☒ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934. |
☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934. |
Federally chartered | 52-0904874 | 8200 Jones Branch Drive | 22102-3110 | (703) | 903-2000 | |||||||||||||||||||||||||||||||||||||||
corporation | McLean, | Virginia | ||||||||||||||||||||||||||||||||||||||||||
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | (Address of principal executive offices) | (Zip Code) | (Registrant's telephone number, including area code) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||||||
None | N/A | N/A |
Large accelerated filer | ☒ | Accelerated filer | ☐ | |||||||||||||||||
Non-accelerated filer | ☐ | Smaller reporting company | ☐ | |||||||||||||||||
Emerging growth company | ☐ |
Table of Contents |
Page | |||||
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS | |||||
n Introduction | |||||
n Market Conditions and Economic Indicators | |||||
n Consolidated Results of Operations | |||||
n Consolidated Balance Sheets Analysis | |||||
n Our Portfolios | |||||
n Our Business Segments | |||||
n Risk Management | |||||
l Credit Risk | |||||
l Market Risk | |||||
n Liquidity and Capital Resources | |||||
n Critical Accounting Estimates | |||||
n Regulation and Supervision | |||||
n Forward-Looking Statements | |||||
FINANCIAL STATEMENTS | |||||
OTHER INFORMATION | |||||
CONTROLS AND PROCEDURES | |||||
EXHIBIT INDEX | |||||
SIGNATURES | |||||
FORM 10-Q INDEX |
Freddie Mac | i |
Table of Contents |
Table | Table | Description | Page | Table | Description | Page | ||||||||||
1 | 1 | Summary of Consolidated Results of Operations | 1 | Summary of Consolidated Results of Operations | ||||||||||||
2 | 2 | Components of Net Interest Income | 2 | Components of Net Interest Income | ||||||||||||
3 | 3 | Analysis of Net Interest Yield | 3 | Analysis of Net Interest Yield | ||||||||||||
4 | 4 | Components of Guarantee Income | 4 | Components of Guarantee Income | ||||||||||||
5 | 5 | Investment Gains (Losses), Net | 5 | Investment Gains (Losses), Net | ||||||||||||
6 | 6 | Benefit (Provision) for Credit Losses | 6 | Benefit (Provision) for Credit Losses | ||||||||||||
7 | 7 | Components of Legislative Assessments Expense | 7 | Components of Legislative Assessments Expense | ||||||||||||
8 | 8 | Summarized Condensed Consolidated Balance Sheets | 8 | Summarized Condensed Consolidated Balance Sheets | ||||||||||||
9 | 9 | Mortgage Portfolio | 9 | Mortgage Portfolio | ||||||||||||
10 | 10 | Guarantee Portfolio | 10 | Guarantee Portfolio | ||||||||||||
11 | 11 | Mortgage-Related Investments Portfolio | 11 | Mortgage-Related Investments Portfolio | ||||||||||||
12 | 12 | Other Investments Portfolio | 12 | Other Investments Portfolio | ||||||||||||
13 | 13 | Single-Family Segment Financial Results | 13 | Single-Family Segment Financial Results | ||||||||||||
14 | 14 | Multifamily Segment Financial Results | 14 | Multifamily Segment Financial Results | ||||||||||||
15 | 15 | Allowance for Credit Losses Ratios | 15 | Allowance for Credit Losses Activity | ||||||||||||
16 | 16 | Single-Family New Business Activity | 16 | Allowance for Credit Losses Ratios | ||||||||||||
17 | 17 | Single-Family Mortgage Portfolio CRT Issuance | 17 | Single-Family New Business Activity | ||||||||||||
18 | 18 | Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding | 18 | Single-Family Mortgage Portfolio CRT Issuance | ||||||||||||
19 | 19 | Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio | 19 | Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding | ||||||||||||
20 | 20 | Single-Family Credit Enhancement Receivables | 20 | Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio | ||||||||||||
21 | 21 | Credit Quality Characteristics of Our Single-Family Mortgage Portfolio | 21 | Single-Family Credit Enhancement Receivables | ||||||||||||
22 | 22 | Single-Family Mortgage Portfolio Attribute Combinations | 22 | Credit Quality Characteristics of Our Single-Family Mortgage Portfolio | ||||||||||||
23 | 23 | Multifamily Mortgage Portfolio CRT Issuance | 23 | Single-Family Mortgage Portfolio Attribute Combinations | ||||||||||||
24 | 24 | Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio | 24 | Multifamily Mortgage Portfolio CRT Issuance | ||||||||||||
25 | 25 | PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve | 25 | Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio | ||||||||||||
26 | 26 | Duration Gap and PVS Results | 26 | PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve | ||||||||||||
27 | 27 | PVS-L Results Before Derivatives and After Derivatives | 27 | Duration Gap and PVS Results | ||||||||||||
28 | 28 | Earnings Sensitivity to Changes in Interest Rates | 28 | PVS-L Results Before Derivatives and After Derivatives | ||||||||||||
29 | 29 | Liquidity Sources | 29 | Earnings Sensitivity to Changes in Interest Rates | ||||||||||||
30 | 30 | Funding Sources | 30 | Liquidity Sources | ||||||||||||
31 | 31 | Debt of Freddie Mac Activity | 31 | Funding Sources | ||||||||||||
32 | 32 | Maturity and Redemption Dates | 32 | Debt of Freddie Mac Activity | ||||||||||||
33 | 33 | Activity for Debt Securities of Consolidated Trusts Held by Third Parties | 33 | Maturity and Redemption Dates | ||||||||||||
34 | 34 | Net Worth Activity | 34 | Debt of Consolidated Trusts Activity | ||||||||||||
35 | 35 | Capital Metrics Under ERCF | 35 | Net Worth Activity | ||||||||||||
36 | 36 | Forecasted House Price Growth Rates | 36 | Capital Metrics Under ERCF | ||||||||||||
37 | 37 | Forecasted House Price Growth Rates |
Freddie Mac | ii |
Management's Discussion and Analysis | Introduction |
Freddie Mac | 1 |
Management's Discussion and Analysis | Introduction |
Freddie Mac | 2 |
Management's Discussion and Analysis | Introduction |
Freddie Mac | 3 |
Management's Discussion and Analysis | Market Conditions and Economic Indicators |
Freddie Mac | 4 |
Management's Discussion and Analysis | Market Conditions and Economic Indicators |
Freddie Mac | 5 |
Management's Discussion and Analysis | Market Conditions and Economic Indicators |
Freddie Mac | 6 |
Management's Discussion and Analysis | Market Conditions and Economic Indicators |
Freddie Mac | 7 |
Management's Discussion and Analysis | Market Conditions and Economic Indicators |
Freddie Mac | 8 |
Management's Discussion and Analysis | Consolidated Results of Operations |
Change | Change | Change | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | 1Q 2022 | 1Q 2021 | $ | % | (Dollars in millions) | 2Q 2022 | 2Q 2021 | $ | % | YTD 2022 | YTD 2021 | $ | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income | Net interest income | $4,104 | $3,639 | $465 | 13 | % | Net interest income | $4,759 | $4,767 | ($8) | — | % | $8,863 | $8,406 | $457 | 5 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee income | Guarantee income | 70 | 248 | (178) | (72) | Guarantee income | 205 | 356 | (151) | (42) | 275 | 604 | (329) | (54) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment gains (losses), net | Investment gains (losses), net | 1,513 | 1,208 | 305 | 25 | Investment gains (losses), net | 321 | 636 | (315) | (50) | 1,834 | 1,844 | (10) | (1) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other income (loss) | Other income (loss) | 159 | 178 | (19) | (11) | Other income (loss) | 119 | 107 | 12 | 11 | 278 | 285 | (7) | (2) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net revenues | Net revenues | 5,846 | 5,273 | 573 | 11 | Net revenues | 5,404 | 5,866 | (462) | (8) | 11,250 | 11,139 | 111 | 1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Benefit (provision) for credit losses | Benefit (provision) for credit losses | 837 | 196 | 641 | 327 | Benefit (provision) for credit losses | (307) | 740 | (1,047) | (141) | 530 | 936 | (406) | (43) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Salaries and employee benefits | Salaries and employee benefits | (356) | (344) | (12) | (3) | Salaries and employee benefits | (376) | (346) | (30) | (9) | (732) | (690) | (42) | (6) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Credit enhancement expense | Credit enhancement expense | (459) | (335) | (124) | (37) | Credit enhancement expense | (558) | (369) | (189) | (51) | (1,017) | (704) | (313) | (44) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Benefit for (decrease in) credit enhancement recoveries | Benefit for (decrease in) credit enhancement recoveries | (17) | (257) | 240 | 93 | Benefit for (decrease in) credit enhancement recoveries | (1) | (193) | 192 | 99 | (18) | (450) | 432 | 96 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Legislative assessments expense | Legislative assessments expense | (759) | (691) | (68) | (10) | Legislative assessments expense | (748) | (696) | (52) | (7) | (1,507) | (1,387) | (120) | (9) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other expense | Other expense | (341) | (361) | 20 | 6 | Other expense | (337) | (365) | 28 | 8 | (678) | (726) | 48 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-interest expense | Non-interest expense | (1,932) | (1,988) | 56 | 3 | Non-interest expense | (2,020) | (1,969) | (51) | (3) | (3,952) | (3,957) | 5 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) before income tax (expense) benefit | Income (loss) before income tax (expense) benefit | 4,751 | 3,481 | 1,270 | 36 | Income (loss) before income tax (expense) benefit | 3,077 | 4,637 | (1,560) | (34) | 7,828 | 8,118 | (290) | (4) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income tax (expense) benefit | Income tax (expense) benefit | (953) | (714) | (239) | (33) | Income tax (expense) benefit | (624) | (958) | 334 | 35 | (1,577) | (1,672) | 95 | 6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | Net income (loss) | 3,798 | 2,767 | 1,031 | 37 | Net income (loss) | 2,453 | 3,679 | (1,226) | (33) | 6,251 | 6,446 | (195) | (3) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | Other comprehensive income (loss), net of taxes and reclassification adjustments | (120) | (389) | 269 | 69 | Other comprehensive income (loss), net of taxes and reclassification adjustments | (66) | (68) | 2 | 3 | (186) | (457) | 271 | 59 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Comprehensive income (loss) | Comprehensive income (loss) | $3,678 | $2,378 | $1,300 | 55 | % | Comprehensive income (loss) | $2,387 | $3,611 | ($1,224) | (34) | % | $6,065 | $5,989 | $76 | 1 | % |
Freddie Mac | 9 |
Management's Discussion and Analysis | Consolidated Results of Operations |
Change | Change | Change | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | 1Q 2022 | 1Q 2021 | $ | % | (Dollars in millions) | 2Q 2022 | 2Q 2021 | $ | % | YTD 2022 | YTD 2021 | $ | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee net interest income: | Guarantee net interest income: | Guarantee net interest income: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Contractual net interest income(1) | Contractual net interest income(1) | $3,334 | $2,348 | $986 | 42 | % | Contractual net interest income(1) | $3,468 | $2,669 | $799 | 30 | % | $6,802 | $5,017 | $1,785 | 36 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Deferred fee income | Deferred fee income | 1,042 | 1,051 | (9) | (1) | Deferred fee income | 944 | 1,723 | (779) | (45) | 1,986 | 2,774 | (788) | (28) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total guarantee net interest income | Total guarantee net interest income | 4,376 | 3,399 | 977 | 29 | Total guarantee net interest income | 4,412 | 4,392 | 20 | — | 8,788 | 7,791 | 997 | 13 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments net interest income | Investments net interest income | 579 | 949 | (370) | (39) | Investments net interest income | 693 | 827 | (134) | (16) | 1,272 | 1,776 | (504) | (28) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (expense) from hedge accounting | Income (expense) from hedge accounting | (851) | (709) | (142) | (20) | Income (expense) from hedge accounting | (346) | (452) | 106 | 23 | (1,197) | (1,161) | (36) | (3) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income | Net interest income | $4,104 | $3,639 | $465 | 13 | % | Net interest income | $4,759 | $4,767 | ($8) | — | % | $8,863 | $8,406 | $457 | 5 | % |
Freddie Mac | 10 |
Management's Discussion and Analysis | Consolidated Results of Operations |
1Q 2022 | 1Q 2021 | 2Q 2022 | 2Q 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | Average Balance | Interest Income (Expense) | Average Rate | Average Balance | Interest Income (Expense) | Average Rate | (Dollars in millions) | Average Balance | Interest Income (Expense) | Average Rate | Average Balance | Interest Income (Expense) | Average Rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-earning assets: | Interest-earning assets: | Interest-earning assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | Cash and cash equivalents | $15,832 | $3 | 0.07 | % | $65,143 | $3 | 0.02 | % | Cash and cash equivalents | $14,628 | $16 | 0.42 | % | $120,325 | $1 | — | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Securities purchased under agreements to resell | 88,675 | 23 | 0.11 | 80,281 | 17 | 0.08 | Securities purchased under agreements to resell | 97,150 | 186 | 0.77 | 29,276 | 4 | 0.05 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment securities | Investment securities | 50,373 | 384 | 3.05 | 56,681 | 610 | 4.30 | Investment securities | 50,655 | 464 | 3.66 | 58,068 | 617 | 4.26 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans(1) | Mortgage loans(1) | 2,901,060 | 17,310 | 2.39 | 2,453,325 | 13,255 | 2.16 | Mortgage loans(1) | 2,953,930 | 19,324 | 2.62 | 2,568,878 | 14,590 | 2.27 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | Other assets | 5,534 | 20 | 1.40 | 5,601 | 17 | 1.27 | Other assets | 4,250 | 18 | 1.71 | 5,388 | 18 | 1.29 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total interest-earning assets | Total interest-earning assets | 3,061,474 | 17,740 | 2.32 | 2,661,031 | 13,902 | 2.09 | Total interest-earning assets | 3,120,613 | 20,008 | 2.56 | 2,781,935 | 15,230 | 2.19 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-bearing liabilities: | Interest-bearing liabilities: | Interest-bearing liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties | 2,836,484 | (13,249) | (1.87) | 2,342,060 | (9,756) | (1.67) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt of consolidated trusts | Debt of consolidated trusts | 2,903,912 | (14,595) | (2.01) | 2,479,641 | (10,032) | (1.62) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt of Freddie Mac | Debt of Freddie Mac | 182,580 | (387) | (0.85) | 274,873 | (507) | (0.74) | Debt of Freddie Mac | 174,018 | (654) | (1.50) | 255,905 | (431) | (0.67) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total interest-bearing liabilities | Total interest-bearing liabilities | 3,019,064 | (13,636) | (1.81) | 2,616,933 | (10,263) | (1.57) | Total interest-bearing liabilities | 3,077,930 | (15,249) | (1.98) | 2,735,546 | (10,463) | (1.53) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Impact of net non-interest-bearing funding | Impact of net non-interest-bearing funding | 42,410 | — | 0.03 | 44,098 | — | 0.03 | Impact of net non-interest-bearing funding | 42,683 | — | 0.03 | 46,389 | — | 0.03 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total funding of interest-earning assets | Total funding of interest-earning assets | 3,061,474 | (13,636) | (1.78) | 2,661,031 | (10,263) | (1.54) | Total funding of interest-earning assets | 3,120,613 | (15,249) | (1.95) | 2,781,935 | (10,463) | (1.50) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income/yield | Net interest income/yield | $4,104 | 0.54 | % | $3,639 | 0.55 | % | Net interest income/yield | $4,759 | 0.61 | % | $4,767 | 0.69 | % |
YTD 2022 | YTD 2021 | |||||||||||||||||||||||||
(Dollars in millions) | Average Balance | Interest Income (Expense) | Average Rate | Average Balance | Interest Income (Expense) | Average Rate | ||||||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||||||||
Cash and cash equivalents | $15,230 | $19 | 0.24 | % | $92,734 | $4 | 0.01 | % | ||||||||||||||||||
Securities purchased under agreements to resell | 92,913 | 209 | 0.45 | 54,778 | 21 | 0.07 | ||||||||||||||||||||
Investment securities | 50,514 | 848 | 3.36 | 57,374 | 1,227 | 4.28 | ||||||||||||||||||||
Mortgage loans(1) | 2,927,495 | 36,634 | 2.50 | 2,511,102 | 27,845 | 2.22 | ||||||||||||||||||||
Other assets | 4,892 | 38 | 1.53 | 5,495 | 35 | 1.28 | ||||||||||||||||||||
Total interest-earning assets | 3,091,044 | 37,748 | 2.44 | 2,721,483 | 29,132 | 2.14 | ||||||||||||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||||||||
Debt of consolidated trusts | 2,870,198 | (27,844) | (1.94) | 2,410,850 | (19,788) | (1.64) | ||||||||||||||||||||
Debt of Freddie Mac | 178,299 | (1,041) | (1.17) | 265,390 | (938) | (0.71) | ||||||||||||||||||||
Total interest-bearing liabilities | 3,048,497 | (28,885) | (1.89) | 2,676,240 | (20,726) | (1.55) | ||||||||||||||||||||
Impact of net non-interest-bearing funding | 42,547 | — | 0.03 | 45,243 | — | 0.03 | ||||||||||||||||||||
Total funding of interest-earning assets | 3,091,044 | (28,885) | (1.86) | 2,721,483 | (20,726) | (1.52) | ||||||||||||||||||||
Net interest income/yield | $8,863 | 0.58 | % | $8,406 | 0.62 | % |
Freddie Mac 2Q 2022 Form 10-Q | 11 |
Management's Discussion and Analysis | Consolidated Results of Operations |
Change | Change | Change | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | 1Q 2022 | 1Q 2021 | $ | % | (Dollars in millions) | 2Q 2022 | 2Q 2021 | $ | % | YTD 2022 | YTD 2021 | $ | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Contractual guarantee fees | Contractual guarantee fees | $318 | $285 | $33 | 12 | % | Contractual guarantee fees | $322 | $304 | $18 | 6 | % | $640 | $589 | $51 | 9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee obligation amortization | Guarantee obligation amortization | 299 | 272 | 27 | 10 | Guarantee obligation amortization | 306 | 288 | 18 | 6 | 605 | 560 | 45 | 8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee asset fair value changes | Guarantee asset fair value changes | (547) | (309) | (238) | (77) | Guarantee asset fair value changes | (423) | (236) | (187) | (79) | (970) | (545) | (425) | (78) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee income | Guarantee income | $70 | $248 | ($178) | (72) | % | Guarantee income | $205 | $356 | ($151) | (42) | % | $275 | $604 | ($329) | (54) | % |
Change | Change | Change | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | 1Q 2022 | 1Q 2021 | $ | % | (Dollars in millions) | 2Q 2022 | 2Q 2021 | $ | % | YTD 2022 | YTD 2021 | $ | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Single-Family | Single-Family | $1,252 | $300 | $952 | 317 | % | Single-Family | $232 | $137 | $95 | 69 | % | $1,484 | $437 | $1,047 | 240 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Multifamily | Multifamily | 261 | 908 | (647) | (71) | Multifamily | 89 | 499 | (410) | (82) | 350 | 1,407 | (1,057) | (75) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment gains (losses), net | Investment gains (losses), net | $1,513 | $1,208 | $305 | 25 | % | Investment gains (losses), net | $321 | $636 | ($315) | (50) | % | $1,834 | $1,844 | ($10) | (1) | % |
Change | Change | |||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 2Q 2022 | 2Q 2021 | $ | % | YTD 2022 | YTD 2021 | $ | % | ||||||||||||||||||||||||||||||
Single-Family | ($298) | $686 | ($984) | (143) | % | $533 | $832 | ($299) | (36) | % | ||||||||||||||||||||||||||||
Multifamily | (9) | 54 | (63) | (117) | (3) | 104 | (107) | (103) | ||||||||||||||||||||||||||||||
Benefit (provision) for credit losses | ($307) | $740 | ($1,047) | (141) | % | $530 | $936 | ($406) | (43) | % |
Freddie Mac |
Management's Discussion and Analysis | Consolidated Results of Operations |
Change | |||||||||||||||||||||||||||||||||||
(Dollars in millions) | 1Q 2022 | 1Q 2021 | $ | % | |||||||||||||||||||||||||||||||
Single-Family | $831 | $146 | $685 | 469 | % | ||||||||||||||||||||||||||||||
Multifamily | 6 | 50 | (44) | (88) | |||||||||||||||||||||||||||||||
Benefit (provision) for credit losses | $837 | $196 | $641 | 327 | % |
Change | Change | Change | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | 1Q 2022 | 1Q 2021 | $ | % | (Dollars in millions) | 2Q 2022 | 2Q 2021 | $ | % | YTD 2022 | YTD 2021 | $ | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Legislated guarantee fees expense | Legislated guarantee fees expense | ($666) | ($534) | ($132) | (25) | % | Legislated guarantee fees expense | ($684) | ($570) | ($114) | (20) | % | ($1,350) | ($1,104) | ($246) | (22) | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Affordable housing funds assessment | (93) | (157) | 64 | 41 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Affordable housing funds allocation | Affordable housing funds allocation | (64) | (126) | 62 | 49 | (157) | (283) | 126 | 45 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Legislative assessments expense | Legislative assessments expense | ($759) | ($691) | ($68) | (10) | % | Legislative assessments expense | ($748) | ($696) | ($52) | (7) | % | ($1,507) | ($1,387) | ($120) | (9) | % |
Freddie Mac |
Management's Discussion and Analysis | Consolidated Balance Sheets Analysis |
Change | Change | |||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | March 31, 2022 | December 31, 2021 | $ | % | (Dollars in millions) | June 30, 2022 | December 31, 2021 | $ | % | ||||||||||||||||||||||||||||||
Assets: | Assets: | Assets: | ||||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | Cash and cash equivalents | $10,526 | $10,150 | $376 | 4 | % | Cash and cash equivalents | $5,257 | $10,150 | ($4,893) | (48) | % | ||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Securities purchased under agreements to resell | 69,617 | 71,203 | (1,586) | (2) | Securities purchased under agreements to resell | 86,496 | 71,203 | 15,293 | 21 | ||||||||||||||||||||||||||||||
Subtotal | Subtotal | 80,143 | 81,353 | (1,210) | (1) | Subtotal | 91,753 | 81,353 | 10,400 | 13 | ||||||||||||||||||||||||||||||
Investment securities, at fair value | Investment securities, at fair value | 53,244 | 53,015 | 229 | — | Investment securities, at fair value | 48,937 | 53,015 | (4,078) | (8) | ||||||||||||||||||||||||||||||
Mortgage loans, net | Mortgage loans, net | 2,932,929 | 2,848,109 | 84,820 | 3 | Mortgage loans, net | 2,966,864 | 2,848,109 | 118,755 | 4 | ||||||||||||||||||||||||||||||
Accrued interest receivable, net | Accrued interest receivable, net | 7,675 | 7,474 | 201 | 3 | Accrued interest receivable, net | 7,871 | 7,474 | 397 | 5 | ||||||||||||||||||||||||||||||
Deferred tax assets, net | Deferred tax assets, net | 5,865 | 6,214 | (349) | (6) | Deferred tax assets, net | 5,552 | 6,214 | (662) | (11) | ||||||||||||||||||||||||||||||
Other assets | Other assets | 28,998 | 29,421 | (423) | (1) | Other assets | 24,604 | 29,421 | (4,817) | (16) | ||||||||||||||||||||||||||||||
Total assets | Total assets | $3,108,854 | $3,025,586 | $83,268 | 3 | % | Total assets | $3,145,581 | $3,025,586 | $119,995 | 4 | % | ||||||||||||||||||||||||||||
Liabilities and Equity: | Liabilities and Equity: | Liabilities and Equity: | ||||||||||||||||||||||||||||||||||||||
Liabilities: | Liabilities: | Liabilities: | ||||||||||||||||||||||||||||||||||||||
Accrued interest payable | Accrued interest payable | $6,266 | $6,268 | ($2) | — | % | Accrued interest payable | $6,594 | $6,268 | $326 | 5 | % | ||||||||||||||||||||||||||||
Debt | Debt | 3,059,125 | 2,980,185 | 78,940 | 3 | Debt | 3,093,178 | 2,980,185 | 112,993 | 4 | ||||||||||||||||||||||||||||||
Other liabilities | Other liabilities | 11,752 | 11,100 | 652 | 6 | Other liabilities | 11,711 | 11,100 | 611 | 6 | ||||||||||||||||||||||||||||||
Total liabilities | Total liabilities | 3,077,143 | 2,997,553 | 79,590 | 3 | Total liabilities | 3,111,483 | 2,997,553 | 113,930 | 4 | ||||||||||||||||||||||||||||||
Total equity | Total equity | 31,711 | 28,033 | 3,678 | 13 | Total equity | 34,098 | 28,033 | 6,065 | 22 | ||||||||||||||||||||||||||||||
Total liabilities and equity | Total liabilities and equity | $3,108,854 | $3,025,586 | $83,268 | 3 | % | Total liabilities and equity | $3,145,581 | $3,025,586 | $119,995 | 4 | % |
Freddie Mac |
Management's Discussion and Analysis | Our Portfolios |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | (In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||||||||||||||||||||
Securitized mortgage loans: | Securitized mortgage loans: | Securitized mortgage loans: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Held by consolidated trusts | Held by consolidated trusts | $2,804,121 | $21,424 | $2,825,545 | $2,706,514 | $18,757 | $2,725,271 | Held by consolidated trusts | $2,846,616 | $23,617 | $2,870,233 | $2,706,514 | $18,757 | $2,725,271 | ||||||||||||||||||||||||||||||||||||||
Held by nonconsolidated trusts | Held by nonconsolidated trusts | 32,082 | 363,472 | 395,554 | 33,340 | 362,627 | 395,967 | Held by nonconsolidated trusts | 32,335 | 364,977 | 397,312 | 33,340 | 362,627 | 395,967 | ||||||||||||||||||||||||||||||||||||||
Total securitized mortgage loans | Total securitized mortgage loans | 2,836,203 | 384,896 | 3,221,099 | 2,739,854 | 381,384 | 3,121,238 | Total securitized mortgage loans | 2,878,951 | 388,594 | 3,267,545 | 2,739,854 | 381,384 | 3,121,238 | ||||||||||||||||||||||||||||||||||||||
Unsecuritized mortgage loans: | Unsecuritized mortgage loans: | Unsecuritized mortgage loans: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Securitization pipeline and other loans | Securitization pipeline and other loans | 14,553 | 19,843 | 34,396 | 21,189 | 22,771 | 43,960 | Securitization pipeline and other loans | 13,658 | 16,270 | 29,928 | 21,189 | 22,771 | 43,960 | ||||||||||||||||||||||||||||||||||||||
Seasoned loans | Seasoned loans | 23,342 | — | 23,342 | 20,594 | — | 20,594 | Seasoned loans | 25,359 | — | 25,359 | 20,594 | — | 20,594 | ||||||||||||||||||||||||||||||||||||||
Total unsecuritized mortgage loans | Total unsecuritized mortgage loans | 37,895 | 19,843 | 57,738 | 41,783 | 22,771 | 64,554 | Total unsecuritized mortgage loans | 39,017 | 16,270 | 55,287 | 41,783 | 22,771 | 64,554 | ||||||||||||||||||||||||||||||||||||||
Other | Other | 10,303 | 10,529 | 20,832 | 10,587 | 10,508 | 21,095 | Other | 9,961 | 10,191 | 20,152 | 10,587 | 10,508 | 21,095 | ||||||||||||||||||||||||||||||||||||||
Total mortgage portfolio | Total mortgage portfolio | $2,884,401 | $415,268 | $3,299,669 | $2,792,224 | $414,663 | $3,206,887 | Total mortgage portfolio | $2,927,929 | $415,055 | $3,342,984 | $2,792,224 | $414,663 | $3,206,887 |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | (In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||||||||||||||||||||
Guaranteed mortgage-related securities: | Guaranteed mortgage-related securities: | Guaranteed mortgage-related securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Issued by consolidated trusts | Issued by consolidated trusts | $2,833,233 | $21,435 | $2,854,668 | $2,744,899 | $18,883 | $2,763,782 | Issued by consolidated trusts | $2,865,017 | $23,798 | $2,888,815 | $2,744,899 | $18,883 | $2,763,782 | ||||||||||||||||||||||||||||||||||||||
Issued by nonconsolidated trusts | Issued by nonconsolidated trusts | 26,329 | 319,939 | 346,268 | 27,538 | 318,756 | 346,294 | Issued by nonconsolidated trusts | 26,508 | 321,811 | 348,319 | 27,538 | 318,756 | 346,294 | ||||||||||||||||||||||||||||||||||||||
Total guaranteed mortgage-related securities | Total guaranteed mortgage-related securities | 2,859,562 | 341,374 | 3,200,936 | 2,772,437 | 337,639 | 3,110,076 | Total guaranteed mortgage-related securities | 2,891,525 | 345,609 | 3,237,134 | 2,772,437 | 337,639 | 3,110,076 | ||||||||||||||||||||||||||||||||||||||
Other | Other | 10,303 | 10,529 | 20,832 | 10,587 | 10,508 | 21,095 | Other | 9,961 | 10,191 | 20,152 | 10,587 | 10,508 | 21,095 | ||||||||||||||||||||||||||||||||||||||
Total guarantee portfolio | Total guarantee portfolio | $2,869,865 | $351,903 | $3,221,768 | $2,783,024 | $348,147 | $3,131,171 | Total guarantee portfolio | $2,901,486 | $355,800 | $3,257,286 | $2,783,024 | $348,147 | $3,131,171 |
Freddie Mac |
Management's Discussion and Analysis | Our Portfolios |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | (In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||||||||||||||||||||
Unsecuritized mortgage loans | Unsecuritized mortgage loans | $37,895 | $19,843 | $57,738 | $41,783 | $22,771 | $64,554 | Unsecuritized mortgage loans | $39,017 | $16,270 | $55,287 | $41,783 | $22,771 | $64,554 | ||||||||||||||||||||||||||||||||||||||
Mortgage-related securities | Mortgage-related securities | 31,359 | 3,706 | 35,065 | 43,357 | 3,100 | 46,457 | Mortgage-related securities | 21,161 | 4,398 | 25,559 | 43,357 | 3,100 | 46,457 | ||||||||||||||||||||||||||||||||||||||
Mortgage-related investments portfolio | Mortgage-related investments portfolio | $69,254 | $23,549 | $92,803 | $85,140 | $25,871 | $111,011 | Mortgage-related investments portfolio | $60,178 | $20,668 | $80,846 | $85,140 | $25,871 | $111,011 | ||||||||||||||||||||||||||||||||||||||
10% of notional amount of interest-only securities | 10% of notional amount of interest-only securities | $18,536 | $12,517 | 10% of notional amount of interest-only securities | $22,668 | $12,517 | ||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-related investments portfolio for purposes of Purchase Agreement cap | Mortgage-related investments portfolio for purposes of Purchase Agreement cap | 111,339 | 123,528 | Mortgage-related investments portfolio for purposes of Purchase Agreement cap | 103,514 | 123,528 |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Liquidity and Contingency Operating Portfolio | Custodial Account | Other | Total Other Investments Portfolio (1) | Liquidity and Contingency Operating Portfolio | Custodial Account | Other | Total Other Investments Portfolio (1) | (In millions) | Liquidity and Contingency Operating Portfolio | Custodial Account | Other | Total Other Investments Portfolio (1) | Liquidity and Contingency Operating Portfolio | Custodial Account | Other | Total Other Investments Portfolio (1) | ||||||||||||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | Cash and cash equivalents | $9,568 | $774 | $184 | $10,526 | $8,455 | $1,596 | $99 | $10,150 | Cash and cash equivalents | $4,401 | $756 | $100 | $5,257 | $8,455 | $1,596 | $99 | $10,150 | ||||||||||||||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Securities purchased under agreements to resell | 51,262 | 28,705 | 910 | 80,877 | 43,729 | 34,000 | 807 | 78,536 | Securities purchased under agreements to resell | 76,963 | 18,400 | 1,110 | 96,473 | 43,729 | 34,000 | 807 | 78,536 | ||||||||||||||||||||||||||||||||||||||||||||||
Non-mortgage-related securities | Non-mortgage-related securities | 32,909 | — | 3,034 | 35,943 | 28,078 | — | 4,695 | 32,773 | Non-mortgage-related securities | 28,350 | — | 3,010 | 31,360 | 28,078 | — | 4,695 | 32,773 | ||||||||||||||||||||||||||||||||||||||||||||||
Other assets | Other assets | — | — | 8,849 | 8,849 | — | — | 8,194 | 8,194 | Other assets | — | — | 6,780 | 6,780 | — | — | 8,194 | 8,194 | ||||||||||||||||||||||||||||||||||||||||||||||
Other investments portfolio | Other investments portfolio | $93,739 | $29,479 | $12,977 | $136,195 | $80,262 | $35,596 | $13,795 | $129,653 | Other investments portfolio | $109,714 | $19,156 | $11,000 | $139,870 | $80,262 | $35,596 | $13,795 | $129,653 |
