Attached files
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| 8-K - 8-K - FEDERAL HOME LOAN MORTGAGE CORP | mvs-may2015x8xk.htm |
 | Monthly Volume Summary: May 2015 (unaudited & subject to change) (dollars in millions) | ||||||||||||||||||||||||||||||||
May 2015 Highlights: • The total mortgage portfolio increased at an annualized rate of 2.2% in May. • Single-family refinance-loan purchase and guarantee volume was $20.1 billion in May representing 61% of total single-family mortgage portfolio purchases or issuances. Relief refinance mortgages comprised approximately 10% of our total single-family refinance volume during May. • Total number of loan modifications were 5,490 in May and 25,417 for the five months ended May 31, 2015. • The aggregate unpaid principal balance (UPB) of our mortgage-related investments portfolio decreased by approximately $9.8 billion in May. • Freddie Mac mortgage-related securities and other guarantee commitments increased at an annualized rate of 6.5% in May. • Our single-family serious delinquency rate decreased from 1.66% in April to 1.58% in May. Our multifamily delinquency rate decreased from 0.03% in April to 0.01% in May. • The measure of our exposure to changes in portfolio market value (PMVS-L) averaged $66 million in May. Duration gap averaged 0 months. • On September 6, 2008, the Director of the Federal Housing Finance Agency (FHFA) appointed FHFA as Conservator of Freddie Mac. | |||||||||||||||||||||||||||||||||
TABLE 1 - TOTAL MORTGAGE PORTFOLIO | |||||||||||||||||||||||||||||||||
Purchases or Issuances | Sales | Liquidations | Net Increase/ (Decrease) | Ending Balance | Annualized Growth Rate | Annualized Liquidation Rate | |||||||||||||||||||||||||||
May 2014 | $19,569 | ($1,322) | ($21,549) | ($3,302) | $1,895,475 | (2.1 | %) | 13.6 | % | ||||||||||||||||||||||||
Jun | 24,604 | (1,631) | (23,129) | (156) | 1,895,319 | (0.1 | %) | 14.6 | % | ||||||||||||||||||||||||
Jul | 25,375 | (1,132) | (24,065) | 178 | 1,895,497 | 0.1 | % | 15.2 | % | ||||||||||||||||||||||||
Aug | 29,722 | (2,955) | (27,447) | (680) | 1,894,817 | (0.4 | %) | 17.4 | % | ||||||||||||||||||||||||
Sep | 29,691 | (2,284) | (23,881) | 3,526 | 1,898,343 | 2.2 | % | 15.1 | % | ||||||||||||||||||||||||
Oct | 28,761 | (1,324) | (23,433) | 4,004 | 1,902,347 | 2.5 | % | 14.8 | % | ||||||||||||||||||||||||
Nov | 29,455 | (5,346) | (23,495) | 614 | 1,902,961 | 0.4 | % | 14.8 | % | ||||||||||||||||||||||||
Dec | 31,917 | (564) | (24,208) | 7,145 | 1,910,106 | 4.5 | % | 15.3 | % | ||||||||||||||||||||||||
Full-Year 2014 | 291,397 | (24,203) | (271,749) | (4,555) | 1,910,106 | (0.2 | %) | 14.2 | % | ||||||||||||||||||||||||
Jan 2015 | 25,310 | (1,481) | (25,141) | (1,312) | 1,908,794 | (0.8 | %) | 15.8 | % | ||||||||||||||||||||||||
Feb | 34,104 | (1,913) | (27,744) | 4,447 | 1,913,241 | 2.8 | % | 17.4 | % | ||||||||||||||||||||||||
