TABLE 1 - TOTAL MORTGAGE PORTFOLIO

Sep 2018 $31,296 ($1,474) ($25,560) $4,262 $2,148,883 2.4 14.3% %

Oct 33,968 (686) (24,739) 8,543 2,157,426 4.8% 13.8%

Nov 40,878 (4,776) (23,473) 12,629 2,170,055 7.0% 13.1%

Dec 35,155 (2,351) (20,867) 11,937 2,181,992 6.6% 11.5%

Full-Year 2018 $395,601 ($24,729) ($283,215) $87,657 $2,181,992 4.2% 13.5%Jan 2019 23,713 (909) (20,564) 2,240 2,184,232 1.2% 11.3%

Feb 24,566 (424) (18,673) 5,469 2,189,701 3.0% 10.3%

Mar 37,311 (3,048) (19,717) 14,546 2,204,247 8.0% 10.8%

Apr 36,071 (1,204) (23,570) 11,297 2,215,545 6.2% 12.8%

May 46,082 (4,436) (27,707) 13,939 2,229,484 7.5% 15.0%

Jun 44,458 (2,770) (31,891) 9,797 2,239,281 5.3% 17.2%

Jul 46,087 (3,839) (30,576) 11,672 2,250,953 6.3% 16.4%

Aug 65,326 (3,641) (37,528) 24,157 2,275,110 12.9% 20.0%

Sep 61,804 (2,205) (39,266) 20,333 2,295,442 10.7% 20.7%

YTD 2019 $385,418 ($22,476) ($249,492) $113,450 $2,295,442 6.9% 15.2%

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

Agency Non-Agency2

Sep 2018 $23,854 ($27,607) ($2,907) $227,804 (34.1%) 14.9% Sep 2018 $124,062 $4,395 $2,841 $96

Oct 26,630 (22,565) (3,533) 228,336 2.8% 18.6% Oct 124,015 4,277 2,762 97

Nov 28,456 (31,860) (2,971) 221,961 (33.5%) 15.6% Nov 122,404 4,097 2,723 92

Dec 29,506 (31,078) (2,309) 218,080 (21.0%) 12.5% Dec 120,148 3,979 2,335 91

Full-Year 2018 $296,649 ($296,843) ($35,181) $218,080 (1 13.9% 4.0%) Full-Year 2018 $120,148 $3,979 $2,335 $91

Jan 2019 17,282 (14,434) (2,009) 218,919 4.6% 11.1% Jan 2019 121,427 3,748 2,319 91

Feb 19,072 (17,012) (1,840) 219,139 1.2% 10.1% Feb 120,955 3,660 2,288 92

Mar 23,641 (21,877) (1,963) 218,940 (1.1%) 10.7% Mar 122,365 3,841 2,272 90

Apr 24,896 (24,948) (2,402) 216,486 (13.4%) 13.2% Apr 120,987 4,079 2,250 89

May 29,097 (26,797) (2,831) 215,955 (2.9%) 15.7% May 121,581 5,549 2,024 86

Jun 33,418 (27,513) (2,874) 218,986 16.8% 16.0% Jun 122,155 4,927 2,002 89

Jul 41,421 (38,956) (2,581) 218,870 (0.6%) 14.1% Jul 123,002 5,706 1,978 88

Aug 36,920 (33,902) (3,258) 218,630 (1.3%) 17.9% Aug 122,230 5,656 1,781 88

Sep 46,142 (40,259) (2,912) 221,601 16.3% 16.0% Sep 116,425 7,594 1,759 95

YTD 2019 $271,889 ($245,698) ($22,670) $221,601 2.2% 13.9% YTD 2019 $116,425 $7,594 $1,759 $95

Monthly Volume Summary: September 2019

(unaudited & subject to change)

(dollars in millions)

Liquidations

Net Increase/ 

(Decrease)

Purchases or 

Issuances Sales Ending Balance2

Annualized Growth 

Rate 

Annualized 

Liquidation 

Rate

Purchases1 Sales Ending Balance

Annualized 

Liquidations Liquidation Rate

Annualized Growth 

Rate

Freddie Mac 

Mortgage-Related 

Securities2

Non-Freddie Mac Mortgage-Related 

Securities

Mortgag

Loans

September 2019 Highlights:► The total mortgage portfolio increased at an annualized rate of 10.7% in September.► Single-family refinance-loan purchase and guarantee volume was $22.2 billion in Septem

of total single-family mortgage portfolio purchases and issuances. ► The aggregate unpaid principal balance (UPB) of our mortgage-related investments portfapproximately $3.0 billion in September, primarily due to an increase in mortgage loans awa► Freddie Mac mortgage-related securities and other mortgage-related guarantees increasrate of 6.4% in September.► Our single-family seriously delinquent rate remained flat at 61 basis points in Septembedelinquency rate remained flat at 4 basis points in September. ► The measure of our exposure to changes in portfolio value (PVS-L) averaged $48 million 

Duration gap averaged 1 month. ► Since September 2008, Freddie Mac has been operating in conservatorship, with the FeAgency (FHFA) acting as Conservator. ► As of September, our maximum exposure to Fannie Mae-issued collateral that was incluissued resecuritizations was approximately $14.6 billion, and is not in Table 4. 

