABLE 3 - TOTAL PCs ISSUED (1) PC Net Ending Annualized Structured Issuances Liquid- Increase/ Balance Growth Securiti- (10,11) ations(12) (Decrease) (10,11) Rate zations(13) YTD 2003 $713,787 ($642,343) $71,444 $1,162,068 6.6% $298,118 Jan 2004 $31,653 ($19,570) $12,083 $1,174,151 12.5% $13,943 Feb 26,368 (26,583) (215) 1,173,936 (0.2%) 16,967 Mar 32,651 (34,996) (2,345) 1,171,591 (2.4%) 21,855 Apr 38,219 (43,050) (4,831) 1,166,760 (4.9%) 27,728 May 41,778 (31,208) 10,570 1,177,330 10.9% 16,740 June 39,022 (26,647) 12,375 1,189,705 12.6% 16,771 July 30,709 (21,592) 9,117 1,198,822 9.2% 19,652 August 23,461 (22,078) 1,383 1,200,205 1.4% 19,428 YTD 2004 $263,861 ($225,724) $38,137 $1,200,205 4.9% $153,084 TABLE 4 - RETAINED PORTFOLIO COMPONENTS (1) Non-Freddie Mac Retained Mortgage- Portfolio Freddie Related Mortgage Ending Mac PCs Securities Loans Balance YTD 2003 $393,135 $192,061 $60,270 $645,466 Jan 2004 $388,471 $191,807 $60,382 $640,660 Feb 382,916 194,603 60,515 638,034 Mar 376,563 199,213 60,819 636,595 Apr 370,182 201,408 60,892 632,482 May 371,239 202,950 60,706 634,895 June 374,238 210,632 60,315 645,185 July 378,689 217,105 60,548 656,342 August 378,001 222,205 61,152 661,358 YTD 2004 $378,001 $222,205 $61,152 $661,358 TABLE 5 - OUTSTANDING PCs (1,15) Total PCs Issued, net of Retained Portfolio PCs PC Purchases PC Sales (Beginning PC Into Retained From Retained Liquidations Balance) Issuances Portfolio(16) Portfolio (17) YTD 2003 $749,337 $713,787 ($266,989) $44,389 ($471,591) Jan 2004 $768,933 $31,653 ($4,139) $2,521 ($13,288) Feb 785,680 26,368 (3,812) 1,671 (18,887) Mar 791,020 32,651 (6,957) 3,008 (24,694) Apr 795,028 38,219 (9,540) 3,851 (30,980) May 796,578 41,778 (12,963) 2,061 (21,363) June 806,091 39,022 (13,417) 2,339 (18,568) July 815,467 30,709 (14,608) 3,419 (14,854) August 820,133 23,461 (9,123) 3,097 (15,364) YTD 2004 $768,933 $263,861 ($74,559) $21,967 ($157,998) Total PCs PCs and Annualized Issued, net Annualized Structured Growth of Retained Growth Securities in Rate on Portfolio Rate on Annualized the Cash and Outstand- PCs (Ending Total PCs Liquidation Investment Outstanding ing PCs Balance)(18) net(19) Rate(20) Portfolio(21) PCs(22) (23) YTD 2003 $768,933 2.6% 62.9% $16,769 $752,164 3.2% Jan 2004 $785,680 26.1% 20.0% $18,512 $767,168 23.9% Feb 791,020 8.2% 28.1% 17,252 773,768 10.3% Mar 795,028 6.1% 36.7% 20,672 774,356 0.9% Apr 796,578 2.3% 46.1% 17,609 778,969 7.1% May 806,091 14.3% 31.6% 17,121 788,970 15.4% June 815,467 14.0% 26.6% 21,052 794,415 8.3% July 820,133 6.9% 21.3% 20,614 799,519 7.7% August 822,204 3.0% 21.9% 21,867 800,337 1.2% YTD 2004 $822,204 10.4% 31.1% $21,867 $800,337 9.6% TABLE 6 - DELINQUENCIES Single-Family (90 days or more delinquent) Multifamily Non Credit Credit All (60 days or more Enhanced Enhanced Loans(24) delinquent) Dec 2003 0.27% 2.95% 0.86% 0.05% Jan 2004 0.27% 3.03% 0.87% 0.05% Feb 0.27% 3.00% 0.86% 0.07% Mar 0.25% 2.97% 0.83% 0.06% Apr 0.24% 2.77% 0.78% 0.06% May 0.23% 2.78% 0.77% 0.06% June 0.23% 2.67% 0.74% 0.05% July 0.23% 2.67% 0.74% 0.05% TABLE 7 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES (25) Portfolio Market Portfolio Market Value Level Value Yield Curve Duration Gap (PMVS-L) (50 bp)(26) (PMVS-YC) (25 bp)(26) (in months)(27) Monthly Quarterly Monthly Quarterly Monthly Quarterly Average Average Average Average Average Average Jan 2004 3% -- 0% -- 0 -- Feb 3% -- 0% -- 0 -- Mar 3% 3% 0% 0% 0 0 Apr 2% -- 0% -- 0 -- May 1% -- 0% -- 0 -- June 1% 1% 0% 0% 0 0 July 1% -- 0% -- 0 -- August 2% -- 0% -- 0 -- YTD 2004 2% -- 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 PCs issued (Table 3) plus the sum of mortgage loans (within Table 4) and non- Freddie Mac mortgage-related securities (within Table 4). (3) Total Mortgage Portfolio New Business Purchases (Table 1) is defined as Retained Portfolio Purchases (Table 2) plus PC Issuances (Table 3) less PC Purchases Into Retained Portfolio (Table 5). (4) Includes sales of non-Freddie Mac mortgage-related securities. (5) The calculation of annualized liquidation rates for the total mortgage portfolio excludes the effect of sales of non-Freddie Mac mortgage-related securities. (6) Excludes mortgage-related securities