TABLE 1 - TOTAL MORTGAGE PORTFOLIO

Sep 2019 $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% 

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

Jan 2020 $47,606 ($253) ($39,002) $8,351 $2,339,314 4.3% 20.1% 

Feb 46,054 (1,041) (34,285) 10,728 2,350,041 5.5% 17.6% 

Mar 58,830 (3,165) (37,739) 17,926 2,367,966 9.2% 19.3% 

Apr 80,879 (770) (51,980) 28,129 2,396,095 14.3% 26.3% 

May 78,329 (2,799) (64,599) 10,931 2,407,027 5.5% 32.4% 

Jun 94,331 (1,880) (64,019) 28,432 2,435,459 14.2% 31.9% 

Jul 116,383 (3,803) (72,020) 40,560 2,476,019 20.0% 35.5% 

Aug 131,140 (898) (73,056) 57,186 2,533,206 27.7% 35.4% 

Sep 114,386 (3,064) (74,305) 37,017 2,570,223 17.5% 35.2% 

YTD 2020 $767,938 ($17,673) ($511,005) $239,260 $2,570,223 13.7% 29.2% 

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

Agency Non-Agency

Sep 2019 $46,142 ($40,259) ($2,912) $221,601 16.3% 16.0% Sep 2019 $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

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

Jan 2020 $27,516 ($35,350) ($2,665) $202,175 (59.2%) 15.0% Jan 2020 $115,264 $8,428 $1,582 $76,901 $202,175

Feb 29,864 (27,297) (2,547) 202,195 0.1% 15.1% Feb 114,042 8,791 1,566 77,796 202,195

Mar 41,227 (29,987) (2,238) 211,197 53.4% 13.3% Mar 115,450 8,744 1,553 85,450 211,197

Apr 57,560 (62,506) (2,809) 203,443 (44.1%) 16.0% Apr 107,945 6,690 1,540 87,268 203,443

May 60,437 (73,378) (2,605) 187,897 (91.7%) 15.4% May 91,921 4,145 1,529 90,302 187,897

Jun 79,605 (71,127) (2,264) 194,110 39.7% 14.5% Jun 87,976 3,079 1,512 101,543 194,110

Jul 86,189 (84,665) (2,318) 193,316 (4.9%) 14.3% Jul 91,855 3,284 1,498 96,679 193,316

Aug 94,753 (89,432) (2,405) 196,232 18.1% 14.9% Aug 84,724 3,325 1,486 106,697 196,232

Sep 93,820 (89,529) (2,347) 198,176 11.9% 14.4% Sep 87,212 4,116 1,470 105,378 198,176

YTD 2020 $570,971 ($563,271) ($22,198) $198,176 (9.1%) 13.9% YTD 2020 $87,212 $4,116 $1,470 $105,378 $198,176

Monthly Volume Summary: September 2020

(unaudited & subject to change)

(dollars in millions)

Liquidations

Net Increase/ 

(Decrease)

Purchases or 

Issuances Sales 

Purchases(1)

Ending Balance

Annualized Growth 

Rate 

Annualized 

Liquidation 

Rate

Ending 

Balance(3)

Freddie Mac 

Mortgage-Related 

Securities

Non-Freddie Mac Mortgage-Related 

Securities

Mortgage 

Loans

Annualized 

Sales Ending Balance Liquidation Rate (3) Liquidations

Annualized Growth 

Rate

September 2020 Highlights: ► The total mortgage portfolio increased at an annualized rate of 17.5% in September. ► Single-family refinance-loan purchase and guarantee volume was $70.9 billion in September, representing 69% of 

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

approximately $1.9 billion in September. ► Freddie Mac mortgage-related securities and other mortgage-related guarantees increased at an annualized rate 

of 18.6% in September. ► Our single-family delinquency rate decreased from 3.17% in August to 3.04% in September. Our multifamily 

delinquency rate remained flat at 0.13% in September. ► The measure of our exposure to changes in portfolio value (PVS-L) averaged $103 million in September. Duration 

gap averaged 1 month. ► Since September 2008, Freddie Mac has been operating in conservatorship, with the Federal Housing Finance 

