TABLE 1 - TOTAL MORTGAGE PORTFOLIO

Jul 2022 $42,880 ($283) ($35,491) $7,105 $3,369,218 2.5% 12.7% 

Aug 51,983 (244) (31,395) 20,345 3,389,563 7.2% 11.2% 

Sep 42,699 (801) (30,591) 11,307 3,400,870 4.0% 10.8% 

Oct 34,159 (354) (28,398) 5,407 3,406,277 1.9% 10.0% 

Nov 28,852 (236) (25,827) 2,789 3,409,065 1.0% 9.1% 

Dec 41,371 (263) (26,032) 15,076 3,424,141 5.3% 9.2% 

Full-Year 2022 $619,841 ($5,649) ($436,073) $178,119 $3,424,141 5.5% 13.4% 

Jan 2023 $24,464 ($126) ($23,969) $368 $3,424,510 0.1% 8.4% 

Feb 17,987 (183) (19,325) (1,521) 3,422,990 (0.5%) 6.8% 

Mar 23,373 (117) (20,735) 2,521 3,425,510 0.9% 7.3% 

Apr 23,002 (185) (25,999) (3,182) 3,422,328 (1.1%) 9.1% 

May 34,458 (286) (23,478) 10,693 3,433,021 3.7% 8.2% 

Jun 38,832 (139) (27,376) 11,316 3,444,337 4.0% 9.6% 

Jul 31,330 (243) (27,751) 3,336 3,447,673 1.2% 9.7% 

YTD 2023 $193,445 ($1,279) ($168,635) $23,531 $3,447,673 1.2% 8.4% 

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)

Jul 2022 $29,615 ($30,432) ($759) $79,270 (23.4%) 11.3% Jul 2022 $24,940 $1,072 $53,258 $79,270

Aug 31,988 (30,346) (497) 80,415 17.3% 7.5% Aug 24,459 896 55,060 80,415 

Sep 27,335 (27,449) (528) 79,773 (9.6%) 7.9% Sep 26,123 886 52,764 79,773 

Oct 23,333 (19,423) (614) 83,068 49.6% 9.2% Oct 26,482 878 55,708 83,068 

Nov 20,515 (19,728) (574) 83,282 3.1% 8.3% Nov 27,076 869 55,337 83,282 

Dec 31,273 (20,244) (1,581) 92,730 136.1% 22.8% Dec 27,455 855 64,420 92,730 

Full-Year 2022 $409,063 ($417,886) ($9,458) $92,730 (16.5%) 8.5% Full-Year 2022 $27,455 $855 $64,420 $92,730

Jan 2023 $17,457 ($18,627) ($435) $91,125 (20.8%) 5.6% Jan 2023 $27,329 $849 $62,947 $91,125

Feb 12,901 (15,539) (427) 88,060 (40.3%) 5.6% Feb 26,929 842 60,289 88,060 

Mar 16,269 (14,632) (601) 89,096 14.1% 8.2% Mar 27,113 833 61,150 89,096 

Apr 17,111 (18,445) (601) 87,161 (26.1%) 8.1% Apr 27,073 824 59,264 87,161 

May 23,140 (23,092) (663) 86,546 (8.5%) 9.1% May 27,330 818 58,398 86,546 

Jun 24,232 (21,959) (732) 88,087 21.4% 10.1% Jun 26,980 807 60,300 88,087 

Jul 22,210 (23,142) (561) 86,594 (20.3%) 7.6% Jul 26,748 798 59,048 86,594 

YTD 2023 $133,320 ($135,437) ($4,019) $86,594 (11.3%) 7.4% YTD 2023 $26,748 $798 $59,048 $86,594

Monthly Volume Summary: July 2023

(unaudited & subject to change)

(dollars in millions)

Liquidations

Net Increase/ 

(Decrease)

Purchases or 

Issuances Sales Ending Balance

Annualized Growth 

Rate 

Annualized 

Liquidation 

Rate July 2023 Highlights: • The total mortgage portfolio increased at an annualized rate of 1.2% in July. • Single-family refinance-loan purchase and guarantee volume was $2.7 billion in July, representing 10% of total 

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

approximately $1.5 billion in July. • Freddie Mac mortgage-related securities and other mortgage-related guarantees increased at an annualized rate of 

1.8% in July. • Our single-family delinquency rate remained flat at 0.56% in July. Our multifamily delinquency rate increased from 

0.21% in June to 0.23% in July. • The measure of our exposure to changes in portfolio value (PVS-L) averaged $0 million in July. 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 July, our maximum exposure to Fannie Mae-issued collateral that was included in Freddie Mac-issued 

resecuritizations was approximately $113.7 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

