TABLE 1 - TOTAL MORTGAGE PORTFOLIO

Oct 2020 $137,212 ($657) ($80,301) $56,253 $2,668,939 25.8% 36.9% 

Nov 155,686 (3,156) (86,846) 65,684 2,734,623 29.5% 39.0% 

Dec 129,382 (939) (78,277) 50,167 2,784,789 22.0% 34.3% 

Full-Year 2020 $1,187,047 ($14,468) ($754,141) $418,438 $2,784,789 17.7% 31.9% 

Jan 2021 $120,235 ($376) ($83,007) $36,851 $2,821,640 15.9% 35.8% 

Feb 114,465 (460) (73,661) 40,344 2,861,985 17.2% 31.3% 

Mar 142,682 (785) (76,978) 64,919 2,926,903 27.2% 32.3% 

Apr 121,668 (1,761) (87,753) 32,154 2,959,056 13.2% 36.0% 

May 91,739 (1,292) (69,288) 21,159 2,980,216 8.6% 28.1% 

Jun 92,609 (1,369) (59,264) 31,976 3,012,191 12.9% 23.9% 

Jul 85,899 (1,110) (63,621) 21,168 3,033,360 8.4% 25.3% 

Aug 119,682 (277) (59,586) 59,819 3,093,179 23.7% 23.6% 

Sep 112,333 (498) (67,075) 44,760 3,137,939 17.4% 26.0% 

Oct 109,333 (855) (67,303) 41,175 3,179,114 15.7% 25.7% 

YTD 2021 $1,110,645 ($8,783) ($707,537) $394,325 $3,179,114 17.0% 30.5% 

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

Purchases(1) Sales Liquidations Ending Balance(2)

Annualized Growth 

Rate

Annualized 

Liquidation Rate

Agency

 Securities

Non-Agency

Securities

Mortgage 

Loans

Ending 

Balance(2)

Oct 2020 $109,487 ($114,161) ($2,045) $191,457 (40.7%) 12.4% Oct 2020 $82,068 $1,455 $107,934 $191,457

Nov 117,106 (113,522) (2,090) 192,951 9.4% 13.1% Nov 75,554 1,435 115,962 192,951

Dec 111,509 (120,351) (1,924) 182,184 (67.0%) 12.0% Dec 70,020 1,414 110,750 182,184

Full-Year 2020 $909,073 ($911,305) ($28,257) $182,184 (14.3%) 13.3% Full-Year 2020 $70,020 $1,414 $110,750 $182,184

Jan 2021 $92,263 ($100,425) ($1,650) $172,372 (64.6%) 10.9% Jan 2021 $62,166 $1,400 $108,806 $172,372

Feb 89,841 (95,755) (1,447) 165,012 (51.2%) 10.1% Feb 62,062 1,389 101,561 165,012

Mar 114,725 (103,806) (1,475) 174,456 68.7% 10.7% Mar 58,626 1,379 114,451 174,456 

Apr 86,081 (115,710) (1,703) 143,124 (215.5%) 11.7% Apr 58,200 1,355 83,570 143,124 

May 62,471 (77,034) (1,318) 127,243 (133.1%) 11.1% May 51,832 1,341 74,070 127,243 

Jun 61,787 (74,465) (1,330) 113,235 (132.1%) 12.5% Jun 45,786 1,326 66,123 113,235 

Jul 51,881 (53,403) (1,243) 110,470 (29.3%) 13.2% Jul 49,293 1,297 59,880 110,470 

Aug 70,749 (66,193) (1,122) 113,903 37.3% 12.2% Aug 48,896 1,281 63,726 113,903 

Sep 68,040 (67,004) (1,165) 113,773 (1.4%) 12.3% Sep 50,074 1,259 62,440 113,773 

Oct 65,307 (65,278) (1,262) 112,541 (13.0%) 13.3% Oct 48,933 1,175 62,433 112,541 

YTD 2021 $763,145 ($819,073) ($13,716) $112,541 (45.9%) 9.0% YTD 2021 $48,933 $1,175 $62,433 $112,541

Monthly Volume Summary: October 2021

(unaudited & subject to change)

(dollars in millions)

Liquidations

Net Increase/ 

(Decrease)

Purchases or 

Issuances Sales Ending Balance

Annualized Growth 

Rate 

Annualized 

Liquidation Rate October 2021 Highlights: ► The total mortgage portfolio increased at an annualized rate of 15.7% in October. ► Single-family refinance-loan purchase and guarantee volume was $59.1 billion in October, representing 60% of total 

single-family mortgage portfolio purchases and issuances. ► The aggregate unpaid principal balance (UPB) of our mortgage-related investments portfolio decreased by 

approximately $1.2 billion in October. ► Freddie Mac mortgage-related securities and other mortgage-related guarantees increased at an annualized rate of 16.4% in October. ► Our single-family delinquency rate decreased from 1.46% in September to 1.32% in October. Our multifamily 

delinquency rate decreased from 0.12% in September to 0.10% in October. ► The measure of our exposure to changes in portfolio value (PVS-L) averaged $51 million in October. 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 October, our maximum exposure to Fannie Mae-issued collateral that was included in Freddie Mac-issued resecuritizations was approximately $108.8 billion, and is not in Table 4. 