Agency (FHFA) acting as Conservator. ► As of September, our maximum exposure to Fannie Mae-issued collateral that was included in Freddie Macissued resecuritizations was approximately $69.0 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 - INDEBTEDNESS PURSUANT TO THE PURCHASE AGREEMENT 

Original Maturity < 

1 Year

Annualized Growth 

Rate

Annualized 

Liquidation Rate Ending Balance(2) Issuances

Maturities and 

Redemptions Repurchases

Ending 

Balance

Total Debt 

Outstanding(2)

Sep 2019 $50,129 ($38,570) $11,559 $2,190,219 6.4% 21.2% Sep 2019 $85,817 $8,291 ($16,014) $ - $187,778 $273,595

Oct 53,495 (42,840) 10,655 2,200,874 5.8% 23.5% Oct 97,436 12,597 (20,183) - 180,192 277,627

Nov 61,007 (47,165) 13,842 2,214,716 7.5% 25.7% Nov 93,349 10,329 (16,633) (80) 173,808 267,157

Dec 57,414 (35,238) 22,176 2,236,893 12.0% 19.1% Dec 101,237 10,768 (12,483) (15) 172,077 273,314

Full-Year 2019 $521,709 ($368,822) $152,887 $2,236,893 7.3% 17.7% Full-Year 2019 $101,237 $124,041 ($155,549) ($869) $172,077 $273,314

Jan 2020 $53,771 ($38,303) $15,468 $2,252,361 8.3% 20.5% Jan 2020 $106,031 $13,835 ($17,325) - $168,587 $274,618

Feb 42,740 (33,255) 9,485 2,261,846 5.1% 17.7% Feb 101,386 13,551 (12,461) - 169,677 271,063

Mar 47,666 (37,333) 10,333 2,272,179 5.5% 19.8% Mar 98,135 33,359 (13,018) - 190,018 288,153

Apr 78,361 (49,982) 28,379 2,300,558 15.0% 26.4% Apr 89,966 26,718 (21,876) - 194,861 284,827

May 74,496 (64,038) 10,458 2,311,015 5.5% 33.4% May 88,276 24,177 (23,948) - 195,090 283,366

Jun 81,469 (63,193) 18,276 2,329,290 9.5% 32.8% Jun 78,165 32,597 (16,508) - 211,179 289,344

Jul 116,357 (71,121) 45,236 2,374,527 23.3% 36.6% Jul 61,394 37,008 (18,794) (4,499) 224,894 286,288

Aug 119,474 (72,333) 47,141 2,421,668 23.8% 36.6% Aug 37,071 34,775 (12,104) - 247,565 284,636

Sep 111,420 (73,857) 37,563 2,459,232 18.6% 36.6% Sep 17,651 32,661 (10,251) (650) 269,326 286,977

YTD 2020 $725,754 ($503,415) $222,339 $2,459,232 13.3% 30.0% YTD 2020 $17,651 $248,681 ($146,284) ($5,149) $269,326 $286,977

TABLE 6 - DELINQUENCIES - TOTAL TABLE 7 - OTHER INVESTMENTS(2) 

Multifamily

Sep 2019 0.72% 0.76% 0.34% 0.61% 0.04% Sep 2019 $50,448 Sep 2019 $48 54 $17 17 1 0

Oct 0.71% 0.77% 0.35% 0.61% 0.05% Oct 60,192 Oct 70 -- 6 -- 0 --

Nov 0.72% 0.78% 0.37% 0.62% 0.06% Nov 64,008 Nov 29 -- 11 -- 0 --

Dec 0.70% 0.79% 0.40% 0.63% 0.08% Dec 64,212 Dec 5 35 8 8 0 0

Full-Year 2019 $64,212 Full-Year 2019 $96 -- $34 -- 1 --

Jan 2020 0.67% 0.78% 0.40% 0.60% 0.08% Jan 2020 $73,531 Jan 2020 $3 -- $7 -- 0 --