Freddie Mac |
Management's Discussion and Analysis | Our Business Segments |
Segment | Description | ||||
Single-Family | Reflects results from our purchase, securitization, and guarantee of single-family loans, our investments in single-family loans and mortgage-related securities, the management of Single-Family mortgage credit risk and market risk, and any results of our treasury function that are not allocated to each segment. | ||||
Multifamily | Reflects results from our purchase, securitization, and guarantee of multifamily loans, our investments in multifamily loans and mortgage-related securities, and the management of Multifamily mortgage credit risk and market risk. | ||||
Freddie Mac |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
Freddie Mac |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
Freddie Mac |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
Freddie Mac |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
Freddie Mac |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
Change | Change | Change | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | 1Q 2022 | 1Q 2021 | $ | % | (Dollars in millions) | 2Q 2022 | 2Q 2021 | $ | % | YTD 2022 | YTD 2021 | $ | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee net interest income | $4,277 | $3,346 | $931 | 28 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments net interest income | 380 | 671 | (291) | (43) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (expense) from hedge accounting | (851) | (709) | (142) | (20) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income | Net interest income | 3,806 | 3,308 | 498 | 15 | Net interest income | $4,535 | $4,460 | $75 | 2 | % | $8,341 | $7,768 | $573 | 7 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-interest income | Non-interest income | 1,408 | 541 | 867 | 160 | Non-interest income | 336 | 255 | 81 | 32 | 1,744 | 796 | 948 | 119 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net revenues | Net revenues | 5,214 | 3,849 | 1,365 | 35 | Net revenues | 4,871 | 4,715 | 156 | 3 | 10,085 | 8,564 | 1,521 | 18 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Benefit (provision) for credit losses | Benefit (provision) for credit losses | 831 | 146 | 685 | 469 | Benefit (provision) for credit losses | (298) | 686 | (984) | (143) | 533 | 832 | (299) | (36) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-interest expense | Non-interest expense | (1,778) | (1,809) | 31 | 2 | Non-interest expense | (1,854) | (1,803) | (51) | (3) | (3,632) | (3,612) | (20) | (1) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) before income tax (expense) benefit | Income (loss) before income tax (expense) benefit | 4,267 | 2,186 | 2,081 | 95 | Income (loss) before income tax (expense) benefit | 2,719 | 3,598 | (879) | (24) | 6,986 | 5,784 | 1,202 | 21 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income tax (expense) benefit | Income tax (expense) benefit | (856) | (448) | (408) | (91) | Income tax (expense) benefit | (551) | (743) | 192 | 26 | (1,407) | (1,191) | (216) | (18) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | Net income (loss) | 3,411 | 1,738 | 1,673 | 96 | Net income (loss) | 2,168 | 2,855 | (687) | (24) | 5,579 | 4,593 | 986 | 21 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | Other comprehensive income (loss), net of taxes and reclassification adjustments | (12) | (328) | 316 | 96 | Other comprehensive income (loss), net of taxes and reclassification adjustments | 5 | (74) | 79 | 107 | (7) | (402) | 395 | 98 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Comprehensive income (loss) | Comprehensive income (loss) | $3,399 | $1,410 | $1,989 | 141 | % | Comprehensive income (loss) | $2,173 | $2,781 | ($608) | (22) | % | $5,572 | $4,191 | $1,381 | 33 | % |
Freddie Mac |
Management's Discussion and Analysis | Our Business Segments | Multifamily |
Freddie Mac |
Management's Discussion and Analysis | Our Business Segments | Multifamily |
Freddie Mac |
Management's Discussion and Analysis | Our Business Segments | Multifamily |
Freddie Mac |
Management's Discussion and Analysis | Our Business Segments | Multifamily |
Change | Change | Change | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | 1Q 2022 | 1Q 2021 | $ | % | (Dollars in millions) | 2Q 2022 | 2Q 2021 | $ | % | YTD 2022 | YTD 2021 | $ | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income | Net interest income | $298 | $331 | ($33) | (10) | % | Net interest income | $224 | $307 | ($83) | (27) | % | $522 | $638 | ($116) | (18) | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee income | Guarantee income | 40 | 159 | (119) | (75) | Guarantee income | 170 | 346 | (176) | (51) | 210 | 505 | (295) | (58) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment gains (losses), net | Investment gains (losses), net | 261 | 908 | (647) | (71) | Investment gains (losses), net | 89 | 499 | (410) | (82) | 350 | 1,407 | (1,057) | (75) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other income (loss) | Other income (loss) | 33 | 26 | 7 | 27 | Other income (loss) | 50 | (1) | 51 | 5,100 | 83 | 25 | 58 | 232 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net revenues | Net revenues | 632 | 1,424 | (792) | (56) | Net revenues | 533 | 1,151 | (618) | (54) | 1,165 | 2,575 | (1,410) | (55) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Benefit (provision) for credit losses | Benefit (provision) for credit losses | 6 | 50 | (44) | (88) | Benefit (provision) for credit losses | (9) | 54 | (63) | (117) | (3) | 104 | (107) | (103) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-interest expense | Non-interest expense | (154) | (179) | 25 | 14 | Non-interest expense | (166) | (166) | — | — | (320) | (345) | 25 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) before income tax (expense) benefit | Income (loss) before income tax (expense) benefit | 484 | 1,295 | (811) | (63) | Income (loss) before income tax (expense) benefit | 358 | 1,039 | (681) | (66) | 842 | 2,334 | (1,492) | (64) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income tax (expense) benefit | Income tax (expense) benefit | (97) | (266) | 169 | 64 | Income tax (expense) benefit | (73) | (215) | 142 | 66 | (170) | (481) | 311 | 65 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | Net income (loss) | 387 | 1,029 | (642) | (62) | Net income (loss) | 285 | 824 | (539) | (65) | 672 | 1,853 | (1,181) | (64) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | Other comprehensive income (loss), net of taxes and reclassification adjustments | (108) | (61) | (47) | (77) | Other comprehensive income (loss), net of taxes and reclassification adjustments | (71) | 6 | (77) | (1,283) | (179) | (55) | (124) | (225) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Comprehensive income (loss) | Comprehensive income (loss) | $279 | $968 | ($689) | (71) | % | Comprehensive income (loss) | $214 | $830 | ($616) | (74) | % | $493 | $1,798 | ($1,305) | (73) | % |
Freddie Mac |
Management's Discussion and Analysis | Risk Management |
1Q 2022 | 1Q 2021 | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | (Dollars in millions) | Single-Family | Multi-family | Total | Single-Family | Multi-family | Total | Single-Family | Multi-family | Total | Single-Family | Multi-family | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Allowance for credit losses: | Allowance for credit losses: | Allowance for credit losses: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Beginning balance | Beginning balance | $5,440 | $78 | $5,518 | $6,353 | $200 | $6,553 | Beginning balance | $4,849 | $72 | $4,921 | $6,130 | $150 | $6,280 | $5,440 | $78 | $5,518 | $6,353 | $200 | $6,553 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Provision (benefit) for credit losses | Provision (benefit) for credit losses | (831) | (6) | (837) | (146) | (50) | (196) | Provision (benefit) for credit losses | 298 | 9 | 307 | (686) | (54) | (740) | (533) | 3 | (530) | (832) | (104) | (936) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Charge-offs | Charge-offs | (173) | — | (173) | (238) | — | (238) | Charge-offs | (107) | — | (107) | (203) | — | (203) | (280) | — | (280) | (441) | — | (441) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Recoveries collected | Recoveries collected | 52 | — | 52 | 46 | — | 46 | Recoveries collected | 43 | — | 43 | 61 | — | 61 | 95 | — | 95 | 107 | — | 107 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net charge-offs | Net charge-offs | (121) | — | (121) | (192) | — | (192) | Net charge-offs | (64) | — | (64) | (142) | — | (142) | (185) | — | (185) | (334) | — | (334) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other | Other | 361 | — | 361 | 115 | — | 115 | Other | 259 | — | 259 | 211 | — | 211 | 620 | — | 620 | 326 | — | 326 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ending balance | Ending balance | $4,849 | $72 | $4,921 | $6,130 | $150 | $6,280 | Ending balance | $5,342 | $81 | $5,423 | $5,513 | $96 | $5,609 | $5,342 | $81 | $5,423 | $5,513 | $96 | $5,609 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Average loans outstanding during the period(2) | Average loans outstanding during the period(2) | $2,917,015 | $29,805 | $2,946,820 | $2,544,845 | $22,644 | $2,567,489 | $2,892,734 | $28,942 | $2,921,676 | $2,483,190 | $22,632 | $2,505,822 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net charge-offs to average loans outstanding | Net charge-offs to average loans outstanding | — | % | — | % | — | % | 0.01 | % | — | % | 0.01 | % | 0.01 | % | — | % | 0.01 | % | 0.01 | % | — | % | 0.01 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Components of ending balance of allowance for credit losses: | Components of ending balance of allowance for credit losses: | Components of ending balance of allowance for credit losses: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-investment | Mortgage loans held-for-investment | $4,358 | $31 | $4,389 | $5,253 | $77 | $5,330 | Mortgage loans held-for-investment | $4,904 | $35 | $4,939 | $4,601 | $47 | $4,648 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances of pre-foreclosure costs | Advances of pre-foreclosure costs | 426 | — | 426 | 615 | — | 615 | Advances of pre-foreclosure costs | 380 | — | 380 | 691 | — | 691 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accrued interest receivable on mortgage loans | Accrued interest receivable on mortgage loans | 13 | — | 13 | 213 | — | 213 | Accrued interest receivable on mortgage loans | 6 | — | 6 | 168 | — | 168 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Off-balance sheet credit exposures | Off-balance sheet credit exposures | 52 | 41 | 93 | 49 | 73 | 122 | Off-balance sheet credit exposures | 52 | 46 | 98 | 53 | 49 | 102 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total ending balance | Total ending balance | $4,849 | $72 | $4,921 | $6,130 | $150 | $6,280 | Total ending balance | $5,342 | $81 | $5,423 | $5,513 | $96 | $5,609 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loan balances(3): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-accrual loans | $15,095 | $42 | $15,137 | $23,164 | $— | $23,164 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total loans outstanding | 2,891,685 | 28,619 | 2,920,304 | 2,465,508 | 22,794 | 2,488,302 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Average loans outstanding during the period | 2,868,454 | 28,079 | 2,896,533 | 2,421,536 | 22,620 | 2,444,156 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Allowance for credit losses(4) to total loans outstanding | 0.15 | % | 0.11 | % | 0.15 | % | 0.21 | % | 0.34 | % | 0.21 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-accrual loans to total loans outstanding | 0.52 | 0.15 | 0.52 | 0.94 | — | 0.93 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Allowance for credit losses(5) to non-accrual loans | 28.87 | 73.81 | 29.00 | 22.68 | NM | 23.01 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net charge-offs to average loans outstanding | — | — | — | 0.01 | — | 0.01 |
Freddie Mac |
Management's Discussion and Analysis | Risk Management |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||
(Dollars in millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||
Allowance for credit losses on mortgage loans held-for-investment | $4,904 | $35 | $4,939 | $4,913 | $34 | $4,947 | ||||||||||||||||||||
Total loans outstanding(1) | 2,928,818 | 30,645 | 2,959,463 | 2,806,535 | 26,743 | 2,833,278 | ||||||||||||||||||||
Non-accrual loans(1) | 12,018 | 42 | 12,060 | 18,650 | — | 18,650 | ||||||||||||||||||||
Allowance for credit losses(2) to total loans outstanding | 0.17 | % | 0.11 | % | 0.17 | % | 0.18 | % | 0.13 | % | 0.17 | % | ||||||||||||||
Non-accrual loans to total loans outstanding | 0.41 | 0.14 | 0.41 | 0.66 | — | 0.66 | ||||||||||||||||||||
Allowance for credit losses(3) to non-accrual loans | 40.81 | 83.33 | 40.95 | 26.34 | NM | 26.53 |
Freddie Mac |
Management's Discussion and Analysis | Risk Management |
1Q 2022 | 1Q 2021 | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in billions) | Amount | % of Total | Amount | % of Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
20- and 30-year or more amortizing fixed-rate | $182 | 88 | % | $311 | 86 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
15-year amortizing fixed-rate | 23 | 11 | 51 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | Amount | % of Total | Amount | % of Total | Amount | % of Total | Amount | % of Total | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 20- and 30-year or more, amortizing fixed-rate | $124,910 | 91 | % | $241,604 | 84 | % | $306,887 | 89 | % | $552,014 | 85 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
15-year or less, amortizing fixed-rate | 15-year or less, amortizing fixed-rate | 11,084 | 8 | 45,472 | 16 | 34,568 | 10 | 96,770 | 15 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Adjustable-rate | Adjustable-rate | 2 | 1 | — | — | Adjustable-rate | 1,671 | 1 | 1,391 | — | 3,298 | 1 | 1,499 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | $207 | 100 | % | $362 | 100 | % | Total | $137,665 | 100 | % | $288,467 | 100 | % | $344,753 | 100 | % | $650,283 | 100 | % | ||||||||||||||||||||||||||||||||||||||||||||
Percentage of purchases | Percentage of purchases | Percentage of purchases | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
DTI ratio > 45% | DTI ratio > 45% | 15 | % | 10 | % | DTI ratio > 45% | 17 | % | 11 | % | 16 | % | 10 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Original LTV ratio > 90% | Original LTV ratio > 90% | 14 | 8 | Original LTV ratio > 90% | 19 | 11 | 16 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transaction type: | Transaction type: | Transaction type: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cash window | Cash window | 25 | 62 | Cash window | 30 | 46 | 27 | 55 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantor swap | Guarantor swap | 75 | 38 | Guarantor swap | 70 | 53 | 73 | 45 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other | Other | — | 1 | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Property type: | Property type: | Property type: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Detached single-family houses and townhouses | Detached single-family houses and townhouses | 93 | 93 | Detached single-family houses and townhouses | 92 | 92 | 93 | 93 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Condominium or co-op | Condominium or co-op | 7 | 7 | Condominium or co-op | 8 | 8 | 7 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Occupancy type: | Occupancy type: | Occupancy type: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Primary residence | Primary residence | 89 | 93 | Primary residence | 90 | 94 | 89 | 94 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Second home | Second home | 5 | 3 | Second home | 2 | 3 | 4 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment property | Investment property | 6 | 4 | Investment property | 8 | 3 | 7 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loan purpose: | Loan purpose: | Loan purpose: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchase | Purchase | 45 | 25 | Purchase | 62 | 34 | 52 | 29 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cash-out refinance | Cash-out refinance | 33 | 20 | Cash-out refinance | 28 | 23 | 31 | 21 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other refinance | Other refinance | 22 | 55 | Other refinance | 10 | 43 | 17 | 50 |
1Q 2022 | 1Q 2021 | 2Q 2022 | 2Q 2021 | |||||||||||||||||||||||||||||||
(In millions) | (In millions) | UPB(1) | Maximum Coverage(2) | UPB(1) | Maximum Coverage(2) | (In millions) | UPB(1) | Maximum Coverage(2) | UPB(1) | Maximum Coverage(2) | ||||||||||||||||||||||||
STACR | STACR | $123,562 | $5,088 | $176,707 | $3,544 | STACR | $111,412 | $4,783 | $101,136 | $1,500 | ||||||||||||||||||||||||
Insurance/reinsurance | Insurance/reinsurance | 83,991 | 3,226 | 228,307 | 2,714 | Insurance/reinsurance | 37,700 | 1,489 | 69,203 | 1,567 | ||||||||||||||||||||||||
Other | Other | 146 | 146 | 171 | 171 | Other | 1,551 | 248 | 3,232 | 409 | ||||||||||||||||||||||||
Less: UPB with more than one type of CRT | — | — | (159,835) | — | ||||||||||||||||||||||||||||||
Total CRT issuance | Total CRT issuance | $207,699 | $8,460 | $245,350 | $6,429 | Total CRT issuance | $150,663 | $6,520 | $173,571 | $3,476 |
Freddie Mac 2Q 2022 Form 10-Q | 29 |
Management's Discussion and Analysis | Risk Management |
YTD 2022 | YTD 2021 | ||||||||||||||||
(In millions) | UPB(1) | Maximum Coverage(2) | UPB(1) | Maximum Coverage(2) | |||||||||||||
STACR | $234,974 | $9,871 | $277,843 | $5,044 | |||||||||||||
Insurance/reinsurance | 121,691 | 4,715 | 297,510 | 4,281 | |||||||||||||
Other | 1,697 | 394 | 3,403 | 580 | |||||||||||||
Less: UPB with more than one type of CRT | — | — | (159,835) | — | |||||||||||||
Total CRT issuance | $358,362 | $14,980 | $418,921 | $9,905 |
March 31, 2022 | June 30, 2022 | |||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | UPB(1) | % of Portfolio | Maximum Coverage(2) | (Dollars in millions) | UPB(1) | % of Portfolio | Maximum Coverage(2) | ||||||||||||||||||||
Primary mortgage insurance(3) | Primary mortgage insurance(3) | $563,339 | 20 | % | $140,712 | Primary mortgage insurance(3) | $577,678 | 20 | % | $145,351 | ||||||||||||||||||
STACR | STACR | 1,089,718 | 38 | 34,280 | STACR | 1,156,106 | 40 | 35,817 | ||||||||||||||||||||
Insurance/reinsurance | Insurance/reinsurance | 944,116 | 33 | 18,383 | Insurance/reinsurance | 937,143 | 32 | 19,146 | ||||||||||||||||||||
Other | Other | 40,478 | 1 | 10,482 | Other | 40,500 | 1 | 10,624 | ||||||||||||||||||||
Less: UPB with multiple credit enhancements and other reconciling items(4) | Less: UPB with multiple credit enhancements and other reconciling items(4) | (1,043,338) | (37) | — | Less: UPB with multiple credit enhancements and other reconciling items(4) | (985,403) | (34) | — | ||||||||||||||||||||
Single-Family mortgage portfolio - credit-enhanced | Single-Family mortgage portfolio - credit-enhanced | 1,594,313 | 55 | 203,857 | Single-Family mortgage portfolio - credit-enhanced | 1,726,024 | 59 | 210,938 | ||||||||||||||||||||
Single-Family mortgage portfolio - non-credit-enhanced | Single-Family mortgage portfolio - non-credit-enhanced | 1,290,088 | 45 | N/A | Single-Family mortgage portfolio - non-credit-enhanced | 1,201,905 | 41 | N/A | ||||||||||||||||||||
Total | Total | $2,884,401 | 100 | % | $203,857 | Total | $2,927,929 | 100 | % | $210,938 |
December 31, 2021 | ||||||||||||||
(Dollars in millions) | UPB(1) | % of Portfolio | Maximum Coverage(2) | |||||||||||
Primary mortgage insurance(3) | $545,293 | 20 | % | $135,330 | ||||||||||
STACR | 1,024,013 | 37 | 32,641 | |||||||||||
Insurance/reinsurance | 914,003 | 33 | 16,209 | |||||||||||
Other | 42,273 | 1 | 10,598 | |||||||||||
Less: UPB with multiple credit enhancements and other reconciling items(4) | (1,034,546) | (38) | — | |||||||||||
Single-Family mortgage portfolio - credit-enhanced | 1,491,036 | 53 | 194,778 | |||||||||||
Single-Family mortgage portfolio - non-credit-enhanced | 1,301,188 | 47 | N/A | |||||||||||
Total | $2,792,224 | 100 | % | $194,778 |
March 31, 2022 | December 31, 2021 | |||||||||||||||||||
(% of portfolio based on UPB)(1) | % of Portfolio | SDQ Rate | % of Portfolio | SDQ Rate | ||||||||||||||||
Credit-enhanced: | ||||||||||||||||||||
Primary mortgage insurance | 20 | % | 1.48 | % | 20 | % | 1.79 | % | ||||||||||||
CRT and other | 51 | 0.95 | 47 | 1.24 | ||||||||||||||||
Non-credit-enhanced | 45 | 0.77 | 47 | 0.93 | ||||||||||||||||
Total | N/A | 0.92 | N/A | 1.12 |
Freddie Mac |
Management's Discussion and Analysis | Risk Management |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||
(% of portfolio based on UPB)(1) | % of Portfolio(2) | SDQ Rate | % of Portfolio(2) | SDQ Rate | ||||||||||||||||
Credit-enhanced: | ||||||||||||||||||||
Primary mortgage insurance | 20 | % | 1.22 | % | 20 | % | 1.79 | % | ||||||||||||
CRT and other | 53 | 0.77 | 47 | 1.24 | ||||||||||||||||
Non-credit-enhanced | 41 | 0.66 | 47 | 0.93 | ||||||||||||||||
Total | N/A | 0.76 | N/A | 1.12 |
(In millions) | (In millions) | March 31, 2022 | December 31, 2021 | (In millions) | June 30, 2022 | December 31, 2021 | ||||||||||||||||
Freestanding credit enhancement expected recovery receivables, net of allowance | Freestanding credit enhancement expected recovery receivables, net of allowance | $105 | $114 | Freestanding credit enhancement expected recovery receivables, net of allowance | $110 | $114 | ||||||||||||||||
Primary mortgage insurance receivables(1), net of allowance | Primary mortgage insurance receivables(1), net of allowance | 68 | 76 | Primary mortgage insurance receivables(1), net of allowance | 61 | 76 | ||||||||||||||||
Total credit enhancement receivables | Total credit enhancement receivables | $173 | $190 | Total credit enhancement receivables | $171 | $190 |
March 31, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||
(Dollars in billions) | UPB | Original Credit Score (1) | Current Credit Score(1)(2) | Original LTV Ratio | Current LTV Ratio | Current LTV Ratio >100% | ||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | UPB | Original Credit Score (1) | Current Credit Score(1)(2) | Original LTV Ratio | Current LTV Ratio | Current LTV Ratio >100% | |||||||||||||||||||||||||||||||||||||||
Single-Family mortgage portfolio year of origination: | Single-Family mortgage portfolio year of origination: | Single-Family mortgage portfolio year of origination: | ||||||||||||||||||||||||||||||||||||||||||||
2022 | 2022 | $121 | 745 | 72 | % | 71 | % | — | % | 2022 | $254,434 | 744 | 743 | 74 | % | 70 | % | — | % | |||||||||||||||||||||||||||
2021 | 2021 | 1,119 | 752 | 753 | 71 | 63 | — | 2021 | 1,094,052 | 752 | 756 | 71 | 59 | — | ||||||||||||||||||||||||||||||||
2020 | 2020 | 836 | 760 | 769 | 71 | 53 | — | 2020 | 811,154 | 760 | 768 | 71 | 50 | — | ||||||||||||||||||||||||||||||||
2019 | 2019 | 147 | 746 | 751 | 76 | 53 | — | 2019 | 139,712 | 746 | 751 | 76 | 49 | — | ||||||||||||||||||||||||||||||||
2018 | 2018 | 60 | 736 | 735 | 76 | 49 | — | 2018 | 56,792 | 736 | 76 | 46 | — | |||||||||||||||||||||||||||||||||
2017 and prior | 2017 and prior | 601 | 737 | 751 | 75 | 36 | — | 2017 and prior | 571,785 | 737 | 751 | 75 | 34 | — | ||||||||||||||||||||||||||||||||
Total | Total | $2,884 | 750 | 756 | 72 | 54 | — | Total | $2,927,929 | 750 | 756 | 72 | 52 | — |
December 31, 2021 | |||||||||||||||||||||||
(Dollars in billions) | UPB | Original Credit Score (1) | Current Credit Score(1)(2) | Original LTV Ratio | Current LTV Ratio | Current LTV Ratio >100% | |||||||||||||||||
Single-Family mortgage portfolio year of origination: | |||||||||||||||||||||||
2021 | $1,059 | 752 | 751 | 71 | % | 66 | % | — | % | ||||||||||||||
2020 | 867 | 760 | 769 | 71 | 56 | — | |||||||||||||||||
2019 | 158 | 746 | 751 | 76 | 55 | — | |||||||||||||||||
2018 | 66 | 736 | 736 | 76 | 52 | — | |||||||||||||||||
2017 | 89 | 741 | 746 | 75 | 46 | — | |||||||||||||||||
2016 and prior | 553 | 737 | 752 | 75 | 36 | — | |||||||||||||||||
Total | $ | 2,792 | 751 | 756 | 72 | 55 | — |
Freddie Mac 2Q 2022 Form 10-Q | 31 |
Management's Discussion and Analysis | Risk Management |
December 31, 2021 | |||||||||||||||||||||||
(Dollars in millions) | UPB | Original Credit Score (1) | Current Credit Score(1)(2) | Original LTV Ratio | Current LTV Ratio | Current LTV Ratio >100% | |||||||||||||||||
Single-Family mortgage portfolio year of origination: | |||||||||||||||||||||||
2021 | $1,059,299 | 752 | 751 | 71 | % | 66 | % | — | % | ||||||||||||||
2020 | 867,122 | 760 | 769 | 71 | 56 | — | |||||||||||||||||
2019 | 157,971 | 746 | 751 | 76 | 55 | — | |||||||||||||||||
2018 | 66,149 | 736 | 736 | 76 | 52 | — | |||||||||||||||||
2017 | 88,800 | 741 | 746 | 75 | 46 | — | |||||||||||||||||
2016 and prior | 552,883 | 737 | 752 | 75 | 36 | — | |||||||||||||||||
Total | $ | 2,792,224 | 751 | 756 | 72 | 55 | — |
March 31, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CLTV ≤ 60 | CLTV > 60 to 80 | CLTV > 80 to 90 | CLTV > 90 to 100 | CLTV > 100 | All Loans | CLTV ≤ 60 | CLTV > 60 to 80 | CLTV > 80 to 90 | CLTV > 90 to 100 | CLTV > 100 | All Loans | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Original credit score | Original credit score | % of Portfolio | SDQ Rate | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate | % Modified(2) | Original credit score | % of Portfolio | SDQ Rate | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate | % Modified(2) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
< 620 | < 620 | 0.8 | % | 6.48 | % | 0.1 | % | 11.62 | % | — | % | NM | — | % | NM | — | % | NM | 0.9 | % | 7.16 | % | 8.8 | % | < 620 | 0.8 | % | 6.18 | % | 0.1 | % | 11.06 | % | — | % | NM | — | % | NM | — | % | NM | 0.9 | % | 6.69 | % | 8.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
620 to 679 | 620 to 679 | 4.7 | 2.78 | 2.1 | 2.47 | 0.3 | 2.17% | 0.1 | 2.91 | % | — | NM | 7.2 | 2.71 | 3.7 | 620 to 679 | 5.1 | 2.31 | 1.9 | 2.09 | 0.2 | 2.01 | % | — | NM | — | NM | 7.2 | 2.26 | 3.6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
≥ 680 | ≥ 680 | 55.9 | 0.63 | 29.4 | 0.60 | 5.0 | 0.40 | 1.5 | 0.27 | — | NM | 91.8 | 0.61 | 0.6 | ≥ 680 | 60.8 | 0.50 | 25.7 | 0.48 | 4.2 | 0.35 | 1.1 | 0.19 | % | — | NM | 91.8 | 0.49 | 0.6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Not available | Not available | 0.1 | 6.00 | — | NM | — | NM | — | NM | — | NM | 0.1 | 6.12 | 19.1 | Not available | 0.1 | 5.59 | — | NM | — | NM | — | NM | — | NM | 0.1 | 5.64 | 19.6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | 61.5 | % | 0.97 | 31.6 | % | 0.82 | 5.3 | % | 0.59 | 1.6 | % | 0.55 | — | % | NM | 100.0 | % | 0.92 | 1.1 | Total | 66.8 | % | 0.79 | 27.7 | % | 0.67 | 4.4 | % | 0.51 | 1.1 | % | 0.42 | — | % | NM | 100.0 | % | 0.76 | 1.1 |
December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CLTV ≤ 60 | CLTV > 60 to 80 | CLTV > 80 to 90 | CLTV > 90 to 100 | CLTV > 100 | All Loans | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Original credit score | % of Portfolio | SDQ Rate | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate(1) | % of Portfolio | SDQ Rate | % Modified(2) | ||||||||||||||||||||||||||||||||||||||||||||||
< 620 | 0.8 | % | 6.69 | % | 0.2 | % | 11.68 | % | — | % | NM | — | % | NM | — | % | NM | 1.0 | % | 7.50 | % | 8.5 | % | ||||||||||||||||||||||||||||||||||||
620 to 679 | 4.4 | 3.29 | 2.3 | 3.05 | 0.3 | 2.56 | % | 0.1 | 2.57 | % | — | NM | 7.1 | 3.22 | 3.7 | ||||||||||||||||||||||||||||||||||||||||||||
≥ 680 | 51.9 | 0.80 | 32.3 | 0.78 | 5.3 | 0.54 | 2.3 | 0.25 | — | NM | 91.8 | 0.78 | 0.6 | ||||||||||||||||||||||||||||||||||||||||||||||
Not available | 0.1 | 6.58 | — | NM | — | NM | — | NM | — | NM | 0.1 | 6.85 | 18.7 | ||||||||||||||||||||||||||||||||||||||||||||||
Total | 57.2 | % | 1.19 | 34.8 | % | 1.04 | 5.6 | % | 0.77 | 2.4 | % | 0.47 | — | % | NM | 100.0 | % | 1.12 | 1.0 |
Freddie Mac |
Management's Discussion and Analysis | Risk Management |
Freddie Mac 2Q 2022 Form 10-Q | 33 |
Management's Discussion and Analysis | Risk Management |
1Q 2022 | 1Q 2021 | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | UPB(1) | Maximum Coverage(2) | UPB(1) | Maximum Coverage(2) | (In millions) | UPB(1) | Maximum Coverage(2) | UPB(1) | Maximum Coverage(2) | UPB(1) | Maximum Coverage(2) | UPB(1) | Maximum Coverage(2) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subordination | Subordination | $14,105 | $974 | $21,114 | $1,619 | Subordination | $14,781 | $940 | $16,929 | $1,351 | $28,886 | $1,914 | $38,043 | $2,969 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SCR | SCR | — | — | 4,852 | 277 | SCR | 5,982 | 141 | — | — | 5,982 | 141 | 4,852 | 277 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Insurance/reinsurance | Insurance/reinsurance | 5,982 | 200 | — | — | 5,982 | 200 | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Lender risk-sharing | Lender risk-sharing | 214 | 26 | — | — | 214 | 26 | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less: UPB with more than one type of CRT | Less: UPB with more than one type of CRT | (5,982) | — | — | — | (5,982) | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total CRT issuance | Total CRT issuance | $14,105 | $974 | $25,966 | $1,896 | Total CRT issuance | $20,977 | $1,307 | $16,929 | $1,351 | $35,082 | $2,281 | $42,895 | $3,246 |
June 30, 2022 | December 31, 2021 | ||||||||||||||||||||||||||||||||||
(Dollars in millions) | UPB | Delinquency Rate | UPB | Delinquency Rate | |||||||||||||||||||||||||||||||
Credit-enhanced: | |||||||||||||||||||||||||||||||||||
Subordination | $362,668 | 0.06 | % | $360,113 | 0.08 | % | |||||||||||||||||||||||||||||
Other | 33,889 | 0.13 | 28,565 | 0.16 | |||||||||||||||||||||||||||||||
Total credit-enhanced | 396,557 | 0.07 | 388,678 | 0.08 | |||||||||||||||||||||||||||||||
Non-credit-enhanced | 18,498 | 0.14 | 25,985 | 0.05 | |||||||||||||||||||||||||||||||
Total | $415,055 | 0.07 | $414,663 | 0.08 |
Freddie Mac |
Management's Discussion and Analysis | Risk Management |
March 31, 2022 | December 31, 2021 | ||||||||||||||||||||||||||||||||||
(Dollars in millions) | UPB | Delinquency Rate | UPB | Delinquency Rate | |||||||||||||||||||||||||||||||
Credit-enhanced: | |||||||||||||||||||||||||||||||||||
Subordination | $361,185 | 0.06 | % | $360,113 | 0.08 | % | |||||||||||||||||||||||||||||
Other | 28,072 | 0.32 | 28,565 | 0.16 | |||||||||||||||||||||||||||||||
Total credit-enhanced | 389,257 | 0.08 | 388,678 | 0.08 | |||||||||||||||||||||||||||||||
Non-credit-enhanced | 26,011 | 0.01 | 25,985 | 0.05 | |||||||||||||||||||||||||||||||
Total | $415,268 | 0.08 | $414,663 | 0.08 |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PVS-YC | PVS-L | PVS-YC | PVS-L | PVS-YC | PVS-L | PVS-YC | PVS-L | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | 25 bps | 50 bps | 100 bps | 25 bps | 50 bps | 100 bps | (In millions) | 25 bps | 50 bps | 100 bps | 25 bps | 50 bps | 100 bps | ||||||||||||||||||||||||||||||||||||||||||||||||||