Excludes Fannie Mae Securities Guaranteed by Freddie Mac 

Numbers may not sum due to rounding. See Endnotes and Additional Information on Pages 2 and 3. Page 1 of 3
TABLE 4 - GUARANTEE PORTFOLIO TABLE 5 - INDEBTEDNESS PURSUANT TO THE PURCHASE AGREEMENT 

Original Maturity < 

1 Year

Annualized Growth Rate

Annualized 

Liquidation Rate Ending Balance Issuances

Maturities and 

Redemptions Repurchases

Ending 

Balance

Total Debt 

Outstanding

Oct 2020 $133,229 ($79,707) $53,522 $2,512,753 26.1% 38.9% Oct 2020 $13,547 $19,933 ($13,966) (200) $275,093 $288,640

Nov 143,301 (86,339) 56,962 2,569,715 27.2% 41.2% Nov 5,680 23,474 (15,580) (500) 282,487 288,167

Dec 133,372 (78,011) 55,361 2,625,077 25.9% 36.4% Dec 4,955 11,999 (12,900) - 281,586 286,541

Full-Year 2020 $1,135,656 ($747,472) $388,184 $2,625,077 17.4% 33.4% Full-Year 2020 $4,955 $304,087 ($188,730) ($5,849) $281,586 $286,541

Jan 2021 $121,692 ($82,659) $39,033 $2,664,110 17.8% 37.8% Jan 2021 $4,569 $975 ($9,984) (2,145) $270,432 $275,001

Feb 120,521 (73,208) 47,313 2,711,423 21.3% 33.0% Feb 5,797 115 (15,418) (521) 254,608 260,404

Mar 127,839 (76,442) 51,397 2,762,821 22.7% 33.8% Mar 10,910 - (2,704) (156) 251,748 262,658

Apr 149,679 (86,962) 62,717 2,825,537 27.2% 37.8% Apr 1,000 - (1,209) - 250,539 251,539

May 99,102 (68,842) 30,260 2,855,797 12.9% 29.2% May 1,000 - (5,303) (10) 245,225 246,225

Jun 98,403 (58,576) 39,827 2,895,624 16.7% 24.6% Jun - - (14,581) - 230,645 230,645

Jul 90,402 (62,988) 27,414 2,923,037 11.4% 26.1% Jul - - (7,201) - 223,443 223,443

Aug 115,160 (59,048) 56,112 2,979,149 23.0% 24.2% Aug - - (8,297) - 215,146 215,146

Sep 112,568 (66,398) 46,170 3,025,320 18.6% 26.7% Sep - - (16,240) (1,343) 197,563 197,563

Oct 107,862 (66,423) 41,439 3,066,759 16.4% 26.3% Oct - - (7,119) - 190,444 190,444

YTD 2021 $1,143,228 ($701,546) $441,682 $3,066,759 20.2% 32.1% YTD 2021 $ - $1,090 ($88,056) ($4,175) $190,444 $190,444

TABLE 6 - DELINQUENCIES - TOTAL TABLE 7 - OTHER INVESTMENTS

Multifamily

Oct 2020 2.38% 4.01% 3.48% 2.89% 0.14% Oct 2020 $96,819 Oct 2020 $10 -- $12 -- 0 --

Nov 2.24% 3.85% 3.27% 2.75% 0.16% Nov 92,658 Nov 118 -- 16 -- 0 --

Dec 2.13% 3.77% 3.22% 2.64% 0.16% Dec 99,787 Dec 72 65 6 11 0 0

Full-Year 2020 $99,787 Full-Year 2020 $73 -- $11 -- 0 --

Jan 2021 2.08% 3.68% 3.14% 2.56% 0.16% Jan 2021 $104,080 Jan 2021 $17 -- $5 -- 0 --