Mar | 31,406 | (1,906) | (28,039) | 1,461 | 1,914,702 | 0.9 | % | 17.6 | % | ||||||||||||||||||||||||
Apr | 36,480 | (1,556) | (33,661) | 1,263 | 1,915,965 | 0.8 | % | 21.1 | % | ||||||||||||||||||||||||
May | 37,375 | (3,856) | (30,022) | 3,497 | 1,919,462 | 2.2 | % | 18.8 | % | ||||||||||||||||||||||||
YTD 2015 | $164,675 | ($10,712) | ($144,607) | $9,356 | $1,919,462 | 1.2 | % | 18.2 | % | ||||||||||||||||||||||||
TABLE 2 - MORTGAGE-RELATED INVESTMENTS PORTFOLIO | TABLE 3 - MORTGAGE-RELATED INVESTMENTS PORTFOLIO COMPONENTS | ||||||||||||||||||||||||||||||||
Purchases 1 | Sales | Liquidations | Ending Balance | Annualized Growth Rate | Annualized Liquidation Rate | Mortgage Purchase Agreements | Mortgage Sale Agreements | Net Purchase (Sale) Agreements 2 | Freddie Mac Mortgage-Related Securities | Non-Freddie Mac Mortgage-Related Securities | Mortgage Loans | Ending Balance | |||||||||||||||||||||
Agency | Non-Agency | ||||||||||||||||||||||||||||||||
May 2014 | $12,528 | ($12,655) | ($5,964) | $422,443 | (17.1 | %) | 16.7 | % | $24,123 | ($21,099) | $3,024 | May 2014 | $155,375 | $15,544 | $82,449 | $169,075 | $422,443 | ||||||||||||||||
Jun | 16,516 | (12,929) | (6,150) | 419,880 | (7.3 | %) | 17.5 | % | 22,119 | (21,025) | 1,094 | Jun | 155,162 | 15,580 | 80,053 | 169,085 | 419,880 | ||||||||||||||||
Jul | 13,150 | (9,562) | (5,950) | 417,518 | (6.8 | %) | 17.0 | % | 26,886 | (22,048) | 4,838 | Jul | 155,484 | 15,538 | 77,992 | 168,504 | 417,518 | ||||||||||||||||
Aug | 18,723 | (12,792) | (5,708) | 417,741 | 0.6 | % | 16.4 | % | 33,932 | (30,793) | 3,139 | Aug | 161,929 | 15,364 | 74,808 | 165,640 | 417,741 | ||||||||||||||||
Sep | 17,216 | (15,459) | (5,888) | 413,610 | (11.9 | %) | 16.9 | % | 31,965 | (33,533) | (1,568) | Sep | 161,698 | 15,691 | 71,799 | 164,422 | 413,610 | ||||||||||||||||
Oct | 14,649 | (15,337) | (6,138) | 406,784 | (19.8 | %) | 17.8 | % | 28,027 | (24,482) | 3,545 | Oct | 157,703 | 15,623 | 69,663 | 163,795 | 406,784 | ||||||||||||||||
Nov | 17,931 | (17,316) | (5,358) | 402,041 | (14.0 | %) | 15.8 | % | 23,708 | (22,668) | 1,040 | Nov | 157,744 | 15,895 | 67,122 | 161,280 | 402,041 | ||||||||||||||||
Dec | 22,532 | (10,028) | (6,131) | 408,414 | 19.0 | % | 18.3 | % | 27,540 | (21,018) | 6,522 | Dec | 161,541 | 16,353 | 66,048 | 164,472 | 408,414 | ||||||||||||||||
Full-Year 2014 | 171,048 | (153,358) | (70,300) | 408,414 | (11.4 | %) | 15.2 | % | 281,401 | (271,879) | 9,522 | Full-Year 2014 | 161,541 | 16,353 | 66,048 | 164,472 | 408,414 | ||||||||||||||||
Jan 2015 | 14,210 | (9,722) | (5,501) | 407,401 | (3.0 | %) | 16.2 | % | 41,150 | (38,220) | 2,930 | Jan 2015 | 163,447 | 15,964 | 63,915 | 164,075 | 407,401 | ||||||||||||||||
Feb | 15,339 | (13,851) | (4,717) | 404,172 | (9.5 | %) | 13.9 | % | 36,111 | (30,552) | 5,559 | Feb | 161,545 | 15,952 | 61,140 | 165,535 | 404,172 | ||||||||||||||||
