TABLE 1 - TOTAL MORTGAGE PORTFOLIO

Dec 2014 $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%

Jun 41,300 (1,654) (35,132) 4,514 1,923,976 2.8% 22.0%

Jul 41,152 (2,494) (37,365) 1,293 1,925,269 0.8% 23.3%

Aug 32,683 (2,967) (28,679) 1,037 1,926,306 0.6% 17.9%

Sep 33,263 (1,816) (26,432) 5,015 1,931,321 3.1% 16.5%

Oct 28,372 (1,604) (25,559) 1,209 1,932,530 0.8% 15.9%

Nov 26,537 (2,126) (25,040) (629) 1,931,901 (0.4%) 15.5%

Dec 34,028 (1,072) (23,270) 9,686 1,941,587 6.0% 14.5%

YTD 2015 $402,010 ($24,445) ($346,084) $31,481 $1,941,587 1.6% 18.1%

TABLE 2 - MORTGAGE-RELATED INVESTMENTS PORTFOLIO TABLE 3 - MORTGAGE-RELATED INVESTMENTS PORTFOLIO COMPONENTS 

Agency Non-Agency

Dec 2014 $22,532 ($10,028) ($6,131) $408,414 19.0% 18.3% $27,540 ($21,018) $6,522 Dec 2014 $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

Jun 22,689 (23,109) (6,577) 382,532 (21.6%) 20.3% 36,991 (36,801) 190 Jun 154,494 14,611 52,222 161,205 382,532

Jul 19,580 (22,510) (6,644) 372,958 (30.0%) 20.8% 43,586 (38,252) 5,334 Jul 151,829 14,320 49,195 157,614 372,958

Aug 20,092 (17,376) (5,804) 369,870 (9.9%) 18.7% 39,101 (36,504) 2,597 Aug 153,480 14,180 47,009 155,201 369,870

Sep 20,593 (17,333) (5,985) 367,145 (8.8%) 19.4% 43,815 (44,366) (551) Sep 155,027 14,075 44,628 153,415 367,145

Oct 16,690 (22,718) (5,547) 355,570 (37.8%) 18.1% 36,125 (40,047) (3,922) Oct 152,281 13,752 42,923 146,614 355,570

Nov 15,133 (20,699) (5,031) 344,973 (35.8%) 17.0% 26,034 (26,389) (355) Nov 148,713 13,290 41,510 141,460 344,973

Dec 25,041 (18,017) (5,086) 346,911 6.7% 17.7% 28,669 (24,894) 3,775 Dec 147,824 12,970 40,453 145,664 346,911

YTD 2015 $230,256 ($223,869) ($67,890) $346,911 (15.1%) 16.6% $445,911 ($440,285) $5,626 YTD 2015 $147,824 $12,970 $40,453 $145,664 $346,911

Ending 

Balance

Freddie Mac 

Mortgage-Related 

Securities

Non-Freddie Mac MortgageRelated Securities

Mortgage 

Loans

Net Increase/ 

(Decrease)

Purchases or 

Issuances Sales 

Net Purchase 

(Sale) 

Agreements2

Mortgage Sale 

Agreements 

Ending Balance

Annualized Growth 

Rate 

Annualized 

Liquidation 

Rate

Purchases1 Sales Ending Balance

Annualized 

Liquidation Rate

Mortgage 

Purchase 

Liquidations Agreements 

Annualized Growth 

Rate

Monthly Volume Summary: December 2015

(unaudited & subject to change)

(dollars in millions)

Liquidations

December 2015 Highlights:

► The total mortgage portfolio increased at an annualized rate of 6.0% in December.

► Single-family refinance-loan purchase and guarantee volume was $12.9 billion in December representing 

 52% of total single-family mortgage portfolio purchases or issuances. Relief refinance mortgages comprised 

 approximately 8% of our total single-family refinance volume during December. 

► Total number of loan modifications were 3,823 in December and 53,897 for the twelve months ended December 31, 2015.

 

► The aggregate unpaid principal balance (UPB) of our mortgage-related investments portfolio increased by approximately $1.9 billion in 

 December.

► Freddie Mac mortgage-related securities and other guarantee commitments increased at an annualized rate of 

 4.7% in December.

► Our single-family serious delinquency rate decreased from 1.36% in November to 1.32% in December. 

 Our multifamily delinquency rate decreased from 0.03% in November to 0.02% in December. 

► The measure of our exposure to changes in portfolio market value (PMVS-L) averaged $62 million in December.

 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. 

