TABLE 1 - TOTAL MORTGAGE PORTFOLIO

Dec 2016 52,706 (2,464) (33,624) 16,618 2,011,414 10.0% 20.2%

Full-Year 2016 $456,254 ($23,098) ($363,329) $69,827 $2,011,414 3.6% 18.7%

Jan 2017 39,250 (1,638) (31,396) 6,216 2,017,630 3.7% 18.7%

Feb 29,032 (1,328) (24,130) 3,574 2,021,204 2.1% 14.4%

Mar 29,925 (737) (21,165) 8,023 2,029,227 4.8% 12.6%

Apr 28,314 (4,167) (23,260) 887 2,030,114 0.5% 13.8%

May 28,570 (2,423) (23,042) 3,105 2,033,219 1.8% 13.6%

Jun 35,030 (738) (26,611) 7,681 2,040,900 4.5% 15.7%

Jul 32,561 (1,516) (28,003) 3,042 2,043,941 1.8% 16.5%

Aug 40,566 (6,098) (24,999) 9,469 2,053,411 5.6% 14.7%

Sep 35,297 (4,691) (27,231) 3,375 2,056,786 2.0% 15.9%

Oct 41,315 (5,975) (25,007) 10,333 2,067,118 6.0% 14.6%

Nov 42,567 (3,503) (24,124) 14,940 2,082,059 8.7% 14.0%

Dec 46,359 (3,388) (27,400) 15,571 2,097,630 9.0% 15.8%

YTD 2017 $428,786 ($36,202) ($306,368) $86,216 $2,097,630 4.3% 15.2%

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

Agency Non-Agency

Dec 2016 37,087 (37,544) (4,981) 298,426 (21.5%) 19.7% Dec 2016 136,184 11,771 22,922 127,549 298,426

Full-Year 2016 $300,789 ($293,567) ($55,708) $298,426 (14.0%) 16.1% Full-Year 2016 $136,184 $11,771 $22,922 $127,549 $298,426

Jan 2017 22,449 (17,652) (4,344) 298,878 1.8% 17.5% Jan 2017 141,838 10,716 21,755 124,568 298,878

Feb 17,485 (16,903) (4,079) 295,381 (14.0%) 16.4% Feb 143,138 10,955 19,281 122,007 295,381

Mar 20,948 (21,010) (4,110) 291,210 (16.9%) 16.7% Mar 140,614 10,790 18,406 121,400 291,210

Apr 20,973 (18,891) (3,589) 289,703 (6.2%) 14.8% Apr 141,556 10,449 17,690 120,008 289,703

May 17,432 (20,497) (4,062) 282,576 (29.5%) 16.8% May 137,858 10,118 17,158 117,442 282,576

Jun 25,158 (19,012) (5,035) 283,687 4.7% 21.4% Jun 136,702 9,853 16,323 120,809 283,687

Jul 20,356 (23,093) (4,114) 276,835 (29.0%) 17.4% Jul 133,050 9,557 15,443 118,785 276,835

Aug 25,744 (28,326) (3,397) 270,857 (25.9%) 14.7% Aug 129,885 9,386 12,783 118,803 270,857

Sep 22,928 (23,453) (3,651) 266,681 (18.5%) 16.2% Sep 130,519 7,625 10,901 117,636 266,681

Oct 24,485 (28,863) (3,112) 259,191 (33.7%) 14.0% Oct 131,383 6,390 9,447 111,971 259,191

Nov 26,905 (28,181) (3,882) 254,033 (23.9%) 18.0% Nov 132,326 5,514 8,883 107,310 254,033

Dec 35,149 (32,020) (3,706) 253,455 (2.7%) 17.5% Dec 132,258 5,223 8,803 107,171 253,455

YTD 2017 $280,012 ($277,901) ($47,081) $253,455 (15.1%) 15.8% YTD 2017 $132,258 $5,223 $8,803 $107,171 $253,455

Monthly Volume Summary: December 2017

(unaudited & subject to change)