held in connection with our PC market-making and support activities, which are reflected in the "Investments" caption on the consolidated balance sheets. (7) Includes a reduction in the retained portfolio for mortgage-related securities that have been sold net of additions to the portfolio for delinquent mortgage loans and balloon reset mortgage loans that have been purchased out of PC pools. (8) Mortgage Purchase Agreements, net includes: i) 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, ii) mortgage-related securities that we expect to purchase pursuant to options written by us and held by certain counterparties, and iii) 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. Monthly mortgage loan purchases and sales are presented based upon settlement date as opposed to trade date due to data constraints. (9) We did not recalculate Mortgage Purchase Agreements, net as part of our 2003 financial results process and therefore that data is not available for 2003. (10) Represents (a) PCs, (b) Structured Securities backed by non-Freddie Mac mortgage-related securities and (c) other credit guarantees (as described in endnote 14b and 14c below). (11) Total PCs issued and Structured Securities exclude 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 Conduit (REMIC) and principal-only strips. The notional balance of interest-only strips is 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 "Resecuritization" can be found in our Information Statement dated February 27, 2004. (12) 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. (13) 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. (14) Includes, as of August 31, 2004, a) $4 billion of Structured Securities backed by GNMA Certificates; b) $6 billion that pertain to our guarantee of the payment of P&I on tax exempt multifamily housing revenue bonds issued by third parties and multifamily mortgage loans that are originated and held by state and municipal agencies to support tax exempt multifamily housing revenue bonds and c) $2 billion of single family mortgage loans held by third parties. (15) Represents (a) PCs, (b) Structured Securities backed by non-Freddie Mac mortgage-related securities and (c) other credit guarantees (as described in endnote 14b and 14c above) held by third parties. (16) Excludes Freddie Mac securities purchased in connection with PC market making and support activities, which are reflected in the "Investment" caption on our consolidated balance sheet. (17) 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. (18) Total PCs Issued, net of Retained Portfolio PCs represents Total PCs (as defined in endnote 10) less Freddie Mac PCs and Structured Securities backed by non-Freddie Mac mortgage-related securities held in the retained portfolio. (19) Calculated based on the ending balance of Total PCs Issued, net of Retained Portfolio PCs. (20) Liquidation rate is calculated based on liquidations due to prepayment activity as a percentage of Total PCs Issued, net of Retained Portfolio PCs. The liquidation rate excludes liquidations due to the purchase out of PC pools of delinquent loans and balloon reset mortgages. (21) Represents the ending balance of PCs and Structured Securities backed by non-Freddie Mac mortgage-related securities held in connection with our PC market-making and support activities which are reflected in the "Investment" caption on our consolidated balance sheet. (22) Represents the ending balance of PCs and Structured Securities backed by non-Freddie Mac mortgage-related securities held by third parties. (23) Calculated based on the ending balance of Outstanding PCs. (24) Includes delinquencies on mortgage loans where Freddie Mac has transferred primary or full default risk to various third parties, as well as Structured Securities backed by alternative collateral deals. 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, these 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. (25) Methodologies employed to calculate Interest-Rate Risk Sensitivity Disclosures are regularly changed on a prospective basis to reflect improvements in underlying estimation processes. (26) Rounded to the nearest percent. (27) Rounded to the nearest month.
