TABLE 1 - TOTAL MORTGAGE PORTFOLIO

Dec 2018 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% 

Oct 51,128 (1,578) (43,871) 5,679 2,301,122 3.0% 22.9% 

Nov 55,446 (5,629) (49,118) 699 2,301,820 0.4% 25.6% 

Dec 65,799 (780) (35,877) 29,142 2,330,962 15.2% 18.7% 

YTD 2019 $557,791 ($30,463) ($378,358) $148,970 $2,330,962 6.8% 17.3% 

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

Agency Non-Agency2

Dec 2018 29,506 (31,078) (2,309) 218,080 (21.0%) 12.5% Dec 2018 120,148 3,979 2,335 91,618 218,080

Full-Year 2018 $296,649 ($296,843) ($35,181) $218,080 (14.0%) 13.9% Full-Year 2018 $120,148 $3,979 $2,335 $91,618 $218,080

Jan 2019 17,282 (14,434) (2,009) 218,919 4.6% 11.1% Jan 2019 121,427 3,748 2,319 91,425 218,919

Feb 19,072 (17,012) (1,840) 219,139 1.2% 10.1% Feb 120,955 3,660 2,288 92,236 219,139

Mar 23,641 (21,877) (1,963) 218,940 (1.1%) 10.7% Mar 122,365 3,841 2,272 90,462 218,940

Apr 24,896 (24,948) (2,402) 216,486 (13.4%) 13.2% Apr 120,987 4,079 2,250 89,170 216,486

May 29,097 (26,797) (2,831) 215,955 (2.9%) 15.7% May 121,581 5,549 2,024 86,801 215,955

Jun 33,418 (27,513) (2,874) 218,986 16.8% 16.0% Jun 122,155 4,927 2,002 89,902 218,986

Jul 41,421 (38,956) (2,581) 218,870 (0.6%) 14.1% Jul 123,002 5,706 1,978 88,184 218,870

Aug 36,920 (33,902) (3,258) 218,630 (1.3%) 17.9% Aug 122,230 5,656 1,781 88,963 218,630

Sep 46,142 (40,259) (2,912) 221,601 16.3% 16.0% Sep 116,425 7,594 1,759 95,823 221,601

Oct 38,415 (40,496) (2,706) 216,813 (25.9%) 14.7% Oct 116,611 7,887 1,746 90,569 216,813

Nov 37,384 (46,496) (3,157) 204,545 (67.9%) 17.5% Nov 117,485 7,664 1,731 77,665 204,545

Dec 43,389 (32,385) (2,875) 212,673 47.7% 16.9% Dec 118,647 8,748 1,626 83,652 212,673

YTD 2019 $391,077 ($365,075) ($31,408) $212,673 (2.5%) 14.4% YTD 2019 $118,647 $8,748 $1,626 $83,652 $212,673

Monthly Volume Summary: December 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

Ending 

Balance

Freddie Mac 

Mortgage-Related 

Securities2

Non-Freddie Mac Mortgage-Related 

Securities

Mortgage 

Loans

December 2019 Highlights: ► The total mortgage portfolio increased at an annualized rate of 15.2% in December. ► Single-family refinance-loan purchase and guarantee volume was $30.5 billion in December, representing 56% of 

total single-family mortgage portfolio purchases and issuances. ► The aggregate unpaid principal balance (UPB) of our mortgage-related investments portfolio increased by approximately $8.1 billion in December. ► Freddie Mac mortgage-related securities and other mortgage-related guarantees increased at an annualized rate of 12.0% in December. ► Our single-family seriously delinquent rate increased from 62 basis point in November to 63 basis points in December. Our multifamily delinquency rate increased from 6 basis points in November to 8 basis points in December. ► The measure of our exposure to changes in portfolio value (PVS-L) averaged $5 million in December. Duration gap averaged 0 months. ► Since September 2008, Freddie Mac has been operating in conservatorship, with the Federal Housing Finance Agency (FHFA) acting as Conservator. ► As of December, our maximum exposure to Fannie Mae-issued collateral that was included in Freddie Mac-issued resecuritizations was approximately $27.5 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. Page 1 of 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 Repurchases

Ending 

Balance

Total Debt 

Outstanding

Dec 2018 33,896 (20,348) 13,548 2,084,006 7.9% 11.8% Dec 2018 51,246 2,090 (2,617) (64) 204,454 255,700

Full-Year 2018 $381,919 ($274,337) $107,582 $2,084,006 5.4% 13.9% Full-Year 2018 $51,246 $39,690 ($76,045) ($2,735) $204,454 $255,700

Jan 2019 22,984 (20,305) 2,679 2,086,685 1.5% 11.7% Jan 2019 56,676 3,658 (3,810) (221) 204,082 260,758

Feb 23,245 (18,467) 4,778 2,091,463 2.7% 10.6% Feb 81,160 5,950 (6,849) - 203,183 284,343

Mar 35,563 (19,409) 16,154 2,107,617 9.3% 11.1% Mar 77,326 4,792 (12,478) - 195,496 272,822

Apr 35,458 (23,082) 12,376 2,119,992 7.0% 13.1% Apr 78,987 11,949 (9,723) (135) 197,588 276,575

May 42,026 (26,961) 15,065 2,135,057 8.5% 15.3% May 71,565 11,188 (12,211) (317) 196,248 267,813