Mar | 21,480 | (14,732) | (5,328) | 405,592 | 4.2 | % | 15.8 | % | 39,126 | (38,562) | 564 | Mar | 164,501 | 15,877 | 59,069 | 166,145 | 405,592 | ||||||||||||||||
Apr | 19,548 | (19,867) | (5,928) | 399,345 | (18.5 | %) | 17.5 | % | 39,765 | (42,925) | (3,160) | Apr | 162,786 | 15,489 | 56,852 | 164,218 | 399,345 | ||||||||||||||||
May | 19,861 | (23,935) | (5,742) | 389,529 | (29.5 | %) | 17.3 | % | 35,438 | (42,773) | (7,335) | May | 158,514 | 14,824 | 54,374 | 161,817 | 389,529 | ||||||||||||||||
YTD 2015 | $90,438 | ($82,107) | ($27,216) | $389,529 | (11.1 | %) | 16.0 | % | $191,590 | ($193,032) | ($1,442) | YTD 2015 | $158,514 | $14,824 | $54,374 | $161,817 | $389,529 | ||||||||||||||||
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See Endnotes and Additional Information on Pages 2 and 3. | |||||||||||||||||||||||||||||||||
TABLE 4 - FREDDIE MAC MORTGAGE-RELATED SECURITIES AND OTHER GUARANTEE COMMITMENTS | TABLE 5 - OTHER DEBT ACTIVITIES | |||||||||||||||||||||||||||||||||||||||
Original Maturity ≤ 1 Year | Original Maturity > 1 Year | |||||||||||||||||||||||||||||||||||||||
Issuances | Liquidations | Net Increase/ (Decrease) | Ending Balance | Annualized Growth Rate | Annualized Liquidation Rate | Ending Balance | Issuances | Maturities and Redemptions | Repurchases | Ending Balance | Total Debt Outstanding | |||||||||||||||||||||||||||||
May 2014 | $19,867 | ($18,661) | $1,206 | $1,628,407 | 0.9 | % | 13.8 | % | May 2014 | $108,461 | $5,890 | ($3,068) | ($4) | $336,143 | $444,604 | |||||||||||||||||||||||||
Jun | 22,160 | (19,966) | 2,194 | 1,630,601 | 1.6 | % | 14.7 | % | Jun | 110,326 | 6,493 | (2,555) | (1,175) | 338,906 | 449,232 | |||||||||||||||||||||||||
Jul | 24,017 | (21,155) | 2,862 | 1,633,463 | 2.1 | % | 15.6 | % | Jul | 118,042 | 7,590 | (15,383) | (218) | 330,895 | 448,937 | |||||||||||||||||||||||||
Aug | 30,242 | (24,700) | 5,542 | 1,639,005 | 4.1 | % | 18.1 | % | Aug | 121,358 | 9,165 | (13,365) | (1,000) | 325,695 | 447,053 | |||||||||||||||||||||||||
Sep | 28,405 | (20,979) | 7,426 | 1,646,431 | 5.4 | % | 15.4 | % | Sep | 111,857 | 5,975 | (3,439) | (554) | 327,677 | 439,534 | |||||||||||||||||||||||||
Oct | 27,013 | (20,178) | 6,835 | 1,653,266 | 5.0 | % | 14.7 | % | Oct | 115,492 | 5,423 | (8,980) | - | 324,120 | 439,612 | |||||||||||||||||||||||||
Nov | 26,402 | (21,004) | 5,398 | 1,658,664 | 3.9 | % | 15.2 | % | Nov | 117,765 | 12,548 | (14,944) | (4) | 321,720 | 439,485 | |||||||||||||||||||||||||
Dec | 25,269 | (20,700) | 4,569 | 1,663,233 | 3.3 | % | 15.0 | % | Dec | 134,670 | 12,645 | (15,004) | (2) | 319,359 | 454,029 | |||||||||||||||||||||||||
Full-Year 2014 | 279,533 | (237,971) | 41,562 | 1,663,233 | 2.6 | % | 14.7 | % | Full-Year 2014 | 134,670 | 92,640 | (138,853) | (4,006) | 319,359 | 454,029 | |||||||||||||||||||||||||