Freddie Mac
Introductory Note:
We have completed the release of our 2003 financial results (see our Information Statement Supplement ("ISS") dated June 30, 2004, available on our website, http://www.freddiemac.com/investors, for additional information). When results for 2004 are released, we will provide certain updated balance information reflected within Tables 1 through 5 for 2004 on a quarterly basis. These changes are not expected to significantly affect the overall growth trend reported for the retained portfolio. We also intend to re-estimate and report certain Interest-Rate Risk Sensitivity Disclosures after the release of our 2004 results. Although these disclosures may change, portfolio market value sensitivities are not expected to change by more than 2 percentage points and duration gap is not expected to change by more than 1 month. Additional information concerning Interest-Rate Risk Sensitivity Disclosures can be found in our Information Statement dated February 27, 2004.
August 2004 Highlights: * Total mortgage portfolio grew at an annualized rate of 5.8% in August. * Retained portfolio increased at an annualized rate of 9.2% in August. * Retained portfolio purchases declined to $23.4 billion in August, from $28.7 billion in July. * Retained portfolio mortgage purchase agreements, net were $9.6 billion in August, down from $20.0 billion in July. * Total PCs Issued increased at an annualized rate of 1.4% in August. * Structured securitizations were $19.4 billion in August, down from $19.7 billion in July. * Single-family non-credit enhanced delinquency rate was 23 basis points in July, unchanged from the prior month. * Portfolio market value sensitivity (PMVS-L) averaged 2% in August, up 1% from July; Freddie Mac''s duration gap was zero months in August, unchanged from July.
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, Mailstop D40, McLean, VA 22102-3110.
TABLE 1 - TOTAL MORTGAGE PORTFOLIO (1,2) New Net Annualized Annualized Business Liquid- Increase/ Ending Growth Liquidation Purchases(3) ations(4) (Decrease) Balance Rate Rate(5) YTD 2003 834,864 (737,074) 97,790 1,414,399 7.4% 54.6% Jan 2004 $36,916 ($24,975) $11,941 $1,426,340 10.1% 20.9% Feb 33,808 (31,094) 2,714 1,429,054 2.3% 26.1% Mar 43,055 (40,486) 2,569 1,431,623 2.2% 33.9% Apr 48,299 (50,862) (2,563) 1,429,060 (2.1%) 42.0% May 50,671 (38,745) 11,926 1,440,986 10.0% 32.5% June 53,283 (33,617) 19,666 1,460,652 16.4% 28.0% July 44,758 (28,935) 15,823 1,476,475 13.0% 23.7% August 37,765 (30,678) 7,087 1,483,562 5.8% 23.9% YTD 2004 $348,555 ($279,392) $69,163 $1,483,562 7.3% 29.3% TABLE 2 - RETAINED PORTFOLIO (1,6) Retained Sales, net of Net Increase/ Purchases Other Activity(7) Liquidations (Decrease) YTD 2003 $388,066 ($55,649) ($254,223) $78,194 Jan 2004 $9,402 ($2,324) ($11,884) ($4,806) Feb 11,252 (1,172) (12,706) (2,626) Mar 17,361 (2,589) (16,211) (1,439) Apr 19,620 (4,216) (19,517) (4,113) May 21,856 (1,765) (17,678) 2,413 June 27,678 (1,687) (15,701) 10,290 July 28,657 (3,105) (14,395) 11,157 August 23,427 (4,056) (14,355) 5,016 YTD 2004 $159,253 ($20,914) ($122,447) $15,892 Annualized Mortgage Purchase Ending Annualized Liquidation Agreements, Balance Growth Rate Rate net(8,9) YTD 2003 $645,466 13.8% 44.8% N/A Jan 2004 $640,660 (8.9%) 22.1% $14,571 Feb 638,034 (4.9%) 23.8% 10,707 Mar 636,595 (2.7%) 30.5% 20,354 Apr 632,482 (7.8%) 36.8% 19,126 May 634,895 4.6% 33.5% 15,934 June 645,185 19.4% 29.7% 25,487 July 656,342 20.8% 26.8% 20,019 August 661,358 9.2% 26.2% 9,633 YTD 2004 $661,358 3.7% 28.5% $135,831 TABLE 3 - TOTAL PCs ISSUED (1) PC Net Ending Annualized Structured Issuances Liquid- Increase/ Balance Growth Securiti- (10,11) ations(12) (Decrease) (10,11) Rate zations(13) YTD 2003 $713,787 ($642,343) $71,444 $1,162,068 6.6% $298,118 Jan 2004 $31,653 ($19,570) $12,083 $1,174,151 12.5% $13,943 Feb 26,368 (26,583) (215) 1,173,936 (0.2%) 16,967 Mar 32,651 (34,996) (2,345) 1,171,591 (2.4%) 21,855 Apr 38,219 (43,050) (4,831) 1,166,760 (4.9%) 