Assuming shifts of the yield curve, (gains) losses on:(1) | Assuming shifts of the yield curve, (gains) losses on:(1) | Assuming shifts of the yield curve, (gains) losses on:(1) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Assets: | Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments | Investments | ($363) | $3,358 | $6,695 | $368 | $3,531 | $7,101 | Investments | ($382) | ($3,384) | ($6,845) | $368 | $3,531 | $7,101 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantees(2) | Guarantees(2) | 159 | (757) | (1,342) | (242) | (1,181) | (1,830) | Guarantees(2) | 96 | 616 | 1,333 | (242) | (1,181) | (1,830) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | Total assets | (204) | 2,601 | 5,353 | 126 | 2,350 | 5,271 | Total assets | (286) | (2,768) | (5,512) | 126 | 2,350 | 5,271 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | Liabilities | (20) | (2,186) | (4,371) | 18 | (2,385) | (4,870) | Liabilities | (33) | 2,109 | 4,204 | 18 | (2,385) | (4,870) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives | Derivatives | 227 | (426) | (1,038) | (144) | 94 | (217) | Derivatives | 319 | 657 | 1,296 | (144) | 94 | (217) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | $3 | ($11) | ($56) | $— | $59 | $184 | Total | $— | ($2) | ($12) | $— | $59 | $184 | ||||||||||||||||||||||||||||||||||||||||||||||||||
PVS | PVS | $3 | $— | $— | $— | $59 | $184 | PVS | $— | $— | $— | $— | $59 | $184 |
Freddie Mac |
Management's Discussion and Analysis | Risk Management |
1Q 2022 | 1Q 2021 | 2Q 2022 | 2Q 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
(Duration gap in months, dollars in millions) | (Duration gap in months, dollars in millions) | Duration Gap | PVS-YC 25 bps | PVS-L 50 bps | Duration Gap | PVS-YC 25 bps | PVS-L 50 bps | (Duration gap in months, dollars in millions) | Duration Gap | PVS-YC 25 bps | PVS-L 50 bps | Duration Gap | PVS-YC 25 bps | PVS-L 50 bps | ||||||||||||||||||||||||||||||||||||||
Average | Average | — | $8 | $11 | 0.4 | $7 | $62 | Average | (0.1) | $7 | $6 | 0.3 | $7 | $17 | ||||||||||||||||||||||||||||||||||||||
Minimum | Minimum | (0.3) | — | — | (0.2) | — | — | Minimum | (0.4) | — | — | (0.8) | — | — | ||||||||||||||||||||||||||||||||||||||
Maximum | Maximum | 0.4 | 16 | 77 | 1.0 | 20 | 200 | Maximum | 0.1 | 18 | 29 | 1.0 | 24 | 93 | ||||||||||||||||||||||||||||||||||||||
Standard deviation | Standard deviation | 0.2 | 4 | 19 | 0.3 | 6 | 58 | Standard deviation | 0.1 | 5 | 9 | 0.3 | 6 | 23 | ||||||||||||||||||||||||||||||||||||||
YTD 2022 | YTD 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||
(Duration gap in months, dollars in millions) | (Duration gap in months, dollars in millions) | Duration Gap | PVS-YC 25 bps | PVS-L 50 bps | Duration Gap | PVS-YC 25 bps | PVS-L 50 bps | |||||||||||||||||||||||||||||||||||||||||||||
Average | Average | — | $8 | $8 | 0.3 | $7 | $39 | |||||||||||||||||||||||||||||||||||||||||||||
Minimum | Minimum | (0.4) | — | — | (0.8) | — | — | |||||||||||||||||||||||||||||||||||||||||||||
Maximum | Maximum | 0.4 | 18 | 77 | 1.0 | 24 | 200 | |||||||||||||||||||||||||||||||||||||||||||||
Standard deviation | Standard deviation | 0.2 | 5 | 15 | 0.3 | 6 | 49 |
PVS-L (50 bps) | PVS-L (50 bps) | |||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Before Derivatives | After Derivatives | Effect of Derivatives | (In millions) | Before Derivatives | After Derivatives | Effect of Derivatives | ||||||||||||||||||||||||||
March 31, 2022 | $415 | $— | ($415) | |||||||||||||||||||||||||||||||
June 30, 2022(1) | June 30, 2022(1) | $670 | $— | ($670) | ||||||||||||||||||||||||||||||
December 31, 2021 | December 31, 2021 | 508 | 59 | (449) | December 31, 2021 | 508 | 59 | (449) |
Freddie Mac 2Q 2022 Form 10-Q | 36 |
Management's Discussion and Analysis | Risk Management |
(In millions) | (In millions) | March 31, 2022 | March 31, 2021 | (In millions) | June 30, 2022 | June 30, 2021 | ||||||||||||||||||||||
Interest Rate Scenarios(1) | Interest Rate Scenarios(1) | Interest Rate Scenarios(1) | ||||||||||||||||||||||||||
Parallel yield curve shifts: | Parallel yield curve shifts: | Parallel yield curve shifts: | ||||||||||||||||||||||||||
+100 basis points | +100 basis points | ($44) | $582 | +100 basis points | $76 | $19 | ||||||||||||||||||||||
-100 basis points | -100 basis points | 44 | (582) | -100 basis points | (76) | (19) | ||||||||||||||||||||||
Non-parallel yield curve shifts - long-term interest rates: | Non-parallel yield curve shifts - long-term interest rates: | Non-parallel yield curve shifts - long-term interest rates: | ||||||||||||||||||||||||||
+100 basis points | +100 basis points | 181 | 743 | +100 basis points | 114 | (179) | ||||||||||||||||||||||
-100 basis points | -100 basis points | (181) | (743) | -100 basis points | (114) | 179 | ||||||||||||||||||||||
Non-parallel yield curve shifts - short-term and medium-term interest rates: | Non-parallel yield curve shifts - short-term and medium-term interest rates: | Non-parallel yield curve shifts - short-term and medium-term interest rates: | ||||||||||||||||||||||||||
+100 basis points | +100 basis points | (224) | (161) | +100 basis points | (38) | 197 | ||||||||||||||||||||||
-100 basis points | -100 basis points | 224 | 161 | -100 basis points | 38 | (197) |
Freddie Mac |
Management's Discussion and Analysis | Liquidity and Capital Resources |
(in millions) | March 31, 2022(1) | December 31, 2021(1) | Description | ||||||||||||||
Other Investments Portfolio - Liquidity and Contingency Operating Portfolio | $93,739 | $80,262 | The liquidity and contingency operating portfolio, included within our other investments portfolio, is primarily used for short-term liquidity management. | ||||||||||||||
Mortgage Loans and Mortgage-Related Securities - Liquid Portion of the Mortgage-Related Investments Portfolio | 32,117 | 43,393 | The liquid portion of our mortgage-related investments portfolio can be pledged or sold for liquidity purposes. The amount of cash we may be able to successfully raise may be substantially less than the balance. |
(In millions) | June 30, 2022(1) | December 31, 2021(1) | Description | ||||||||||||||
Other Investments Portfolio - Liquidity and Contingency Operating Portfolio | $109,714 | $80,262 | The liquidity and contingency operating portfolio, included within our other investments portfolio, is primarily used for short-term liquidity management. | ||||||||||||||
Mortgage Loans and Mortgage-Related Securities | 22,770 | 43,393 | The liquid portion of our mortgage-related investments portfolio can be pledged or sold for liquidity purposes. The amount of cash we may be able to successfully raise may be substantially less than the balance. |
Freddie Mac |
Management's Discussion and Analysis | Liquidity and Capital Resources |
(In millions) | (In millions) | March 31, 2022(1) | December 31, 2021(1) | Description | (In millions) | June 30, 2022(1) | December 31, 2021(1) | Description | ||||||||||||||
Debt of Freddie Mac | Debt of Freddie Mac | $159,899 | $177,131 | Debt of Freddie Mac is used to fund our business activities. | Debt of Freddie Mac | $159,063 | $177,131 | Debt of Freddie Mac is used to fund our business activities. | ||||||||||||||
Debt Securities of Consolidated Trusts | 2,899,226 | 2,803,054 | Debt securities of consolidated trusts are used primarily to fund our Single-Family guarantee activities. This type of debt is principally repaid by the cash flows of the associated mortgage loans. As a result, our repayment obligation is limited to amounts paid pursuant to our guarantee of principal and interest and to purchase modified or seriously delinquent loans from the trusts. | |||||||||||||||||||
Debt of Consolidated Trusts | Debt of Consolidated Trusts | 2,934,115 | 2,803,054 | Debt of consolidated trusts is used primarily to fund our Single-Family guarantee activities. This type of debt is principally repaid by the cash flows of the associated mortgage loans. As a result, our repayment obligation is limited to amounts paid pursuant to our guarantee of principal and interest and to purchase modified or seriously delinquent loans from the trusts. |
1Q 2022 | 1Q 2021 | 2Q 2022 | 2Q 2021 | |||||||||||||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | Par Value | Average Rate(1) | Par Value | Average Rate(1) | (Dollars in millions) | Par Value | Average Rate(1) | Par Value | Average Rate(1) | ||||||||||||||||||||||||||||||
Short-term: | Short-term: | Short-term: | ||||||||||||||||||||||||||||||||||||||
Beginning balance | Beginning balance | $— | — | % | $4,955 | 1.31 | % | Beginning balance | $3,300 | 0.25 | % | $10,910 | 0.03 | % | ||||||||||||||||||||||||||
Issuances | Issuances | 5,553 | 0.15 | 22,050 | 0.04 | Issuances | 2,165 | 1.45 | — | — | ||||||||||||||||||||||||||||||
Repayments | Repayments | — | — | (13,660) | 0.24 | Repayments | — | — | (10,910) | 0.03 | ||||||||||||||||||||||||||||||
Maturities | Maturities | (2,253) | 0.01 | (2,435) | 1.48 | Maturities | (2,350) | 0.17 | — | — | ||||||||||||||||||||||||||||||
Ending balance | Ending balance | 3,300 | 0.25 | 10,910 | 0.03 | Ending balance | 3,115 | 1.14 | — | — | ||||||||||||||||||||||||||||||
Securities sold under agreements to repurchase | Securities sold under agreements to repurchase | 11,260 | 0.01 | 7,930 | (0.05) | Securities sold under agreements to repurchase | 9,977 | 1.06 | 4,620 | (0.03) | ||||||||||||||||||||||||||||||
Offsetting arrangements | Offsetting arrangements | (11,260) | (7,930) | Offsetting arrangements | (9,977) | (4,620) | ||||||||||||||||||||||||||||||||||
Securities sold under agreements to repurchase, net | Securities sold under agreements to repurchase, net | — | — | — | — | Securities sold under agreements to repurchase, net | — | — | — | — | ||||||||||||||||||||||||||||||
Total short-term debt | Total short-term debt | 3,300 | 0.25 | 10,910 | 0.03 | Total short-term debt | 3,115 | 1.14 | — | — | ||||||||||||||||||||||||||||||
Long-term: | Long-term: | Long-term: | ||||||||||||||||||||||||||||||||||||||
Beginning balance | Beginning balance | 181,613 | 1.11 | 281,386 | 1.12 | Beginning balance | 164,876 | 1.21 | 251,548 | 1.13 | ||||||||||||||||||||||||||||||
Issuances | Issuances | 1,810 | 2.21 | 1,090 | 0.60 | Issuances | 15,262 | 3.28 | — | — | ||||||||||||||||||||||||||||||
Repayments | Repayments | (1,834) | 2.98 | (25,210) | 0.85 | Repayments | (71) | 4.36 | (11,806) | 0.55 | ||||||||||||||||||||||||||||||
Maturities | Maturities | (16,713) | 0.12 | (5,718) | 2.27 | Maturities | (14,634) | 0.42 | (9,266) | 0.87 | ||||||||||||||||||||||||||||||
Total long-term debt | Total long-term debt | 164,876 | 1.21 | 251,548 | 1.12 | Total long-term debt | 165,433 | 1.52 | 230,476 | 1.17 | ||||||||||||||||||||||||||||||
Total debt of Freddie Mac, net | Total debt of Freddie Mac, net | $168,176 | 1.19 | % | $262,458 | 1.07 | % | Total debt of Freddie Mac, net | $168,548 | 1.52 | % | $230,476 | 1.17 | % |
Freddie Mac 2Q 2022 Form 10-Q | 39 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
YTD 2022 | YTD 2021 | |||||||||||||||||||
(Dollars in millions) | Par Value | Average Rate(1) | Par Value | Average Rate(1) | ||||||||||||||||
Short-term: | ||||||||||||||||||||
Beginning balance | $— | — | % | $4,955 | 1.31 | % | ||||||||||||||
Issuances | 7,718 | 0.51 | 22,050 | 0.04 | ||||||||||||||||
Repayments | — | — | (24,570) | 0.15 | ||||||||||||||||
Maturities | (4,603) | 0.09 | (2,435) | 1.48 | ||||||||||||||||
Ending balance | 3,115 | 1.14 | — | — | ||||||||||||||||
Securities sold under agreements to repurchase | 9,977 | 1.06 | 4,620 | (0.03) | ||||||||||||||||
Offsetting arrangements | (9,977) | (4,620) | ||||||||||||||||||
Securities sold under agreements to repurchase, net | — | — | — | — | ||||||||||||||||
Total short-term debt | 3,115 | 1.14 | — | — | ||||||||||||||||
Long-term: | ||||||||||||||||||||
Beginning balance | 181,613 | 1.11 | 281,386 | 1.12 | ||||||||||||||||
Issuances | 17,072 | 3.17 | 1,090 | 0.60 | ||||||||||||||||
Repayments | (1,905) | 3.03 | (37,016) | 0.75 | ||||||||||||||||
Maturities | (31,347) | 0.26 | (14,984) | 1.40 | ||||||||||||||||
Total long-term debt | 165,433 | 1.52 | 230,476 | 1.17 | ||||||||||||||||
Total debt of Freddie Mac, net | $168,548 | 1.52 | % | $230,476 | 1.17 | % |
As of March 31, 2022 | As of June 30, 2022 | As of December 31, 2021 | |||||||||||||||||||||||||||||
(Par value in billions) | Contractual Maturity Date | Earliest Redemption Date | |||||||||||||||||||||||||||||
(Par value in millions) | (Par value in millions) | Contractual Maturity Date | Earliest Redemption Date | Contractual Maturity Date | Earliest Redemption Date | ||||||||||||||||||||||||||
Debt of Freddie Mac(1): | Debt of Freddie Mac(1): | Debt of Freddie Mac(1): | |||||||||||||||||||||||||||||
1 year or less | 1 year or less | $48 | $111 | 1 year or less | $48,910 | $123,997 | $55,958 | $118,436 | |||||||||||||||||||||||
1 year through 2 years | 1 year through 2 years | 39 | 35 | 1 year through 2 years | 34,191 | 23,256 | 38,688 | 35,724 | |||||||||||||||||||||||
2 years through 3 years | 2 years through 3 years | 17 | 5 | 2 years through 3 years | 20,921 | 3,972 | 13,274 | 1,745 | |||||||||||||||||||||||
3 years through 4 years | 3 years through 4 years | 32 | 9 | 3 years through 4 years | 31,937 | 9,198 | 35,436 | 12,076 | |||||||||||||||||||||||
4 years through 5 years | 4 years through 5 years | 4 | — | 4 years through 5 years | 5,145 | 46 | 4,717 | 87 | |||||||||||||||||||||||
Thereafter | Thereafter | 32 | 12 | Thereafter | 31,089 | 11,724 | 31,736 | 11,741 | |||||||||||||||||||||||
STACR and SCR debt(2) | STACR and SCR debt(2) | 7 | 7 | STACR and SCR debt(2) | 6,332 | 6,332 | 9,139 | 9,139 | |||||||||||||||||||||||
Total debt of Freddie Mac | Total debt of Freddie Mac | $179 | $179 | Total debt of Freddie Mac | $178,525 | $178,525 | $188,948 | $188,948 |
Freddie Mac 2Q 2022 Form 10-Q | 40 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
(In millions) | (In millions) | 1Q 2022 | 1Q 2021 | (In millions) | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | ||||||||||||||||||||||||||
Beginning balance | Beginning balance | $2,732,056 | $2,240,602 | Beginning balance | $2,835,071 | $2,376,691 | $2,732,056 | $2,240,602 | ||||||||||||||||||||||||||
Issuances | Issuances | 295,247 | 410,123 | Issuances | 203,919 | 394,018 | 499,166 | 804,141 | ||||||||||||||||||||||||||
Repayments and extinguishments | Repayments and extinguishments | (192,232) | (274,034) | Repayments and extinguishments | (161,268) | (264,375) | (353,500) | (538,409) | ||||||||||||||||||||||||||
Ending balance | Ending balance | 2,835,071 | 2,376,691 | Ending balance | 2,877,722 | 2,506,334 | 2,877,722 | 2,506,334 | ||||||||||||||||||||||||||
Unamortized premiums and discounts | Unamortized premiums and discounts | 64,155 | 69,138 | Unamortized premiums and discounts | 56,393 | 69,319 | 56,393 | 69,319 | ||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties | $2,899,226 | $2,445,829 | ||||||||||||||||||||||||||||||||
Debt of consolidated trusts | Debt of consolidated trusts | $2,934,115 | $2,575,653 | $2,934,115 | $2,575,653 |
Freddie Mac 2Q 2022 Form 10-Q | 41 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
(In millions) | (In millions) | 1Q 2022 | 1Q 2021 | (In millions) | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | |||||||||||||||||||||||
Beginning balance | Beginning balance | $28,033 | $16,413 | Beginning balance | $31,711 | $18,791 | $28,033 | $16,413 | |||||||||||||||||||||||
Comprehensive income (loss) | Comprehensive income (loss) | 3,678 | 2,378 | Comprehensive income (loss) | 2,387 | 3,611 | 6,065 | 5,989 | |||||||||||||||||||||||
Capital draw from Treasury | Capital draw from Treasury | — | — | Capital draw from Treasury | — | — | — | — | |||||||||||||||||||||||
Senior preferred stock dividends declared | Senior preferred stock dividends declared | — | — | Senior preferred stock dividends declared | — | — | — | — | |||||||||||||||||||||||
Total equity / net worth | Total equity / net worth | $31,711 | $18,791 | Total equity / net worth | $34,098 | $22,402 | $34,098 | $22,402 | |||||||||||||||||||||||
Remaining Treasury funding commitment | Remaining Treasury funding commitment | $140,162 | $140,162 | Remaining Treasury funding commitment | $140,162 | $140,162 | $140,162 | $140,162 | |||||||||||||||||||||||
Aggregate draws under Purchase Agreement | Aggregate draws under Purchase Agreement | 71,648 | 71,648 | Aggregate draws under Purchase Agreement | 71,648 | 71,648 | 71,648 | 71,648 | |||||||||||||||||||||||
Aggregate cash dividends paid to Treasury | Aggregate cash dividends paid to Treasury | 119,680 | 119,680 | Aggregate cash dividends paid to Treasury | 119,680 | 119,680 | 119,680 | 119,680 | |||||||||||||||||||||||
Liquidation preference of the senior preferred stock | Liquidation preference of the senior preferred stock | 100,681 | 89,061 | Liquidation preference of the senior preferred stock | 104,359 | 91,439 | 104,359 | 91,439 |
Freddie Mac 2Q 2022 Form 10-Q | 42 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
(In billions) | (In billions) | March 31, 2022 | (In billions) | June 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||
Adjusted total assets | Adjusted total assets | $3,610 | Adjusted total assets | $3,655 | ||||||||||||||||||||||||||||||||||||||||||||||||
Risk-weighted assets (standardized approach) | Risk-weighted assets (standardized approach) | 919 | Risk-weighted assets (standardized approach) | 845 | ||||||||||||||||||||||||||||||||||||||||||||||||
(In billions) | (In billions) | March 31, 2022 | (In billions) | June 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||
Stress capital buffer | Stress capital buffer | $26 | Stress capital buffer | $27 | ||||||||||||||||||||||||||||||||||||||||||||||||
Stability capital buffer | Stability capital buffer | 23 | Stability capital buffer | 23 | ||||||||||||||||||||||||||||||||||||||||||||||||
Countercyclical capital buffer | Countercyclical capital buffer | — | Countercyclical capital buffer | — | ||||||||||||||||||||||||||||||||||||||||||||||||
PCCBA | PCCBA | $49 | PCCBA | $50 | ||||||||||||||||||||||||||||||||||||||||||||||||
PLBA | PLBA | $11 | PLBA | $11 | ||||||||||||||||||||||||||||||||||||||||||||||||
March 31, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in billions) | (Dollars in billions) | Minimum Capital Requirement | Applicable Buffer(1) | Capital Requirement (Including Buffer) | Available Capital (Deficit) | Capital Shortfall | (Dollars in billions) | Minimum Capital Requirement | Applicable Buffer(1) | Capital Requirement (Including Buffer) | Available Capital (Deficit) | Capital Shortfall | ||||||||||||||||||||||||||||||||||||||||
Risk-based capital amounts: | Risk-based capital amounts: | Risk-based capital amounts: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total capital (statutory)(2) | Total capital (statutory)(2) | $73 | N/A | $73 | ($36) | ($109) | Total capital (statutory)(2) | $68 | N/A | $68 | ($33) | ($101) | ||||||||||||||||||||||||||||||||||||||||
CET1 capital(3) | CET1 capital(3) | 41 | $49 | 90 | (61) | (151) | CET1 capital(3) | 38 | $50 | 88 | (58) | (146) | ||||||||||||||||||||||||||||||||||||||||
Tier 1 capital(3) | Tier 1 capital(3) | 55 | 49 | 104 | (47) | (151) | Tier 1 capital(3) | 50 | 50 | 100 | (44) | (144) | ||||||||||||||||||||||||||||||||||||||||
Adjusted total capital(3) | Adjusted total capital(3) | 73 | 49 | 122 | (47) | (169) | Adjusted total capital(3) | 67 | 50 | 117 | (44) | (161) | ||||||||||||||||||||||||||||||||||||||||
Risk-based capital ratios(4): | Risk-based capital ratios(4): | Risk-based capital ratios(4): | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total capital (statutory) | Total capital (statutory) | 8.0 | % | N/A | 8.0 | % | (3.9) | % | (11.9) | % | Total capital (statutory) | 8.0 | % | N/A | 8.0 | % | (3.9) | % | (11.9) | % | ||||||||||||||||||||||||||||||||
CET1 capital | CET1 capital | 4.5 | 5.3 | % | 9.8 | (6.6) | (16.4) | CET1 capital | 4.5 | 5.9 | % | 10.4 | (6.9) | (17.3) | ||||||||||||||||||||||||||||||||||||||
Tier 1 capital | Tier 1 capital | 6.0 | 5.3 | 11.3 | (5.1) | (16.4) | Tier 1 capital | 6.0 | 5.9 | 11.9 | (5.2) | (17.1) | ||||||||||||||||||||||||||||||||||||||||
Adjusted total capital | Adjusted total capital | 8.0 | 5.3 | 13.3 | (5.1) | (18.4) | Adjusted total capital | 8.0 | 5.9 | 13.9 | (5.2) | (19.1) | ||||||||||||||||||||||||||||||||||||||||
Leverage capital amounts: | Leverage capital amounts: | Leverage capital amounts: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Core capital (statutory)(5) | Core capital (statutory)(5) | $90 | N/A | $90 | ($41) | ($131) | Core capital (statutory)(5) | $92 | N/A | $92 | ($39) | ($131) | ||||||||||||||||||||||||||||||||||||||||
Tier 1 capital(3) | Tier 1 capital(3) | 90 | $11 | 101 | (47) | (148) | Tier 1 capital(3) | 92 | $11 | 103 | (44) | (147) | ||||||||||||||||||||||||||||||||||||||||
Leverage capital ratios(6): | Leverage capital ratios(6): | Leverage capital ratios(6): | ||||||||||||||||||||||||||||||||||||||||||||||||||
Core capital (statutory) | Core capital (statutory) | 2.5 | % | N/A | 2.5 | % | (1.1) | % | (3.6) | % | Core capital (statutory) | 2.5 | % | N/A | 2.5 | % | (1.1) | % | (3.6) | % | ||||||||||||||||||||||||||||||||
Tier 1 capital | Tier 1 capital | 2.5 | 0.3 | % | 2.8 | (1.3) | (4.1) | Tier 1 capital | 2.5 | 0.3 | % | 2.8 | (1.2) | (4.0) |
Freddie Mac |
Management's Discussion and Analysis | Critical Accounting Estimates |
2022 | 2023 | 2022 | 2023 | |||||||||||||||||||
March 31, 2022 | 10.4 | % | 5.0 | % | ||||||||||||||||||
June 30, 2022(1) | June 30, 2022(1) | 12.8 | % | 4.0 | % | |||||||||||||||||
March 31, 2022(1) | March 31, 2022(1) | 10.4 | 5.0 | |||||||||||||||||||
December 31, 2021 | December 31, 2021 | 6.2 | 2.5 | December 31, 2021 | 6.2 | 2.5 |
Freddie Mac |
Management's Discussion and Analysis | Regulation and Supervision |
Freddie Mac |
Management's Discussion and Analysis | Forward-Looking Statements |
Freddie Mac |
Management's Discussion and Analysis | Forward-Looking Statements |
Freddie Mac |
Financial Statements |
Financial Statements |
Freddie Mac |
Financial Statements | Condensed Consolidated Statements of Operations and Comprehensive Income |
(In millions, except share-related amounts) | (In millions, except share-related amounts) | 1Q 2022 | 1Q 2021 | (In millions, except share-related amounts) | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | ||||||||||||||||||||||||||||||||
Net interest income | Net interest income | Net interest income | ||||||||||||||||||||||||||||||||||||||
Interest income | Interest income | $17,740 | $13,902 | Interest income | $20,008 | $15,230 | $37,748 | $29,132 | ||||||||||||||||||||||||||||||||
Interest expense | Interest expense | (13,636) | (10,263) | Interest expense | (15,249) | (10,463) | (28,885) | (20,726) | ||||||||||||||||||||||||||||||||
Net interest income | Net interest income | 4,104 | 3,639 | Net interest income | 4,759 | 4,767 | 8,863 | 8,406 | ||||||||||||||||||||||||||||||||
Non-interest income (loss) | Non-interest income (loss) | Non-interest income (loss) | ||||||||||||||||||||||||||||||||||||||
Guarantee income | Guarantee income | 70 | 248 | Guarantee income | 205 | 356 | 275 | 604 | ||||||||||||||||||||||||||||||||
Investment gains (losses), net | Investment gains (losses), net | 1,513 | 1,208 | Investment gains (losses), net | 321 | 636 | 1,834 | 1,844 | ||||||||||||||||||||||||||||||||
Other income (loss) | Other income (loss) | 159 | 178 | Other income (loss) | 119 | 107 | 278 | 285 | ||||||||||||||||||||||||||||||||
Non-interest income (loss) | Non-interest income (loss) | 1,742 | 1,634 | Non-interest income (loss) | 645 | 1,099 | 2,387 | 2,733 | ||||||||||||||||||||||||||||||||
Net revenues | Net revenues | 5,846 | 5,273 | Net revenues | 5,404 | 5,866 | 11,250 | 11,139 | ||||||||||||||||||||||||||||||||
Benefit (provision) for credit losses | Benefit (provision) for credit losses | 837 | 196 | Benefit (provision) for credit losses | (307) | 740 | 530 | 936 | ||||||||||||||||||||||||||||||||
Non-interest expense | Non-interest expense | Non-interest expense | ||||||||||||||||||||||||||||||||||||||
Salaries and employee benefits | Salaries and employee benefits | (356) | (344) | Salaries and employee benefits | (376) | (346) | (732) | (690) | ||||||||||||||||||||||||||||||||
Credit enhancement expense | Credit enhancement expense | (459) | (335) | Credit enhancement expense | (558) | (369) | (1,017) | (704) | ||||||||||||||||||||||||||||||||
Benefit for (decrease in) credit enhancement recoveries | Benefit for (decrease in) credit enhancement recoveries | (17) | (257) | Benefit for (decrease in) credit enhancement recoveries | (1) | (193) | (18) | (450) | ||||||||||||||||||||||||||||||||
Legislative assessments expense | Legislative assessments expense | (759) | (691) | Legislative assessments expense | (748) | (696) | (1,507) | (1,387) | ||||||||||||||||||||||||||||||||
Other expense | Other expense | (341) | (361) | Other expense | (337) | (365) | (678) | (726) | ||||||||||||||||||||||||||||||||
Non-interest expense | Non-interest expense | (1,932) | (1,988) | Non-interest expense | (2,020) | (1,969) | (3,952) | (3,957) | ||||||||||||||||||||||||||||||||
Income (loss) before income tax (expense) benefit | Income (loss) before income tax (expense) benefit | 4,751 | 3,481 | Income (loss) before income tax (expense) benefit | 3,077 | 4,637 | 7,828 | 8,118 | ||||||||||||||||||||||||||||||||
Income tax (expense) benefit | Income tax (expense) benefit | (953) | (714) | Income tax (expense) benefit | (624) | (958) | (1,577) | (1,672) | ||||||||||||||||||||||||||||||||
Net income (loss) | Net income (loss) | 3,798 | 2,767 | Net income (loss) | 2,453 | 3,679 | 6,251 | 6,446 | ||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | Other comprehensive income (loss), net of taxes and reclassification adjustments | (120) | (389) | Other comprehensive income (loss), net of taxes and reclassification adjustments | (66) | (68) | (186) | (457) | ||||||||||||||||||||||||||||||||
Comprehensive income (loss) | Comprehensive income (loss) | $3,678 | $2,378 | Comprehensive income (loss) | $2,387 | $3,611 | $6,065 | $5,989 | ||||||||||||||||||||||||||||||||
Net income (loss) | Net income (loss) | $3,798 | $2,767 | Net income (loss) | $2,453 | $3,679 | $6,251 | $6,446 | ||||||||||||||||||||||||||||||||
Future increase in senior preferred stock liquidation preference | Future increase in senior preferred stock liquidation preference | (3,678) | (2,378) | Future increase in senior preferred stock liquidation preference | (2,387) | (3,611) | (6,065) | (5,989) | ||||||||||||||||||||||||||||||||
Net income (loss) attributable to common stockholders | Net income (loss) attributable to common stockholders | $120 | $389 | Net income (loss) attributable to common stockholders | $66 | $68 | $186 | $457 | ||||||||||||||||||||||||||||||||
Net income (loss) per common share | Net income (loss) per common share | $0.04 | $0.12 | Net income (loss) per common share | $0.02 | $0.02 | $0.06 | $0.14 | ||||||||||||||||||||||||||||||||
Weighted average common shares outstanding (in millions) | Weighted average common shares outstanding (in millions) | 3,234 | 3,234 | Weighted average common shares outstanding (in millions) | 3,234 | 3,234 | 3,234 | 3,234 |
Freddie Mac |
Financial Statements | Condensed Consolidated Balance Sheets |
March 31, | December 31, | June 30, | December 31, | |||||||||||||||||||
(In millions, except share-related amounts) | (In millions, except share-related amounts) | 2022 | 2021 | (In millions, except share-related amounts) | 2022 | 2021 | ||||||||||||||||
Assets | Assets | Assets | ||||||||||||||||||||
Cash and cash equivalents (includes $957 and $1,695 of restricted cash and cash equivalents) | $10,526 | $10,150 | ||||||||||||||||||||
Cash and cash equivalents (includes $855 and $1,695 of restricted cash and cash equivalents) | Cash and cash equivalents (includes $855 and $1,695 of restricted cash and cash equivalents) | $5,257 | $10,150 | |||||||||||||||||||
Securities purchased under agreements to resell | Securities purchased under agreements to resell | 69,617 | 71,203 | Securities purchased under agreements to resell | 86,496 | 71,203 | ||||||||||||||||
Investment securities, at fair value | Investment securities, at fair value | 53,244 | 53,015 | Investment securities, at fair value | 48,937 | 53,015 | ||||||||||||||||
Mortgage loans held-for-sale (includes $8,101 and $10,498 at fair value) | 17,014 | 19,778 | ||||||||||||||||||||
Mortgage loans held-for-investment (net of allowance for credit losses of $4,389 and $4,947) | 2,915,915 | 2,828,331 | ||||||||||||||||||||
Mortgage loans held-for-sale (includes $5,670 and $10,498 at fair value) | Mortgage loans held-for-sale (includes $5,670 and $10,498 at fair value) | 12,340 | 19,778 | |||||||||||||||||||
Mortgage loans held-for-investment (net of allowance for credit losses of $4,939 and $4,947) | Mortgage loans held-for-investment (net of allowance for credit losses of $4,939 and $4,947) | 2,954,524 | 2,828,331 | |||||||||||||||||||
Accrued interest receivable, net | Accrued interest receivable, net | 7,675 | 7,474 | Accrued interest receivable, net | 7,871 | 7,474 | ||||||||||||||||
Deferred tax assets, net | Deferred tax assets, net | 5,865 | 6,214 | Deferred tax assets, net | 5,552 | 6,214 | ||||||||||||||||
Other assets (includes $7,190 and $6,594 at fair value) | 28,998 | 29,421 | ||||||||||||||||||||
Other assets (includes $6,419 and $6,594 at fair value) | Other assets (includes $6,419 and $6,594 at fair value) | 24,604 | 29,421 | |||||||||||||||||||
Total assets | Total assets | $3,108,854 | $3,025,586 | Total assets | $3,145,581 | $3,025,586 | ||||||||||||||||
Liabilities and equity | Liabilities and equity | Liabilities and equity | ||||||||||||||||||||
Liabilities | Liabilities | Liabilities | ||||||||||||||||||||
Accrued interest payable | Accrued interest payable | $6,266 | $6,268 | Accrued interest payable | $6,594 | $6,268 | ||||||||||||||||
Debt (includes $5,038 and $2,478 at fair value) | 3,059,125 | 2,980,185 | ||||||||||||||||||||
Other liabilities (includes $722 and $287 at fair value) | 11,752 | 11,100 | ||||||||||||||||||||
Debt (includes $3,605 and $2,478 at fair value) | Debt (includes $3,605 and $2,478 at fair value) | 3,093,178 | 2,980,185 | |||||||||||||||||||
Other liabilities (includes $1,079 and $287 at fair value) | Other liabilities (includes $1,079 and $287 at fair value) | 11,711 | 11,100 | |||||||||||||||||||
Total liabilities | Total liabilities | 3,077,143 | 2,997,553 | Total liabilities | 3,111,483 | 2,997,553 | ||||||||||||||||
Commitments and contingencies (Notes 4, 8, 14) | Commitments and contingencies (Notes 4, 8, 14) | Commitments and contingencies (Notes 4, 8, 14) | ||||||||||||||||||||
Equity | Equity | Equity | ||||||||||||||||||||
Senior preferred stock (liquidation preference of $100,681 and $97,959) | 72,648 | 72,648 | ||||||||||||||||||||
Senior preferred stock (liquidation preference of $104,359 and $97,959) | Senior preferred stock (liquidation preference of $104,359 and $97,959) | 72,648 | 72,648 | |||||||||||||||||||
Preferred stock, at redemption value | Preferred stock, at redemption value | 14,109 | 14,109 | Preferred stock, at redemption value | 14,109 | 14,109 | ||||||||||||||||
Common stock, $0.00 par value, 4,000,000,000 shares authorized, 725,863,886 shares issued and 650,059,553 shares outstanding | Common stock, $0.00 par value, 4,000,000,000 shares authorized, 725,863,886 shares issued and 650,059,553 shares outstanding | — | — | Common stock, $0.00 par value, 4,000,000,000 shares authorized, 725,863,886 shares issued and 650,059,553 shares outstanding | — | — | ||||||||||||||||