Excludes Fannie Mae Securities Guaranteed by Freddie Mac and held by Third Parties

Numbers may not sum due to rounding. See Endnotes and Additional Information on Pages 2 and 3. 
TABLE 4 - FREDDIE MAC MORTGAGE-RELATED SECURITIES AND OTHER MORTGAGE-RELATED GUARANTEES TABLE 5 - OTHER DEBT ACTIVITIES 

Original Maturity 

< 1 Year

Annualized Growth 

Rate

Annualized 

Liquidation Rate Ending Balance Issuances

Maturities and 

Redemptions Repurcha

Sep 2018 $33,739 ($25,312) $8,427 $2,045,101 5.0% 14.9% Sep 2018 $68,652 $2,305 ($4,516) Oct 31,482 (23,519) 7,963 2,053,064 4.7% 13.8% Oct 62,460 1,077 (6,204) 

 

Nov 40,115 (22,722) 17,393 2,070,458 10.2% 13.3% Nov 55,132 875 (2,492) 

Dec 33,896 (20,348) 13,548 2,084,006 7.9% 11.8% Dec 51,246 2,090 (2,617) 

Full-Year 2018 $381,919 ($274,337) $107,582 $2,084,006 5 13.9% .4% Full-Year 2018 $51,246 $39,690 ($76,045) ($2

Jan 2019 22,984 (20,305) 2,679 2,086,685 1.5% 11.7% Jan 2019 56,676 3,658 (3,810) 

Feb 23,245 (18,467) 4,778 2,091,463 2.7% 10.6% Feb 81,160 5,950 (6,849) 

 

Mar 35,563 (19,409) 16,154 2,107,617 9.3% 11.1% Mar 77,326 4,792 (12,478) 

 

Apr 35,458 (23,082) 12,376 2,119,992 7.0% 13.1% Apr 78,987 11,949 (9,723) 

May 42,026 (26,961) 15,065 2,135,057 8.5% 15.3% May 71,565 11,188 (12,211) 

Jun 38,403 (31,063) 7,340 2,142,398 4.1% 17.5% Jun 71,097 18,698 (6,212) 

Jul 42,606 (29,969) 12,637 2,155,034 7.1% 16.8% Jul 78,615 10,200 (17,679) 

 

Aug 59,379 (35,753) 23,626 2,178,660 13.2% 19.9% Aug 88,188 15,621 (21,274) 

 

Sep 50,129 (38,570) 11,559 2,190,219 6.4% 21.2% Sep 94,517 8,291 (16,014) 

 

YTD 2019 $349,793 ($243,579) $106,214 $2,190,219 6.8% 15.6% YTD 2019 $94,517 $90,347 ($106,250) ($

TABLE 6 - DELINQUENCIES - TOTAL TABLE 7 - OTHER INVESTMENTS 

Multifamily

Sep 2018 0.88% 0.89% 0.30% 0.73% 0.01% Sep 2018 $67,516 Sep 2018 $9 18 $8 

Oct 0.85% 0.86% 0.30% 0.71% 0.01% Oct 57,325 Oct 7 -- 13 

Nov 0.86% 0.85% 0.29% 0.70% 0.01% Nov 53,446 Nov 3 -- 8 

Dec 0.83% 0.86% 0.31% 0.69% 0.01% Dec 48,388 Dec 23 11 9 

Full-Year 2018 $48,388 Full-Year 2018 $15 -- $11 

Jan 2019 0.84% 0.86% 0.32% 0.70% 0.01% Jan 2019 52,063 Jan 2019 29 -- 4 

Feb 0.84% 0.85% 0.32% 0.69% 0.01% Feb 75,873 Feb 8 -- 9 

Mar 0.82% 0.82% 0.31% 0.67% 0.03% Mar 59,576 Mar 7 15 16 

Apr 0.79% 0.79% 0.31% 0.65% 0.03% Apr 66,807 Apr 480 -- 177 

May 0.76% 0.77% 0.30% 0.63% 0.03% May 56,220 May 275 -- 109 

Jun 0.76% 0.76% 0.31% 0.63% 0.03% Jun 61,815 Jun 60 275 15 

Jul 0.73% 0.76% 0.32% 0.61% 0.03% Jul 61,804 Jul 54 -- 13 

Aug 0.72% 0.75% 0.33% 0.61% 0.04% Aug 62,369 Aug 61 -- 20 

Sep 0.72% 0.76% 0.34% 0.61% 0.04% Sep 59,148 Sep 48 54 17 

Sep 2019 59,148 YTD 2019 $116 -- $43 

ENDNOTES

(1)(2)(3)

Total

Purchases of Freddie Mac mortgage-related securities into the mortgage-related investments portfolio totaled $7 billion (based on UPB) during September 2019.

