TABLE 1 - TOTAL MORTGAGE PORTFOLIO

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% 

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% 

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

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

Agency Non-Agency

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

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

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

Net Increase/ 

(Decrease)

Purchases or 

Issuances Sales 

Purchases1 Sales Liquidations Ending Balance

Annualized Growth 

Rate

Monthly Volume Summary: January 2020

(unaudited & subject to change)

(dollars in millions)

Liquidations Ending Balance

Annualized Growth 

Rate 

Annualized 

Liquidation 

Rate

Ending 

Balance

Freddie Mac 

Mortgage-Related 

Securities

Non-Freddie Mac Mortgage-Related 

Securities

Mortgage 

Loans

Annualized 

Liquidation Rate

January 2020 Highlights: ► The total mortgage portfolio increased at an annualized rate of 4.3% in January. ► Single-family refinance-loan purchase and guarantee volume was $25.8 billion in January, representing 57% of 

total single-family mortgage portfolio purchases and issuances. ► The aggregate unpaid principal balance (UPB) of our mortgage-related investments portfolio decreased by approximately $10.5 billion in January. ► Freddie Mac mortgage-related securities and other mortgage-related guarantees increased at an annualized rate of 8.3% in January. ► Our single-family seriously delinquent rate decreased from 63 basis points in December to 60 basis points in January. Our multifamily delinquency rate remianed flat at 8 basis points in January. ► The measure of our exposure to changes in portfolio value (PVS-L) averaged $3 million in January. 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 January, our maximum exposure to Fannie Mae-issued collateral that was included in Freddie Mac-issued resecuritizations was approximately $30.4 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(3) Issuances

Maturities and 

Redemptions Repurchases

Ending 

Balance

Total Debt 

Outstanding(3)

Jan 2019 $22,984 ($20,305) $2,679 $2,086,685 1.5% 11.7% Jan 2019 $48,743 $3,658 ($3,810) ($221) $204,082 $252,825

Feb 23,245 (18,467) 4,778 2,091,463 2.7% 10.6% Feb 67,046 5,950 (6,849) - 203,183 270,229

Mar 35,563 (19,409) 16,154 2,107,617 9.3% 11.1% Mar 65,248 4,792 (12,478) - 195,496 260,744

Apr 35,458 (23,082) 12,376 2,119,992 7.0% 13.1% Apr 68,215 11,949 (9,723) (135) 197,588 265,803

May 42,026 (26,961) 15,065 2,135,057 8.5% 15.3% May 65,412 11,188 (12,211) (317) 196,248 261,660

Jun 38,403 (31,063) 7,340 2,142,398 4.1% 17.5% Jun 61,548 18,698 (6,212) (101) 208,633 270,181

Jul 42,606 (29,969) 12,637 2,155,034 7.1% 16.8% Jul 68,899 10,200 (17,679) - 201,154 270,053

Aug 59,379 (35,753) 23,626 2,178,660 13.2% 19.9% Aug 78,600 15,621 (21,274) - 195,501 274,101

Sep 50,129 (38,570) 11,559 2,190,219 6.4% 21.2% Sep 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

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

TABLE 6 - DELINQUENCIES - TOTAL TABLE 7 - OTHER INVESTMENTS(3) 

Multifamily

Jan 2019 0.84% 0.86% 0.32% 0.70% 0.01% Jan 2019 $44,130 Jan 2019 $29 -- $4 -- 0 --

Feb 0.84% 0.85% 0.32% 0.69% 0.01% Feb 61,758 Feb 8 -- 9 -- 0 --

Mar 0.82% 0.82% 0.31% 0.67% 0.03% Mar 47,498 Mar 7 15 16 10 0 0

Apr 0.79% 0.79% 0.31% 0.65% 0.03% Apr 56,034 Apr 480 -- 177 -- 4 --

May 0.76% 0.77% 0.30% 0.63% 0.03% May 50,067 May 275 -- 109 -- 2 --

Jun 0.76% 0.76% 0.31% 0.63% 0.03% Jun 52,266 Jun 60 275 15 102 1 2

Jul 0.73% 0.76% 0.32% 0.61% 0.03% Jul 52,089 Jul 54 -- 13 -- 1 --

Aug 0.72% 0.75% 0.33% 0.61% 0.04% Aug 52,781 Aug 61 -- 20 -- 0 --

Sep 0.72% 0.76% 0.34% 0.61% 0.04% Sep 50,448 Sep 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 --

YTD 2020 73,531 YTD 2020 $3 -- $7 -- 0 --

ENDNOTES

(1)

(2)

(3)

TABLE 8 - INTEREST-RATE RISK SENSITIVITY DISCLOSURES2

(PVS-YC) (25 bp)

Issuances Liquidations

Net Increase/ 

(Decrease) Ending Balance

Original Maturity > 1 Year

Level

Portfolio Value-

(PVS-L) (50 bp)

Portfolio ValueDuration Gap

Single-Family Yield Curve

Credit Enhanced

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 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

Monthly Average

Purchases of Freddie Mac mortgage-related securities into the mortgage-related investments portfolio totaled $5 billion (based on UPB) during January 2020.

Quarterly 

Ending Balance Average

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 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 $42 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 $417 million in January.

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 2

Table 1

Table 6

Table 3

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. 

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 $417 million 

in January.

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

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.