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DELINQUENCIES (Table 6 of MVS) — Single-family delinquencies are based on the number of mortgages 90 days or more delinquent or in foreclosure as of period end while multifamily delinquencies are based on net carrying value of mortgages 60 days or more delinquent or in foreclosure as of period end. Excludes securities we classify as Structured Transactions as well as mortgage loans whose original contractual terms have been modified under an agreement with the borrower as long as the borrower complies with the modified contractual terms. The single-family non-credit enhanced statistics include only those loans for which Freddie Mac has assumed primary or full default risk. As a result, this statistic excludes loans covered by primary mortgage insurance, securities subject to subordinated agreements and loans for which the lender or a third party has retained the primary default risk.
DURATION GAP* (Table 7 of MVS) — Estimates the net sensitivity of the fair value
of our financial instruments (assets and liabilities, including derivatives)
to movements in interest rates. Duration gap is presented in units expressed
as months and reflects the average of the daily estimates for a given month
or quarter). A duration gap of zero implies that the change in value of assets
from an instantaneous rate move will be accompanied by an equal and offsetting
move in the value of debt and derivatives, thus leaving the net fair value of
equity unchanged. However, because duration does not capture convexity exposure
(the amount by which duration itself changes as rates move), actual changes
in fair value from interest rate changes may differ from those implied by duration
gap alone.
MORTGAGE PURCHASE AND SALES AGREEMENTS (Table 2 of MVS) — Reflects trades entered into during the month and includes: (a) monthly commitments to purchase mortgage-related securities for the Retained portfolio offset by monthly commitments to sell mortgage-related securities out of the Retained portfolio and (b) the net amount of monthly mortgage loan purchases and sales agreements. Substantially all of these commitments are settled by delivery of a mortgage-related security or mortgage loan; the rest are net settled for cash. Mortgage Purchase Agreements, Net also includes the net amount of mortgage-related securities that we expect to purchase or sell pursuant to written and purchased options for which we expect to take or make delivery of the securities. In some instances, commitments may settle during the same period in which we have entered into the related commitment.
NEW BUSINESS PURCHASES (Table 1 of MVS) — Includes, on a settlement date basis, purchases of mortgages and mortgage-related securities as part of our issuance of Guaranteed PCs and structured securities as well as our Retained portfolio purchases of mortgage loans and non-Freddie Mac mortgage-related securities.
PC PURCHASES/SALES INTO/FROM RETAINED PORTFOLIO (Table 2 of MVS) — Purchases/sales
of previously issued Freddie Mac mortgage-related securities by the Retained
portfolio.
PORTFOLIO MARKET VALUE SENSITIVITY LEVEL (PMVS-L)* (Table 7 of MVS) — Shows the estimated loss in pre-tax portfolio market value from an immediate adverse 50 basis point parallel shift (up or down) in the level of London Inter-Bank Offered Rates ("LIBOR") (that is, when the yield at each point on the LIBOR curve increases or decreases by 50 basis points). This disclosure reflects the average of the daily PMVS-L estimates for the given month or quarter. This estimate does not take into account any rebalancing actions that we would typically take to reduce risk exposure.
PORTFOLIO MARKET VALUE SENSITIVITY YIELD CURVE
(PMVS-YC)* (Table 7 of MVS) — Shows the estimated loss in pre-tax portfolio market value from an immediate adverse 25 basis point change in the slope (up or down) of the LIBOR yield curve. This disclosure reflects the average of the daily PMVS-YC estimates for the given month or quarter.
SALES, NET OF OTHER ACTIVITY (Table 2 of MVS) — Represents: (a) sales of non-Freddie Mac mortgage-related securities from our Retained Portfolio, (b) sales of multifamily mortgage loans from our Retained portfolio, (c) net additions to the Retained portfolio for delinquent mortgage loans purchased out of PC pools and (d) balloon reset mortgages purchased out of PC pools. Excludes the transfer of single-family mortgage loans through transactions that qualify as sales and all transfers through swap-based exchanges.
TOTAL GUARANTEED PCs and STRUCTURED SECURITIES ISSUED (Table 4 of MVS) — PCs (Participation Certificates) are securities issued by Freddie Mac where the underlying collateral is pools of mortgage loans. Structured securities are single-class and multi-class securities issued by Freddie Mac as part of our resecuritization of previously issued Freddie Mac PCs and non-Freddie Mac mortgage-related securities. Includes PCs, Structured Securities and also tax-exempt multifamily housing revenue bonds for which we provide a guarantee, as well as credit-related commitments with respect to single-family mortgage loans held by third parties. Excludes Structured Securities where we have resecuritized PCs and other previously issued Structured Securities. These excluded Structured Securities do not increase our credit-related exposure and consist of single-class Structured Securities backed by PCs, Real Estate Mortgage Investment Conduits (REMICs) and principal-only strips. The notional balances of interest-only strips are excluded because this table is based on unpaid principal balance. Also excluded are modifiable and combinable REMIC tranches, where the holder has the option to exchange the security tranches for other predefined security tranches.
* Our PMVS and duration gap measures provide useful estimates of key interest-rate risk exposures and inculde the impact of our purchases and sales of derivative instruments, which we use to limit our exposure to changes in the London Interbank Offering Rates yield curve. While we believe that PMVS and duration gap 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 underlying estimation processes.
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