Jul 2022 $44,814 ($35,405) $9,409 $3,266,955 3.5% 13.0% Jul 2022 $6,860 $2,878 ($4,840) $ - $163,520 $170,380

Aug 50,102 (30,973) 19,129 3,286,085 7.0% 11.4% Aug 5,945 6,802 (6,864) (1,258) 162,200 168,145

Sep 44,089 (30,325) 13,764 3,299,849 5.0% 11.1% Sep 11,910 3,196 (2,082) - 163,314 175,225

Oct 30,779 (28,121) 2,658 3,302,507 1.0% 10.2% Oct 6,336 1,783 (60) (39) 164,998 171,334

Nov 28,713 (25,605) 3,108 3,305,615 1.1% 9.3% Nov 5,393 6,973 (3,201) (111) 168,659 174,053

Dec 30,806 (24,511) 6,295 3,311,910 2.3% 8.9% Dec 7,716 3,587 (1,884) - 170,362 178,078

Full-Year 2022 $615,687 ($435,306) $180,381 $3,311,910 5.8% 13.9% Full-Year 2022 $7,716 $42,291 ($50,474) ($3,116) $170,362 $178,078

Jan 2023 $25,887 ($23,627) $2,260 $3,314,170 0.8% 8.6% Jan 2023 $4,840 $4,957 ($508) ($768) $174,044 $178,884

Feb 20,461 (19,256) 1,205 3,315,375 0.4% 7.0% Feb 5,414 4,400 (704) (989) 176,751 182,165

Mar 22,299 (20,419) 1,880 3,317,255 0.7% 7.4% Mar 8,716 4,835 (202) - 181,384 190,100

Apr 24,634 (25,475) (841) 3,316,414 (0.3%) 9.2% Apr 6,575 3,177 (3,099) - 181,462 188,037

May 34,732 (22,844) 11,888 3,328,301 4.3% 8.3% May 11,778 14,815 (8,151) (356) 187,770 199,548

Jun 36,595 (26,934) 9,661 3,337,963 3.5% 9.7% Jun 11,385 2,350 (9,546) - 180,574 191,959

Jul 32,191 (27,164) 5,027 3,342,990 1.8% 9.8% Jul 5,555 4,017 (271) - 184,320 189,875

YTD 2023 $196,799 ($165,719) $31,080 $3,342,990 1.6% 8.6% YTD 2023 $5,555 $38,551 ($22,481) ($2,113) $184,320 $189,875

TABLE 6 - DELINQUENCIES - TOTAL TABLE 7 - OTHER INVESTMENTS

Multifamily

Jul 2022 0.63% 1.16% 0.74% 0.73% 0.07% Jul 2022 $106,601 Jul 2022 $5 - $5 - - - 

Aug 0.60% 1.10% 0.71% 0.70% 0.12% Aug 104,625 Aug 1 - 3 - - - 

Sep 0.59% 1.07% 0.68% 0.67% 0.13% Sep 114,145 Sep 1 3 5 4 - - 

Oct 0.57% 1.05% 0.67% 0.66% 0.15% Oct 108,077 Oct - - 3 - - - 

Nov 0.56% 1.04% 0.67% 0.66% 0.15% Nov 111,054 Nov 2 - 3 - - - 

Dec 0.57% 1.05% 0.68% 0.66% 0.12% Dec 107,503 Dec 2 1 2 2 - - 

Full-Year 2022 $107,503 Full-Year 2022 $5 - $5 - - - 

Jan 2023 0.56% 1.04% 0.68% 0.66% 0.12% Jan 2023 $111,088 Jan 2023 $ - - $2 - - - 

Feb 0.55% 1.04% 0.67% 0.65% 0.13% Feb 119,943 Feb - - 4 - - - 

Mar 0.52% 0.99% 0.64% 0.62% 0.13% Mar 124,753 Mar 8 3 3 3 - - 

Apr 0.52% 0.97% 0.62% 0.61% 0.19% Apr 125,127 Apr 14 - 3 - - - 

May 0.49% 0.94% 0.60% 0.58% 0.20% May 140,650 May 1 - 2 - - - 

Jun 0.48% 0.91% 0.58% 0.56% 0.21% Jun 131,821 Jun - 5 2 2 - - 

Jul 0.47% 0.91% 0.58% 0.56% 0.23% Jul 131,148 Jul - - 2 - - - 

YTD 2023 $131,148 YTD 2023 $3 - $2 - - - 

ENDNOTES

(1)

(2)

Credit Enhanced

TABLE 8 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES

(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

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 $109.5 billion as of July 31, 2023, including $22.9 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 $9.7 billion (based on UPB) during July 2023.

Quarterly 

Ending Balance Average

ADDITIONAL INFORMATION 

Total Total

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.

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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