NEW YORK (Standard&Poor's) June 14, 2007—Standard&Poor's Ratings Services said today that its long-term rating on Freddie Mac (AAA/A-1+) securities would not be affected by the company's announcement of a first-quarter loss of $306 million. Freddie Mac's GAAP first-quarter loss mainly reflects the negative effect of $1.5 billion of mark-to-market charges, with approximately half of these related to derivative market-value losses. The remainder reflects weaker market-value pricing on mortgages and the guarantee obligation due to market uncertainty for mortgage credit performance in the midst of weaker house-pricing trends in the first quarter. Offsetting the GAAP-reported loss was net interest margin stability during the first quarter and strong credit performance metrics, as net charge-offs were 1.5 basis points