Jun 38,403 (31,063) 7,340 2,142,398 4.1% 17.5% Jun 71,097 18,698 (6,212) (101) 208,633 279,730

Jul 42,606 (29,969) 12,637 2,155,034 7.1% 16.8% Jul 78,615 10,200 (17,679) - 201,154 279,769

Aug 59,379 (35,753) 23,626 2,178,660 13.2% 19.9% Aug 88,188 15,621 (21,274) - 195,501 283,689

Sep 50,129 (38,570) 11,559 2,190,219 6.4% 21.2% Sep 94,517 8,291 (16,014) - 187,778 282,295

Oct 53,495 (42,840) 10,655 2,200,874 5.8% 23.5% Oct 108,054 12,597 (20,183) - 180,192 288,246

Nov 61,007 (47,165) 13,842 2,214,716 7.5% 25.7% Nov 103,422 10,329 (16,633) (80) 173,808 277,230

Dec 57,414 (35,238) 22,176 2,236,893 12.0% 19.1% Dec 111,080 10,768 (12,483) (15) 172,077 283,157

YTD 2019 $521,709 ($368,822) $152,887 $2,236,893 7.3% 17.7% YTD 2019 $111,080 $124,041 ($155,549) ($869) $172,077 $283,157

TABLE 6 - DELINQUENCIES - TOTAL TABLE 7 - OTHER INVESTMENTS 

Multifamily

Dec 2018 0.83% 0.86% 0.31% 0.69% 0.01% Dec 2018 48,388 Dec 2018 23 11 9 10 0 0

Full-Year 2018 $48,388 Full-Year 2018 $15 -- $11 -- 0 --

Dec

Jan 2019 0.84% 0.86% 0.32% 0.70% 0.01% Jan 2019 52,063 Jan 2019 29 -- 4 -- 0 --

Feb 0.84% 0.85% 0.32% 0.69% 0.01% Feb 75,873 Feb 8 -- 9 -- 0 --

Mar 0.82% 0.82% 0.31% 0.67% 0.03% Mar 59,576 Mar 7 15 16 10 0 0

Apr 0.79% 0.79% 0.31% 0.65% 0.03% Apr 66,807 Apr 480 -- 177 -- 4 --

May 0.76% 0.77% 0.30% 0.63% 0.03% May 56,220 May 275 -- 109 -- 2 --

Jun 0.76% 0.76% 0.31% 0.63% 0.03% Jun 61,815 Jun 60 275 15 102 1 2

Jul 0.73% 0.76% 0.32% 0.61% 0.03% Jul 61,804 Jul 54 -- 13 -- 1 -- 

Aug 0.72% 0.75% 0.33% 0.61% 0.04% Aug 62,369 Aug 61 -- 20 -- 0 -- 

Sep 0.72% 0.76% 0.34% 0.61% 0.04% Sep 59,148 Sep 48 54 17 17 1 0

Oct 0.71% 0.77% 0.35% 0.61% 0.05% Oct 70,811 Oct 70 -- 6 -- 0 -- 

Nov 0.72% 0.78% 0.37% 0.62% 0.06% Nov 74,081 Nov 29 -- 11 -- 0 -- 

Dec 0.70% 0.79% 0.40% 0.63% 0.08% Dec 74,054 Dec 5 35 8 8 0 0

Dec 2019 74,054 YTD 2019 $96 -- $34 -- 1 --

ENDNOTES

(1)

(2)

(3)

Total

Purchases of Freddie Mac mortgage-related securities into the mortgage-related investments portfolio totaled $8 billion (based on UPB) during December 2019.

Total

Non-Credit 

Enhanced

Primary 

Mortgage 

Insurance Other 

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 upfront fees into our asset and 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 in temporarily elevated PVS-L, PVS-YC, 

and Duration Gap levels

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 have been revised to conform to 

the current period presentation.

Monthly Average

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 DISCLOSURES3

(PVS-YC) (25 bp)

Issuances Liquidations

Net Increase/ 

(Decrease)

Ending Balance

Original Maturity > 1 Year

Ending Balance

Level

Portfolio Value-

(PVS-L) (50 bp)

Portfolio ValueDuration Gap

Yield Curve

Quarterly 

Average

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. Page 2 of 3
Page 3 of 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 securities. 

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 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 mortgage-related guarantees (Table 4), mortgage loans (Table 3), non-Freddie Mac mortgage-related securities (agency and non-agency) (Table 3), and $43 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 Third Parties, as well as the Fannie 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 $693 million in December.

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 mortgage-related 

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 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.

Table 5

Table 3

Table 8

Table 7

Delinquency 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 delinquent until the modification becomes 

effective.

Table 2

The 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 implemented model 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 results. 

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

Table 1

Table 6

PVS 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 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 Interbank Offered Rates (LIBOR). 

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 calculate interest-rate risk sensitivity 

disclosures 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 commingled securities, which was $693 million 

in December.

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 guarantees, which are mortgage-related 

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 bonds, and credit-related 

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 Freddie Mac. 

Liquidations. Represents principal repayments relating to guaranteed Freddie Mac mortgage-related securities and other mortgage-related guarantees. Also includes our purchases of seriously delinquent, modified and 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 and other secured borrowings, 

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. Loans that have been modified (or 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 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