Jan 2015 | 24,235 | (22,628) | 1,607 | 1,664,840 | 1.2 | % | 16.3 | % | Jan 2015 | 123,290 | 20,481 | (8,600) | - | 331,240 | 454,530 | |||||||||||||||||||||||||
Feb | 31,430 | (25,656) | 5,774 | 1,670,614 | 4.2 | % | 18.5 | % | Feb | 109,350 | 10,322 | (9,449) | - | 332,113 | 441,463 | |||||||||||||||||||||||||
Mar | 28,602 | (25,605) | 2,997 | 1,673,611 | 2.2 | % | 18.4 | % | Mar | 116,389 | 10,110 | (7,875) | - | 334,348 | 450,737 | |||||||||||||||||||||||||
Apr | 36,640 | (30,845) | 5,795 | 1,679,406 | 4.2 | % | 22.1 | % | Apr | 105,213 | 12,300 | (15,677) | - | 330,971 | 436,184 | |||||||||||||||||||||||||
May | 36,186 | (27,145) | 9,041 | 1,688,447 | 6.5 | % | 19.4 | % | May | 96,988 | 18,913 | (16,915) | (54) | 332,915 | 429,903 | |||||||||||||||||||||||||
YTD 2015 | $157,093 | ($131,879) | $25,214 | $1,688,447 | 3.6 | % | 19.0 | % | YTD 2015 | $96,988 | $72,126 | ($58,516) | ($54) | $332,915 | $429,903 | |||||||||||||||||||||||||
TABLE 6 - DELINQUENCIES - TOTAL | TABLE 7 - OTHER INVESTMENTS | TABLE 8 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES | ||||||||||||||||||||||||||||||||||||||
Single-Family | Multifamily | Portfolio Market Value- Level (PMVS-L) (50 bp) (dollars in millions) | Portfolio Market Value- Yield Curve (PMVS-YC) (25 bp) (dollars in millions) | Duration Gap (Rounded to Nearest Month) | ||||||||||||||||||||||||||||||||||||
Credit Enhanced | ||||||||||||||||||||||||||||||||||||||||
Non-Credit Enhanced | Primary Mortgage Insurance | Other | Total | Total | Ending Balance | Monthly Average | Quarterly Average | Monthly Average | Quarterly Average | Monthly Average | Quarterly Average | |||||||||||||||||||||||||||||
May 2014 | 1.91 | % | 3.62 | % | 2.10 | % | 2.10 | % | 0.06 | % | May 2014 | $42,073 | May 2014 | $38 | -- | $7 | -- | 0 | -- | |||||||||||||||||||||
Jun | 1.88 | % | 3.53 | % | 2.05 | % | 2.07 | % | 0.02 | % | Jun | 47,138 | Jun | 95 | 52 | 45 | 20 | 0 | 0 | |||||||||||||||||||||
Jul | 1.84 | % | 3.42 | % | 2.01 | % | 2.02 | % | 0.05 | % | Jul | 48,710 | Jul | 26 | -- | 16 | -- | 0 | -- | |||||||||||||||||||||
Aug | 1.82 | % | 3.36 | % | 1.68 | % | 1.98 | % | 0.04 | % | Aug | 46,055 | Aug | 23 | -- | 22 | -- | 0 | -- | |||||||||||||||||||||
Sep | 1.80 | % | 3.28 | % | 1.41 | % | 1.96 | % | 0.03 | % | Sep | 42,924 | Sep | 55 | 35 | 17 | 18 | 0 | 0 | |||||||||||||||||||||
Oct | 1.77 | % | 3.18 | % | 1.22 | % | 1.91 | % | 0.03 | % | Oct | 47,966 | Oct | 93 | -- | 12 | -- | 0 | -- | |||||||||||||||||||||
Nov | 1.78 | % | 3.17 | % | 1.22 | % | 1.91 | % | 0.03 | % | Nov | 51,686 | Nov | 127 | -- | 4 | -- | 0 | -- | |||||||||||||||||||||
Dec | 1.74 | % | 3.10 | % | 1.21 | % | 1.88 | % | 0.04 | % | Dec | 56,009 | Dec | 99 | 105 | 5 | 7 | 0 | 0 | |||||||||||||||||||||
Full-Year 2014 | 56,009 | Full-Year 2014 | 69 | -- | 14 | -- | 0 | -- | ||||||||||||||||||||||||||||||||