Retained earnings (accumulated deficit) | Retained earnings (accumulated deficit) | (51,195) | (54,993) | Retained earnings (accumulated deficit) | (48,742) | (54,993) | ||||||||||||||||
AOCI, net of taxes, related to: | AOCI, net of taxes, related to: | AOCI, net of taxes, related to: | ||||||||||||||||||||
Available-for-sale securities | Available-for-sale securities | 174 | 297 | Available-for-sale securities | 107 | 297 | ||||||||||||||||
Other | Other | (140) | (143) | Other | (139) | (143) | ||||||||||||||||
AOCI, net of taxes | AOCI, net of taxes | 34 | 154 | AOCI, net of taxes | (32) | 154 | ||||||||||||||||
Treasury stock, at cost, 75,804,333 shares | Treasury stock, at cost, 75,804,333 shares | (3,885) | (3,885) | Treasury stock, at cost, 75,804,333 shares | (3,885) | (3,885) | ||||||||||||||||
Total equity | Total equity | 31,711 | 28,033 | Total equity | 34,098 | 28,033 | ||||||||||||||||
Total liabilities and equity | Total liabilities and equity | $3,108,854 | $3,025,586 | Total liabilities and equity | $3,145,581 | $3,025,586 |
March 31, | December 31, | June 30, | December 31, | |||||||||||||||||||
(In millions) | (In millions) | 2022 | 2021 | (In millions) | 2022 | 2021 | ||||||||||||||||
Assets: | Assets: | Assets: | ||||||||||||||||||||
Cash and cash equivalents (includes $773 and $1,595 of restricted cash and cash equivalents) | $774 | $1,596 | ||||||||||||||||||||
Cash and cash equivalents (includes $755 and $1,595 of restricted cash and cash equivalents) | Cash and cash equivalents (includes $755 and $1,595 of restricted cash and cash equivalents) | $756 | $1,596 | |||||||||||||||||||
Securities purchased under agreements to resell | Securities purchased under agreements to resell | 28,705 | 34,000 | Securities purchased under agreements to resell | 18,400 | 34,000 | ||||||||||||||||
Investment securities, at fair value | Investment securities, at fair value | 1,099 | 420 | Investment securities, at fair value | 148 | 420 | ||||||||||||||||
Mortgage loans held-for-investment, net | Mortgage loans held-for-investment, net | 2,877,320 | 2,784,626 | Mortgage loans held-for-investment, net | 2,913,414 | 2,784,626 | ||||||||||||||||
Accrued interest receivable, net | Accrued interest receivable, net | 7,223 | 7,019 | Accrued interest receivable, net | 7,410 | 7,019 | ||||||||||||||||
Other assets | Other assets | 9,570 | 11,265 | Other assets | 7,469 | 11,265 | ||||||||||||||||
Total assets of consolidated VIEs | Total assets of consolidated VIEs | $2,924,691 | $2,838,926 | Total assets of consolidated VIEs | $2,947,597 | $2,838,926 | ||||||||||||||||
Liabilities: | Liabilities: | Liabilities: | ||||||||||||||||||||
Accrued interest payable | Accrued interest payable | $5,993 | $5,823 | Accrued interest payable | $6,175 | $5,823 | ||||||||||||||||
Debt | Debt | 2,899,226 | 2,803,054 | Debt | 2,934,115 | 2,803,054 | ||||||||||||||||
Total liabilities of consolidated VIEs | Total liabilities of consolidated VIEs | $2,905,219 | $2,808,877 | Total liabilities of consolidated VIEs | $2,940,290 | $2,808,877 |
Freddie Mac |
Financial Statements | Condensed Consolidated Statements of Equity |
Shares Outstanding | Senior Preferred Stock | Preferred Stock, at Redemption Value | Common Stock, at Par Value | Retained Earnings (Accumulated Deficit) | AOCI, Net of Tax | Treasury Stock, at Cost | Total Equity | ||||||||||||||||||||||||||||
(In millions) | Senior Preferred Stock | Preferred Stock | Common Stock | ||||||||||||||||||||||||||||||||
Balance at December 31, 2021 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($54,993) | $154 | ($3,885) | $28,033 | |||||||||||||||||||||||||
Comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Net income (loss) | — | — | — | — | — | — | 3,798 | — | — | 3,798 | |||||||||||||||||||||||||
Other comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $33 million) | — | — | — | — | — | — | — | (123) | — | (123) | |||||||||||||||||||||||||
Reclassification adjustment for gains on available-for-sale securities included in net income (net of taxes of $0 million) | — | — | — | — | — | — | — | 1 | — | 1 | |||||||||||||||||||||||||
Other (net of taxes of $1 million) | — | — | — | — | — | — | — | 2 | — | 2 | |||||||||||||||||||||||||
Comprehensive income (loss) | — | — | — | — | — | — | 3,798 | (120) | — | 3,678 | |||||||||||||||||||||||||
Ending balance at March 31, 2022 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($51,195) | $34 | ($3,885) | $31,711 | |||||||||||||||||||||||||
Balance at December 31, 2020 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($67,102) | $643 | ($3,885) | $16,413 | |||||||||||||||||||||||||
Comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Net income (loss) | — | — | — | — | — | — | 2,767 | — | — | 2,767 | |||||||||||||||||||||||||
Other comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $28 million) | — | — | — | — | — | — | — | (105) | — | (105) | |||||||||||||||||||||||||
Reclassification adjustment for gains on available-for-sale securities included in net income (net of taxes of $78 million) | — | — | — | — | — | — | — | (290) | — | (290) | |||||||||||||||||||||||||
Other (net of taxes of $0 million) | — | — | — | — | — | — | — | 6 | — | 6 | |||||||||||||||||||||||||
Comprehensive income (loss) | — | — | — | — | — | — | 2,767 | (389) | — | 2,378 | |||||||||||||||||||||||||
Ending balance at March 31, 2021 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($64,335) | $254 | ($3,885) | $18,791 |
Shares Outstanding | Senior Preferred Stock | Preferred Stock, at Redemption Value | Common Stock, at Par Value | Retained Earnings (Accumulated Deficit) | AOCI, Net of Tax | Treasury Stock, at Cost | Total Equity | ||||||||||||||||||||||||||||
(In millions) | Senior Preferred Stock | Preferred Stock | Common Stock | ||||||||||||||||||||||||||||||||
Balance at March 31, 2022 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($51,195) | $34 | ($3,885) | $31,711 | |||||||||||||||||||||||||
Comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Net income (loss) | — | — | — | — | — | — | 2,453 | — | — | 2,453 | |||||||||||||||||||||||||
Other comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $19 million) | — | — | — | — | — | — | — | (71) | — | (71) | |||||||||||||||||||||||||
Reclassification adjustment for gains on available-for-sale securities included in net income (net of taxes of $1 million) | — | — | — | — | — | — | — | 3 | — | 3 | |||||||||||||||||||||||||
Other (net of taxes of $1 million) | — | — | — | — | — | — | — | 2 | — | 2 | |||||||||||||||||||||||||
Comprehensive income (loss) | — | — | — | — | — | — | 2,453 | (66) | — | 2,387 | |||||||||||||||||||||||||
Ending balance at June 30, 2022 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($48,742) | ($32) | ($3,885) | $34,098 | |||||||||||||||||||||||||
Balance at March 31, 2021 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($64,335) | $254 | ($3,885) | $18,791 | |||||||||||||||||||||||||
Comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Net income (loss) | — | — | — | — | — | — | 3,679 | — | — | 3,679 | |||||||||||||||||||||||||
Other comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $2 million) | — | — | — | — | — | — | — | 6 | — | 6 | |||||||||||||||||||||||||
Reclassification adjustment for gains on available-for-sale securities included in net income (net of taxes of $20 million) | — | — | — | — | — | — | — | (79) | — | (79) | |||||||||||||||||||||||||
Other (net of taxes of $1 million) | — | — | — | — | — | — | — | 5 | — | 5 | |||||||||||||||||||||||||
Comprehensive income (loss) | — | — | — | — | — | — | 3,679 | (68) | — | 3,611 | |||||||||||||||||||||||||
Ending balance at June 30, 2021 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($60,656) | $186 | ($3,885) | $22,402 |
Shares Outstanding | Senior Preferred Stock | Preferred Stock, at Redemption Value | Common Stock, at Par Value | Retained Earnings (Accumulated Deficit) | AOCI, Net of Tax | Treasury Stock, at Cost | Total Equity | ||||||||||||||||||||||||||||
(In millions) | Senior Preferred Stock | Preferred Stock | Common Stock | ||||||||||||||||||||||||||||||||
Balance at December 31, 2021 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($54,993) | $154 | ($3,885) | $28,033 | |||||||||||||||||||||||||
Comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Net income (loss) | — | — | — | — | — | — | 6,251 | — | — | 6,251 | |||||||||||||||||||||||||
Other comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $52 million) | — | — | — | — | — | — | — | (194) | — | (194) | |||||||||||||||||||||||||
Reclassification adjustment for gains on available-for-sale securities included in net income (net of taxes of $1 million) | — | — | — | — | — | — | — | 4 | — | 4 | |||||||||||||||||||||||||
Other (net of taxes of $1 million) | — | — | — | — | — | — | — | 4 | — | 4 | |||||||||||||||||||||||||
Comprehensive income (loss) | — | — | — | — | — | — | 6,251 | (186) | — | 6,065 | |||||||||||||||||||||||||
Ending balance at June 30, 2022 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($48,742) | ($32) | ($3,885) | $34,098 | |||||||||||||||||||||||||
Balance at December 31, 2020 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($67,102) | $643 | ($3,885) | $16,413 | |||||||||||||||||||||||||
Comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Net income (loss) | — | — | — | — | — | — | 6,446 | — | — | 6,446 | |||||||||||||||||||||||||
Other comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $26 million) | — | — | — | — | — | — | — | (99) | — | (99) | |||||||||||||||||||||||||
Reclassification adjustment for gains on available-for-sale securities included in net income (net of taxes of $98 million) | — | — | — | — | — | — | — | (369) | — | (369) | |||||||||||||||||||||||||
Other (net of taxes of $1 million) | — | — | — | — | — | — | — | 11 | — | 11 | |||||||||||||||||||||||||
Comprehensive income (loss) | — | — | — | — | — | — | 6,446 | (457) | — | 5,989 | |||||||||||||||||||||||||
Ending balance at June 30, 2021 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($60,656) | $186 | ($3,885) | $22,402 |
Freddie Mac |
Financial Statements | Condensed Consolidated Statements of Cash Flows |
(In millions) | (In millions) | 1Q 2022 | 1Q 2021 | (In millions) | YTD 2022 | YTD 2021 | ||||||||||||||||
Net cash provided by (used in) operating activities | Net cash provided by (used in) operating activities | $3,749 | $10,382 | Net cash provided by (used in) operating activities | $7,783 | $16,070 | ||||||||||||||||
Cash flows from investing activities | Cash flows from investing activities | Cash flows from investing activities | ||||||||||||||||||||
Purchases of investment securities | Purchases of investment securities | (42,254) | (38,708) | Purchases of investment securities | (80,629) | (70,102) | ||||||||||||||||
Proceeds from sales of investment securities | Proceeds from sales of investment securities | 40,122 | 45,996 | Proceeds from sales of investment securities | 74,416 | 88,885 | ||||||||||||||||
Proceeds from maturities and repayments of investment securities | Proceeds from maturities and repayments of investment securities | 1,833 | 2,989 | Proceeds from maturities and repayments of investment securities | 7,993 | 3,879 | ||||||||||||||||
Purchases of mortgage loans acquired as held-for-investment | Purchases of mortgage loans acquired as held-for-investment | (53,755) | (229,709) | Purchases of mortgage loans acquired as held-for-investment | (96,257) | (367,336) | ||||||||||||||||
Proceeds from sales of mortgage loans acquired as held-for-investment | Proceeds from sales of mortgage loans acquired as held-for-investment | 329 | 1,019 | Proceeds from sales of mortgage loans acquired as held-for-investment | 2,159 | 5,199 | ||||||||||||||||
Proceeds from repayments of mortgage loans acquired as held-for-investment | Proceeds from repayments of mortgage loans acquired as held-for-investment | 116,023 | 229,285 | Proceeds from repayments of mortgage loans acquired as held-for-investment | 211,698 | 414,680 | ||||||||||||||||
Advances under secured lending arrangements | Advances under secured lending arrangements | (62,351) | (54,777) | Advances under secured lending arrangements | (104,516) | (112,980) | ||||||||||||||||
Repayments of secured lending arrangements | Repayments of secured lending arrangements | 238 | 52 | Repayments of secured lending arrangements | 363 | 92 | ||||||||||||||||
Net proceeds from dispositions of real estate owned and other recoveries | Net proceeds from dispositions of real estate owned and other recoveries | 68 | 71 | Net proceeds from dispositions of real estate owned and other recoveries | 130 | 144 | ||||||||||||||||
Net (increase) decrease in securities purchased under agreements to resell | Net (increase) decrease in securities purchased under agreements to resell | (2,341) | 81,933 | Net (increase) decrease in securities purchased under agreements to resell | (17,889) | (13,314) | ||||||||||||||||
Derivative premiums and terminations, swap collateral, and exchange settlement payments, net | Derivative premiums and terminations, swap collateral, and exchange settlement payments, net | 826 | 990 | Derivative premiums and terminations, swap collateral, and exchange settlement payments, net | 3,424 | 1,113 | ||||||||||||||||
Other, net | Other, net | (209) | (155) | Other, net | (367) | (303) | ||||||||||||||||
Net cash provided by (used in) investing activities | Net cash provided by (used in) investing activities | (1,471) | 38,986 | Net cash provided by (used in) investing activities | 525 | (50,043) | ||||||||||||||||
Cash flows from financing activities | Cash flows from financing activities | Cash flows from financing activities | ||||||||||||||||||||
Proceeds from issuance of debt securities of consolidated trusts held by third parties | 136,361 | 267,096 | ||||||||||||||||||||
Repayments and redemptions of debt securities of consolidated trusts held by third parties | (128,700) | (223,437) | ||||||||||||||||||||
Proceeds from issuance of debt of consolidated trusts | Proceeds from issuance of debt of consolidated trusts | 231,938 | 501,890 | |||||||||||||||||||
Repayments and redemptions of debt of consolidated trusts | Repayments and redemptions of debt of consolidated trusts | (234,680) | (429,404) | |||||||||||||||||||
Proceeds from issuance of debt of Freddie Mac | Proceeds from issuance of debt of Freddie Mac | 7,361 | 23,153 | Proceeds from issuance of debt of Freddie Mac | 24,803 | 23,153 | ||||||||||||||||
Repayments of debt of Freddie Mac | Repayments of debt of Freddie Mac | (20,849) | (47,019) | Repayments of debt of Freddie Mac | (37,903) | (79,001) | ||||||||||||||||
Net increase (decrease) in securities sold under agreements to repurchase | Net increase (decrease) in securities sold under agreements to repurchase | 3,927 | 7,930 | Net increase (decrease) in securities sold under agreements to repurchase | 2,644 | 4,620 | ||||||||||||||||
Other, net | Other, net | (2) | (1) | Other, net | (3) | (3) | ||||||||||||||||
Net cash provided by (used in) financing activities | Net cash provided by (used in) financing activities | (1,902) | 27,722 | Net cash provided by (used in) financing activities | (13,201) | 21,255 | ||||||||||||||||
Net increase (decrease) in cash and cash equivalents (includes restricted cash and cash equivalents) | Net increase (decrease) in cash and cash equivalents (includes restricted cash and cash equivalents) | 376 | 77,090 | Net increase (decrease) in cash and cash equivalents (includes restricted cash and cash equivalents) | (4,893) | (12,718) | ||||||||||||||||
Cash and cash equivalents (includes restricted cash and cash equivalents) at beginning of year | Cash and cash equivalents (includes restricted cash and cash equivalents) at beginning of year | 10,150 | 23,889 | Cash and cash equivalents (includes restricted cash and cash equivalents) at beginning of year | 10,150 | 23,889 | ||||||||||||||||
Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period | Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period | $10,526 | $100,979 | Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period | $5,257 | $11,171 | ||||||||||||||||
Supplemental cash flow information | Supplemental cash flow information | Supplemental cash flow information | ||||||||||||||||||||
Cash paid for: | Cash paid for: | Cash paid for: | ||||||||||||||||||||
Debt interest | Debt interest | $17,996 | $17,373 | Debt interest | $36,287 | $34,301 | ||||||||||||||||
Income taxes | Income taxes | — | — | Income taxes | 1,500 | 2,590 | ||||||||||||||||
Non-cash investing and financing activities (Note 3 and 6) | Non-cash investing and financing activities (Note 3 and 6) | Non-cash investing and financing activities (Note 3 and 6) |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 1 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 1 |
Recently Adopted Accounting Guidance | |||||||||||
Standard | Description | Date of Adoption | Effect on Consolidated Financial Statements | ||||||||
ASU 2021-04, Earnings Per Share (Topic 260), Debt-Modifications and Extinguishments (Subtopic 470-50), Compensation-Stock Compensation (Topic 718), and Derivatives and Hedging-Contracts in Entity's Own Equity (Subtopic 815-40): Issuer's Accounting for Certain Modifications or Exchanges of Freestanding Equity-Classified Written Call Options | The amendments in this Update require issuers to account for modifications or exchanges of freestanding equity-classified written call options based on the reason for the modification or exchange, to issue equity, to issue or modify debt, or for other reasons. | January 1, 2022 | The adoption of the amendments did not have a material effect on our consolidated financial statements. | ||||||||
ASU 2022-02, Financial Instruments—Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures | The amendments in this Update eliminate the recognition and measurement guidance related to TDRs in ASC Subtopic 310-40 for entities that have adopted ASC Topic 326. The amendments in this Update also require disclosure of current period gross write-offs by year of origination for financing receivables within the scope of ASC Subtopic 326-20. | January 1, 2022 for the amendments related to the elimination of the recognition and measurement of TDRs; January 1, 2023 for the amendments related to disclosure of gross write-offs by year of origination. | We elected to early adopt the amendments related to the elimination of the recognition and measurement of TDRs on January 1, 2022 on a prospective basis. This change did not have a material effect on our consolidated financial statements. See Note 3 for additional information on the adoption of these amendments and the new required disclosures. We do not expect the adoption of the amendments related to disclosure of gross write-offs by year of origination to have a material effect on our consolidated financial statements. |
Recently Issued Accounting Guidance, Not Yet Adopted Within Our Consolidated Financial Statements | |||||||||||
Standard | Description | Date of Adoption | Effect on Consolidated Financial Statements | ||||||||
ASU 2022-01, Derivatives and Hedging (Topic 815): Fair Value Hedging - Portfolio Layer method | The amendments in this Update provide clarifications of the guidance in ASC Topic 815 on fair value hedge accounting of interest rate risk for portfolios of financial assets. The ASU amends the guidance in ASU 2017-12 that, among other things, establishes the "last-of-layer" method for making the fair value hedge accounting for these portfolios more accessible by allowing the entities to apply the portfolio layer method to portfolios of all financial assets, including both prepayable and nonprepayable financial assets. | January 1, 2023 | We do not expect the adoption of these amendments to have a material effect on our consolidated financial statements. |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 2 |
(In millions) | (In millions) | March 31, 2022 | December 31, 2021 | (In millions) | June 30, 2022 | December 31, 2021 | ||||||||||||||||
Assets and Liabilities Recorded on our Condensed Consolidated Balance Sheets(1) | Assets and Liabilities Recorded on our Condensed Consolidated Balance Sheets(1) | Assets and Liabilities Recorded on our Condensed Consolidated Balance Sheets(1) | ||||||||||||||||||||
Assets: | Assets: | Assets: | ||||||||||||||||||||
Investment securities, at fair value | Investment securities, at fair value | $14,381 | $16,506 | Investment securities, at fair value | $15,781 | $16,506 | ||||||||||||||||
Accrued interest receivable, net | Accrued interest receivable, net | 219 | 220 | Accrued interest receivable, net | 217 | 220 | ||||||||||||||||
Other assets(2) | Other assets(2) | 5,392 | 5,589 | Other assets(2) | 5,378 | 5,589 | ||||||||||||||||
Liabilities: | Liabilities: | Liabilities: | ||||||||||||||||||||
Debt | Debt | 90 | 67 | Debt | 128 | 67 | ||||||||||||||||
Other liabilities(2) | Other liabilities(2) | 5,337 | 5,172 | Other liabilities(2) | 5,677 | 5,172 |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||
(In millions) | Total Assets | Maximum Exposure(2) | Total Assets | Maximum Exposure(2) | ||||||||||||||||
Securitization Activities | ||||||||||||||||||||
Single-Family: | ||||||||||||||||||||
Other securitization products(3) | $32,554 | $26,883 | $33,603 | $27,975 | ||||||||||||||||
Multifamily: | ||||||||||||||||||||
K Certificates | 324,365 | 285,991 | 321,149 | 281,910 | ||||||||||||||||
SB Certificates | 24,750 | 22,166 | 24,944 | 22,389 | ||||||||||||||||
Other securitization products | 15,704 | 13,846 | 16,683 | 14,772 | ||||||||||||||||
CRT Activities | 30,521 | 19 | 23,605 | 44 | ||||||||||||||||
Freddie Mac 2Q 2022 Form 10-Q | 55 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements|Note 2 |
March 31, 2022 | December 31, 2021 | |||||||||||||||||||
(In billions) | Total Assets | Maximum Exposure(1) | Total Assets | Maximum Exposure(1) | ||||||||||||||||
Securitization Activities | ||||||||||||||||||||
Single-Family: | ||||||||||||||||||||
Other securitization products(2) | $32.4 | $26.7 | $33.6 | $28.0 | ||||||||||||||||
Multifamily: | ||||||||||||||||||||
K Certificates | 322.6 | 283.8 | 321.1 | 281.9 | ||||||||||||||||
SB Certificates | 24.9 | 22.3 | 24.9 | 22.4 | ||||||||||||||||
Other securitization products | 16.0 | 14.1 | 16.7 | 14.8 | ||||||||||||||||
CRT Activities | 28.5 | — | 23.6 | — | ||||||||||||||||
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | (In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||||||||||||||||||||
Held-for-sale UPB | Held-for-sale UPB | $5,436 | $12,735 | $18,171 | $5,446 | $14,871 | $20,317 | Held-for-sale UPB | $4,086 | $9,302 | $13,388 | $5,446 | $14,871 | $20,317 | ||||||||||||||||||||||||||||||||||||||
Cost basis and fair value adjustments, net | Cost basis and fair value adjustments, net | (847) | (310) | (1,157) | (813) | 274 | (539) | Cost basis and fair value adjustments, net | (713) | (335) | (1,048) | (813) | 274 | (539) | ||||||||||||||||||||||||||||||||||||||
Total held-for-sale loans, net | Total held-for-sale loans, net | 4,589 | 12,425 | 17,014 | 4,633 | 15,145 | 19,778 | Total held-for-sale loans, net | 3,373 | 8,967 | 12,340 | 4,633 | 15,145 | 19,778 | ||||||||||||||||||||||||||||||||||||||
Held-for-investment UPB | Held-for-investment UPB | 2,836,580 | 28,532 | 2,865,112 | 2,742,851 | 26,657 | 2,769,508 | Held-for-investment UPB | 2,881,547 | 30,585 | 2,912,132 | 2,742,851 | 26,657 | 2,769,508 | ||||||||||||||||||||||||||||||||||||||
Cost basis adjustments | Cost basis adjustments | 55,105 | 87 | 55,192 | 63,684 | 86 | 63,770 | Cost basis adjustments | 47,271 | 60 | 47,331 | 63,684 | 86 | 63,770 | ||||||||||||||||||||||||||||||||||||||
Allowance for credit losses | Allowance for credit losses | (4,358) | (31) | (4,389) | (4,913) | (34) | (4,947) | Allowance for credit losses | (4,904) | (35) | (4,939) | (4,913) | (34) | (4,947) | ||||||||||||||||||||||||||||||||||||||
Total held-for-investment loans, net | Total held-for-investment loans, net | 2,887,327 | 28,588 | 2,915,915 | 2,801,622 | 26,709 | 2,828,331 | Total held-for-investment loans, net | 2,923,914 | 30,610 | 2,954,524 | 2,801,622 | 26,709 | 2,828,331 | ||||||||||||||||||||||||||||||||||||||
Total mortgage loans, net | Total mortgage loans, net | $2,891,916 | $41,013 | $2,932,929 | $2,806,255 | $41,854 | $2,848,109 | Total mortgage loans, net | $2,927,287 | $39,577 | $2,966,864 | $2,806,255 | $41,854 | $2,848,109 |
(In billions) | 1Q 2022 | 1Q 2021 | ||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | |||||||||||||||||||||||||||||||||||
Single-Family: | Single-Family: | Single-Family: | ||||||||||||||||||||||||||||||||||||||
Purchases: | Purchases: | Purchases: | ||||||||||||||||||||||||||||||||||||||
Held-for-investment loans | Held-for-investment loans | $206.9 | $360.6 | Held-for-investment loans | $137,665 | $287,096 | $344,600 | $647,668 | ||||||||||||||||||||||||||||||||
Sale of held-for-sale loans(1) | Sale of held-for-sale loans(1) | — | — | Sale of held-for-sale loans(1) | 1,429 | 3,037 | 1,444 | 3,037 | ||||||||||||||||||||||||||||||||
Multifamily: | Multifamily: | Multifamily: | ||||||||||||||||||||||||||||||||||||||
Purchases: | Purchases: | Purchases: | ||||||||||||||||||||||||||||||||||||||
Held-for-investment loans | Held-for-investment loans | 2.6 | 1.6 | Held-for-investment loans | 2,957 | 1,299 | 5,522 | 2,920 | ||||||||||||||||||||||||||||||||
Held-for-sale loans | Held-for-sale loans | 12.3 | 12.3 | Held-for-sale loans | 11,372 | 11,543 | 23,639 | 23,836 | ||||||||||||||||||||||||||||||||
Sale of held-for-sale loans(2) | Sale of held-for-sale loans(2) | 14.3 | 21.1 | Sale of held-for-sale loans(2) | 14,899 | 17,718 | 29,191 | 38,831 |
1Q 2022 | 1Q 2021 | 2Q 2022 | 2Q 2021 | |||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | UPB | Allowance for Credit Losses Reversed or (Established) | Valuation Allowance (Established) or Reversed | UPB | Allowance for Credit Losses Reversed or (Established) | Valuation Allowance (Established) or Reversed | (In millions) | UPB | Allowance for Credit Losses Reversed or (Established) | Valuation Allowance (Established) or Reversed | UPB | Allowance for Credit Losses Reversed or (Established) | Valuation Allowance (Established) or Reversed | ||||||||||||||||||||||||||||||||
Single-Family reclassifications from: | Single-Family reclassifications from: | Single-Family reclassifications from: | ||||||||||||||||||||||||||||||||||||||||||||
Held-for-investment to held-for-sale(1) | $248 | $— | $— | $501 | $7 | $— | ||||||||||||||||||||||||||||||||||||||||
Held-for-investment to held-for-sale | Held-for-investment to held-for-sale | $325 | $10 | $— | $469 | $28 | $— | |||||||||||||||||||||||||||||||||||||||
Held-for-sale to held-for-investment | Held-for-sale to held-for-investment | 62 | (3) | — | 35 | 3 | — | Held-for-sale to held-for-investment | 75 | (4) | 3 | 67 | 6 | — | ||||||||||||||||||||||||||||||||
Multifamily reclassifications from: | Multifamily reclassifications from: | Multifamily reclassifications from: | ||||||||||||||||||||||||||||||||||||||||||||
Held-for-investment to held-for-sale | Held-for-investment to held-for-sale | 315 | — | — | 528 | 1 | — | Held-for-investment to held-for-sale | 386 | 1 | — | 1,202 | 5 | — | ||||||||||||||||||||||||||||||||
Held-for-sale to held-for-investment | Held-for-sale to held-for-investment | 246 | — | — | 9 | — | — | Held-for-sale to held-for-investment | 39 | — | — | 12 | — | — |
Freddie Mac 2Q 2022 Form 10-Q | 57 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
YTD 2022 | YTD 2021 | ||||||||||||||||||||||
(In millions) | UPB | Allowance for Credit Losses Reversed or (Established) | Valuation Allowance (Established) or Reversed | UPB | Allowance for Credit Losses Reversed or (Established) | Valuation Allowance (Established) or Reversed | |||||||||||||||||
Single-family reclassifications from: | |||||||||||||||||||||||
Held-for-investment to held-for-sale | $573 | $10 | $— | $970 | $35 | $— | |||||||||||||||||
Held-for-sale to held-for-investment(1) | 137 | (7) | 3 | 102 | 9 | — | |||||||||||||||||
Multifamily reclassifications from: | |||||||||||||||||||||||
Held-for-investment to held-for-sale | 701 | 1 | — | 1,730 | 6 | — | |||||||||||||||||
Held-for-sale to held-for-investment | 285 | — | — | 21 | — | — |
Non-Accrual Amortized Cost Basis | Interest Income Recognized(1) | Non-Accrual Amortized Cost Basis | Interest Income Recognized(1) | |||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | January 1, 2022 | March 31, 2022 | 1Q 2022 | (In millions) | March 31, 2022 | June 30, 2022 | 2Q 2022 | YTD 2022 | |||||||||||||||||||||||||||||||
Single-Family: | Single-Family: | Single-Family: | ||||||||||||||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 20- and 30-year or more, amortizing fixed-rate | $17,013 | $13,831 | $49 | 20- and 30-year or more, amortizing fixed-rate | $13,831 | $11,021 | $40 | $80 | |||||||||||||||||||||||||||||||
15-year amortizing fixed-rate | 844 | 684 | 1 | |||||||||||||||||||||||||||||||||||||
Adjustable-rate | 233 | 166 | — | |||||||||||||||||||||||||||||||||||||
Alt-A, interest-only, and option ARM | 560 | 414 | 1 | |||||||||||||||||||||||||||||||||||||
15-year or less, amortizing fixed-rate | 15-year or less, amortizing fixed-rate | 684 | 562 | 1 | 3 | |||||||||||||||||||||||||||||||||||
Adjustable-rate and other | Adjustable-rate and other | 580 | 435 | 1 | 3 | |||||||||||||||||||||||||||||||||||
Total Single-Family | Total Single-Family | 18,650 | 15,095 | 51 | Total Single-Family | 15,095 | 12,018 | 42 | 86 | |||||||||||||||||||||||||||||||
Total Multifamily | Total Multifamily | — | 42 | — | Total Multifamily | 42 | 42 | — | — | |||||||||||||||||||||||||||||||
Total Single-Family and Multifamily | Total Single-Family and Multifamily | $18,650 | $15,137 | $51 | Total Single-Family and Multifamily | $15,137 | $12,060 | $42 | $86 |
Non-Accrual Amortized Cost Basis | Interest Income Recognized(1) | Non-Accrual Amortized Cost Basis | Interest Income Recognized(1) | |||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | January 1, 2021 | March 31, 2021 | 1Q 2021 | (In millions) | March 31, 2021 | June 30, 2021 | 2Q 2021 | YTD 2021 | |||||||||||||||||||||||||||||||
Single-Family: | Single-Family: | Single-Family: | ||||||||||||||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 20- and 30-year or more, amortizing fixed-rate | $12,151 | $21,137 | $36 | 20- and 30-year or more, amortizing fixed-rate | $21,137 | $19,431 | $35 | $70 | |||||||||||||||||||||||||||||||
15-year amortizing fixed-rate | 696 | 1,031 | 1 | |||||||||||||||||||||||||||||||||||||
Adjustable-rate | 193 | 296 | — | |||||||||||||||||||||||||||||||||||||
Alt-A, interest-only, and option ARM | 637 | 700 | 1 | |||||||||||||||||||||||||||||||||||||
15-year or less, amortizing fixed-rate | 15-year or less, amortizing fixed-rate | 1,031 | 914 | 1 | 3 | |||||||||||||||||||||||||||||||||||
Adjustable-rate and other | Adjustable-rate and other | 996 | 879 | 1 | 3 | |||||||||||||||||||||||||||||||||||
Total Single-Family | Total Single-Family | 13,677 | 23,164 | 38 | Total Single-Family | 23,164 | 21,224 | 37 | 76 | |||||||||||||||||||||||||||||||