 

See Endnotes and Additional Information on Pages 2 and 3. Page 1 of 3
TABLE 4 - FREDDIE MAC MORTGAGE-RELATED SECURITIES AND OTHER GUARANTEE COMMITMENTS TABLE 5 - OTHER DEBT ACTIVITIES 

Original Maturity 

< 1 Year

Ending Balance 

Annualized Growth 

Rate

Annualized 

Liquidation Rate Ending Balance Issuances

Maturities and 

Redemptions Repurchases

Ending 

Balance

Total Debt 

Outstanding

Dec 2014 $25,269 ($20,700) $4,569 $1,663,233 3.3% 15.0% Dec 2014 $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

Jun 38,791 (31,300) 7,491 1,695,938 5.3% 22.2% Jun 93,149 17,577 (26,016) (164) 324,312 417,461

Jul 41,689 (33,488) 8,201 1,704,139 5.8% 23.7% Jul 94,870 8,223 (15,762) - 316,773 411,643

Aug 31,288 (25,512) 5,776 1,709,915 4.1% 18.0% Aug 98,853 6,927 (9,603) - 314,097 412,950

Sep 32,302 (23,015) 9,287 1,719,202 6.5% 16.2% Sep 112,329 14,210 (28,831) - 299,476 411,805

Oct 32,564 (22,526) 10,038 1,729,240 7.0% 15.7% Oct 105,927 21,914 (23,486) - 297,904 403,831

Nov 28,947 (22,547) 6,400 1,735,640 4.4% 15.6% Nov 99,133 12,201 (17,982) - 292,123 391,256

Dec 27,317 (20,458) 6,859 1,742,499 4.7% 14.1% Dec 113,633 15,405 (2,960) (180) 304,388 418,021

YTD 2015 $389,991 ($310,725) $79,266 $1,742,499 4.8% 18.7% YTD 2015 $113,633 $168,583 ($183,156) ($398) $304,388 $418,021

TABLE 6 - DELINQUENCIES - TOTAL TABLE 7 - OTHER INVESTMENTS 

Multifamily

Dec 2014 1.74% 3.10% 1.21% 1.88% 0.04% Dec 2014 $56,009 Dec 2014 $99 $105 $5 $7 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 78 -- 21 -- 0 --

Jun 1.48% 2.46% 0.73% 1.53% 0.01% Jun 42,541 Jun 123 98 23 24 1 0

Jul 1.43% 2.36% 0.72% 1.48% 0.01% Jul 45,437 Jul 80 -- 11 -- 0 --

Aug 1.40% 2.32% 0.72% 1.45% 0.02% Aug 50,339 Aug 75 -- 7 -- 0 --

Sep 1.36% 2.26% 0.67% 1.41% 0.01% Sep 44,054 Sep 61 72 10 9 0 0

Oct 1.33% 2.20% 0.67% 1.38% 0.03% Oct 47,395 Oct 69 -- 9 -- 0 --

Nov 1.32% 2.18% 0.61% 1.36% 0.03% Nov 45,033 Nov 74 -- 5 -- 0 --

Dec 1.30% 2.06% 0.58% 1.32% 0.02% Dec 71,543 Dec 62 68 12 9 0 0

YTD 2015 $71,543 YTD 2015 $90 -- $17 -- 0 --

ENDNOTES

(1)

(2)

Issuances Liquidations 

Net Increase/ 

(Decrease)

Ending Balance

Level

Portfolio Market Value-

(PMVS-L) (50 bp)

Portfolio Market ValueDuration Gap

Yield Curve

Quarterly 

Average

Monthly 

Average

Original Maturity > 1 Year

Quarterly 

Average

(dollars in millions)

Monthly 

Average

(Rounded to Nearest Month)

Quarterly 

Monthly Average Average

(dollars in millions)

Single-Family 

Credit Enhanced

TABLE 8 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES 

(PMVS-YC) (25 bp)

Total Total

Non-Credit 

Enhanced

Primary 

Mortgage 

Insurance Other 

Purchases of Freddie Mac mortgage-related securities into the mortgage-related investments portfolio totaled $5.0 billion (based on UPB) during December 2015.

As of December 31, 2015, we had net unsettled purchase (sale) agreements of approximately $7.2 billion. The ending balance of our mortgage-related investments portfolio as of December 31, 2015 after giving effect to these 

unsettled agreements and assuming we did not enter into any other purchase (sale) agreements after December 31, 2015 would have been $354 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
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 interestrate risk sensitivity disclosures are periodically changed on a prospective basis to reflect improvements in the underlying estimation processes.

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. 

Issuances. Consists of: (a) guaranteed 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 guaranteed 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.

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 and other secured borrowings, 

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.

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 note transactions as well as other forms of credit protection. STACR debt note transactions transfer a portion of credit risk on certain groups of loans from Freddie Mac to 

private investors. The value of these transactions to us is dependent on various economic scenarios, and we will primarily benefit from these transactions if we experience significant mortgage loan defaults. 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.

Table 4

Table 8

Table 7

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.

Reflects balances of cash and cash equivalents, federal funds sold and securities purchased under agreements to resell, and non-mortgage-related securities. 

Table 3

Table 2

Table 1

Table 6

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. 

General

ADDITIONAL INFORMATION

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.

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).

Represents the sum of Freddie Mac mortgage-related securities and other guarantee commitments (Table 4), mortgage loans (Table 3), non-Freddie Mac mortgage-related securities (agency and non-agency) (Table 3) and $1 million of 

unguaranteed Freddie Mac mortgage-related securities retained by us associated with a credit risk transfer transaction.

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, sales of unguaranteed Freddie Mac mortgage-related securities and sales of mortgage loans. 

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 5

Page 3 of 3