Feb 2.00% 3.66% 3.08% 2.52% 0.14% Feb 96,980 Feb 103 -- 7 -- 0 --

Mar 1.89% 3.42% 2.79% 2.34% 0.17% Mar 85,255 Mar 66 62 9 7 0 0

Apr 1.78% 3.15% 2.47% 2.15% 0.20% Apr 107,953 Apr 13 -- 10 -- 0 --

May 1.65% 2.94% 2.33% 2.01% 0.19% May 119,762 May 21 -- 6 -- 0 --

Jun 1.52% 2.74% 2.14% 1.86% 0.15% Jun 117,830 Jun 17 17 5 7 0 0

Jul 1.49% 2.55% 1.88% 1.74% 0.15% Jul 113,490 Jul 63 -- 18 -- 0 --

Aug 1.37% 2.37% 1.82% 1.62% 0.12% Aug 101,384 Aug 81 -- 13 -- 0 --

Sep 1.20% 2.16% 1.65% 1.46% 0.12% Sep 84,254 Sep 87 77 6 12 0 0

Oct 1.12% 1.98% 1.46% 1.32% 0.10% Oct 84,670 Oct 51 -- 7 -- 0 --

YTD 2021 $84,670 YTD 2021 $47 -- $9 -- 0 --

ENDNOTES

(1)

(2)

(3)

Credit Enhanced

TABLE 8 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES(3)

(PVS-YC) (25 bp)

Original Maturity > 1 Year

Level

Portfolio Value-

(PVS-L) (50 bp)

Single-Family 

Issuances Liquidations

Net Increase/ 

(Decrease) Ending Balance

Portfolio ValueDuration Gap

Yield Curve

Quarterly 

Average

(dollars in millions)

Monthly 

Average

(Rounded to Nearest Month)

Quarterly 

Monthly Average Average

(dollars in millions)

Non-Credit 

Enhanced

Primary 

Mortgage 

Insurance

In October 2021, we transitioned from LIBOR to SOFR in measuring the company's interest-rate risk. As a result, for periods after September 30, 2021, the measurement of the price sensitivity and valuation of our assets and liabilities will use 

the SOFR curve instead of the LIBOR yield curve. This change is not expected to have a significant impact on measurement of our interest-rate risk.

The amount of mortgage assets that we may own in our mortgage-related investments portfolio is currently capped under our Senior Preferred Stock Purchase Agreement ("Purchase Agreement") with the U.S. Department of the Treasury at 

$250 billion, and in February 2019, FHFA directed us to maintain this portfolio at or below $225 billion. We are required to include 10% of the notional value of interest-only securities we hold when calculating the size of our mortgage-related 

investments portfolio for purposes of the Purchase Agreement and FHFA limits. The balance of our mortgage-related investments portfolio as determined for these purposes was $125.3 billion as of October 31, 2021, including $12.7 billion 

representing 10% of the notional amount of the interest-only securities we held at that date.

 Credit Risk 

Transfer and 

Other Monthly Average

Purchases of Freddie Mac mortgage-related securities into the mortgage-related investments portfolio totaled $27.8 billion (based on UPB) during October 2021.

Quarterly 

Total Total Ending Balance 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 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
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, rather than precise measurements, of the amount of pre-tax change in the value of our financial assets and liabilities due to parallel (PVS-L) and non-parallel (PVS-YC) changes in interest rates.

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

Table 8

Table 2

Presents 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. 

Table 3

Presents the ending balances of the mortgage-related investments portfolio's three primary components. 

Table 4

Presents the activity and balances of guaranteed securities issued by Freddie Mac as well as other mortgage-related guarantees we have issued. Excludes resecuritization activity, including Freddie Mac's guarantees of Fannie Mae guaranteed 

securities.

Table 5

Table 6

Single-Family 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. Loans in forbearance are excluded if the borrower is in compliance with the 

forbearance agreement. 

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 and ACIS transactions. 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 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 7

Presents our indebtedness as defined in the Purchase Agreement. Primarily includes the balance and activity of our other debt, based on par values. The amount of indebtedness is capped under the Purchase Agreement at $300 billion. For more 

information about Freddie Mac’s debt activity, please visit www.freddiemac.com/debt. 

Presents Freddie Mac's single-family and multifamily delinquency rates.

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 credit losses and security impairments, unamortized premiums and discounts, 

and the impact of consolidation of variable interest entities. All activity and balances in these tables are presented on a settlement date basis.

Table 1

Presents Freddie Mac issued Guarantee Portfolio (Table 4), mortgage loans (Table 3), and non-guaranteed tranches of securities issued by Freddie Mac.

Note - The Total Mortgage Portfolio will not tie to the disclosure in the company's Forms 10-k and 10-Q, as the MVS presents security balances, while the Forms 10-K and 10-Q present the loan balances underlying those securities.

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