Total Multifamily | Total Multifamily | — | — | — | Total Multifamily | — | — | — | — | |||||||||||||||||||||||||||||||
Total Single-Family and Multifamily | Total Single-Family and Multifamily | $13,677 | $23,164 | $38 | Total Single-Family and Multifamily | $23,164 | $21,224 | $37 | $76 |
Accrued Interest Receivable, Net | Accrued Interest Receivable Related Charge-Offs | Accrued Interest Receivable, Net | Accrued Interest Receivable Related Charge-Offs | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | March 31, 2022 | December 31, 2021 | 1Q 2022 | 1Q 2021 | (In millions) | June 30, 2022 | December 31, 2021 | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | ||||||||||||||||||||||||||||||||||||||||||||||
Single-Family loans | Single-Family loans | $7,260 | $7,065 | ($87) | ($166) | Single-Family loans | $7,458 | $7,065 | ($58) | ($119) | ($145) | ($285) | ||||||||||||||||||||||||||||||||||||||||||||||
Multifamily loans | Multifamily loans | 124 | 125 | — | — | Multifamily loans | 122 | 125 | — | — | — | — |
Freddie Mac 2Q 2022 Form 10-Q | 58 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
March 31, 2022 | ||||||||||||||||||||||||||
Year of Origination | Total | |||||||||||||||||||||||||
(In millions) | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | ||||||||||||||||||||
Current LTV ratio: | ||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | ||||||||||||||||||||||||||
≤ 60 | $21,601 | $339,585 | $463,561 | $85,390 | $40,168 | $447,235 | $1,397,540 | |||||||||||||||||||
> 60 to 80 | 52,664 | 476,596 | 259,464 | 43,907 | 12,955 | 19,266 | 864,852 | |||||||||||||||||||
> 80 to 90 | 13,703 | 126,294 | 11,245 | 1,077 | 279 | 758 | 153,356 | |||||||||||||||||||
> 90 to 100 | 16,033 | 28,126 | 419 | 59 | 26 | 284 | 44,947 | |||||||||||||||||||
> 100 | 15 | 11 | 1 | 2 | 6 | 281 | 316 | |||||||||||||||||||
Total 20- and 30-year or more, amortizing fixed-rate | 104,016 | 970,612 | 734,690 | 130,435 | 53,434 | 467,824 | 2,461,011 | |||||||||||||||||||
15-year amortizing fixed-rate | ||||||||||||||||||||||||||
≤ 60 | 7,073 | 109,767 | 115,374 | 16,559 | 6,600 | 84,373 | 339,746 | |||||||||||||||||||
> 60 to 80 | 5,805 | 43,411 | 9,655 | 548 | 66 | 48 | 59,533 | |||||||||||||||||||
> 80 to 90 | 612 | 1,771 | 41 | 3 | 1 | 5 | 2,433 | |||||||||||||||||||
> 90 to 100 | 181 | 169 | — | — | — | 2 | 352 | |||||||||||||||||||
> 100 | 1 | — | — | — | 1 | 3 | 5 | |||||||||||||||||||
Total 15-year amortizing fixed-rate | 13,672 | 155,118 | 125,070 | 17,110 | 6,668 | 84,431 | 402,069 | |||||||||||||||||||
Adjustable-rate | ||||||||||||||||||||||||||
≤ 60 | 367 | 2,620 | 1,611 | 713 | 509 | 10,790 | 16,610 | |||||||||||||||||||
> 60 to 80 | 490 | 2,426 | 366 | 133 | 53 | 213 | 3,681 | |||||||||||||||||||
> 80 to 90 | 98 | 320 | 10 | 4 | 2 | 3 | 437 | |||||||||||||||||||
> 90 to 100 | 49 | 47 | — | — | — | 1 | 97 | |||||||||||||||||||
> 100 | — | — | — | — | — | — | — | |||||||||||||||||||
Total adjustable-rate | 1,004 | 5,413 | 1,987 | 850 | 564 | 11,007 | 20,825 | |||||||||||||||||||
Alt-A, interest-only, and option ARM | ||||||||||||||||||||||||||
≤ 60 | — | — | — | — | — | 7,226 | 7,226 | |||||||||||||||||||
> 60 to 80 | — | — | — | — | — | 468 | 468 | |||||||||||||||||||
> 80 to 90 | — | — | — | — | — | 51 | 51 | |||||||||||||||||||
> 90 to 100 | — | — | — | — | — | 23 | 23 | |||||||||||||||||||
> 100 | — | — | — | — | — | 12 | 12 | |||||||||||||||||||
Total Alt-A, interest-only, and option ARM | — | — | — | — | — | 7,780 | 7,780 | |||||||||||||||||||
Total Single-Family loans | $118,692 | $1,131,143 | $861,747 | $148,395 | $60,666 | $571,042 | $2,891,685 | |||||||||||||||||||
Total for all loan product types by current LTV ratio: | ||||||||||||||||||||||||||
≤ 60 | $29,041 | $451,972 | $580,546 | $102,662 | $47,277 | $549,624 | $1,761,122 | |||||||||||||||||||
> 60 to 80 | 58,959 | 522,433 | 269,485 | 44,588 | 13,074 | 19,995 | 928,534 | |||||||||||||||||||
> 80 to 90 | 14,413 | 128,385 | 11,296 | 1,084 | 282 | 817 | 156,277 | |||||||||||||||||||
> 90 to 100 | 16,263 | 28,342 | 419 | 59 | 26 | 310 | 45,419 | |||||||||||||||||||
> 100 | 16 | 11 | 1 | 2 | 7 | 296 | 333 | |||||||||||||||||||
Total Single-Family loans | $118,692 | $1,131,143 | $861,747 | $148,395 | $60,666 | $571,042 | $2,891,685 |
June 30, 2022 | ||||||||||||||||||||||||||
Year of Origination | Total | |||||||||||||||||||||||||
(In millions) | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | ||||||||||||||||||||
Current LTV ratio: | ||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | ||||||||||||||||||||||||||
≤ 60 | $47,446 | $426,668 | $526,497 | $94,360 | $42,009 | $434,009 | $1,570,989 | |||||||||||||||||||
> 60 to 80 | 108,231 | 432,622 | 183,489 | 29,468 | 8,160 | 11,300 | 773,270 | |||||||||||||||||||
> 80 to 90 | 36,712 | 88,209 | 3,088 | 497 | 135 | 548 | 129,189 | |||||||||||||||||||
> 90 to 100 | 29,808 | 1,700 | 227 | 25 | 14 | 194 | 31,968 | |||||||||||||||||||
> 100 | 14 | 1 | — | 1 | 4 | 210 | 230 | |||||||||||||||||||
Total 20- and 30-year or more, amortizing fixed-rate | 222,211 | 949,200 | 713,301 | 124,351 | 50,322 | 446,261 | 2,505,646 | |||||||||||||||||||
15-year or less, amortizing fixed-rate | ||||||||||||||||||||||||||
≤ 60 | 13,108 | 121,324 | 116,182 | 15,904 | 6,189 | 78,186 | 350,893 | |||||||||||||||||||
> 60 to 80 | 9,712 | 28,266 | 3,872 | 218 | 26 | 27 | 42,121 | |||||||||||||||||||
> 80 to 90 | 817 | 654 | 9 | — | 1 | 3 | 1,484 | |||||||||||||||||||
> 90 to 100 | 252 | 7 | — | — | — | 2 | 261 | |||||||||||||||||||
> 100 | — | — | — | — | — | 2 | 2 | |||||||||||||||||||
Total 15-year or less, amortizing fixed-rate | 23,889 | 150,251 | 120,063 | 16,122 | 6,216 | 78,220 | 394,761 | |||||||||||||||||||
Adjustable-rate and other | ||||||||||||||||||||||||||
≤ 60 | 817 | 3,052 | 1,661 | 711 | 481 | 16,911 | 23,633 | |||||||||||||||||||
> 60 to 80 | 1,211 | 2,002 | 214 | 75 | 31 | 454 | 3,987 | |||||||||||||||||||
> 80 to 90 | 350 | 168 | 2 | 1 | 1 | 37 | 559 | |||||||||||||||||||
> 90 to 100 | 206 | 4 | — | — | — | 13 | 223 | |||||||||||||||||||
> 100 | — | — | — | — | — | 9 | 9 | |||||||||||||||||||
Total adjustable-rate and other | 2,584 | 5,226 | 1,877 | 787 | 513 | 17,424 | 28,411 | |||||||||||||||||||
Total Single-Family loans | $248,684 | $1,104,677 | $835,241 | $141,260 | $57,051 | $541,905 | $2,928,818 | |||||||||||||||||||
Total for all loan product types by current LTV ratio: | ||||||||||||||||||||||||||
≤ 60 | $61,371 | $551,044 | $644,340 | $110,975 | $48,679 | $529,106 | $1,945,515 | |||||||||||||||||||
> 60 to 80 | 119,154 | 462,890 | 187,575 | 29,761 | 8,217 | 11,781 | 819,378 | |||||||||||||||||||
> 80 to 90 | 37,879 | 89,031 | 3,099 | 498 | 137 | 588 | 131,232 | |||||||||||||||||||
> 90 to 100 | 30,266 | 1,711 | 227 | 25 | 14 | 209 | 32,452 | |||||||||||||||||||
> 100 | 14 | 1 | — | 1 | 4 | 221 | 241 | |||||||||||||||||||
Total Single-Family loans | $248,684 | $1,104,677 | $835,241 | $141,260 | $57,051 | $541,905 | $2,928,818 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
December 31, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year of Origination | Total | Year of Origination | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | (In millions) | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | ||||||||||||||||||||||||||||||||||||||
Current LTV ratio: | Current LTV ratio: | Current LTV ratio: | ||||||||||||||||||||||||||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 20- and 30-year or more, amortizing fixed-rate | 20- and 30-year or more, amortizing fixed-rate | ||||||||||||||||||||||||||||||||||||||||||||||||||
≤ 60 | ≤ 60 | $260,244 | $397,680 | $77,812 | $39,143 | $61,434 | $405,467 | $1,241,780 | ≤ 60 | $260,244 | $397,680 | $77,812 | $39,143 | $61,434 | $405,467 | $1,241,780 | ||||||||||||||||||||||||||||||||||||
> 60 to 80 | > 60 to 80 | 467,193 | 334,560 | 60,570 | 18,914 | 12,715 | 17,354 | 911,306 | > 60 to 80 | 467,193 | 334,560 | 60,570 | 18,914 | 12,715 | 17,354 | 911,306 | ||||||||||||||||||||||||||||||||||||
> 80 to 90 | > 80 to 90 | 124,074 | 28,944 | 2,034 | 482 | 208 | 818 | 156,560 | > 80 to 90 | 124,074 | 28,944 | 2,034 | 482 | 208 | 818 | 156,560 | ||||||||||||||||||||||||||||||||||||
> 90 to 100 | > 90 to 100 | 66,851 | 1,083 | 126 | 45 | 29 | 309 | 68,443 | > 90 to 100 | 66,851 | 1,083 | 126 | 45 | 29 | 309 | 68,443 | ||||||||||||||||||||||||||||||||||||
> 100 | > 100 | 75 | 2 | 4 | 8 | 18 | 328 | 435 | > 100 | 75 | 2 | 4 | 8 | 18 | 328 | 435 | ||||||||||||||||||||||||||||||||||||
Total 20- and 30-year or more, amortizing fixed-rate | Total 20- and 30-year or more, amortizing fixed-rate | 918,437 | 762,269 | 140,546 | 58,592 | 74,404 | 424,276 | 2,378,524 | Total 20- and 30-year or more, amortizing fixed-rate | 918,437 | 762,269 | 140,546 | 58,592 | 74,404 | 424,276 | 2,378,524 | ||||||||||||||||||||||||||||||||||||
15-year amortizing fixed-rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||
15-year or less, amortizing fixed-rate | 15-year or less, amortizing fixed-rate | |||||||||||||||||||||||||||||||||||||||||||||||||||
≤ 60 | ≤ 60 | 93,732 | 111,899 | 17,335 | 7,161 | 13,602 | 78,001 | 321,730 | ≤ 60 | 93,732 | 111,899 | 17,335 | 7,161 | 13,602 | 78,001 | 321,730 | ||||||||||||||||||||||||||||||||||||
> 60 to 80 | > 60 to 80 | 52,521 | 18,834 | 1,136 | 137 | 54 | 36 | 72,718 | > 60 to 80 | 52,521 | 18,834 | 1,136 | 137 | 54 | 36 | 72,718 | ||||||||||||||||||||||||||||||||||||
> 80 to 90 | > 80 to 90 | 3,785 | 168 | 6 | 2 | 2 | 3 | 3,966 | > 80 to 90 | 3,785 | 168 | 6 | 2 | 2 | 3 | 3,966 | ||||||||||||||||||||||||||||||||||||
> 90 to 100 | > 90 to 100 | 598 | 2 | 1 | 1 | 1 | 2 | 605 | > 90 to 100 | 598 | 2 | 1 | 1 | 1 | 2 | 605 | ||||||||||||||||||||||||||||||||||||
> 100 | > 100 | 4 | — | — | 1 | 1 | 3 | 9 | > 100 | 4 | — | — | 1 | 1 | 3 | 9 | ||||||||||||||||||||||||||||||||||||
Total 15-year amortizing fixed-rate | 150,640 | 130,903 | 18,478 | 7,302 | 13,660 | 78,045 | 399,028 | |||||||||||||||||||||||||||||||||||||||||||||
Adjustable-rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total 15-year or less, amortizing fixed-rate | Total 15-year or less, amortizing fixed-rate | 150,640 | 130,903 | 18,478 | 7,302 | 13,660 | 78,045 | 399,028 | ||||||||||||||||||||||||||||||||||||||||||||
Adjustable-rate and other | Adjustable-rate and other | |||||||||||||||||||||||||||||||||||||||||||||||||||
≤ 60 | ≤ 60 | 2,054 | 1,554 | 727 | 543 | 1,657 | 10,011 | 16,546 | ≤ 60 | 2,054 | 1,554 | 727 | 543 | 1,657 | 17,517 | 24,052 | ||||||||||||||||||||||||||||||||||||
> 60 to 80 | > 60 to 80 | 2,435 | 535 | 209 | 90 | 190 | 151 | 3,610 | > 60 to 80 | 2,435 | 535 | 209 | 90 | 190 | 795 | 4,254 | ||||||||||||||||||||||||||||||||||||
> 80 to 90 | > 80 to 90 | 417 | 16 | 6 | 3 | 4 | 2 | 448 | > 80 to 90 | 417 | 16 | 6 | 3 | 4 | 66 | 512 | ||||||||||||||||||||||||||||||||||||
> 90 to 100 | > 90 to 100 | 116 | — | — | — | — | 1 | 117 | > 90 to 100 | 116 | — | — | — | — | 30 | 146 | ||||||||||||||||||||||||||||||||||||
> 100 | > 100 | 1 | — | — | — | — | — | 1 | > 100 | 1 | — | — | — | — | 18 | 19 | ||||||||||||||||||||||||||||||||||||
Total adjustable-rate | 5,023 | 2,105 | 942 | 636 | 1,851 | 10,165 | 20,722 | |||||||||||||||||||||||||||||||||||||||||||||
Alt-A, interest-only, and option ARM | ||||||||||||||||||||||||||||||||||||||||||||||||||||
≤ 60 | — | — | — | — | — | 7,506 | 7,506 | |||||||||||||||||||||||||||||||||||||||||||||
> 60 to 80 | — | — | — | — | — | 644 | 644 | |||||||||||||||||||||||||||||||||||||||||||||
> 80 to 90 | — | — | — | — | — | 64 | 64 | |||||||||||||||||||||||||||||||||||||||||||||
> 90 to 100 | — | — | — | — | — | 29 | 29 | |||||||||||||||||||||||||||||||||||||||||||||
> 100 | — | — | — | — | — | 18 | 18 | |||||||||||||||||||||||||||||||||||||||||||||
Total Alt-A, interest-only, and option ARM | — | — | — | — | — | 8,261 | 8,261 | |||||||||||||||||||||||||||||||||||||||||||||
Total adjustable-rate and other | Total adjustable-rate and other | 5,023 | 2,105 | 942 | 636 | 1,851 | 18,426 | 28,983 | ||||||||||||||||||||||||||||||||||||||||||||
Total Single-Family loans | Total Single-Family loans | $1,074,100 | $895,277 | $159,966 | $66,530 | $89,915 | $520,747 | $2,806,535 | Total Single-Family loans | $1,074,100 | $895,277 | $159,966 | $66,530 | $89,915 | $520,747 | $2,806,535 | ||||||||||||||||||||||||||||||||||||
Total for all loan product types by current LTV ratio: | Total for all loan product types by current LTV ratio: | Total for all loan product types by current LTV ratio: | ||||||||||||||||||||||||||||||||||||||||||||||||||
≤ 60 | ≤ 60 | $356,030 | $511,133 | $95,874 | $46,847 | $76,693 | $500,985 | $1,587,562 | ≤ 60 | $356,030 | $511,133 | $95,874 | $46,847 | $76,693 | $500,985 | $1,587,562 | ||||||||||||||||||||||||||||||||||||
> 60 to 80 | > 60 to 80 | 522,149 | 353,929 | 61,915 | 19,141 | 12,959 | 18,185 | 988,278 | > 60 to 80 | 522,149 | 353,929 | 61,915 | 19,141 | 12,959 | 18,185 | 988,278 | ||||||||||||||||||||||||||||||||||||
> 80 to 90 | > 80 to 90 | 128,276 | 29,128 | 2,046 | 487 | 214 | 887 | 161,038 | > 80 to 90 | 128,276 | 29,128 | 2,046 | 487 | 214 | 887 | 161,038 | ||||||||||||||||||||||||||||||||||||
> 90 to 100 | > 90 to 100 | 67,565 | 1,085 | 127 | 46 | 30 | 341 | 69,194 | > 90 to 100 | 67,565 | 1,085 | 127 | 46 | 30 | 341 | 69,194 | ||||||||||||||||||||||||||||||||||||
> 100 | > 100 | 80 | 2 | 4 | 9 | 19 | 349 | 463 | > 100 | 80 | 2 | 4 | 9 | 19 | 349 | 463 | ||||||||||||||||||||||||||||||||||||
Total Single-Family loans | Total Single-Family loans | $1,074,100 | $895,277 | $159,966 | $66,530 | $89,915 | $520,747 | $2,806,535 | Total Single-Family loans | $1,074,100 | $895,277 | $159,966 | $66,530 | $89,915 | $520,747 | $2,806,535 |
Freddie Mac 2Q 2022 Form 10-Q | 60 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
March 31, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year of Origination | Total | Year of Origination | Total | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | Revolving Loans | (In millions) | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | Total | Revolving Loans | |||||||||||||||||||||||||||||||||||||||||||||||
Category: | Category: | Category: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Pass | Pass | $1,221 | $8,210 | $6,958 | $5,350 | $966 | $3,147 | $2,011 | $27,863 | Pass | $4,153 | $8,006 | $6,651 | $5,196 | $957 | $3,056 | $1,857 | $29,876 | ||||||||||||||||||||||||||||||||||||||||||||||
Special mention | Special mention | — | — | 40 | 372 | — | 49 | — | 461 | Special mention | — | — | 40 | 397 | 7 | 63 | — | 507 | ||||||||||||||||||||||||||||||||||||||||||||||
Substandard | Substandard | — | — | 32 | 171 | 4 | 88 | — | 295 | Substandard | — | — | 32 | 141 | 4 | 85 | — | 262 | ||||||||||||||||||||||||||||||||||||||||||||||
Doubtful | Doubtful | — | — | — | — | — | — | — | — | Doubtful | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | $1,221 | $8,210 | $7,030 | $5,893 | $970 | $3,284 | $2,011 | $28,619 | Total | $4,153 | $8,006 | $6,723 | $5,734 | $968 | $3,204 | $1,857 | $30,645 |
December 31, 2021 | ||||||||||||||||||||||||||||||||
Year of Origination | Total | |||||||||||||||||||||||||||||||
(In millions) | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | Revolving Loans | |||||||||||||||||||||||||
Category: | ||||||||||||||||||||||||||||||||
Pass | $6,955 | $7,116 | $5,273 | $979 | $610 | $2,795 | $2,275 | $26,003 | ||||||||||||||||||||||||
Special mention | — | 40 | 372 | — | 3 | 42 | — | 457 | ||||||||||||||||||||||||
Substandard | — | 62 | 171 | 4 | 2 | 44 | — | 283 | ||||||||||||||||||||||||
Doubtful | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Total | $6,955 | $7,218 | $5,816 | $983 | $615 | $2,881 | $2,275 | $26,743 |
March 31, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due, or in Foreclosure(1) | Total | Three Months or More Past Due, and Accruing Interest | Non-accrual With No Allowance(2) | (In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due, or in Foreclosure(1) | Total | Three Months or More Past Due, and Accruing Interest | Non-accrual With No Allowance(2) | ||||||||||||||||||||||||||||||||||||
Single-Family: | Single-Family: | Single-Family: | ||||||||||||||||||||||||||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 20- and 30-year or more, amortizing fixed-rate | $2,426,493 | $13,596 | $3,355 | $17,567 | $2,461,011 | $4,146 | $918 | 20- and 30-year or more, amortizing fixed-rate | $2,472,518 | $15,884 | $3,318 | $13,926 | $2,505,646 | $3,319 | $717 | ||||||||||||||||||||||||||||||||||||
15-year amortizing fixed-rate | 399,703 | 1,186 | 235 | 945 | 402,069 | 275 | 13 | |||||||||||||||||||||||||||||||||||||||||||||
Adjustable-rate | 20,511 | 96 | 25 | 193 | 20,825 | 29 | 9 | |||||||||||||||||||||||||||||||||||||||||||||
Alt-A, interest-only, and option ARM | 7,091 | 174 | 51 | 464 | 7,780 | 22 | 111 | |||||||||||||||||||||||||||||||||||||||||||||
15-year or less, amortizing fixed-rate | 15-year or less, amortizing fixed-rate | 392,419 | 1,373 | 221 | 748 | 394,761 | 201 | 14 | ||||||||||||||||||||||||||||||||||||||||||||
Adjustable-rate and other | Adjustable-rate and other | 27,539 | 303 | 73 | 496 | 28,411 | 35 | 93 | ||||||||||||||||||||||||||||||||||||||||||||
Total Single-Family | Total Single-Family | 2,853,798 | 15,052 | 3,666 | 19,169 | 2,891,685 | 4,472 | 1,051 | Total Single-Family | 2,892,476 | 17,560 | 3,612 | 15,170 | 2,928,818 | 3,555 | 824 | ||||||||||||||||||||||||||||||||||||
Total Multifamily | Total Multifamily | 28,577 | — | — | 42 | 28,619 | — | 42 | Total Multifamily | 30,603 | — | — | 42 | 30,645 | — | 42 | ||||||||||||||||||||||||||||||||||||
Total Single-Family and Multifamily | Total Single-Family and Multifamily | $2,882,375 | $15,052 | $3,666 | $19,211 | $2,920,304 | $4,472 | $1,093 | Total Single-Family and Multifamily | $2,923,079 | $17,560 | $3,612 | $15,212 | $2,959,463 | $3,555 | $866 |
December 31, 2021 | ||||||||||||||||||||||||||
(In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due, or in Foreclosure(1) | Total | Three Months or More Past Due, and Accruing Interest | Non-accrual with No Allowance(2) | |||||||||||||||||||
Single-Family: | ||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $2,338,076 | $14,833 | $3,214 | $22,401 | $2,378,524 | $5,784 | $857 | |||||||||||||||||||
15-year or less, amortizing fixed-rate | 396,030 | 1,550 | 230 | 1,218 | 399,028 | 392 | 13 | |||||||||||||||||||
Adjustable-rate and other | 27,752 | 280 | 89 | 862 | 28,983 | 95 | 102 | |||||||||||||||||||
Total Single-Family | 2,761,858 | 16,663 | 3,533 | 24,481 | 2,806,535 | 6,271 | 972 | |||||||||||||||||||
Total Multifamily | 26,743 | — | — | — | 26,743 | — | — | |||||||||||||||||||
Total Single-Family and Multifamily | $2,788,601 | $16,663 | $3,533 | $24,481 | $2,833,278 | $6,271 | $972 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
December 31, 2021 | ||||||||||||||||||||||||||
(In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due, or in Foreclosure(1) | Total | Three Months or More Past Due, and Accruing Interest | Non-accrual with No Allowance(2) | |||||||||||||||||||
Single-Family: | ||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $2,338,076 | $14,833 | $3,214 | $22,401 | $2,378,524 | $5,784 | $857 | |||||||||||||||||||
15-year amortizing fixed-rate | 396,030 | 1,550 | 230 | 1,218 | 399,028 | 392 | 13 | |||||||||||||||||||
Adjustable-rate | 20,302 | 105 | 31 | 284 | 20,722 | 54 | 8 | |||||||||||||||||||
Alt-A, interest-only, and option ARM | 7,450 | 175 | 58 | 578 | 8,261 | 41 | 94 | |||||||||||||||||||
Total Single-Family | 2,761,858 | 16,663 | 3,533 | 24,481 | 2,806,535 | 6,271 | 972 | |||||||||||||||||||
Total Multifamily | 26,743 | — | — | — | 26,743 | — | — | |||||||||||||||||||
Total Single-Family and Multifamily | $2,788,601 | $16,663 | $3,533 | $24,481 | $2,833,278 | $6,271 | $972 |
Freddie Mac 2Q 2022 Form 10-Q | 62 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
1Q 2022 | 2Q 2022 | |||||||||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | Amortized Cost Basis(1) | % of Total Single-Family Held-for-Investment Loans | (Dollars in millions) | Payment Delay(2) | Payment Delay and Term Extension(3) | Payment Delay, Term Extension, and Interest Rate Reduction(3) | Total | Total as % of Class of Financing Receivable(4) | |||||||||||||||||||||||||
Payment delay(2) | $9,941 | 0.4 | % | |||||||||||||||||||||||||||||||
Payment delay, interest rate reduction, and term extension(3) | 3,794 | 0.1 | ||||||||||||||||||||||||||||||||
Single-Family: | Single-Family: | |||||||||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 20- and 30-year or more, amortizing fixed-rate | $6,832 | $520 | $2,476 | $9,828 | 0.4 | % | |||||||||||||||||||||||||||
15-year or less, amortizing fixed-rate | 15-year or less, amortizing fixed-rate | 429 | 15 | 16 | 460 | 0.1 | ||||||||||||||||||||||||||||
Adjustable-rate and other | Adjustable-rate and other | 139 | 14 | 50 | 203 | 0.7 | ||||||||||||||||||||||||||||
Total Single-Family loan restructurings | Total Single-Family loan restructurings | $13,735 | 0.5 | % | Total Single-Family loan restructurings | $7,400 | $549 | $2,542 | $10,491 | 0.4 |
YTD 2022 | |||||||||||||||||||||||
(Dollars in millions) | Payment Delay(2) | Payment Delay and Term Extension(3) | Payment Delay, Term Extension, and Interest Rate Reduction(3) | Total | Total as % of Class of Financing Receivable(4) | ||||||||||||||||||
Single-Family: | |||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $14,268 | $1,172 | $5,361 | $20,801 | 0.8 | % | |||||||||||||||||
15-year or less, amortizing fixed-rate | 910 | 28 | 69 | 1,007 | 0.3 | ||||||||||||||||||
Adjustable-rate and other | 314 | 29 | 126 | 469 | 1.6 | ||||||||||||||||||
Total Single-Family loan restructurings | $15,492 | $1,229 | $5,556 | $22,277 | 0.8 |
2Q 2022 | ||||||||||||||
(Dollars in thousands) | Weighted-Average Interest Rate Reduction | Weighted-Average Months of Term Extension | Weighted-Average Payment Deferral or Principal Forbearance(2) | |||||||||||
Single-Family: | ||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 1.4 | % | 185 | $21 | ||||||||||
15-year or less, amortizing fixed-rate | 0.6 | 359 | 22 | |||||||||||
Adjustable-rate and other | 2.2 | 234 | 26 |
63 |
YTD 2022 | ||||||||||||||
(Dollars in thousands) | Weighted-Average Interest Rate Reduction | Weighted-Average Months of Term Extension | Weighted-Average Payment Deferral or Principal Forbearance(2) | |||||||||||
Single-Family: | ||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 1.5 | % | 187 | $23 | ||||||||||
15-year or less, amortizing fixed-rate | 0.6 | 358 | 24 | |||||||||||
Adjustable-rate and other | 2.3 | 228 | 27 |
2Q 2022 | ||||||||||||||||||||
(In millions) | Payment Delay | Payment Delay and Term Extension | Payment Delay, Term Extension, and Interest Rate Reduction | Total | ||||||||||||||||
Single-Family: | ||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $364 | $30 | $69 | $463 | ||||||||||||||||
15-year or less, amortizing fixed-rate | 18 | — | — | 18 | ||||||||||||||||
Adjustable-rate and other | 10 | 2 | 1 | 13 | ||||||||||||||||
Total Single-Family | $392 | $32 | $70 | $494 |
YTD 2022 | ||||||||||||||||||||
(In millions) | Payment Delay | Payment Delay and Term Extension | Payment Delay, Term Extension, and Interest Rate Reduction | Total | ||||||||||||||||
Single-Family: | ||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $717 | $38 | $76 | $831 | ||||||||||||||||
15-year or less, amortizing fixed-rate | 45 | — | — | 45 | ||||||||||||||||
Adjustable-rate and other | 24 | 2 | 1 | 27 | ||||||||||||||||
Total Single-Family | $786 | $40 | $77 | $903 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
June 30, 2022 | ||||||||||||||||||||
(In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due | Total | |||||||||||||||
Single-Family: | ||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $13,524 | $1,905 | $1,224 | $4,148 | $20,801 | |||||||||||||||
15-year or less, amortizing fixed-rate | 610 | 97 | 72 | 228 | 1,007 | |||||||||||||||
Adjustable-rate and other | 292 | 31 | 21 | 125 | 469 | |||||||||||||||
Total Single-Family | $14,426 | $2,033 | $1,317 | $4,501 | $22,277 |
2Q 2021 | YTD 2021 | |||||||||||||||||||
Percentage of single-family loan modifications that were classified as TDRs with: | ||||||||||||||||||||
Interest rate reductions and related term extensions | 13 | % | 14 | % | ||||||||||||||||
Principal forbearance and related interest rate reductions and term extensions | 37 | 35 | ||||||||||||||||||
Average coupon interest rate reduction | 0.4 | % | 0.4 | % | ||||||||||||||||
Average months of term extension | 145 | 149 |
1Q 2021 | 2Q 2021 | YTD 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | Number of Loans | Post-TDR Amortized Cost Basis | (Dollars in millions) | Number of Loans | Post-TDR Amortized Cost Basis | Number of Loans | Post-TDR Amortized Cost Basis | ||||||||||||||||||||||||||||||||||||||||||||
Single-Family:(1)(2) | Single-Family:(1)(2) | Single-Family:(1)(2) | ||||||||||||||||||||||||||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 20- and 30-year or more, amortizing fixed-rate | 3,782 | $671 | 20- and 30-year or more, amortizing fixed-rate | 3,729 | $656 | 7,511 | $1,327 | ||||||||||||||||||||||||||||||||||||||||||||
15-year amortizing fixed-rate | 472 | 47 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Adjustable-rate | 48 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Alt-A, interest-only, and option ARM | 151 | 19 | ||||||||||||||||||||||||||||||||||||||||||||||||||
15-year or less, amortizing fixed-rate | 15-year or less, amortizing fixed-rate | 425 | 47 | 897 | 94 | |||||||||||||||||||||||||||||||||||||||||||||||
Adjustable-rate and other | Adjustable-rate and other | 208 | 30 | 407 | 58 | |||||||||||||||||||||||||||||||||||||||||||||||
Total Single-Family | Total Single-Family | 4,453 | 746 | Total Single-Family | 4,362 | 733 | 8,815 | 1,479 | ||||||||||||||||||||||||||||||||||||||||||||
Multifamily | Multifamily | — | — | Multifamily | — | — | — | — |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
1Q 2021 | 2Q 2021 | YTD 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | Number of Loans | Post-TDR Amortized Cost Basis | (Dollars in millions) | Number of Loans | Post-TDR Amortized Cost Basis | Number of Loans | Post-TDR Amortized Cost Basis | ||||||||||||||||||||||||||||||||||||||||||||
Single-Family: | Single-Family: | Single-Family: | ||||||||||||||||||||||||||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 20- and 30-year or more, amortizing fixed-rate | 1,131 | $198 | 20- and 30-year or more, amortizing fixed-rate | 682 | $124 | 1,813 | $322 | ||||||||||||||||||||||||||||||||||||||||||||
15-year amortizing fixed-rate | 62 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Adjustable-rate | 15 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Alt-A, interest-only, and option ARM | 127 | 21 | ||||||||||||||||||||||||||||||||||||||||||||||||||
15-year or less, amortizing fixed-rate | 15-year or less, amortizing fixed-rate | 24 | 2 | 86 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||
Adjustable-rate and other | Adjustable-rate and other | 95 | 14 | 237 | 38 | |||||||||||||||||||||||||||||||||||||||||||||||
Total Single-Family | Total Single-Family | 1,335 | 229 | Total Single-Family | 801 | 140 | 2,136 | 369 | ||||||||||||||||||||||||||||||||||||||||||||
Multifamily | Multifamily | — | — | Multifamily | — | — | — | — |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 4 |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions, terms in years) | (Dollars in millions, terms in years) | Maximum Exposure(1) | Recognized Liability(2) | Maximum Remaining Term | Maximum Exposure(1) | Recognized Liability(2) | Maximum Remaining Term | (Dollars in millions, terms in years) | Maximum Exposure(1) | Recognized Liability(2) | Maximum Remaining Term | Maximum Exposure(1) | Recognized Liability(2) | Maximum Remaining Term | ||||||||||||||||||||||||||||||||||||||
Single-Family: | Single-Family: | Single-Family: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Securitization activity guarantees | Securitization activity guarantees | $26,730 | $383 | 39 | $27,975 | $398 | 39 | Securitization activity guarantees | $26,883 | $396 | 40 | $27,975 | $398 | 39 | ||||||||||||||||||||||||||||||||||||||
Other mortgage-related guarantees | Other mortgage-related guarantees | 10,303 | 240 | 30 | 10,588 | 251 | 30 | Other mortgage-related guarantees | 9,961 | 226 | 30 | 10,588 | 251 | 30 | ||||||||||||||||||||||||||||||||||||||
Guarantees of Fannie Mae securities | Guarantees of Fannie Mae securities | 118,277 | — | 40 | 111,150 | — | 40 | Guarantees of Fannie Mae securities | 126,927 | — | 39 | 111,150 | — | 40 | ||||||||||||||||||||||||||||||||||||||
Total Single-Family | Total Single-Family | $155,310 | $623 | $149,713 | $649 | Total Single-Family | $163,771 | $622 | $149,713 | $649 | ||||||||||||||||||||||||||||||||||||||||||
Multifamily: | Multifamily: | Multifamily: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Securitization activity guarantees | Securitization activity guarantees | $318,166 | $4,727 | 38 | $317,006 | $4,663 | 38 | Securitization activity guarantees | $320,025 | $4,828 | 38 | $317,006 | $4,663 | 38 | ||||||||||||||||||||||||||||||||||||||
Other mortgage-related guarantees | Other mortgage-related guarantees | 10,477 | 392 | 32 | 10,456 | 404 | 32 | Other mortgage-related guarantees | 10,140 | 371 | 32 | 10,456 | 404 | 32 | ||||||||||||||||||||||||||||||||||||||
Total Multifamily | Total Multifamily | $328,643 | $5,119 | $327,462 | $5,067 | Total Multifamily | $330,165 | $5,199 | $327,462 | $5,067 | ||||||||||||||||||||||||||||||||||||||||||
Other guarantees: | Other guarantees: | Other guarantees: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Written options | Written options | $30,543 | $1,803 | 9 | $34,861 | $1,596 | 10 | Written options | $27,724 | $1,591 | 9 | $34,861 | $1,596 | 10 | ||||||||||||||||||||||||||||||||||||||
CRT-related derivatives | CRT-related derivatives | 36,462 | 57 | 30 | 33,188 | 35 | 30 | CRT-related derivatives | 37,755 | 58 | 30 | 33,188 | 35 | 30 | ||||||||||||||||||||||||||||||||||||||
Other | Other | 2,530 | 68 | 30 | 1,750 | 21 | 29 | Other | 5,881 | 330 | 30 | 1,750 | 21 | 29 | ||||||||||||||||||||||||||||||||||||||
Total other guarantees | Total other guarantees | $69,535 | $1,928 | 0 | $69,799 | $1,652 | 0 | Total other guarantees | $71,360 | $1,979 | 0 | $69,799 | $1,652 | 0 |
March 31, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due, or in Foreclosure | Total(1) | (In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due, or in Foreclosure | Total(1) | ||||||||||||||||||||||||||||
Single-Family | Single-Family | $37,511 | $2,065 | $739 | $2,176 | $42,491 | Single-Family | $37,686 | $1,975 | $701 | $2,043 | $42,405 | ||||||||||||||||||||||||||||
Multifamily | Multifamily | 371,424 | 83 | 15 | 265 | 371,787 | Multifamily | 372,726 | 14 | 5 | 218 | 372,963 | ||||||||||||||||||||||||||||
Total | Total | $408,935 | $2,148 | $754 | $2,441 | $414,278 | Total | $410,412 | $1,989 | $706 | $2,261 | $415,368 |
December 31, 2021 | ||||||||||||||||||||
(In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due, or in Foreclosure | Total(1) | |||||||||||||||
Single-Family | $38,964 | $2,040 | $692 | $2,341 | $44,037 | |||||||||||||||
Multifamily | 370,541 | 47 | 7 | 317 | 370,912 | |||||||||||||||
Total | $409,505 | $2,087 | $699 | $2,658 | $414,949 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 5 |