Total

Non-Credit 

Enhanced

Primary 

Mortgage 

Insurance Other 

In December 2018, we reclassified certain securities issued by third-party trusts but guaranteed by Freddie Mac from Non-Agency Securities to Freddie Mac Mortgage-Related Securities. Prior periods the current period presentation.In April 2019, we updated our interest-rate risk measures to include upfront fees (including buy-downs) related to single-family credit guarantee activity as we changed our strategy to incorporate upfron

liability interest-rate risk management strategy and definition. To avoid any disruption to the interest rate derivatives market, this upfront fees interest-rate risk was hedged over several weeks resulting PVS-YC, and Duration Gap levels

(dollars in millions)

Quarter

Monthly Average Averag

(dollars in millions)

Single-Family 

Credit Enhanced

TABLE 8 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES3

(PVS-YC) (25 bp)

Issuances Liquidations

Net Increase/ 

(Decrease)

Ending Balance

Level

Portfolio Value-

(PVS-L) (50 bp)

Portfolio Value

Yield Curve

Quarterly 

Monthly Average Average

Original Maturity > 1 Year

Ending Balance

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.

Excludes Fannie Mae Securities Guaranteed by Freddie Mac

Numbers may not sum due to rounding. See Additional Information on Page 3. 
General

Non-Freddie Mac mortgage-related securities - agency. Securities issued by Fannie Mae or Ginnie Mae. Includes the Fannie Mae-backed portion of 100%-owned Freddie Mac-issued commingled 

ADDITIONAL INFORMATIONReflects 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 impairmen

discounts, and the impact of consolidation of variable interest entities. In addition, all activity and balances in these tables are presented on a settlement date basis (i.e., exclude amounts that are traded b

Represents the sum of Freddie Mac mortgage-related securities and other mortgage-related guarantees (Table 4), mortgage loans (Table 3), non-Freddie Mac mortgage-related securities (agency and no

million of unguaranteed Freddie Mac mortgage-related securities retained by us associated with credit risk transfer transactions. Excludes Fannie Mae Securities Guaranteed by Freddie Mac and held by TFannie Mae-backed portion of partially owned Freddie Mac-issued commingled securities. The Fannie Mae-backed portion of partially owned Freddie Mac-issued commingled securities was $193 million in 

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, issua

guarantees, issuances of other securitization products 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 collatera

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 

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 morsales of mortgage loans. Liquidations. Represents the total amount of prepayments, curtailments, payoffs, foreclosures, or other repayments of principal on loans and securities.

Table 5

Table 3Table 8Table 7Delinquency rates 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 delinbecomes effective.Table 2The PVS and duration gap information presented above does not fully reflect the potential effect of negative index values across all of the company’s floating rate assets and liabilities. However, we have 

adjustments to incorporate the effect of negative index values for the majority of the company’s floating rate assets and liabilities. These adjustments had a minimal impact on our PVS and duration gap re

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

Table 1Table 6PVS 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 change

Our PVS measures are estimates of the amount of average potential pre-tax loss in the value of our financial assets and liabilities due to parallel (PVS-L) and non-parallel (PVS-YC) changes in London Inte

While we believe that our PVS and duration gap metrics are useful risk management tools, they should be understood as estimates rather than precise measurements. Methodologies employed to calculadisclosures are periodically changed on a prospective basis to reflect improvements in the underlying estimation processes.Presents the ending balances of the mortgage-related investments portfolio's four primary components. 

Freddie Mac mortgage-related securities. Securities we issue or guarantee that are backed by mortgages. Includes the Fannie Mae-backed portion of partially-owned Freddie Mac issued comming

million in September.

Issuances. Consists of: (a) guaranteed securities issued by Freddie Mac where the underlying collateral are mortgage loans or mortgage-backed securities; and (b) other mortgage-related guarantee

assets held by third parties for which we provide our guarantee without securitization of those assets. Other mortgage-related guarantees include tax-exempt multifamily housing revenue bonds, HFA 

commitments with respect to single-family mortgage loans. Notional balances of interest-only strips are excluded because this table is based on UPB. Excludes all resecuritization activity issued by Fr

Liquidations. Represents principal repayments relating to guaranteed Freddie Mac mortgage-related securities and other mortgage-related guarantees. Also includes our purchases of seriously deli

balloon/reset mortgage loans out of PC pools.

Primarily includes 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 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, as reported by our servicers. Loa

are subject to forbearance agreements) are not counted as delinquent as long as the borrower is less than two monthly payments past due under the modified (or forbearance) terms. 

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 reduc

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 

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 decategories 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 t

past due for multifamily.Table 4