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Glossary of Selected Monthly Volume Summary Terms

DELINQUENCIES (Table 6 of MVS) – Single-family delinquencies are based on the number of mortgages three monthly payments or more past due or in the process of foreclosure as of period end while multifamily delinquencies are based on the UPB of mortgages two monthly payments or more past due or in the process of foreclosure as of period end. Delinquency rates presented in Table 6 include mortgage loans underlying Other Guarantee Transactions, but exclude financial guarantees that are backed by either HFA bonds or Ginnie Mae Certificates as well as mortgage loans whose contractual terms have been modified under an agreement with the borrower as long as the borrower is less than three monthly payments (single-family) or two monthly payments (multifamily) past due under the modified contractual terms. Single-family credit enhanced statistics include those loans that have primary mortgage insurance and/or other forms of credit protection (e.g., loans included in the reference pool of mortgages covered by our Structured Agency Credit Risk, or STACR, debt note transactions).

DURATION GAP* (Table 8 of MVS) – Measures the difference in price sensitivity to interest rate changes between our assets and liabilities, and it is expressed in months relative to the market value of assets. A duration gap of zero implies that the duration of our assets equals the duration of our liabilities. As a result, the change in the value of assets from an instantaneous move in interest rates, either up or down, would be expected to be accompanied by an equal and offsetting change in the value of liabilities, thus leaving the fair value of net assets unchanged. A positive duration gap indicates that the duration of our assets exceeds the duration of our liabilities which, from a net perspective, implies that the fair value of net assets will increase in value when interest rates fall and decrease in value when interest rates rise. A negative duration gap indicates that the duration of our liabilities exceeds the duration of our assets which, from a net perspective, implies that the fair value of net assets will increase in value when interest rates rise and decrease in value when interest rates fall. Multiplying duration gap (expressed as a percentage of a year) by the fair value of our assets will provide an indication of the change in the fair value of our equity resulting from a one percent change in interest rates.

FOREIGN EXCHANGE TRANSLATION (Table 5 of MVS) – Represents the U.S. dollar impact of changes in spot exchange rates applied to our foreign-currency denominated debt.

MATURITIES AND REDEMPTIONS (Table 5 of MVS) – Represents all reductions to the outstanding balance of our debt with original contractual maturity greater than one year, other than Repurchases. Consequently, it includes calls and puts of our debt, as well as scheduled and unscheduled pay downs of transactions accounted for as secured borrowings under U.S. GAAP. For debt denominated in a currency other than the U.S. dollar, maturities and redemptions are reflected at the exchange rate on the maturity/redemption date.

MORTGAGE PURCHASE AGREEMENTS (Table 2 of MVS) – Reflects trades entered into during the month and includes: (a) monthly commitments to purchase mortgage-related securities for our mortgage-related investments portfolio, and (b) the amount of monthly mortgage loan purchase agreements entered into during the month. Substantially all of these commitments are settled by delivery of a mortgage-related security or mortgage loan; the rest are net settled for cash. Our purchase commitments may settle during the same month in which we have entered into the related commitment.

MORTGAGE SALE AGREEMENTS (Table 2 of MVS) – Reflects trades entered into during the month and includes: (a) monthly commitments to sell mortgage-related securities from our mortgage-related investments portfolio, and (b) the amount of monthly mortgage loan sale agreements entered into during the month. Substantially all of these commitments are settled by delivery of a mortgage-related security or mortgage loan; the rest are net settled for cash. Our sales commitments may settle during the same month in which we have entered into the related commitment.

OTHER INVESTMENTS (Table 7 of MVS) – Consists of our cash and other investments portfolio, which includes cash and cash equivalents, Federal funds sold, securities purchased under agreements to resell and investments in non-mortgage-related securities. The balance is presented on a settlement date basis (i.e., excludes non-mortgage investments traded but not yet settled). Investments in non-mortgage-related securities within this balance are presented at fair value.

PORTFOLIO MARKET VALUE SENSITIVITY LEVEL (PMVS-L)* (Table 8 of MVS) – Shows the estimated loss in pre-tax portfolio market value from an immediate adverse 50 basis point parallel shift (up and down) in the level of London Interbank 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 8 of MVS) – Shows the estimated loss in pre-tax portfolio market value from an immediate adverse 25 basis point change in the slope (up and down) of the LIBOR yield curve. This disclosure reflects the average of the daily PMVS-YC estimates for the given month or quarter.

PURCHASES (Table 2 of MVS) – Includes cash purchases of single-family and multifamily mortgage loans, purchases of Freddie Mac and non-Freddie Mac mortgage-related securities, and additions for seriously delinquent, modified and balloon/reset mortgage loans purchased out of PC pools.

PURCHASES OR ISSUANCES (Table 1 of MVS) – 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 guarantee commitments, issuances of other structured securities, and purchases of non-Freddie Mac mortgage-related securities.

SALES (Table 1 of MVS) – Includes sales of non-Freddie Mac mortgage-related securities and sales of mortgage loans.

SALES (Table 2 of MVS) – Includes sales of Freddie Mac mortgage-related securities (including sales to third parties from the securitization of previously purchased single-family and multifamily mortgage loans), sales of non-Freddie Mac mortgage-related securities and sales of mortgage loans.

FREDDIE MAC MORTGAGE-RELATED SECURITIES AND OTHER GUARANTEE COMMITMENTS (Table 4 of MVS) – Includes other guarantee commitments, which consist of tax-exempt multifamily housing revenue bonds, HFA bonds, and credit-related commitments with respect to single-family mortgage loans.  Excludes any resecuritization activity involving Freddie Mac mortgage-related securities.  Notional balances of interest-only strips are excluded because this table is based on unpaid principal balance.


* Our PMVS and duration gap measures include the impact of our purchases and sales of derivative instruments, which we use to limit our exposure to changes in interest rates. 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 underlying estimation processes.

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