1Q 2022 | 1Q 2021 | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | (In millions) | Single-Family | Multi-family | Total | Single-Family | Multi-family | Total | Single-Family | Multi-family | Total | Single-Family | Multi-family | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Beginning balance | Beginning balance | $5,440 | $78 | $5,518 | $6,353 | $200 | $6,553 | Beginning balance | $4,849 | $72 | $4,921 | $6,130 | $150 | $6,280 | $5,440 | $78 | $5,518 | $6,353 | $200 | $6,553 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Provision (benefit) for credit losses | Provision (benefit) for credit losses | (831) | (6) | (837) | (146) | (50) | (196) | Provision (benefit) for credit losses | 298 | 9 | 307 | (686) | (54) | (740) | (533) | 3 | (530) | (832) | (104) | (936) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Charge-offs | Charge-offs | (173) | — | (173) | (238) | — | (238) | Charge-offs | (107) | — | (107) | (203) | — | (203) | (280) | — | (280) | (441) | — | (441) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Recoveries collected | Recoveries collected | 52 | — | 52 | 46 | — | 46 | Recoveries collected | 43 | — | 43 | 61 | — | 61 | 95 | — | 95 | 107 | — | 107 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other(1) | Other(1) | 361 | — | 361 | 115 | — | 115 | Other(1) | 259 | — | 259 | 211 | — | 211 | 620 | — | 620 | 326 | — | 326 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ending balance | Ending balance | $4,849 | $72 | $4,921 | $6,130 | $150 | $6,280 | Ending balance | $5,342 | $81 | $5,423 | $5,513 | $96 | $5,609 | $5,342 | $81 | $5,423 | $5,513 | $96 | $5,609 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Components of the ending balance of the allowance for credit losses: | Components of the ending balance of the allowance for credit losses: | Components of the ending balance of the allowance for credit losses: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-investment | Mortgage loans held-for-investment | $4,358 | $31 | $4,389 | $5,253 | $77 | $5,330 | Mortgage loans held-for-investment | $4,904 | $35 | $4,939 | $4,601 | $47 | $4,648 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances of pre-foreclosure costs | Advances of pre-foreclosure costs | 426 | — | 426 | 615 | — | 615 | Advances of pre-foreclosure costs | 380 | — | 380 | 691 | — | 691 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accrued interest receivable on mortgage loans | Accrued interest receivable on mortgage loans | 13 | — | 13 | 213 | — | 213 | Accrued interest receivable on mortgage loans | 6 | — | 6 | 168 | — | 168 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Off-balance sheet credit exposures | Off-balance sheet credit exposures | 52 | 41 | 93 | 49 | 73 | 122 | Off-balance sheet credit exposures | 52 | 46 | 98 | 53 | 49 | 102 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $4,849 | $72 | $4,921 | $6,130 | $150 | $6,280 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total ending balance | Total ending balance | $5,342 | $81 | $5,423 | $5,513 | $96 | $5,609 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 6 |
(In millions) | (In millions) | March 31, 2022 | December 31, 2021 | (In millions) | June 30, 2022 | December 31, 2021 | ||||||||||||||||
Trading securities | Trading securities | $48,859 | $49,003 | Trading securities | $43,816 | $49,003 | ||||||||||||||||
Available-for-sale securities | Available-for-sale securities | 4,385 | 4,012 | Available-for-sale securities | 5,121 | 4,012 | ||||||||||||||||
Total fair value of investment securities | Total fair value of investment securities | $53,244 | $53,015 | Total fair value of investment securities | $48,937 | $53,015 |
(In millions) | (In millions) | March 31, 2022 | December 31, 2021 | (In millions) | June 30, 2022 | December 31, 2021 | ||||||||||||||||
Mortgage-related securities | Mortgage-related securities | $12,916 | $16,231 | Mortgage-related securities | $12,456 | $16,231 | ||||||||||||||||
Non-mortgage-related securities | Non-mortgage-related securities | 35,943 | 32,772 | Non-mortgage-related securities | 31,360 | 32,772 | ||||||||||||||||
Total fair value of trading securities | Total fair value of trading securities | $48,859 | $49,003 | Total fair value of trading securities | $43,816 | $49,003 |
Amortized Cost Basis | Gross Unrealized Gains in Other Comprehensive Income | Gross Unrealized Losses in Other Comprehensive Income | Fair Value | Accrued Interest Receivable | Amortized Cost Basis | Gross Unrealized Gains in Other Comprehensive Income | Gross Unrealized Losses in Other Comprehensive Income | Fair Value | Accrued Interest Receivable | |||||||||||||||||||||||||||||||
(In millions) | (In millions) | (In millions) | ||||||||||||||||||||||||||||||||||||||
March 31, 2022 | $4,166 | $267 | ($48) | $4,385 | $11 | |||||||||||||||||||||||||||||||||||
June 30, 2022 | June 30, 2022 | $4,990 | $253 | ($122) | $5,121 | $12 | ||||||||||||||||||||||||||||||||||
December 31, 2021 | December 31, 2021 | 3,638 | 376 | (2) | 4,012 | 10 | December 31, 2021 | 3,638 | 376 | (2) | 4,012 | 10 |
(In millions) | (In millions) | 1Q 2022 | 1Q 2021 | (In millions) | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | ||||||||||||||||||||||||||||||||
Gross realized gains | Gross realized gains | $— | $399 | Gross realized gains | $1 | $121 | $1 | $520 | ||||||||||||||||||||||||||||||||
Gross realized losses | Gross realized losses | (1) | (31) | Gross realized losses | (3) | (22) | (4) | (53) | ||||||||||||||||||||||||||||||||
Net realized gains (losses) | Net realized gains (losses) | ($1) | $368 | Net realized gains (losses) | ($2) | $99 | ($3) | $467 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 7 |
(In millions) | (In millions) | March 31, 2022 | December 31, 2021 | (In millions) | June 30, 2022 | December 31, 2021 | ||||||||||||||||
Debt securities of consolidated trusts held by third parties | $2,899,226 | $2,803,054 | ||||||||||||||||||||
Debt of consolidated trusts | Debt of consolidated trusts | $2,934,115 | $2,803,054 | |||||||||||||||||||
Debt of Freddie Mac: | Debt of Freddie Mac: | Debt of Freddie Mac: | ||||||||||||||||||||
Short-term debt | Short-term debt | 3,299 | — | Short-term debt | 3,112 | — | ||||||||||||||||
Long-term debt | Long-term debt | 156,600 | 177,131 | Long-term debt | 155,951 | 177,131 | ||||||||||||||||
Total debt of Freddie Mac | Total debt of Freddie Mac | 159,899 | 177,131 | Total debt of Freddie Mac | 159,063 | 177,131 | ||||||||||||||||
Total debt | Total debt | $3,059,125 | $2,980,185 | Total debt | $3,093,178 | $2,980,185 |
March 31, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||
(Dollars in millions) | Contractual Maturity | UPB | Carrying Amount(1) | Weighted Average Coupon(2) | Contractual Maturity | UPB | Carrying Amount(1) | Weighted Average Coupon(2) | ||||||||||||||||||||||||
Single-Family: | ||||||||||||||||||||||||||||||||
30-year or more, fixed-rate | 2022 - 2061 | $2,267,555 | $2,319,796 | 2.60 | % | 2022 - 2061 | $2,178,150 | $2,235,903 | 2.63 | % | ||||||||||||||||||||||
20-year fixed-rate | 2022 - 2042 | 134,641 | 137,533 | 2.37 | 2022 - 2042 | 129,193 | 132,410 | 2.40 | ||||||||||||||||||||||||
15-year fixed-rate | 2022 - 2037 | 383,135 | 391,370 | 2.12 | 2022 - 2037 | 379,805 | 388,893 | 2.14 | ||||||||||||||||||||||||
Adjustable-rate | 2022 - 2052 | 21,347 | 21,787 | 2.25 | 2022 - 2052 | 21,546 | 22,038 | 2.30 | ||||||||||||||||||||||||
Interest-only | 2026 - 2051 | 2,508 | 2,793 | 2.43 | 2026 - 2051 | 2,702 | 2,883 | 2.42 | ||||||||||||||||||||||||
FHA/VA | 2023 - 2051 | 784 | 799 | 3.59 | 2022 - 2051 | 822 | 838 | 3.61 | ||||||||||||||||||||||||
Total Single-Family | 2,809,970 | 2,874,078 | 2,712,218 | 2,782,965 | ||||||||||||||||||||||||||||
Multifamily | 2022 - 2052 | 25,101 | 25,148 | 2.24 | 2022 - 2051 | 19,838 | 20,089 | 2.17 | ||||||||||||||||||||||||
Total debt securities of consolidated trusts held by third parties | $2,835,071 | $2,899,226 | $2,732,056 | $2,803,054 |
June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||
(Dollars in millions) | Contractual Maturity | UPB | Carrying Amount(1) | Weighted Average Coupon(2) | Contractual Maturity | UPB | Carrying Amount(1) | Weighted Average Coupon(2) | ||||||||||||||||||||||||
Single-Family(3): | ||||||||||||||||||||||||||||||||
20- and 30-year or more, fixed-rate | 2022 - 2061 | $2,440,644 | $2,488,823 | 2.63 | % | 2022 - 2061 | $2,297,650 | $2,358,397 | 2.62 | % | ||||||||||||||||||||||
15-year or less, fixed-rate | 2022 - 2037 | 387,599 | 395,094 | 2.11 | 2022 - 2037 | 390,320 | 399,647 | 2.13 | ||||||||||||||||||||||||
Adjustable-rate and other | 2022 - 2052 | 23,583 | 24,281 | 2.41 | 2022 - 2052 | 24,248 | 24,921 | 2.31 | ||||||||||||||||||||||||
Total Single-Family | 2,851,826 | 2,908,198 | 2,712,218 | 2,782,965 | ||||||||||||||||||||||||||||
Multifamily | 2022 - 2052 | 25,896 | 25,917 | 2.35 | 2022 - 2051 | 19,838 | 20,089 | 2.17 | ||||||||||||||||||||||||
Total debt of consolidated trusts | $2,877,722 | $2,934,115 | $2,732,056 | $2,803,054 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 7 |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | Par Value | Carrying Amount(1) | Weighted Average Effective Rate(2) | Par Value | Carrying Amount(1) | Weighted Average Effective Rate(2) | (Dollars in millions) | Par Value | Carrying Amount(1) | Weighted Average Effective Rate(2) | Par Value | Carrying Amount(1) | Weighted Average Effective Rate(2) | ||||||||||||||||||||||||||||||||||||||
Short-term debt: | Short-term debt: | Short-term debt: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Discount notes and Reference Bills | Discount notes and Reference Bills | $2,425 | $2,424 | 0.18 | % | $— | $— | — | % | Discount notes and Reference Bills | $1,575 | $1,572 | 1.20 | % | $— | $— | — | % | ||||||||||||||||||||||||||||||||||
Medium-term notes | Medium-term notes | 875 | 875 | 0.43 | — | — | — | Medium-term notes | 1,540 | 1,540 | 1.07 | — | — | — | ||||||||||||||||||||||||||||||||||||||
Securities sold under agreements to repurchase | Securities sold under agreements to repurchase | 11,260 | 11,260 | (0.01) | 7,333 | 7,333 | (0.10) | Securities sold under agreements to repurchase | 9,977 | 9,977 | 1.06 | 7,333 | 7,333 | (0.10) | ||||||||||||||||||||||||||||||||||||||
Offsetting arrangements(3) | Offsetting arrangements(3) | (11,260) | (11,260) | (7,333) | (7,333) | Offsetting arrangements(3) | (9,977) | (9,977) | (7,333) | (7,333) | ||||||||||||||||||||||||||||||||||||||||||
Total short-term debt | Total short-term debt | 3,300 | 3,299 | 0.25 | — | — | — | Total short-term debt | 3,115 | 3,112 | 1.14 | — | — | — | ||||||||||||||||||||||||||||||||||||||
Long-term debt: | Long-term debt: | Long-term debt: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Original maturities on or before December 31, | Original maturities on or before December 31, | Original maturities on or before December 31, | ||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | 2022 | 32,622 | 32,636 | 0.29 | 48,625 | 48,641 | 0.18 | 2022 | 18,369 | 18,379 | 0.46 | 48,625 | 48,641 | 0.18 | ||||||||||||||||||||||||||||||||||||||
2023 | 2023 | 38,788 | 38,753 | 0.47 | 38,688 | 38,644 | 0.47 | 2023 | 40,822 | 40,792 | 0.58 | 38,688 | 38,644 | 0.47 | ||||||||||||||||||||||||||||||||||||||
2024 | 2024 | 13,719 | 13,703 | 0.51 | 13,274 | 13,257 | 0.46 | 2024 | 20,783 | 20,766 | 1.47 | 13,274 | 13,257 | 0.46 | ||||||||||||||||||||||||||||||||||||||
2025 | 2025 | 36,326 | 36,016 | 0.88 | 35,436 | 35,108 | 0.84 | 2025 | 40,911 | 40,616 | 1.15 | 35,436 | 35,108 | 0.84 | ||||||||||||||||||||||||||||||||||||||
2026 | 2026 | 4,717 | 4,715 | 0.83 | 4,717 | 4,715 | 0.83 | 2026 | 4,984 | 4,982 | 0.97 | 4,717 | 4,715 | 0.83 | ||||||||||||||||||||||||||||||||||||||
Thereafter | Thereafter | 31,985 | 30,350 | 2.91 | 31,736 | 30,052 | 2.91 | Thereafter | 33,232 | 31,661 | 2.95 | 31,736 | 30,052 | 2.91 | ||||||||||||||||||||||||||||||||||||||
STACR and SCR debt(4) | STACR and SCR debt(4) | 6,719 | 6,566 | 4.68 | 9,139 | 8,981 | 4.23 | STACR and SCR debt(4) | 6,332 | 6,195 | 5.57 | 9,139 | 8,981 | 4.23 | ||||||||||||||||||||||||||||||||||||||
Hedging-related basis adjustments | Hedging-related basis adjustments | N/A | (6,139) | N/A | (2,267) | Hedging-related basis adjustments | N/A | (7,440) | N/A | (2,267) | ||||||||||||||||||||||||||||||||||||||||||
Total long-term debt | Total long-term debt | 164,876 | 156,600 | 1.17 | 181,615 | 177,131 | 1.07 | Total long-term debt | 165,433 | 155,951 | 1.49 | 181,615 | 177,131 | 1.07 | ||||||||||||||||||||||||||||||||||||||
Total debt of Freddie Mac(5) | Total debt of Freddie Mac(5) | $168,176 | $159,899 | $181,615 | $177,131 | Total debt of Freddie Mac(5) | $168,548 | $159,063 | $181,615 | $177,131 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 8 |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
Notional or Contractual Amount | Derivatives at Fair Value | Notional or Contractual Amount | Derivatives at Fair Value | Notional or Contractual Amount | Derivatives at Fair Value | Notional or Contractual Amount | Derivatives at Fair Value | |||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Assets | Liabilities | Assets | Liabilities | (In millions) | Assets | Liabilities | Assets | Liabilities | ||||||||||||||||||||||||||||||||||||||||||
Not designated as hedges | Not designated as hedges | Not designated as hedges | ||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-rate risk management derivatives: | Interest-rate risk management derivatives: | Interest-rate risk management derivatives: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Swaps | Swaps | $548,462 | $1,122 | ($474) | $561,393 | $1,748 | ($3,319) | Swaps | $539,173 | $1,199 | ($900) | $561,393 | $1,748 | ($3,319) | ||||||||||||||||||||||||||||||||||||||
Written options | Written options | 30,543 | — | (1,802) | 34,861 | — | (1,597) | Written options | 27,724 | — | (1,591) | 34,861 | — | (1,597) | ||||||||||||||||||||||||||||||||||||||
Purchased options(1) | Purchased options(1) | 124,985 | 4,246 | — | 137,873 | 3,585 | — | Purchased options(1) | 105,270 | 4,081 | — | 137,873 | 3,585 | — | ||||||||||||||||||||||||||||||||||||||
Futures | Futures | 146,372 | — | — | 126,528 | — | — | Futures | 111,420 | — | — | 126,528 | — | — | ||||||||||||||||||||||||||||||||||||||
Total interest-rate management derivatives | Total interest-rate management derivatives | 850,362 | 5,368 | (2,276) | 860,655 | 5,333 | (4,916) | Total interest-rate management derivatives | 783,587 | 5,280 | (2,491) | 860,655 | 5,333 | (4,916) | ||||||||||||||||||||||||||||||||||||||
Mortgage commitment derivatives: | Mortgage commitment derivatives: | Mortgage commitment derivatives: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Forward contracts to purchase mortgage loans | Forward contracts to purchase mortgage loans | 5,919 | 13 | (55) | 7,582 | 15 | (5) | Forward contracts to purchase mortgage loans | 4,148 | 27 | (4) | 7,582 | 15 | (5) | ||||||||||||||||||||||||||||||||||||||
Forward contracts to purchase mortgage-related securities | Forward contracts to purchase mortgage-related securities | 25,159 | 30 | (191) | 16,605 | 26 | (8) | Forward contracts to purchase mortgage-related securities | 19,239 | 115 | (70) | 16,605 | 26 | (8) | ||||||||||||||||||||||||||||||||||||||
Forward contracts to sell mortgage-related securities | Forward contracts to sell mortgage-related securities | 53,871 | 669 | (77) | 59,469 | 38 | (73) | Forward contracts to sell mortgage-related securities | 34,299 | 99 | (207) | 59,469 | 38 | (73) | ||||||||||||||||||||||||||||||||||||||
Total mortgage commitment derivatives | Total mortgage commitment derivatives | 84,949 | 712 | (323) | 83,656 | 79 | (86) | Total mortgage commitment derivatives | 57,686 | 241 | (281) | 83,656 | 79 | (86) | ||||||||||||||||||||||||||||||||||||||
CRT-related derivatives | CRT-related derivatives | 36,612 | 25 | (58) | 33,351 | 15 | (37) | CRT-related derivatives | 37,892 | 102 | (60) | 33,351 | 15 | (37) | ||||||||||||||||||||||||||||||||||||||
Other | Other | 6,073 | 3 | (69) | 4,335 | 2 | (21) | Other | 8,553 | 2 | (330) | 4,335 | 2 | (21) | ||||||||||||||||||||||||||||||||||||||
Total derivatives not designated as hedges | Total derivatives not designated as hedges | 977,996 | 6,108 | (2,726) | 981,997 | 5,429 | (5,060) | Total derivatives not designated as hedges | 887,718 | 5,625 | (3,162) | 981,997 | 5,429 | (5,060) | ||||||||||||||||||||||||||||||||||||||
Designated as fair value hedges | Designated as fair value hedges | Designated as fair value hedges | ||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-rate risk management derivatives: | Interest-rate risk management derivatives: | Interest-rate risk management derivatives: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Swaps | Swaps | 164,235 | 32 | (6,098) | 154,819 | 37 | (2,689) | Swaps | 159,549 | 144 | (5,873) | 154,819 | 37 | (2,689) | ||||||||||||||||||||||||||||||||||||||
Total derivatives designated as fair value hedges | Total derivatives designated as fair value hedges | 164,235 | 32 | (6,098) | 154,819 | 37 | (2,689) | Total derivatives designated as fair value hedges | 159,549 | 144 | (5,873) | 154,819 | 37 | (2,689) | ||||||||||||||||||||||||||||||||||||||
Derivative interest receivable (payable)(2) | Derivative interest receivable (payable)(2) | 509 | (578) | 360 | (413) | Derivative interest receivable (payable)(2) | 429 | (727) | 360 | (413) | ||||||||||||||||||||||||||||||||||||||||||
Netting adjustments(3) | Netting adjustments(3) | (5,272) | 8,753 | (5,366) | 7,880 | Netting adjustments(3) | (5,574) | 8,699 | (5,366) | 7,880 | ||||||||||||||||||||||||||||||||||||||||||
Total derivative portfolio, net | Total derivative portfolio, net | $1,142,231 | $1,377 | ($649) | $1,136,816 | $460 | ($282) | Total derivative portfolio, net | $1,047,267 | $624 | ($1,063) | $1,136,816 | $460 | ($282) |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 8 |
(In millions) | (In millions) | 1Q 2022 | 1Q 2021 | (In millions) | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | ||||||||||||||||||||||||||||||||
Not designated as hedges | Not designated as hedges | Not designated as hedges | ||||||||||||||||||||||||||||||||||||||
Interest-rate risk management derivatives: | Interest-rate risk management derivatives: | Interest-rate risk management derivatives: | ||||||||||||||||||||||||||||||||||||||
Swaps | Swaps | $628 | $615 | Swaps | $126 | $1,039 | $754 | $1,654 | ||||||||||||||||||||||||||||||||
Written options | Written options | (364) | (461) | Written options | (320) | 305 | (684) | (156) | ||||||||||||||||||||||||||||||||
Purchased options | Purchased options | 653 | (48) | Purchased options | 453 | (586) | 1,106 | (634) | ||||||||||||||||||||||||||||||||
Futures | Futures | 868 | 286 | Futures | 556 | (127) | 1,424 | 159 | ||||||||||||||||||||||||||||||||
Total interest-rate risk management derivatives fair value gains (losses) | Total interest-rate risk management derivatives fair value gains (losses) | 1,785 | 392 | Total interest-rate risk management derivatives fair value gains (losses) | 815 | 631 | 2,600 | 1,023 | ||||||||||||||||||||||||||||||||
Mortgage commitment derivatives | Mortgage commitment derivatives | 1,839 | 1,476 | Mortgage commitment derivatives | 880 | (860) | 2,719 | 616 | ||||||||||||||||||||||||||||||||
CRT-related derivatives | CRT-related derivatives | (16) | (42) | CRT-related derivatives | 49 | 15 | 33 | (27) | ||||||||||||||||||||||||||||||||
Other | Other | (11) | (3) | Other | (24) | 11 | (35) | 8 | ||||||||||||||||||||||||||||||||
Total derivatives not designated as hedges fair value gains (losses) | Total derivatives not designated as hedges fair value gains (losses) | 3,597 | 1,823 | Total derivatives not designated as hedges fair value gains (losses) | 1,720 | (203) | 5,317 | 1,620 | ||||||||||||||||||||||||||||||||
Accrual of periodic cash settlements on swaps(1) | Accrual of periodic cash settlements on swaps(1) | (174) | (452) | Accrual of periodic cash settlements on swaps(1) | (212) | (360) | (386) | (812) | ||||||||||||||||||||||||||||||||
Total | Total | $3,423 | $1,371 | Total | $1,508 | ($563) | $4,931 | $808 |
Freddie Mac 2Q 2022 Form 10-Q | 73 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements |Note 8 |
1Q 2022 | 1Q 2021 | ||||||||||||||||
(In millions) | Interest Income | Interest Expense | Interest Income | Interest Expense | |||||||||||||
Total amounts of income and expense line items presented in our condensed consolidated statements of operations and comprehensive income in which the effects of fair value hedges are recorded: | $17,740 | ($13,636) | $13,902 | ($10,263) | |||||||||||||
Interest contracts on mortgage loans held-for-investment: | |||||||||||||||||
Gain (loss) on fair value hedging relationships: | |||||||||||||||||
Hedged items | (2,627) | — | (1,523) | — | |||||||||||||
Derivatives designated as hedging instruments | 2,055 | — | 1,534 | — | |||||||||||||
Interest accruals on hedging instruments | (267) | — | (114) | — | |||||||||||||
Discontinued hedge-related basis adjustments amortization | (124) | — | (781) | — | |||||||||||||
Interest contracts on debt: | |||||||||||||||||
Gain (loss) on fair value hedging relationships: | |||||||||||||||||
Hedged items | — | 3,861 | — | 2,114 | |||||||||||||
Derivatives designated as hedging instruments | — | (3,896) | — | (2,188) | |||||||||||||
Interest accruals on hedging instruments | — | 144 | — | 255 | |||||||||||||
Discontinued hedge-related basis adjustments amortization | — | 10 | — | 5 |
2Q 2022 | 2Q 2021 | ||||||||||||||||
(In millions) | Interest Income | Interest Expense | Interest Income | Interest Expense | |||||||||||||
Total amounts of income and expense line items presented in our condensed consolidated statements of operations and comprehensive income in which the effects of fair value hedges are recorded: | $20,008 | ($15,249) | $15,230 | ($10,463) | |||||||||||||
Interest contracts on mortgage loans held-for-investment: | |||||||||||||||||
Gain (loss) on fair value hedging relationships: | |||||||||||||||||
Hedged items | (1,523) | — | 1,086 | — | |||||||||||||
Derivatives designated as hedging instruments | 1,408 | — | (1,097) | — | |||||||||||||
Interest accruals on hedging instruments | (149) | — | (139) | — | |||||||||||||
Discontinued hedge-related basis adjustments amortization | (4) | — | (511) | — | |||||||||||||
Interest contracts on debt: | |||||||||||||||||
Gain (loss) on fair value hedging relationships: | |||||||||||||||||
Hedged items | — | 1,300 | — | (600) | |||||||||||||
Derivatives designated as hedging instruments | — | (1,328) | — | 568 | |||||||||||||
Interest accruals on hedging instruments | — | (44) | — | 248 | |||||||||||||
Discontinued hedge-related basis adjustments amortization | — | 2 | — | 3 |
YTD 2022 | YTD 2021 | ||||||||||||||||
(In millions) | Interest Income | Interest Expense | Interest Income | Interest Expense | |||||||||||||
Total amounts of income and expense line items presented in our condensed consolidated statements of operations and comprehensive income in which the effects of fair value hedges are recorded: | $37,748 | ($28,885) | $29,132 | ($20,726) | |||||||||||||
Interest contracts on mortgage loans held-for-investment: | |||||||||||||||||
Gain (loss) on fair value hedging relationships: | |||||||||||||||||
Hedged items | (4,150) | — | (437) | — | |||||||||||||
Derivatives designated as hedging instruments | 3,463 | — | 437 | — | |||||||||||||
Interest accruals on hedging instruments | (416) | — | (253) | — | |||||||||||||
Discontinued hedge-related basis adjustments amortization | (128) | — | (1,292) | — | |||||||||||||
Interest contracts on debt: | |||||||||||||||||
Gain (loss) on fair value hedging relationships: | |||||||||||||||||
Hedged items | — | 5,161 | — | 1,514 | |||||||||||||
Derivatives designated as hedging instruments | — | (5,224) | — | (1,620) | |||||||||||||
Interest accruals on hedging instruments | — | 100 | — | 503 | |||||||||||||
Discontinued hedge-related basis adjustments amortization | — | 12 | — | 8 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 8 |
March 31, 2022 | June 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||
Carrying Amount Assets / (Liabilities) | Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount | Carrying Amount Assets / (Liabilities) | Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount | Closed Portfolio Under the Last-of-Layer Method | |||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Total | Under the Last-of-Layer Method | Discontinued - Hedge Related | (In millions) | Total | Under the Last-of-Layer Method | Discontinued - Hedge Related | Total Amount by Amortized Cost Basis | Designated Amount by UPB | |||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-investment | Mortgage loans held-for-investment | $941,968 | $23 | $— | $23 | Mortgage loans held-for-investment | $1,027,104 | ($1,504) | ($290) | ($1,214) | $85,498 | $11,516 | |||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-sale | Mortgage loans held-for-sale | 39 | 1 | — | 1 | — | — | ||||||||||||||||||||||||||||||||||||||||||
Debt | Debt | (112,961) | 6,139 | — | (19) | Debt | (128,332) | 7,440 | — | (13) | — | — | |||||||||||||||||||||||||||||||||||||
December 31, 2021 | December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||
Carrying Amount Assets / (Liabilities) | Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount | Carrying Amount Assets / (Liabilities) | Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount | Closed Portfolio Under the Last-of-Layer Method | |||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Total | Under the Last-of-Layer Method | Discontinued - Hedge Related | (In millions) | Total | Under the Last-of-Layer Method | Discontinued - Hedge Related | Total Amount by Amortized Cost Basis | Designated Amount by UPB | |||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-investment | Mortgage loans held-for-investment | $855,173 | $2,774 | $— | $2,774 | Mortgage loans held-for-investment | $855,173 | $2,774 | $— | $2,774 | $— | $— | |||||||||||||||||||||||||||||||||||||
Debt | Debt | (124,235) | 2,267 | — | (30) | Debt | (124,235) | 2,267 | — | (30) | — | — |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 9 |
March 31, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Gross Amount Recognized | Amount Offset in the Condensed Consolidated Balance Sheets | Net Amount Presented in the Condensed Consolidated Balance Sheets | Gross Amount Not Offset in the Condensed Consolidated Balance Sheets(2) | Net Amount | Gross Amount Recognized | Amount Offset in the Condensed Consolidated Balance Sheets | Net Amount Presented in the Condensed Consolidated Balance Sheets | Gross Amount Not Offset in the Condensed Consolidated Balance Sheets(2) | Net Amount | |||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Counterparty Netting | Cash Collateral Netting(1) | (In millions) | Counterparty Netting | Cash Collateral Netting(1) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Assets: | Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives: | Derivatives: | Derivatives: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
OTC derivatives | OTC derivatives | $5,741 | ($4,603) | ($678) | $460 | ($377) | $83 | OTC derivatives | $5,848 | ($4,566) | ($1,026) | $256 | ($19) | $237 | ||||||||||||||||||||||||||||||||||||||||||||
Cleared and exchange-traded derivatives | Cleared and exchange-traded derivatives | 168 | (40) | 49 | 177 | — | 177 | Cleared and exchange-traded derivatives | 5 | — | 18 | 23 | — | 23 | ||||||||||||||||||||||||||||||||||||||||||||
Mortgage commitment derivatives | Mortgage commitment derivatives | 712 | — | — | 712 | — | 712 | Mortgage commitment derivatives | 241 | — | — | 241 | — | 241 | ||||||||||||||||||||||||||||||||||||||||||||
Other | Other | 28 | — | — | 28 | — | 28 | Other | 104 | — | — | 104 | — | 104 | ||||||||||||||||||||||||||||||||||||||||||||
Total derivatives | Total derivatives | 6,649 | (4,643) | (629) | 1,377 | (377) | 1,000 | Total derivatives | 6,198 | (4,566) | (1,008) | 624 | (19) | 605 | ||||||||||||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Securities purchased under agreements to resell | 80,877 | (11,260) | — | 69,617 | (69,617) | — | Securities purchased under agreements to resell | 96,473 | (9,977) | — | 86,496 | (86,496) | — | ||||||||||||||||||||||||||||||||||||||||||||
Total | Total | $87,526 | ($15,903) | ($629) | $70,994 | ($69,994) | $1,000 | Total | $102,671 | ($14,543) | ($1,008) | $87,120 | ($86,515) | $605 | ||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | Liabilities: | Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives: | Derivatives: | Derivatives: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
OTC derivatives | OTC derivatives | ($8,810) | $4,603 | $4,099 | ($108) | $12 | ($96) | OTC derivatives | ($8,837) | $4,566 | $4,094 | ($177) | $4 | ($173) | ||||||||||||||||||||||||||||||||||||||||||||
Cleared and exchange-traded derivatives | Cleared and exchange-traded derivatives | (142) | 40 | 11 | (91) | 92 | 1 | Cleared and exchange-traded derivatives | (254) | — | 39 | (215) | 215 | — | ||||||||||||||||||||||||||||||||||||||||||||
Mortgage commitment derivatives | Mortgage commitment derivatives | (323) | — | — | (323) | — | (323) | Mortgage commitment derivatives | (281) | — | — | (281) | — | (281) | ||||||||||||||||||||||||||||||||||||||||||||
Other | Other | (127) | — | — | (127) | — | (127) | Other | (390) | — | — | (390) | — | (390) | ||||||||||||||||||||||||||||||||||||||||||||
Total derivatives | Total derivatives | (9,402) | 4,643 | 4,110 | (649) | 104 | (545) | Total derivatives | (9,762) | 4,566 | 4,133 | (1,063) | 219 | (844) | ||||||||||||||||||||||||||||||||||||||||||||
Securities sold under agreements to repurchase | Securities sold under agreements to repurchase | (11,260) | 11,260 | — | — | — | — | Securities sold under agreements to repurchase | (9,977) | 9,977 | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
Total | Total | ($20,662) | $15,903 | $4,110 | ($649) | $104 | ($545) | Total | ($19,739) | $14,543 | $4,133 | ($1,063) | $219 | ($844) |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 9 |
December 31, 2021 | |||||||||||||||||||||||||||||
Gross Amount Recognized | Amount Offset in the Condensed Consolidated Balance Sheets | Net Amount Presented in the Condensed Consolidated Balance Sheets | Gross Amount Not Offset in the Condensed Consolidated Balance Sheets(2) | Net Amount | |||||||||||||||||||||||||
(In millions) | Counterparty Netting | Cash Collateral Netting(1) | |||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||||||||
OTC derivatives | $5,670 | ($4,437) | ($963) | $270 | ($250) | $20 | |||||||||||||||||||||||
Cleared and exchange-traded derivatives | 60 | (4) | 38 | 94 | — | 94 | |||||||||||||||||||||||
Mortgage commitment derivatives | 79 | — | — | 79 | — | 79 | |||||||||||||||||||||||
Other | 17 | — | — | 17 | — | 17 | |||||||||||||||||||||||
Total derivatives | 5,826 | (4,441) | (925) | 460 | (250) | 210 | |||||||||||||||||||||||
Securities purchased under agreements to resell | 78,536 | (7,333) | — | 71,203 | (71,203) | — | |||||||||||||||||||||||
Total | $84,362 | ($11,774) | ($925) | $71,663 | ($71,453) | $210 | |||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||||||||