Jan 2015 | 1.73 | % | 3.03 | % | 1.21 | % | 1.86 | % | 0.03 | % | Jan 2015 | 55,115 | Jan 2015 | 122 | -- | 24 | -- | 0 | -- | |||||||||||||||||||||
Feb | 1.71 | % | 2.93 | % | 1.06 | % | 1.81 | % | 0.03 | % | Feb | 48,166 | Feb | 146 | -- | 31 | -- | 0 | -- | |||||||||||||||||||||
Mar | 1.62 | % | 2.79 | % | 0.96 | % | 1.73 | % | 0.03 | % | Mar | 52,387 | Mar | 105 | 123 | 29 | 28 | 0 | 0 | |||||||||||||||||||||
Apr | 1.59 | % | 2.67 | % | 0.83 | % | 1.66 | % | 0.03 | % | Apr | 43,972 | Apr | 90 | -- | 27 | -- | 0 | -- | |||||||||||||||||||||
May | 1.50 | % | 2.58 | % | 0.82 | % | 1.58 | % | 0.01 | % | May | 47,174 | May | 66 | -- | 16 | -- | 0 | -- | |||||||||||||||||||||
YTD 2015 | $47,174 | YTD 2015 | $105 | -- | $25 | -- | 0 | -- | ||||||||||||||||||||||||||||||||
ENDNOTES
1. | Purchases of Freddie Mac mortgage-related securities into the mortgage-related investments portfolio totaled $4.1 billion (based on UPB) during May 2015. |
2. | As of May 31, 2015, we had net unsettled purchase (sale) agreements of approximately ($4.4) billion. The ending balance of our mortgage-related investments portfolio as of May 31, 2015 after giving effect to these unsettled agreements and assuming we did not enter into any other purchase (sale) agreements after May 31, 2015 would have been $385 billion. |
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, MS D5F, McLean, VA 22102-3110 or sending an email to shareholder@freddiemac.com. |
See Additional Information on Page 3. Page 2 of 3
ADDITIONAL INFORMATION
General
The activity and balances set forth in Tables 1, 2, 3, 4 and 7 represent unpaid principal balances (UPB), and do not include market valuation adjustments, allowance for loan losses and security impairments, unamortized premiums and discounts, and the impact of consolidation of variable interest entities. In addition, all activity and balances in these tables (except for Mortgage Purchase Agreements and Mortgage Sale Agreements in Table 2) are presented on a settlement date basis (i.e., exclude amounts that are traded but not yet settled).
Table 1
Represents the sum of Freddie Mac mortgage-related securities and other guarantee commitments (Table 4), mortgage loans (Table 3), and non-Freddie Mac mortgage-related securities (agency and non-agency) (Table 3).
Purchases or Issuances. Includes cash purchases of single-family and multifamily mortgage loans, issuances of Freddie Mac mortgage-related securities through our guarantor swap program, issuances of other guarantee commitments, issuances of other structured securities and purchases of non-Freddie Mac mortgage-related securities.
Sales. Includes sales of non-Freddie Mac mortgage-related securities and sales of mortgage loans.
Table 2
Represents mortgage loans and mortgage-related securities held by Freddie Mac. Mortgage-related securities balances reflect security balances and not the balance of underlying mortgage loan collateral.