27,728 May 41,778 (31,208) 10,570 1,177,330 10.9% 16,740 June 39,022 (26,647) 12,375 1,189,705 12.6% 16,771 July 30,709 (21,592) 9,117 1,198,822 9.2% 19,652 August 23,461 (22,078) 1,383 1,200,205 1.4% 19,428 YTD 2004 $263,861 ($225,724) $38,137 $1,200,205 4.9% $153,084 TABLE 4 - RETAINED PORTFOLIO COMPONENTS (1) Non-Freddie Mac Retained Mortgage- Portfolio Freddie Related Mortgage Ending Mac PCs Securities Loans Balance YTD 2003 $393,135 $192,061 $60,270 $645,466 Jan 2004 $388,471 $191,807 $60,382 $640,660 Feb 382,916 194,603 60,515 638,034 Mar 376,563 199,213 60,819 636,595 Apr 370,182 201,408 60,892 632,482 May 371,239 202,950 60,706 634,895 June 374,238 210,632 60,315 645,185 July 378,689 217,105 60,548 656,342 August 378,001 222,205 61,152 661,358 YTD 2004 $378,001 $222,205 $61,152 $661,358 TABLE 5 - OUTSTANDING PCs (1,15) Total PCs Issued, net of Retained Portfolio PCs PC Purchases PC Sales (Beginning PC Into Retained From Retained Liquidations Balance) Issuances Portfolio(16) Portfolio (17) YTD 2003 $749,337 $713,787 ($266,989) $44,389 ($471,591) Jan 2004 $768,933 $31,653 ($4,139) $2,521 ($13,288) Feb 785,680 26,368 (3,812) 1,671 (18,887) Mar 791,020 32,651 (6,957) 3,008 (24,694) Apr 795,028 38,219 (9,540) 3,851 (30,980) May 796,578 41,778 (12,963) 2,061 (21,363) June 806,091 39,022 (13,417) 2,339 (18,568) July 815,467 30,709 (14,608) 3,419 (14,854) August 820,133 23,461 (9,123) 3,097 (15,364) YTD 2004 $768,933 $263,861 ($74,559) $21,967 ($157,998) Total PCs PCs and Annualized Issued, net Annualized Structured Growth of Retained Growth Securities in Rate on Portfolio Rate on Annualized the Cash and Outstand- PCs (Ending Total PCs Liquidation Investment Outstanding ing PCs Balance)(18) net(19) Rate(20) Portfolio(21) PCs(22) (23) YTD 2003 $768,933 2.6% 62.9% $16,769 $752,164 3.2% Jan 2004 $785,680 26.1% 20.0% $18,512 $767,168 23.9% Feb 791,020 8.2% 28.1% 17,252 773,768 10.3% Mar 795,028 6.1% 36.7% 20,672 774,356 0.9% Apr 796,578 2.3% 46.1% 17,609 778,969 7.1% May 806,091 14.3% 31.6% 17,121 788,970 15.4% June 815,467 14.0% 26.6% 21,052 794,415 8.3% July 820,133 6.9% 21.3% 20,614 799,519 7.7% August 822,204 3.0% 21.9% 21,867 800,337 1.2% YTD 2004 $822,204 10.4% 31.1% $21,867 $800,337 9.6% TABLE 6 - DELINQUENCIES Single-Family (90 days or more delinquent) Multifamily Non Credit Credit All (60 days or more Enhanced Enhanced Loans(24) delinquent) Dec 2003 0.27% 2.95% 0.86% 0.05% Jan 2004 0.27% 3.03% 0.87% 0.05% Feb 0.27% 3.00% 0.86% 0.07% Mar 0.25% 2.97% 0.83% 0.06% Apr 0.24% 2.77% 0.78% 0.06% May 0.23% 2.78% 0.77% 0.06% June 0.23% 2.67% 0.74% 0.05% July 0.23% 2.67% 0.74% 0.05% TABLE 7 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES (25) Portfolio Market Portfolio Market Value Level Value Yield Curve Duration Gap (PMVS-L) (50 bp)(26) (PMVS-YC) (25 bp)(26) (in months)(27) Monthly Quarterly Monthly Quarterly Monthly Quarterly Average Average Average Average Average Average Jan 2004 3% -- 0% -- 0 -- Feb 3% -- 0% -- 0 -- Mar 3% 3% 0% 0% 0 0 Apr 2% -- 0% -- 0 -- May 1% -- 0% -- 0 -- June 1% 1% 0% 0% 0 0 July 1% -- 0% -- 0 -- August 2% -- 0% -- 0 -- YTD 2004 2% -- 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 PCs issued (Table 3) plus the sum of mortgage loans (within Table 4) and non- Freddie Mac mortgage-related securities (within Table 4). (3) Total Mortgage Portfolio New Business Purchases (Table 1) is defined as Retained Portfolio Purchases (Table 2) plus PC Issuances (Table 3) less PC Purchases Into Retained Portfolio (Table 5). (4) Includes sales of non-Freddie Mac mortgage-related securities. (5) The calculation of annualized liquidation rates for the total mortgage portfolio excludes the effect of sales of non-Freddie Mac mortgage-related securities. (6) Excludes mortgage-related securities held in connection with our PC market-making and support activities, which are reflected in the "Investments" caption on the consolidated balance sheets. (7) Includes a reduction in the retained portfolio for mortgage-related