OTC derivatives | ($7,979) | $4,437 | $3,417 | ($125) | $— | ($125) | |||||||||||||||||||||||
Cleared and exchange-traded derivatives | (39) | 4 | 22 | (13) | 13 | — | |||||||||||||||||||||||
Mortgage commitment derivatives | (86) | — | — | (86) | — | (86) | |||||||||||||||||||||||
Other | (58) | — | — | (58) | — | (58) | |||||||||||||||||||||||
Total derivatives | (8,162) | 4,441 | 3,439 | (282) | 13 | (269) | |||||||||||||||||||||||
Securities sold under agreements to repurchase | (7,333) | 7,333 | — | — | — | — | |||||||||||||||||||||||
Total | ($15,495) | $11,774 | $3,439 | ($282) | $13 | ($269) |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 9 |
March 31, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Derivatives | Securities Sold Under Agreements to Repurchase | Other(1) | Total | (In millions) | Derivatives | Securities Sold Under Agreements to Repurchase | Other(1) | Total | ||||||||||||||||||||||||
Cash equivalents(2) | $— | $1,250 | $— | $1,250 | ||||||||||||||||||||||||||||||
Debt of consolidated trusts(2) | Debt of consolidated trusts(2) | $— | $— | $29 | $29 | |||||||||||||||||||||||||||||
Trading securities | Trading securities | 1,659 | 9,076 | 692 | 11,427 | Trading securities | 1,707 | 9,007 | 645 | 11,359 | ||||||||||||||||||||||||
Total securities pledged | Total securities pledged | $1,659 | $10,326 | $692 | $12,677 | Total securities pledged | $1,707 | $9,007 | $674 | $11,388 |
December 31, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Derivatives | Securities Sold Under Agreements to Repurchase | Other(1) | Total | (In millions) | Derivatives | Securities Sold Under Agreements to Repurchase | Other(1) | Total | ||||||||||||||||||||||||
Debt securities of consolidated trusts(3) | $— | $— | $161 | $161 | ||||||||||||||||||||||||||||||
Debt of consolidated trusts(2) | Debt of consolidated trusts(2) | $— | $— | $161 | $161 | |||||||||||||||||||||||||||||
Trading securities | Trading securities | 1,542 | 7,333 | 1,115 | 9,990 | Trading securities | 1,542 | 7,333 | 1,115 | 9,990 | ||||||||||||||||||||||||
Total securities pledged | Total securities pledged | $1,542 | $7,333 | $1,276 | $10,151 | Total securities pledged | $1,542 | $7,333 | $1,276 | $10,151 |
March 31, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Overnight and Continuous | 30 Days or Less | After 30 Days Through 90 Days | Greater Than 90 Days | Total | (In millions) | Overnight and Continuous | 30 Days or Less | After 30 Days Through 90 Days | Greater Than 90 Days | Total | ||||||||||||||||||||||||||||
U.S. Treasury securities and other | U.S. Treasury securities and other | $1,608 | $1,650 | $7,068 | $— | $10,326 | U.S. Treasury securities and other | $2,729 | $— | $6,278 | $— | $9,007 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 10 |
(In millions) | (In millions) | 1Q 2022 | 1Q 2021 | (In millions) | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | ||||||||||||||||||||||||||
Interest income | Interest income | Interest income | ||||||||||||||||||||||||||||||||
Mortgage loans | Mortgage loans | $17,310 | $13,255 | Mortgage loans | $19,324 | $14,590 | $36,634 | $27,845 | ||||||||||||||||||||||||||
Investment securities | Investment securities | 384 | 610 | Investment securities | 464 | 617 | 848 | 1,227 | ||||||||||||||||||||||||||
Other | Other | 46 | 37 | Other | 220 | 23 | 266 | 60 | ||||||||||||||||||||||||||
Total interest income | Total interest income | 17,740 | 13,902 | Total interest income | 20,008 | 15,230 | 37,748 | 29,132 | ||||||||||||||||||||||||||
Interest expense | Interest expense | Interest expense | ||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties | (13,249) | (9,756) | ||||||||||||||||||||||||||||||||
Debt of consolidated trusts | Debt of consolidated trusts | (14,595) | (10,032) | (27,844) | (19,788) | |||||||||||||||||||||||||||||
Debt of Freddie Mac: | Debt of Freddie Mac: | Debt of Freddie Mac: | ||||||||||||||||||||||||||||||||
Short-term debt | Short-term debt | — | (2) | Short-term debt | (20) | — | (20) | (2) | ||||||||||||||||||||||||||
Long-term debt | Long-term debt | (387) | (505) | Long-term debt | (634) | (431) | (1,021) | (936) | ||||||||||||||||||||||||||
Total interest expense | Total interest expense | (13,636) | (10,263) | Total interest expense | (15,249) | (10,463) | (28,885) | (20,726) | ||||||||||||||||||||||||||
Net interest income | Net interest income | 4,104 | 3,639 | Net interest income | 4,759 | 4,767 | 8,863 | 8,406 | ||||||||||||||||||||||||||
Benefit (provision) for credit losses | Benefit (provision) for credit losses | 837 | 196 | Benefit (provision) for credit losses | (307) | 740 | 530 | 936 | ||||||||||||||||||||||||||
Net interest income after benefit (provision) for credit losses | Net interest income after benefit (provision) for credit losses | $4,941 | $3,835 | Net interest income after benefit (provision) for credit losses | $4,452 | $5,507 | $9,393 | $9,342 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 11 |
Segment | Description | ||||
Single-Family | Reflects results from our purchase, securitization, and guarantee of single-family loans, our investments in single-family loans and mortgage-related securities, the management of Single-Family mortgage credit risk and market risk, and any results of our treasury function that are not allocated to each segment. | ||||
Multifamily | Reflects results from our purchase, securitization, and guarantee of multifamily loans, our investments in multifamily loans and mortgage-related securities, and the management of Multifamily mortgage credit risk and market risk. | ||||
1Q 2022 | 1Q 2021 | |||||||||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||||||||
Net interest income | $3,806 | $298 | $4,104 | $3,308 | $331 | $3,639 | ||||||||||||||||||||||||||
Non-interest income (loss) | ||||||||||||||||||||||||||||||||
Guarantee income | 30 | 40 | 70 | 89 | 159 | 248 | ||||||||||||||||||||||||||
Investment gains (losses), net | 1,252 | 261 | 1,513 | 300 | 908 | 1,208 | ||||||||||||||||||||||||||
Other income (loss) | 126 | 33 | 159 | 152 | 26 | 178 | ||||||||||||||||||||||||||
Non-interest income (loss) | 1,408 | 334 | 1,742 | 541 | 1,093 | 1,634 | ||||||||||||||||||||||||||
Net revenues | 5,214 | 632 | 5,846 | 3,849 | 1,424 | 5,273 | ||||||||||||||||||||||||||
Benefit (provision) for credit losses | 831 | 6 | 837 | 146 | 50 | 196 | ||||||||||||||||||||||||||
Non-interest expense | (1,778) | (154) | (1,932) | (1,809) | (179) | (1,988) | ||||||||||||||||||||||||||
Income (loss) before income tax (expense) benefit | 4,267 | 484 | 4,751 | 2,186 | 1,295 | 3,481 | ||||||||||||||||||||||||||
Income tax (expense) benefit | (856) | (97) | (953) | (448) | (266) | (714) | ||||||||||||||||||||||||||
Net income (loss) | 3,411 | 387 | 3,798 | 1,738 | 1,029 | 2,767 | ||||||||||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | (12) | (108) | (120) | (328) | (61) | (389) | ||||||||||||||||||||||||||
Comprehensive income (loss) | $3,399 | $279 | $3,678 | $1,410 | $968 | $2,378 | ||||||||||||||||||||||||||
2Q 2022 | 2Q 2021 | |||||||||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||||||||
Net interest income | $4,535 | $224 | $4,759 | $4,460 | $307 | $4,767 | ||||||||||||||||||||||||||
Non-interest income (loss) | ||||||||||||||||||||||||||||||||
Guarantee income | 35 | 170 | 205 | 10 | 346 | 356 | ||||||||||||||||||||||||||
Investment gains (losses), net | 232 | 89 | 321 | 137 | 499 | 636 | ||||||||||||||||||||||||||
Other income (loss) | 69 | 50 | 119 | 108 | (1) | 107 | ||||||||||||||||||||||||||
Non-interest income (loss) | 336 | 309 | 645 | 255 | 844 | 1,099 | ||||||||||||||||||||||||||
Net revenues | 4,871 | 533 | 5,404 | 4,715 | 1,151 | 5,866 | ||||||||||||||||||||||||||
Benefit (provision) for credit losses | (298) | (9) | (307) | 686 | 54 | 740 | ||||||||||||||||||||||||||
Non-interest expense | (1,854) | (166) | (2,020) | (1,803) | (166) | (1,969) | ||||||||||||||||||||||||||
Income (loss) before income tax (expense) benefit | 2,719 | 358 | 3,077 | 3,598 | 1,039 | 4,637 | ||||||||||||||||||||||||||
Income tax (expense) benefit | (551) | (73) | (624) | (743) | (215) | (958) | ||||||||||||||||||||||||||
Net income (loss) | 2,168 | 285 | 2,453 | 2,855 | 824 | 3,679 | ||||||||||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | 5 | (71) | (66) | (74) | 6 | (68) | ||||||||||||||||||||||||||
Comprehensive income (loss) | $2,173 | $214 | $2,387 | $2,781 | $830 | $3,611 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 11 |
YTD 2022 | YTD 2021 | |||||||||||||||||||||||||||||||
Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | |||||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Net interest income | $8,341 | $522 | $8,863 | $7,768 | $638 | $8,406 | ||||||||||||||||||||||||||
Non-interest income (loss) | ||||||||||||||||||||||||||||||||
Guarantee income | 65 | 210 | 275 | 99 | 505 | 604 | ||||||||||||||||||||||||||
Investment gains (losses), net | 1,484 | 350 | 1,834 | 437 | 1,407 | 1,844 | ||||||||||||||||||||||||||
Other income (loss) | 195 | 83 | 278 | 260 | 25 | 285 | ||||||||||||||||||||||||||
Non-interest income (loss) | 1,744 | 643 | 2,387 | 796 | 1,937 | 2,733 | ||||||||||||||||||||||||||
Net revenues | 10,085 | 1,165 | 11,250 | 8,564 | 2,575 | 11,139 | ||||||||||||||||||||||||||
Benefit (provision) for credit losses | 533 | (3) | 530 | 832 | 104 | 936 | ||||||||||||||||||||||||||
Non-interest expense | (3,632) | (320) | (3,952) | (3,612) | (345) | (3,957) | ||||||||||||||||||||||||||
Income (loss) before income tax (expense) benefit | 6,986 | 842 | 7,828 | 5,784 | 2,334 | 8,118 | ||||||||||||||||||||||||||
Income tax (expense) benefit | (1,407) | (170) | (1,577) | (1,191) | (481) | (1,672) | ||||||||||||||||||||||||||
Net income (loss) | 5,579 | 672 | 6,251 | 4,593 | 1,853 | 6,446 | ||||||||||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | (7) | (179) | (186) | (402) | (55) | (457) | ||||||||||||||||||||||||||
Comprehensive income (loss) | $5,572 | $493 | $6,065 | $4,191 | $1,798 | $5,989 |
(In millions) | (In millions) | March 31, 2022 | December 31, 2021 | (In millions) | June 30, 2022 | December 31, 2021 | ||||||||||||||||||||||
Single-Family | Single-Family | $2,884,401 | $2,792,224 | Single-Family | $2,927,929 | $2,792,224 | ||||||||||||||||||||||
Multifamily | Multifamily | 415,268 | 414,663 | Multifamily | 415,055 | 414,663 | ||||||||||||||||||||||
Total segment assets | Total segment assets | 3,299,669 | 3,206,887 | Total segment assets | 3,342,984 | 3,206,887 | ||||||||||||||||||||||
Reconciling items(1) | Reconciling items(1) | (190,815) | (181,301) | Reconciling items(1) | (197,403) | (181,301) | ||||||||||||||||||||||
Total assets per condensed consolidated balance sheets | Total assets per condensed consolidated balance sheets | $3,108,854 | $3,025,586 | Total assets per condensed consolidated balance sheets | $3,145,581 | $3,025,586 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 12 |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in billions) | Portfolio UPB(2) | % of Portfolio | SDQ Rate | Portfolio UPB(2) | % of Portfolio | SDQ Rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | (Dollars in millions) | Portfolio UPB(2) | % of Portfolio | SDQ Rate | Portfolio UPB(2) | % of Portfolio | SDQ Rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Region:(3) | Region:(3) | Region:(3) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
West | West | $888 | 31 | % | 0.71 | % | $859 | 31 | % | 0.92 | % | West | $898,612 | 31 | % | 0.56 | % | $858,535 | 31 | % | 0.92 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Northeast | Northeast | 679 | 23 | 1.14 | 660 | 24 | 1.37 | Northeast | 685,058 | 23 | 0.96 | 660,103 | 24 | 1.37 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
North Central | North Central | 425 | 15 | 0.83 | 416 | 15 | 0.98 | North Central | 428,839 | 15 | 0.72 | 416,214 | 15 | 0.98 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Southeast | Southeast | 481 | 17 | 0.98 | 461 | 16 | 1.21 | Southeast | 494,452 | 17 | 0.80 | 461,084 | 16 | 1.21 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Southwest | Southwest | 411 | 14 | 0.92 | 396 | 14 | 1.14 | Southwest | 420,672 | 14 | 0.74 | 395,953 | 14 | 1.14 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | $2,884 | 100 | % | 0.92 | $2,792 | 100 | % | 1.12 | Total | $2,927,633 | 100 | % | 0.76 | $2,791,889 | 100 | % | 1.12 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
State: | State: | State: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
California | California | $513 | 18 | % | 0.75 | $498 | 18 | % | 0.99 | California | $516,523 | 18 | % | 0.60 | $497,521 | 18 | % | 0.99 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Texas | Texas | 185 | 6 | 0.97 | 177 | 6 | 1.23 | Texas | 191,047 | 7 | 0.76 | 176,501 | 6 | 1.23 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Florida | Florida | 177 | 6 | 1.04 | 169 | 6 | 1.36 | Florida | 183,427 | 6 | 0.84 | 168,572 | 6 | 1.36 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
New York | New York | 125 | 4 | 1.71 | 121 | 4 | 2.07 | New York | 127,168 | 4 | 1.44 | 120,655 | 4 | 2.07 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Illinois | Illinois | 111 | 4 | 1.18 | 109 | 4 | 1.44 | Illinois | 111,472 | 4 | 1.03 | 109,171 | 4 | 1.44 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
All other | All other | 1,773 | 62 | 0.86 | 1,718 | 62 | 1.03 | All other | 1,797,996 | 61 | 0.71 | 1,719,469 | 62 | 1.03 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | $2,884 | 100 | % | 0.92 | $2,792 | 100 | % | 1.12 | Total | $2,927,633 | 100 | % | 0.76 | $2,791,889 | 100 | % | 1.12 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
March 31, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustments(1) | Total | (In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustments(1) | Total | ||||||||||||||||||||||||||||
Assets: | Assets: | Assets: | ||||||||||||||||||||||||||||||||||||||
Investment securities: | Investment securities: | Investment securities: | ||||||||||||||||||||||||||||||||||||||
Available-for-sale | Available-for-sale | $— | $3,197 | $1,188 | $— | $4,385 | Available-for-sale | $— | $3,997 | $1,124 | $— | $5,121 | ||||||||||||||||||||||||||||
Trading: | Trading: | Trading: | ||||||||||||||||||||||||||||||||||||||
Mortgage-related securities | Mortgage-related securities | — | 9,751 | 3,165 | — | 12,916 | Mortgage-related securities | — | 9,137 | 3,319 | — | 12,456 | ||||||||||||||||||||||||||||
Non-mortgage-related securities | Non-mortgage-related securities | 35,171 | 772 | — | — | 35,943 | Non-mortgage-related securities | 30,596 | 764 | — | — | 31,360 | ||||||||||||||||||||||||||||
Total trading securities | Total trading securities | 35,171 | 10,523 | 3,165 | — | 48,859 | Total trading securities | 30,596 | 9,901 | 3,319 | — | 43,816 | ||||||||||||||||||||||||||||
Total investments in securities | 35,171 | 13,720 | 4,353 | — | 53,244 | |||||||||||||||||||||||||||||||||||
Total investment securities | Total investment securities | 30,596 | 13,898 | 4,443 | — | 48,937 | ||||||||||||||||||||||||||||||||||
Mortgage loans held-for-sale | Mortgage loans held-for-sale | — | 8,101 | — | — | 8,101 | Mortgage loans held-for-sale | — | 5,331 | 339 | — | 5,670 | ||||||||||||||||||||||||||||
Other assets: | Other assets: | Other assets: | ||||||||||||||||||||||||||||||||||||||
Guarantee assets | Guarantee assets | — | — | 5,696 | — | 5,696 | Guarantee assets | — | — | 5,649 | — | 5,649 | ||||||||||||||||||||||||||||
Derivative assets, net | Derivative assets, net | 20 | 6,104 | 16 | — | 6,140 | Derivative assets, net | — | 5,758 | 11 | — | 5,769 | ||||||||||||||||||||||||||||
Netting adjustments(1) | Netting adjustments(1) | — | — | — | (4,763) | (4,763) | Netting adjustments(1) | — | — | — | (5,145) | (5,145) | ||||||||||||||||||||||||||||
Total derivative assets, net | Total derivative assets, net | 20 | 6,104 | 16 | (4,763) | 1,377 | Total derivative assets, net | — | 5,758 | 11 | (5,145) | 624 | ||||||||||||||||||||||||||||
Other assets | Other assets | — | 19 | 98 | — | 117 | Other assets | — | 25 | 121 | — | 146 | ||||||||||||||||||||||||||||
Total other assets | Total other assets | 20 | 6,123 | 5,810 | (4,763) | 7,190 | Total other assets | — | 5,783 | 5,781 | (5,145) | 6,419 | ||||||||||||||||||||||||||||
Total assets carried at fair value on a recurring basis | Total assets carried at fair value on a recurring basis | $35,191 | $27,944 | $10,163 | ($4,763) | $68,535 | Total assets carried at fair value on a recurring basis | $30,596 | $25,012 | $10,563 | ($5,145) | $61,026 | ||||||||||||||||||||||||||||
Liabilities: | Liabilities: | Liabilities: | ||||||||||||||||||||||||||||||||||||||
Debt: | Debt: | Debt: | ||||||||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties | $— | $3,436 | $293 | $— | $3,729 | |||||||||||||||||||||||||||||||||||
Debt of consolidated trusts | Debt of consolidated trusts | $— | $1,978 | $346 | $— | $2,324 | ||||||||||||||||||||||||||||||||||
Debt of Freddie Mac | Debt of Freddie Mac | — | 1,200 | 109 | — | 1,309 | Debt of Freddie Mac | — | 1,170 | 111 | — | 1,281 | ||||||||||||||||||||||||||||
Total debt | Total debt | — | 4,636 | 402 | — | 5,038 | Total debt | — | 3,148 | 457 | — | 3,605 | ||||||||||||||||||||||||||||
Other liabilities: | Other liabilities: | Other liabilities: | ||||||||||||||||||||||||||||||||||||||
Derivative liabilities, net | Derivative liabilities, net | — | 8,777 | 47 | — | 8,824 | Derivative liabilities, net | 10 | 8,967 | 58 | — | 9,035 | ||||||||||||||||||||||||||||
Netting adjustments(1) | Netting adjustments(1) | — | — | — | (8,175) | (8,175) | Netting adjustments(1) | — | — | — | (7,972) | (7,972) | ||||||||||||||||||||||||||||
Total derivative liabilities, net | Total derivative liabilities, net | — | 8,777 | 47 | (8,175) | 649 | Total derivative liabilities, net | 10 | 8,967 | 58 | (7,972) | 1,063 | ||||||||||||||||||||||||||||
Other liabilities | Other liabilities | — | 73 | — | — | 73 | Other liabilities | — | 16 | — | — | 16 | ||||||||||||||||||||||||||||
Total other liabilities | Total other liabilities | — | 8,850 | 47 | (8,175) | 722 | Total other liabilities | 10�� | 8,983 | 58 | (7,972) | 1,079 | ||||||||||||||||||||||||||||
Total liabilities carried at fair value on a recurring basis | Total liabilities carried at fair value on a recurring basis | $— | $13,486 | $449 | ($8,175) | $5,760 | Total liabilities carried at fair value on a recurring basis | $10 | $12,131 | $515 | ($7,972) | $4,684 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
December 31, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustments(1) | Total | (In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustments(1) | Total | ||||||||||||||||||||||||||||
Assets: | Assets: | Assets: | ||||||||||||||||||||||||||||||||||||||
Investment securities: | Investment securities: | Investment securities: | ||||||||||||||||||||||||||||||||||||||
Available-for-sale | Available-for-sale | $— | $2,726 | $1,286 | $— | $4,012 | Available-for-sale | $— | $2,726 | $1,286 | $— | $4,012 | ||||||||||||||||||||||||||||
Trading: | Trading: | Trading: | ||||||||||||||||||||||||||||||||||||||
Mortgage-related securities: | Mortgage-related securities: | — | 12,845 | 3,386 | — | 16,231 | Mortgage-related securities: | — | 12,845 | 3,386 | — | 16,231 | ||||||||||||||||||||||||||||
Non-mortgage-related securities | Non-mortgage-related securities | 31,780 | 992 | — | — | 32,772 | Non-mortgage-related securities | 31,780 | 992 | — | — | 32,772 | ||||||||||||||||||||||||||||
Total trading securities | Total trading securities | 31,780 | 13,837 | 3,386 | — | 49,003 | Total trading securities | 31,780 | 13,837 | 3,386 | — | 49,003 | ||||||||||||||||||||||||||||
Total investments in securities | 31,780 | 16,563 | 4,672 | — | 53,015 | |||||||||||||||||||||||||||||||||||
Total investment securities | Total investment securities | 31,780 | 16,563 | 4,672 | — | 53,015 | ||||||||||||||||||||||||||||||||||
Mortgage loans held-for-sale | Mortgage loans held-for-sale | — | 10,498 | — | — | 10,498 | Mortgage loans held-for-sale | — | 10,498 | — | — | 10,498 | ||||||||||||||||||||||||||||
Other assets: | Other assets: | Other assets: | ||||||||||||||||||||||||||||||||||||||
Guarantee assets | Guarantee assets | — | — | 5,919 | — | 5,919 | Guarantee assets | — | — | 5,919 | — | 5,919 | ||||||||||||||||||||||||||||
Derivative assets, net | Derivative assets, net | 33 | 5,416 | 17 | — | 5,466 | Derivative assets, net | 33 | 5,416 | 17 | — | 5,466 | ||||||||||||||||||||||||||||
Netting adjustments(1) | Netting adjustments(1) | — | — | — | (5,006) | (5,006) | Netting adjustments(1) | — | — | — | (5,006) | (5,006) | ||||||||||||||||||||||||||||
Total derivative assets, net | Total derivative assets, net | 33 | 5,416 | 17 | (5,006) | 460 | Total derivative assets, net | 33 | 5,416 | 17 | (5,006) | 460 | ||||||||||||||||||||||||||||
Other assets | Other assets | — | 131 | 84 | — | 215 | Other assets | — | 131 | 84 | — | 215 | ||||||||||||||||||||||||||||
Total other assets | Total other assets | 33 | 5,547 | 6,020 | (5,006) | 6,594 | Total other assets | 33 | 5,547 | 6,020 | (5,006) | 6,594 | ||||||||||||||||||||||||||||
Total assets carried at fair value on a recurring basis | Total assets carried at fair value on a recurring basis | $31,813 | $32,608 | $10,692 | ($5,006) | $70,107 | Total assets carried at fair value on a recurring basis | $31,813 | $32,608 | $10,692 | ($5,006) | $70,107 | ||||||||||||||||||||||||||||
Liabilities: | Liabilities: | Liabilities: | ||||||||||||||||||||||||||||||||||||||
Debt: | Debt: | Debt: | ||||||||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties | $— | $910 | $184 | $— | $1,094 | |||||||||||||||||||||||||||||||||||
Debt of consolidated trusts | Debt of consolidated trusts | $— | $910 | $184 | $— | $1,094 | ||||||||||||||||||||||||||||||||||
Debt of Freddie Mac | Debt of Freddie Mac | — | 1,274 | 110 | — | 1,384 | Debt of Freddie Mac | — | 1,274 | 110 | — | 1,384 | ||||||||||||||||||||||||||||
Total debt | Total debt | — | 2,184 | 294 | — | 2,478 | Total debt | — | 2,184 | 294 | — | 2,478 | ||||||||||||||||||||||||||||
Other liabilities: | Other liabilities: | Other liabilities: | ||||||||||||||||||||||||||||||||||||||
Derivative liabilities, net | Derivative liabilities, net | — | 7,726 | 23 | — | 7,749 | Derivative liabilities, net | — | 7,726 | 23 | — | 7,749 | ||||||||||||||||||||||||||||
Netting adjustments(1) | Netting adjustments(1) | — | — | — | (7,467) | (7,467) | Netting adjustments(1) | — | — | — | (7,467) | (7,467) | ||||||||||||||||||||||||||||
Total derivative liabilities, net | Total derivative liabilities, net | — | 7,726 | 23 | (7,467) | 282 | Total derivative liabilities, net | — | 7,726 | 23 | (7,467) | 282 | ||||||||||||||||||||||||||||
Other liabilities | Other liabilities | — | 4 | 1 | — | 5 | Other liabilities | — | 4 | 1 | — | 5 | ||||||||||||||||||||||||||||
Total other liabilities | Total other liabilities | — | 7,730 | 24 | (7,467) | 287 | Total other liabilities | — | 7,730 | 24 | (7,467) | 287 | ||||||||||||||||||||||||||||
Total liabilities carried at fair value on a recurring basis | Total liabilities carried at fair value on a recurring basis | $— | $9,914 | $318 | ($7,467) | $2,765 | Total liabilities carried at fair value on a recurring basis | $— | $9,914 | $318 | ($7,467) | $2,765 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
1Q 2022 | 2Q 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2022 | Total Realized/Unrealized Gains (Losses) | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3(1) | Transfers out of Level 3(1) | Balance, March 31, 2022 | Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2022(2) | Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2022 | Balance, April 1, 2022 | Total Realized/Unrealized Gains (Losses) | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, June 30, 2022 | Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2022(2) | Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Included in Earnings | Included in Other Comprehensive Income | (In millions) | Included in Earnings | Included in Other Comprehensive Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets | Assets | Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment securities: | Investment securities: | Investment securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale | Available-for-sale | $1,286 | ($1) | ($36) | $— | $— | $— | ($91) | $30 | $— | $1,188 | ($1) | ($29) | Available-for-sale | $1,188 | $— | ($7) | $43 | $— | ($1) | ($99) | $— | $— | $1,124 | $— | ($5) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading | Trading | 3,386 | (426) | — | 243 | — | — | (18) | — | (20) | 3,165 | (256) | — | Trading | 3,165 | (232) | — | 436 | — | — | (15) | — | (35) | 3,319 | (57) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Investment securities | 4,672 | (427) | (36) | 243 | — | — | (109) | 30 | (20) | 4,353 | (257) | (29) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total investment securities | Total investment securities | 4,353 | (232) | (7) | 479 | — | (1) | (114) | — | (35) | 4,443 | (57) | (5) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-sale | Mortgage loans held-for-sale | — | (14) | — | — | — | (5) | (25) | 383 | — | 339 | (14) | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets: | Other assets: | Other assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee assets | Guarantee assets | 5,919 | (316) | — | — | 333 | — | (240) | — | — | 5,696 | (316) | — | Guarantee assets | 5,696 | (194) | — | — | 376 | — | (229) | — | — | 5,649 | (194) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | Other assets | 101 | 16 | — | (4) | 3 | — | (2) | — | — | 114 | 16 | — | Other assets | 114 | 33 | — | (6) | 5 | (5) | (9) | — | — | 132 | 33 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other assets | Total other assets | 6,020 | (300) | — | (4) | 336 | — | (242) | — | — | 5,810 | (300) | — | Total other assets | 5,810 | (161) | — | (6) | 381 | (5) | (238) | — | — | 5,781 | (161) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | Total assets | 10,692 | (727) | (36) | 239 | 336 | — | (351) | 30 | (20) | 10,163 | (557) | (29) | Total assets | $10,163 | ($407) | ($7) | $473 | $381 | ($11) | ($377) | $383 | ($35) | $10,563 | ($232) | ($5) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2022 | Total Realized/Unrealized (Gains) Losses | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3(1) | Transfers out of Level 3(1) | Balance, March 31, 2022 | Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2022(2) | Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2022 | Balance, April 1, 2022 | Total Realized/Unrealized (Gains) Losses | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, June 30, 2022 | Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2022(2) | Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Included in Earnings | Included in Other Comprehensive Income | Included in Earnings | Included in Other Comprehensive Income | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | Liabilities | Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt | Debt | $294 | $23 | $— | $— | $86 | $— | ($1) | $— | $— | $402 | $33 | $— | Debt | $402 | $12 | $— | ($6) | $55 | $— | ($6) | $— | $— | $457 | $23 | $— | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | Other liabilities | 24 | 24 | — | — | — | — | (1) | — | — | 47 | 24 | — | Other liabilities | 47 | 14 | — | — | — | — | (3) | — | — | 58 | 13 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities | Total liabilities | $318 | $47 | $— | $— | $86 | $— | ($2) | $— | $— | $449 | $57 | $— | Total liabilities | $449 | $26 | $— | ($6) | $55 | $— | ($9) | $— | $— | $515 | $36 | $— |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
1Q 2021 | YTD 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2021 | Total Realized/Unrealized Gains (Losses) | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3(1) | Transfers out of Level 3(1) | Balance, March 31, 2021 | Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2021(2) | Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2021 | Balance, January 1, 2022 | Total Realized/Unrealized Gains (Losses) | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, June 30, 2022 | Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2022(2) | Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Included in Earnings | Included in Other Comprehensive Income | (In millions) | Included in Earnings | Included in Other Comprehensive Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets | Assets | Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment securities: | Investment securities: | Investment securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale | Available-for-sale | $1,588 | $6 | ($6) | $432 | $— | ($130) | ($54) | $— | $— | $1,836 | $6 | ($4) | Available-for-sale | $1,286 | $— | ($43) | $43 | $— | ($1) | ($191) | $30 | $— | $1,124 | ($1) | ($33) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading | Trading | 3,259 | (174) | — | 445 | — | (269) | (19) | — | (180) | 3,062 | (183) | — | Trading | 3,386 | (658) | — | 644 | — | — | (33) | — | (20) | 3,319 | (312) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total investments in securities | 4,847 | (168) | (6) | 877 | — | (399) | (73) | — | (180) | 4,898 | (177) | (4) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total investment securities | Total investment securities | 4,672 | (658) | (43) | 687 | — | (1) | (224) | 30 | (20) | 4,443 | (313) | (33) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-sale | Mortgage loans held-for-sale | — | (14) | — | — | — | (5) | (25) | 383 | — | 339 | (14) | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets: | Other assets: | Other assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee assets | Guarantee assets | 5,509 | (86) | — | — | 488 | — | (223) | — | — | 5,688 | (86) | — | Guarantee assets | 5,919 | (510) | — | — | 708 | — | (468) | — | — | 5,649 | (510) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | Other assets | 171 | (23) | — | (4) | 6 | — | (5) | — | — | 145 | (22) | — | Other assets | 101 | 47 | — | (9) | 9 | (5) | (11) | — | — | 132 | 48 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other assets | Total other assets | 5,680 | (109) | — | (4) | 494 | — | (228) | — | — | 5,833 | (108) | — | Total other assets | 6,020 | (463) | — | (9) | 717 | (5) | (479) | — | — | 5,781 | (462) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | Total assets | 10,527 | (277) | (6) | 873 | 494 | (399) | (301) | — | (180) | 10,731 | (285) | (4) | Total assets | $10,692 | ($1,135) | ($43) | $678 | $717 | ($11) | ($728) | $413 | ($20) | $10,563 | ($789) | ($33) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2021 | Total Realized/Unrealized (Gains) Losses | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3(1) | Transfers out of Level 3(1) | Balance, March 31, 2021 | Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2021(2) | Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2021 | Balance, January 1, 2022 | Total Realized/Unrealized (Gains) Losses | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, June 30, 2022 | Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2022(2) | Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Included in Earnings | Included in Other Comprehensive Income | Included in Earnings | Included in Other Comprehensive Income | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | Liabilities | Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt | Debt | $323 | $6 | $— | $— | $54 | $— | ($3) | $— | $— | $380 | $6 | $— | Debt | $294 | $35 | $— | ($6) | $141 | $— | ($7) | $— | $— | $457 | $56 | $— | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | Other liabilities | 19 | 14 | — | 2 | 2 | — | (3) | — | — | 34 | 12 | — | Other liabilities | 24 | 37 | — | 1 | — | — | (4) | — | — | 58 | 35 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities | Total liabilities | $342 | $20 | $— | $2 | $56 | $— | ($6) | $— | $— | $414 | $18 | $— | Total liabilities | $318 | $72 | $— | ($5) | $141 | $— | ($11) | $— | $— | $515 | $91 | $— |