Purchases. Includes cash purchases of single-family and multifamily mortgage loans, purchases of Freddie Mac and non-Freddie Mac mortgage-related securities from third parties, and additions for seriously delinquent, modified, and balloon/reset mortgage loans purchased out of PC pools.
Sales. Includes sales of Freddie Mac mortgage-related securities (including sales to third parties from the securitization of single-family and multifamily mortgage loans), sales of non-Freddie Mac mortgage-related securities, and sales of mortgage loans.
Liquidations. Represents the total amount of prepayments, curtailments, payoffs, foreclosures, or other repayments of principal on loans and securities.
Mortgage Purchase Agreements. Reflects trades entered into during the month and includes monthly commitments to purchase mortgage-related securities and mortgage loans. Our purchase commitments may settle during the same month in which we have entered into the related commitment.
Mortgage Sale Agreements. Reflects trades entered into during the month and includes monthly commitments to sell mortgage-related securities and mortgage loans. Our sales commitments may settle during the same month in which we have entered into the related commitment.
Table 3
Breaks out the ending balances of the mortgage-related investments portfolio into four primary components.
Freddie Mac mortgage-related securities. Includes PCs, REMICs and Other Structured Securities, and Other Guarantee Transactions.
Table 4
Issuances. Consists of: (a) securities issued by Freddie Mac where the underlying collateral are mortgage loans or mortgage-backed securities; and (b) other guarantee commitments, which are mortgage-related assets held by third parties for which we provide our guarantee without securitization of those assets. Other guarantee commitments include tax-exempt multifamily housing revenue bonds, HFA bonds, and credit-related commitments with respect to single-family mortgage loans. Excludes any resecuritization activity involving Freddie Mac mortgage-related securities. Notional balances of interest-only strips are excluded because this table is based on UPB.
Liquidations. Represents principal repayments relating to Freddie Mac mortgage-related securities and other guarantee commitments. Also includes our purchases of seriously delinquent, modified and balloon/reset mortgage loans out of PC pools.
Table 5
Represents the balance and activity of our other debt, based on par values. Includes Reference Bills® securities, discount notes, medium-term notes, securities sold under agreements to repurchase, Reference Notes® securities, Structured Agency Credit Risk (STACR) debt notes, and other subordinated debt. For more information about Freddie Mac's debt activity, please visit www.freddiemac.com/debt.
Table 6
Reflects Freddie Mac's single-family and multifamily delinquency rates, which are considered mortgage credit performance metrics.
Single-Family Serious Delinquency Rate information is based on the number of mortgage loans that are three monthly payments or more past due or in the process of foreclosure.
Multifamily Delinquency Rate information is based on the UPB of mortgage loans that are two monthly payments or more past due or in the process of foreclosure.
Single-Family Credit Enhanced Other. Consists of Freddie Mac single-family mortgage loans covered by financial arrangements (other than primary mortgage insurance) that are designed to reduce our credit risk exposure, including loans in reference pools covered by STACR debt notes transactions as well as other forms of credit protection. STACR debt notes transactions transfer a portion of credit losses that could occur under adverse home price scenarios on certain groups of loans from Freddie Mac to private investors. The credit enhanced categories are not mutually exclusive as a single loan may be included in both the Primary Mortgage Insurance category and the Other category.
Mortgage loans that have been modified are not counted as seriously delinquent as long as the borrower is less than three monthly payments past due under the modified terms for single-family, and less than two monthly payments past due for multifamily.
Delinquency rates include mortgage loans underlying Other Guarantee Transactions, but exclude financial guarantees that are backed by either HFA bonds or Ginnie Mae Certificates. For HAMP or non-HAMP modifications, we include loans in a trial period as seriously delinquent until the modification becomes effective.
Table 7
Reflects balances of cash and cash equivalents, federal funds sold and securities purchased under agreements to resell, and non-mortgage-related securities.
Table 8
PMVS and Duration Gap are our primary interest-rate risk measures. These measures 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 financial assets and liabilities 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.
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