(dollars in millions)

Liquidations

Net Increase/ 

(Decrease)

Purchases or 

Issuances Sales Ending Balance

Annualized Growth 

Rate 

Annualized 

Liquidation 

Rate

Purchases1 Sales Ending Balance

Annualized 

Liquidations Liquidation Rate

Annualized Growth 

Rate

Ending 

Balance

Freddie Mac 

Mortgage-Related 

Securities

Non-Freddie Mac Mortgage-Related 

Securities

Mortgage 

Loans

December 2017 Highlights:

► The total mortgage portfolio increased at an annualized rate of 9.0% in December.

► Single-family refinance-loan purchase and guarantee volume was $13.7 billion in December, representing 44% of 

total single-family mortgage portfolio purchases and issuances. Relief refinance mortgages comprised approximately 

4% of our total refinance volume during December.

► Total number of single-family loan modifications were 3,575 in December and 45,164 for the twelve months ended 

December 31, 2017.

► The aggregate unpaid principal balance (UPB) of our mortgage-related investments portfolio decreased by 

approximately $600 million in December.

► Freddie Mac mortgage-related securities and other mortgage-related guarantees increased at an annualized rate 

of 9.8% in December.

► Our single-family seriously delinquent rate increased from 95 basis points in November to 108 basis points in 

December. Our multifamily delinquency rate remained flat at 2 basis points in December.

► The measure of our exposure to changes in portfolio market value (PMVS-L) averaged $14 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. 

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

Ending Balance 

Annualized Growth 

Rate

Annualized 

Liquidation Rate Ending Balance Issuances

Maturities and 

Redemptions Repurchases2

Ending 

Balance

Total Debt 

Outstanding

Dec 2016 46,316 (31,058) 15,258 1,849,167 10.0% 20.3% Dec 2016 71,517 2,974 (3,292) (53) 285,226 356,743

Full-Year 2016 $443,203 ($336,535) $106,668 $1,849,167 6.1% 19.3% Full-Year 2016 $71,517 $165,310 ($184,419) ($53) $285,226 $356,743

Jan 2017 40,847 (29,427) 11,420 1,860,587 7.4% 19.1% Jan 2017 74,408 10,370 (9,135) - 286,461 360,869

Feb 30,580 (22,210) 8,370 1,868,957 5.4% 14.3% Feb 69,345 8,315 (9,787) - 284,988 354,334

Mar 28,743 (19,075) 9,668 1,878,625 6.2% 12.2% Mar 79,627 4,988 (11,061) - 278,915 358,541

Apr 25,309 (21,975) 3,334 1,881,959 2.1% 14.0% Apr 79,126 12,784 (15,171) (15) 276,512 355,639

May 27,689 (21,153) 6,536 1,888,495 4.2% 13.5% May 69,631 6,298 (7,509) (894) 274,408 344,039

Jun 29,246 (23,832) 5,414 1,893,909 3.4% 15.1% Jun 67,742 6,023 (8,036) (135) 272,259 340,001

Jul 32,497 (26,257) 6,240 1,900,149 4.0% 16.6% Jul 67,288 8,259 (16,240) (163) 264,116 331,404

Aug 36,547 (24,265) 12,282 1,912,431 7.8% 15.3% Aug 64,855 2,604 (10,512) (52) 256,156 321,011

Sep 33,931 (25,746) 8,185 1,920,616 5.1% 16.2% Sep 69,554 6,542 (11,058) - 251,640 321,194

Oct 42,617 (23,933) 18,684 1,939,301 11.7% 15.0% Oct 64,194 3,452 (4,510) - 250,582 314,776

Nov 46,126 (25,085) 21,041 1,960,342 13.0% 15.5% Nov 75,807 9,603 (9,529) (140) 250,516 326,324

Dec 41,940 (25,858) 16,082 1,976,424 9.8% 15.8% Dec 73,184 3,796 (10,620) (147) 243,545 316,729