2Q 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, April 1, 2021 | Total Realized/Unrealized Gains (Losses) | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, June 30, 2021 | Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2021(2) | Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Included in Earnings | Included in Other Comprehensive Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale | $1,836 | $5 | $9 | $— | $— | ($296) | ($80) | $— | $— | $1,474 | $6 | $7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading | 3,062 | (171) | — | 737 | — | — | (23) | — | (82) | 3,523 | (177) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total investment securities | 4,898 | (166) | 9 | 737 | — | (296) | (103) | — | (82) | 4,997 | (171) | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee assets | 5,688 | 5 | — | — | 416 | — | (240) | — | — | 5,869 | 48 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 145 | (44) | — | 5 | 4 | (9) | (6) | — | — | 95 | (44) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other assets | 5,833 | (39) | — | 5 | 420 | (9) | (246) | — | — | 5,964 | 4 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | $10,731 | ($205) | $9 | $742 | $420 | ($305) | ($349) | $— | ($82) | $10,961 | ($167) | $7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, April 1, 2021 | Total Realized/Unrealized (Gains) Losses | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, June 30, 2021 | Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2021(2) | Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Included in Earnings | Included in Other Comprehensive Income | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt | $380 | ($16) | $— | $— | $35 | $— | ($31) | $— | $— | $368 | ($14) | $— | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | 34 | (9) | — | 1 | — | — | (3) | — | — | 23 | (12) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities | $414 | ($25) | $— | $1 | $35 | $— | ($34) | $— | $— | $391 | ($26) | $— |
Freddie Mac 2Q 2022 Form 10-Q | 86 |
Financial Statements | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Notes to the Condensed Consolidated Financial Statements|Note 13 |
YTD 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2021 | Total Realized/Unrealized Gains (Losses) | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, June 30, 2021 | Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2021(2) | Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Included in Earnings | Included in Other Comprehensive Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale | $1,588 | $12 | $4 | $— | $— | $— | ($130) | $— | $— | $1,474 | $12 | $3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading | 3,259 | (356) | — | 1,112 | — | (269) | (43) | — | (180) | 3,523 | (364) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total investment securities | 4,847 | (344) | 4 | 1,112 | — | (269) | (173) | — | (180) | 4,997 | (352) | 3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets: | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee assets | 5,509 | (83) | — | — | 905 | — | (462) | — | — | 5,869 | (79) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 171 | (67) | — | 1 | 10 | (9) | (11) | — | — | 95 | (67) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other assets | 5,680 | (150) | — | 1 | 915 | (9) | (473) | — | — | 5,964 | (146) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | $10,527 | ($494) | $4 | $1,113 | $915 | ($278) | ($646) | $— | ($180) | $10,961 | ($498) | $3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2021 | Total Realized/Unrealized (Gains) Losses | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3(1) | Balance, June 30, 2021 | Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2021(2) | Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Included in Earnings | Included in Other Comprehensive Income | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt | $323 | ($10) | $— | $— | $89 | $— | ($34) | $— | $— | $368 | ($8) | $— | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | 19 | 6 | — | 2 | 2 | — | (6) | — | — | 23 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities | $342 | ($4) | $— | $2 | $91 | $— | ($40) | $— | $— | $391 | ($8) | $— |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
March 31, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs | Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions, except for certain unobservable inputs as shown) | (Dollars in millions, except for certain unobservable inputs as shown) | Type | Range | Weighted Average(1) | (Dollars in millions, except for certain unobservable inputs as shown) | Type | Range | Weighted Average(1) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets | Assets | Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment securities: | Investment securities: | Investment securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale | Available-for-sale | 777 | Median of external sources | External pricing sources | $68.4 - $76.3 | $71.6 | Available-for-sale | $714 | Median of external sources | External pricing sources | $66.2 - $75.7 | $69.8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
411 | Other | 410 | Other | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading | Trading | 2,730 | Single external source | External pricing sources | $0.0 - $6,773.1 | $341.3 | Trading | 2,705 | Single external source | External pricing source | $0.0 - $6,510.7 | $269.7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
435 | Other | 614 | Other | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-sale | Mortgage loans held-for-sale | 339 | Single external source | External pricing source | $39.6 - $102.9 | $85.7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee assets | Guarantee assets | 5,322 | Discounted cash flows | OAS | 17 - 186 bps | 45 bps | Guarantee assets | 5,264 | Discounted cash flows | OAS | 17 - 186 bps | 45 bps | ||||||||||||||||||||||||||||||||||||||||||||||||||||
374 | Other | 385 | Other | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Insignificant Level 3 assets(2) | Insignificant Level 3 assets(2) | 114 | Insignificant Level 3 assets(2) | 132 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total level 3 assets | Total level 3 assets | $10,163 | Total level 3 assets | $10,563 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | Liabilities | Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Insignificant Level 3 liabilities(2) | Insignificant Level 3 liabilities(2) | 449 | Insignificant Level 3 liabilities(2) | 515 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total level 3 liabilities | Total level 3 liabilities | $449 | Total level 3 liabilities | $515 |
December 31, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs | Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions, except for certain unobservable inputs as shown) | (Dollars in millions, except for certain unobservable inputs as shown) | Type | Range | Weighted Average(1) | (Dollars in millions, except for certain unobservable inputs as shown) | Type | Range | Weighted Average(1) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets | Assets | Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment securities: | Investment securities: | Investment securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale | Available-for-sale | $839 | Median of external sources | External pricing sources | $72.8 - $83.7 | $77.0 | Available-for-sale | $839 | Median of external sources | External pricing sources | $72.8 - $83.7 | $77.0 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
446 | Other | 446 | Other | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading | Trading | 2,846 | Single external source | External pricing sources | $0.0 - $7,343.1 | $396.7 | Trading | 2,846 | Single external source | External pricing source | $0.0 - $7,343.1 | $396.7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
541 | Other | 541 | Other | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee assets | Guarantee assets | 5,531 | Discounted cash flows | OAS | 17 - 186 bps | 45 bps | Guarantee assets | 5,531 | Discounted cash flows | OAS | 17 - 186 bps | 45 bps | ||||||||||||||||||||||||||||||||||||||||||||||||||||
388 | Other | 388 | Other | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Insignificant Level 3 assets(2) | Insignificant Level 3 assets(2) | 101 | Insignificant Level 3 assets(2) | 101 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total level 3 assets | Total level 3 assets | $10,692 | Total level 3 assets | $10,692 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities(2) | Liabilities(2) | Liabilities(2) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Insignificant Level 3 liabilities(2) | Insignificant Level 3 liabilities(2) | 318 | Insignificant Level 3 liabilities(2) | 318 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total level 3 liabilities | Total level 3 liabilities | $318 | Total level 3 liabilities | $318 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | (In millions) | Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||||||||||||||||||||
Assets measured at fair value on a non-recurring basis: | Assets measured at fair value on a non-recurring basis: | Assets measured at fair value on a non-recurring basis: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans(1) | Mortgage loans(1) | $— | $12 | $1,670 | $1,682 | $— | $12 | $797 | $809 | Mortgage loans(1) | $— | $— | $1,335 | $1,335 | $— | $12 | $797 | $809 |
March 31, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs | Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs | |||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions, except for unobservable inputs as shown) | (Dollars in millions, except for unobservable inputs as shown) | Type | Range | Weighted Average(1) | (Dollars in millions, except for unobservable inputs as shown) | Type | Range | Weighted Average(1) | ||||||||||||||||||||||||||||||||||||||||||||
Non-recurring fair value measurements | Non-recurring fair value measurements | Non-recurring fair value measurements | ||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans | Mortgage loans | $1,568 | Median of external sources | External pricing sources | $87.4 - $104.2 | $94.0 | Mortgage loans | $1,176 | Median of external sources | External pricing sources | $81.5 - $103.1 | $92.7 | ||||||||||||||||||||||||||||||||||||||||
102 | Other | 159 | Other | |||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | $1,670 | Total | $1,335 | ||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs | Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs | |||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions, except for unobservable inputs as shown) | (Dollars in millions, except for unobservable inputs as shown) | Type | Range | Weighted Average(1) | (Dollars in millions, except for unobservable inputs as shown) | Type | Range | Weighted Average(1) | ||||||||||||||||||||||||||||||||||||||||||||
Non-recurring fair value measurements | Non-recurring fair value measurements | Non-recurring fair value measurements | ||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans | Mortgage loans | $625 | Median of external sources | External pricing sources | $61.9 - $107.1 | $97.3 | Mortgage loans | $625 | Median of external sources | External pricing sources | $61.9 - $107.1 | $97.3 | ||||||||||||||||||||||||||||||||||||||||
172 | Other | 172 | Other | |||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | $797 | Total | $797 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
March 31, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
GAAP Measurement Category(1) | GAAP Carrying Amount | Fair Value | GAAP Measurement Category(1) | GAAP Carrying Amount | Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustments(2) | Total | (In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustments(2) | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Assets | Financial Assets | Financial Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | Cash and cash equivalents | Amortized cost | $10,526 | $10,526 | $— | $— | $— | $10,526 | Cash and cash equivalents | Amortized cost | $5,257 | $5,257 | $— | $— | $— | $5,257 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Securities purchased under agreements to resell | Amortized cost | 69,617 | — | 80,877 | — | (11,260) | 69,617 | Securities purchased under agreements to resell | Amortized cost | 86,496 | — | 96,473 | — | (9,977) | 86,496 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment securities: | Investment securities: | Investment securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale | Available-for-sale | FV - OCI | 4,385 | — | 3,197 | 1,188 | — | 4,385 | Available-for-sale | FV - OCI | 5,121 | — | 3,997 | 1,124 | — | 5,121 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading | Trading | FV - NI | 48,859 | 35,171 | 10,523 | 3,165 | — | 48,859 | Trading | FV - NI | 43,816 | 30,596 | 9,901 | 3,319 | — | 43,816 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total investment securities | Total investment securities | 53,244 | 35,171 | 13,720 | 4,353 | — | 53,244 | Total investment securities | 48,937 | 30,596 | 13,898 | 4,443 | — | 48,937 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans: | Mortgage loans: | Mortgage loans: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans held by consolidated trusts | Loans held by consolidated trusts | 2,877,320 | — | 2,514,071 | 213,757 | — | 2,727,828 | Loans held by consolidated trusts | 2,913,414 | — | 2,436,417 | 202,651 | — | 2,639,068 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans held by Freddie Mac | Loans held by Freddie Mac | 55,609 | — | 26,310 | 29,299 | — | 55,609 | Loans held by Freddie Mac | 53,450 | — | 21,552 | 30,411 | — | 51,963 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total mortgage loans | Total mortgage loans | Various(3) | 2,932,929 | — | 2,540,381 | 243,056 | — | 2,783,437 | Total mortgage loans | Various(3) | 2,966,864 | — | 2,457,969 | 233,062 | — | 2,691,031 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee assets | Guarantee assets | FV - NI | 5,696 | — | — | 5,700 | — | 5,700 | Guarantee assets | FV - NI | 5,649 | — | — | 5,651 | — | 5,651 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative assets, net | Derivative assets, net | FV - NI | 1,377 | 20 | 6,104 | 16 | (4,763) | 1,377 | Derivative assets, net | FV - NI | 624 | — | 5,758 | 11 | (5,145) | 624 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-derivative purchase and other commitments | Non-derivative purchase and other commitments | FV - NI | 19 | — | 72 | — | — | 72 | Non-derivative purchase and other commitments | FV - NI | 25 | — | 57 | — | — | 57 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances to lenders | Advances to lenders | Amortized cost | 5,753 | — | — | 5,753 | — | 5,753 | Advances to lenders | Amortized cost | 3,672 | — | — | 3,672 | — | 3,672 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Secured lending | Secured lending | Amortized cost | 1,025 | — | 1,024 | 1 | — | 1,025 | Secured lending | Amortized cost | 900 | — | 899 | 1 | — | 900 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total financial assets | Total financial assets | $3,080,186 | $45,717 | $2,642,178 | $258,879 | ($16,023) | $2,930,751 | Total financial assets | $3,118,424 | $35,853 | $2,575,054 | $246,840 | ($15,122) | $2,842,625 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Liabilities | Financial Liabilities | Financial Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt: | Debt: | Debt: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties | $2,899,226 | $— | $2,733,502 | $748 | $— | $2,734,250 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt of consolidated trusts | Debt of consolidated trusts | $2,934,115 | $— | $2,640,532 | $786 | $— | $2,641,318 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt of Freddie Mac | Debt of Freddie Mac | 159,899 | — | 170,888 | 3,637 | (11,260) | 163,265 | Debt of Freddie Mac | 159,063 | — | 167,396 | 3,408 | (9,977) | 160,827 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total debt | Total debt | Various(4) | 3,059,125 | — | 2,904,390 | 4,385 | (11,260) | 2,897,515 | Total debt | Various(4) | 3,093,178 | — | 2,807,928 | 4,194 | (9,977) | 2,802,145 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee obligations | Guarantee obligations | Amortized cost | 5,742 | — | — | 6,295 | — | 6,295 | Guarantee obligations | Amortized cost | 5,821 | — | — | 6,235 | — | 6,235 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative liabilities, net | Derivative liabilities, net | FV - NI | 649 | — | 8,777 | 47 | (8,175) | 649 | Derivative liabilities, net | FV - NI | 1,063 | 10 | 8,967 | 58 | (7,972) | 1,063 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-derivative purchase and other commitments | Non-derivative purchase and other commitments | FV - NI | 86 | — | 73 | 324 | — | 397 | Non-derivative purchase and other commitments | FV - NI | 27 | — | 16 | 1,509 | — | 1,525 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total financial liabilities | Total financial liabilities | $3,065,602 | $— | $2,913,240 | $11,051 | ($19,435) | $2,904,856 | Total financial liabilities | $3,100,089 | $10 | $2,816,911 | $11,996 | ($17,949) | $2,810,968 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
December 31, 2021 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
GAAP Measurement Category(1) | GAAP Carrying Amount | Fair Value | GAAP Measurement Category(1) | GAAP Carrying Amount | Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustments(2) | Total | (In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustments(2) | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Assets | Financial Assets | Financial Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | Cash and cash equivalents | Amortized cost | $10,150 | $10,150 | $— | $— | $— | $10,150 | Cash and cash equivalents | Amortized cost | $10,150 | $10,150 | $— | $— | $— | $10,150 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Securities purchased under agreements to resell | Amortized cost | 71,203 | — | 78,536 | — | (7,333) | 71,203 | Securities purchased under agreements to resell | Amortized cost | 71,203 | — | 78,536 | — | (7,333) | 71,203 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment securities: | Investment securities: | Investment securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale | Available-for-sale | FV - OCI | 4,012 | — | 2,726 | 1,286 | — | 4,012 | Available-for-sale | FV - OCI | 4,012 | — | 2,726 | 1,286 | — | 4,012 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading | Trading | FV - NI | 49,003 | 31,780 | 13,837 | 3,386 | — | 49,003 | Trading | FV - NI | 49,003 | 31,780 | 13,837 | 3,386 | — | 49,003 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total investment securities | Total investment securities | 53,015 | 31,780 | 16,563 | 4,672 | — | 53,015 | Total investment securities | 53,015 | 31,780 | 16,563 | 4,672 | — | 53,015 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans: | Mortgage loans: | Mortgage loans: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans held by consolidated trusts | Loans held by consolidated trusts | 2,784,626 | — | 2,563,588 | 238,133 | — | 2,801,721 | Loans held by consolidated trusts | 2,784,626 | — | 2,563,588 | 238,133 | — | 2,801,721 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans held by Freddie Mac | Loans held by Freddie Mac | 63,483 | — | 35,856 | 29,803 | — | 65,659 | Loans held by Freddie Mac | 63,483 | — | 35,856 | 29,803 | — | 65,659 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total mortgage loans | Total mortgage loans | Various(3) | 2,848,109 | — | 2,599,444 | 267,936 | — | 2,867,380 | Total mortgage loans | Various(3) | 2,848,109 | — | 2,599,444 | 267,936 | — | 2,867,380 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee assets | Guarantee assets | FV - NI | 5,919 | — | — | 5,923 | — | 5,923 | Guarantee assets | FV - NI | 5,919 | — | — | 5,923 | — | 5,923 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative assets, net | Derivative assets, net | FV - NI | 460 | 33 | 5,416 | 17 | (5,006) | 460 | Derivative assets, net | FV - NI | 460 | 33 | 5,416 | 17 | (5,006) | 460 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-derivative purchase and other commitments | Non-derivative purchase and other commitments | FV - NI | 131 | — | 217 | — | — | 217 | Non-derivative purchase and other commitments | FV - NI | 131 | — | 217 | — | — | 217 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances to lenders | Advances to lenders | Amortized cost | 4,932 | — | — | 4,932 | — | 4,932 | Advances to lenders | Amortized cost | 4,932 | — | — | 4,932 | — | 4,932 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Secured lending | Secured lending | Amortized cost | 1,263 | — | 1,187 | 76 | — | 1,263 | Secured lending | Amortized cost | 1,263 | — | 1,187 | 76 | — | 1,263 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total financial assets | Total financial assets | $2,995,182 | $41,963 | $2,701,363 | $283,556 | ($12,339) | $3,014,543 | Total financial assets | $2,995,182 | $41,963 | $2,701,363 | $283,556 | ($12,339) | $3,014,543 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Liabilities | Financial Liabilities | Financial Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt: | Debt: | Debt: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties | $2,803,054 | $— | $2,803,030 | $656 | $— | $2,803,686 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt of consolidated trusts | Debt of consolidated trusts | $2,803,054 | $— | $2,803,030 | $656 | $— | $2,803,686 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt of Freddie Mac | Debt of Freddie Mac | 177,131 | — | 185,793 | 3,957 | (7,333) | 182,417 | Debt of Freddie Mac | 177,131 | — | 185,793 | 3,957 | (7,333) | 182,417 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total debt | Total debt | Various(4) | 2,980,185 | — | 2,988,823 | 4,613 | (7,333) | 2,986,103 | Total debt | Various(4) | 2,980,185 | — | 2,988,823 | 4,613 | (7,333) | 2,986,103 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee obligations | Guarantee obligations | Amortized cost | 5,716 | — | — | 6,240 | — | 6,240 | Guarantee obligations | Amortized cost | 5,716 | — | — | 6,240 | — | 6,240 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative liabilities, net | Derivative liabilities, net | FV - NI | 282 | — | 7,726 | 23 | (7,467) | 282 | Derivative liabilities, net | FV - NI | 282 | — | 7,726 | 23 | (7,467) | 282 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-derivative purchase and other commitments | Non-derivative purchase and other commitments | FV - NI | 13 | — | 4 | 101 | — | 105 | Non-derivative purchase and other commitments | FV - NI | 13 | — | 4 | 101 | — | 105 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total financial liabilities | Total financial liabilities | $2,986,196 | $— | $2,996,553 | $10,977 | ($14,800) | $2,992,730 | Total financial liabilities | $2,986,196 | $— | $2,996,553 | $10,977 | ($14,800) | $2,992,730 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 13 |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Multifamily Held-For-Sale Loans | Debt of Freddie Mac | Debt Securities of Consolidated Trusts Held by Third Parties | Multifamily Held-For-Sale Loans | Debt of Freddie Mac | Debt Securities of Consolidated Trusts Held by Third Parties | (In millions) | Multifamily Held-For-Sale Loan Purchase Commitments | Multifamily Held-For-Sale Loans | Debt of Freddie Mac | Debt of Consolidated Trusts | Multifamily Held-For-Sale Loan Purchase Commitments | Multifamily Held-For-Sale Loans | Debt of Freddie Mac | Debt of Consolidated Trusts | ||||||||||||||||||||||||||||||||||||||||||
Fair value | Fair value | $8,101 | $1,150 | $3,483 | $10,498 | $1,252 | $958 | Fair value | $8 | $5,670 | $1,081 | $2,026 | $127 | $10,498 | $1,252 | $958 | ||||||||||||||||||||||||||||||||||||||||||
UPB | UPB | 8,409 | 1,133 | 3,668 | 10,224 | 1,220 | 958 | UPB | N/A | 6,001 | 1,064 | 2,098 | N/A | 10,224 | 1,220 | 958 | ||||||||||||||||||||||||||||||||||||||||||
Difference | Difference | ($308) | $17 | ($185) | $274 | $32 | $— | Difference | N/A | ($331) | $17 | ($72) | N/A | $274 | $32 | $— |
1Q 2022 | 1Q 2021 | 2Q 2022 | 2Q 2021 | YTD 2022 | YTD 2021 | |||||||||||||||||||||||||||||||||||
(In millions) | (In millions) | Gains (Losses) | (In millions) | Gains (Losses) | Gains (Losses) | |||||||||||||||||||||||||||||||||||
Multifamily held-for-sale loans | Multifamily held-for-sale loans | ($676) | ($451) | Multifamily held-for-sale loans | ($273) | $221 | ($949) | ($230) | ||||||||||||||||||||||||||||||||
Multifamily held-for-sale loan purchase commitments | Multifamily held-for-sale loan purchase commitments | (36) | 195 | Multifamily held-for-sale loan purchase commitments | (170) | 342 | (206) | 537 | ||||||||||||||||||||||||||||||||
Debt of Freddie Mac | Debt of Freddie Mac | (11) | 8 | Debt of Freddie Mac | (15) | 22 | (26) | 30 | ||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties | 72 | (4) | ||||||||||||||||||||||||||||||||||||||
Debt of consolidated trusts | Debt of consolidated trusts | 171 | 13 | 243 | 9 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 14 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 14 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 14 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 15 |
Freddie Mac |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 15 |
(In billions) | (In billions) | March 31, 2022 | (In billions) | June 30, 2022 | ||||||||||||||||||||||||||||||
Adjusted total assets | Adjusted total assets | $3,610 | Adjusted total assets | $3,655 | ||||||||||||||||||||||||||||||
Risk-weighted assets (standardized approach) | Risk-weighted assets (standardized approach) | 919 | Risk-weighted assets (standardized approach) | 845 | ||||||||||||||||||||||||||||||
March 31, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||
(Dollars in billions) | (Dollars in billions) | Minimum Capital Requirement | Capital Requirement (Including Buffer(1)) | Available Capital (Deficit) | (Dollars in billions) | Minimum Capital Requirement | Capital Requirement (Including Buffer(1)) | Available Capital (Deficit) | ||||||||||||||||||||||||||
Risk-based capital amounts: | Risk-based capital amounts: | Risk-based capital amounts: | ||||||||||||||||||||||||||||||||
Total capital (statutory)(2) | Total capital (statutory)(2) | $73 | $73 | ($36) | Total capital (statutory)(2) | $68 | $68 | ($33) | ||||||||||||||||||||||||||
CET1 capital(3) | CET1 capital(3) | 41 | 90 | (61) | CET1 capital(3) | 38 | 88 | (58) | ||||||||||||||||||||||||||
Tier 1 capital(3) | Tier 1 capital(3) | 55 | 104 | (47) | Tier 1 capital(3) | 50 | 100 | (44) | ||||||||||||||||||||||||||
Adjusted total capital(3) | Adjusted total capital(3) | 73 | 122 | (47) | Adjusted total capital(3) | 67 | 117 | (44) | ||||||||||||||||||||||||||
Risk-based capital ratios(4): | Risk-based capital ratios(4): | Risk-based capital ratios(4): | ||||||||||||||||||||||||||||||||
Total capital (statutory) | Total capital (statutory) | 8.0 | % | 8.0 | % | (3.9) | % | Total capital (statutory) | 8.0 | % | 8.0 | % | (3.9) | % | ||||||||||||||||||||
CET1 capital | CET1 capital | 4.5 | 9.8 | (6.6) | CET1 capital | 4.5 | 10.4 | (6.9) | ||||||||||||||||||||||||||
Tier 1 capital | Tier 1 capital | 6.0 | 11.3 | (5.1) | Tier 1 capital | 6.0 | 11.9 | (5.2) | ||||||||||||||||||||||||||
Adjusted total capital | Adjusted total capital | 8.0 | 13.3 | (5.1) | Adjusted total capital | 8.0 | 13.9 | (5.2) | ||||||||||||||||||||||||||
Leverage capital amounts: | Leverage capital amounts: | Leverage capital amounts: | ||||||||||||||||||||||||||||||||
Core capital (statutory)(5) | Core capital (statutory)(5) | $90 | $90 | ($41) | Core capital (statutory)(5) | $92 | $92 | ($39) | ||||||||||||||||||||||||||
Tier 1 capital(3) | Tier 1 capital(3) | 90 | 101 | (47) | Tier 1 capital(3) | 92 | 103 | (44) | ||||||||||||||||||||||||||
Leverage capital ratios(6): | Leverage capital ratios(6): | Leverage capital ratios(6): | ||||||||||||||||||||||||||||||||
Core capital (statutory) | Core capital (statutory) | 2.5 | % | 2.5 | % | (1.1) | % | Core capital (statutory) | 2.5 | % | 2.5 | % | (1.1) | % | ||||||||||||||||||||
Tier 1 capital | Tier 1 capital | 2.5 | 2.8 | (1.3) | Tier 1 capital | 2.5 | 2.8 | (1.2) |
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Other Information |
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Controls and Procedures |
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Exhibit Index |
Exhibit | Description* | ||||
31.1 | |||||
31.2 | |||||
32.1 | |||||
32.2 | |||||
101.INS | XBRL Instance Document - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document | ||||
101.SCH | XBRL Taxonomy Extension Schema | ||||
101. CAL | XBRL Taxonomy Extension Calculation | ||||
101.DEF | XBRL Taxonomy Extension Definition | ||||
101.LAB | XBRL Taxonomy Label | ||||
101. PRE | XBRL Taxonomy Extension Presentation | ||||
104 | Cover Page Interactive Data File - the cover page interactive data file does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document | ||||
* | The SEC file numbers for the Registrant's Registration Statement on Form 10, Annual Reports on Form 10-K, Quarterly Reports on Form 10-Q, and Current Reports on Form 8-K are 000-53330 and 001-34139. | ||||
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Signatures |
Federal Home Loan Mortgage Corporation | ||||||||
By: | /s/ Michael J. DeVito | |||||||
Michael J. DeVito | ||||||||
Chief Executive Officer | ||||||||
(Principal Executive Officer) |
By: | /s/ Christian M. Lown | |||||||
Christian M. Lown | ||||||||
Executive Vice President and Chief Financial Officer | ||||||||
(Principal Financial Officer) |
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Form 10-Q Index |
Item Number | Page(s) | |||||||
PART I | FINANCIAL INFORMATION | |||||||
Item 1. | Financial Statements | |||||||
Item 2. | Management's Discussion and Analysis of Financial Condition and Results of Operations | |||||||
Item 3. | Quantitative and Qualitative Disclosures About Market Risk | |||||||
Item 4. | Controls and Procedures | |||||||
PART II | OTHER INFORMATION | |||||||
Item 1. | Legal Proceedings | |||||||
Item 1A. | Risk Factors | |||||||
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds | |||||||
Item 6. | Exhibits | |||||||
Exhibit Index | ||||||||
Signatures |
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