securities that have been sold net of additions to the portfolio for delinquent mortgage loans and balloon reset mortgage loans that have been purchased out of PC pools. (8) Mortgage Purchase Agreements, net includes: i) 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, ii) mortgage-related securities that we expect to purchase pursuant to options written by us and held by certain counterparties, and iii) 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. Monthly mortgage loan purchases and sales are presented based upon settlement date as opposed to trade date due to data constraints. (9) We did not recalculate Mortgage Purchase Agreements, net as part of our 2003 financial results process and therefore that data is not available for 2003. (10) Represents (a) PCs, (b) Structured Securities backed by non-Freddie Mac mortgage-related securities and (c) other credit guarantees (as described in endnote 14b and 14c below). (11) Total PCs issued and Structured Securities exclude 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 Conduit (REMIC) and principal-only strips. The notional balance of interest-only strips is 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 "Resecuritization" can be found in our Information Statement dated February 27, 2004. (12) 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. (13) 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. (14) Includes, as of August 31, 2004, a) $4 billion of Structured Securities backed by GNMA Certificates; b) $6 billion that pertain to our guarantee of the payment of P&I on tax exempt multifamily housing revenue bonds issued by third parties and multifamily mortgage loans that are originated and held by state and municipal agencies to support tax exempt multifamily housing revenue bonds and c) $2 billion of single family mortgage loans held by third parties. (15) Represents (a) PCs, (b) Structured Securities backed by non-Freddie Mac mortgage-related securities and (c) other credit guarantees (as described in endnote 14b and 14c above) held by third parties. (16) Excludes Freddie Mac securities purchased in connection with PC market making and support activities, which are reflected in the "Investment" caption on our consolidated balance sheet. (17) 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. (18) Total PCs Issued, net of Retained Portfolio PCs represents Total PCs (as defined in endnote 10) less Freddie Mac PCs and Structured Securities backed by non-Freddie Mac mortgage-related securities held in the retained portfolio. (19) Calculated based on the ending balance of Total PCs Issued, net of Retained Portfolio PCs. (20) Liquidation rate is calculated based on liquidations due to prepayment activity as a percentage of Total PCs Issued, net of Retained Portfolio PCs. The liquidation rate excludes liquidations due to the purchase out of PC pools of delinquent loans and balloon reset mortgages. (21) Represents the ending balance of PCs and Structured Securities backed by non-Freddie Mac mortgage-related securities held in connection with our PC market-making and support activities which are reflected in the "Investment" caption on our consolidated balance sheet. (22) Represents the ending balance of PCs and Structured Securities backed by non-Freddie Mac mortgage-related securities held by third parties. (23) Calculated based on the ending balance of Outstanding PCs. (24) Includes delinquencies on mortgage loans where Freddie Mac has transferred primary or full default risk to various third parties, as well as Structured Securities backed by alternative collateral deals. 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, these 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. (25) Methodologies employed to calculate Interest-Rate Risk Sensitivity Disclosures are regularly changed on a prospective basis to reflect improvements in underlying estimation processes. (26) Rounded to the nearest percent. (27) Rounded to the nearest month.
Freddie Mac