YTD 2017 $416,072 ($288,816) $127,256 $1,976,424 6.9% 15.6% YTD 2017 $73,184 $83,034 ($123,168) ($1,546) $243,545 $316,729

TABLE 6 - DELINQUENCIES - TOTAL TABLE 7 - OTHER INVESTMENTS 

Multifamily

Dec 2016 1.02% 1.46% 0.43% 1.00% 0.03% Dec 2016 71,654 Dec 2016 7 16 6 7 0 0

Dec 2016 $71,654 Full-Year 2016 $20 -- $6 -- 0 --

Jan 2017 1.01% 1.43% 0.44% 0.99% 0.03% Jan 2017 72,983 Jan 2017 14 -- 9 -- 0 --

Feb 1.01% 1.40% 0.39% 0.98% 0.03% Feb 71,147 Feb 1 -- 8 -- 0 --

Mar 0.96% 1.31% 0.37% 0.92% 0.03% Mar 73,392 Mar 0 5 5 7 0 0

Apr 0.98% 1.29% 0.34% 0.92% 0.03% Apr 69,236 Apr 0 -- 5 -- 0 --

May 0.92% 1.23% 0.34% 0.87% 0.01% May 67,320 May 7 -- 5 -- 0 --

Jun 0.91% 1.20% 0.32% 0.85% 0.01% Jun 59,946 Jun 20 9 6 5 0 0

Jul 0.91% 1.17% 0.32% 0.85% 0.01% Jul 60,580 Jul 43 -- 7 -- 0 --

Aug 0.90% 1.14% 0.32% 0.84% 0.03% Aug 55,301 Aug 42 -- 6 -- 0 --

Sep 0.92% 1.15% 0.34% 0.86% 0.02% Sep 60,147 Sep 18 35 14 9 0 0

Oct 0.95% 1.14% 0.32% 0.86% 0.03% Oct 62,381 Oct 22 -- 7 -- 0 --

Nov 1.04% 1.26% 0.40% 0.95% 0.02% Nov 81,066 Nov 14 -- 8 -- 0 --

Dec 1.16% 1.43% 0.53% 1.08% 0.02% Dec 68,946 Dec 14 17 4 7 0 0

Dec 2017 $68,946 YTD 2017 $16 -- $7 -- 0 --

ENDNOTES

(1)

(2)

Total

Purchases of Freddie Mac mortgage-related securities into the mortgage-related investments portfolio totaled $12 billion (based on UPB) during December 2017.

Total

Non-Credit 

Enhanced

Primary 

Mortgage 

Insurance Other 

In December 2017, the Maturities and Redemptions activity and the Repurchases activity in Table 5 were revised for all periods presented in order to reclassify Repurchase amounts originally included in Maturities and Redemptions to the

Repurchases column. This revision did not impact the ending balances.

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 DISCLOSURES 

(PMVS-YC) (25 bp)

Issuances Liquidations 

Net Increase/ 

(Decrease)

Ending Balance

Level

Portfolio Market Value-

(PMVS-L) (50 bp)

Portfolio Market ValueDuration Gap

Yield Curve

Quarterly 

Monthly Average Average

Original Maturity > 1 Year

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.

Numbers may not sum due to rounding. See Additional Information on Page 3. Page 2 of 3
Page 3 of 3

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 $9 million of 

unguaranteed Freddie Mac mortgage-related securities retained by us associated with credit risk transfer transactions.

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 2

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.

General

The PMVS 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 PMVS 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

PMVS 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 PMVS measures are estimates of the amount of average potential pre-tax loss in the market value of our financial assets and liabilities due to parallel (PMVS-L) and non-parallel (PMVS-YC) changes in London Interbank Offered Rates 

(LIBOR). While we believe that our PMVS 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 and guarantee that are backed by mortgages.

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 any resecuritization activity involving Freddie Mac mortgage-related securities and guaranteed 

securities issued by Freddie Mac where the transfer of the underlying collateral would be accounted for as a secured borrowing.

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.

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