Feb 0.67% 0.77% 0.39% 0.60% 0.08% Feb 68,277 Feb 25 -- 9 -- 0 --

Mar 0.67% 0.77% 0.39% 0.60% 0.08% Mar 70,700 Mar 150 62 14 10 1 0

Apr 0.70% 0.82% 0.44% 0.64% 0.08% Apr 75,793 Apr 63 -- 12 -- 0 --

May 0.85% 1.07% 0.64% 0.81% 0.09% May 92,771 May 66 -- 11 -- 0 --

Jun 2.16% 3.39% 2.81% 2.48% 0.10% Jun 91,872 Jun 51 60 13 12 0 0

Jul 2.64% 4.25% 3.60% 3.12% 0.09% Jul 86,745 Jul 80 -- 15 -- 1 --

Aug 2.66% 4.32% 3.73% 3.17% 0.13% Aug 87,093 Aug 134 -- 10 -- 1 --

Sep 2.51% 4.18% 3.60% 3.04% 0.13% Sep 83,234 Sep 103 105 9 11 1 1

YTD 2020 $83,234 YTD 2020 $76 -- $11 -- 1 --

ENDNOTES

(1)

(2)

(3)

Portfolio ValueDuration Gap

Single-Family Yield Curve

Issuances Liquidations

Net Increase/ 

(Decrease) Ending Balance

Credit Enhanced

TABLE 8 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES

(PVS-YC) (25 bp)

Original Maturity > 1 Year

Level

Portfolio Value-

(PVS-L) (50 bp)

Total Total

Quarterly 

Average

(dollars in millions)

Monthly 

Average

(Rounded to Nearest Month)

Quarterly 

Monthly Average Average

(dollars in millions)

Non-Credit 

Enhanced

Primary 

Mortgage 

Insurance

Beginning in 2020, we offset amounts recognized as payables under repurchase agreements accounted for as collateralized borrowings and amounts recognized as receivables under reverse repurchase agreements accounted for as 

collateralized borrowings when such amounts meet the conditions for offsetting repurchase and reverse repurchase agreements in FASB ASC Subtopic 210-20 (Balance Sheet – Offsetting). Previously, such amounts were presented on a 

gross basis, with amounts recognized as payables under repurchase agreements accounted for as collateralized borrowings included in Other Debt and amounts recognized as receivables under reverse repurchase agreements accounted for 

as collateralized borrowings included in Other Investments. Prior periods have been revised to conform to the current period presentation.

The amount of mortgage assets that we may own in our mortgage-related investments portfolio is 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. Effective January 2020, FHFA directed us to include 10% of the notional value of interest-only securities we hold when calculating the size of our 

mortgage-related investments portfolio. As a result, the balance of our mortgage-related investments portfolio as determined under this FHFA directive was $203.9 billion as of September 30, 2020, including $5.7 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 $11.3 billion (based on UPB) during September 2020.

Quarterly 

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 four primary components. The balance of Freddie Mac mortgage-related securities includes the Fannie Mae-backed portion of partially-owned Freddie Mac issued 

commingled securities, which was $475 million in September. The balance of Non-Freddie Mac mortgage-related securities - agency includes the Fannie Mae-backed portion of 100%-owned Freddie Mac-issued commingled securities.

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 120% of our mortgagerelated investments portfolio (Tables 2 and 3). 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 - (This section was modified from previous month to contain proposed draft changes)

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 mortgage-related securities and loans to which we have exposure through our guarantee or ownership. This includes Freddie Mac guaranteed 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 $28 million of unguaranteed Freddie Mac mortgage-related securities retained by us associated with credit risk transfer transactions. This 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 Macissued commingled securities was $475 million in September. 

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