UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q


☒			QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.

For the quarterly period ended ~~March 31,~~June 30, 2023


☐			TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.

For the transition period from to

Commission File Number: 001-34139

Federal Home Loan Mortgage Corporation

(Exact name of registrant as specified in its charter)

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)

Securities registered pursuant to Section 12(b) of the Act:


Title of each class	Trading Symbol(s)	Name of each exchange on which registered
None	N/A	N/A

Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. ☒ Yes ☐ No

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). ☒ Yes ☐ No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company," and "emerging growth company" in Rule 12b-2 of the Exchange Act.

Large accelerated filer

☐

Accelerated filer

☒

Non-accelerated filer

☐

Smaller reporting company

☐

Emerging growth company

☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒

As of ~~April~~July 11, 2023, there were 650,059,553 shares of the registrant's common stock outstanding.


Table of Contents

Table of Contents


			Page
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS			1
n Introduction			1
n Housing and Mortgage Market Conditions			4
n Consolidated Results of Operations			6
n Consolidated Balance Sheets Analysis			910
n Our Portfolios			1011
n Our Business Segments			1213
n Risk Management			2223
l Credit Risk			2223
l Market Risk			2931
n Liquidity and Capital Resources			3234
n Critical Accounting Estimates			3942

n Regulation and Supervision			4043
n Forward-Looking Statements			4244
FINANCIAL STATEMENTS			4446
OTHER INFORMATION			9097
CONTROLS AND PROCEDURES			9299
EXHIBIT INDEX			93100
SIGNATURES			94101
FORM 10-Q INDEX			95102


Freddie Mac 1Q2Q 2023 Form 10-Q						i


Table of Contents

MD&A TABLE INDEX


Table	Table	Description	Page	Table	Description	Page
1	1	Summary of Consolidated Statements of Income and Comprehensive Income	6	1	Summary of Consolidated Statements of Income and Comprehensive Income	6
2	2	Components of Net Interest Income	6	2	Components of Net Interest Income	6
3	3	Analysis of Net Interest Yield	7	3	Analysis of Net Interest Yield	7
4	4	Components of Non-Interest Income	7	4	Components of Non-Interest Income	8
5	5	(Provision) Benefit for Credit Losses	8	5	(Provision) Benefit for Credit Losses	8
6	6	Components of Non-Interest Expense	8	6	Components of Non-Interest Expense	9
7	7	Summarized Condensed Consolidated Balance Sheets	9	7	Summarized Condensed Consolidated Balance Sheets	10
8	8	Mortgage Portfolio	10	8	Mortgage Portfolio	11
9	9	Mortgage-Related Investments Portfolio	11	9	Mortgage-Related Investments Portfolio	12
10	10	Other Investments Portfolio	11	10	Other Investments Portfolio	12
11	11	Single-Family Segment Financial Results	17	11	Single-Family Segment Financial Results	18
12	12	Multifamily Segment Financial Results	21	12	Multifamily Segment Financial Results	22
13	13	Allowance for Credit Losses Activity	22	13	Allowance for Credit Losses Activity	23
14	14	Allowance for Credit Losses Ratios	22	14	Allowance for Credit Losses Ratios	24
15	15	Single-Family New Business Activity	24	15	Single-Family New Business Activity	25
16	16	Single-Family Mortgage Portfolio CRT Issuance	24	16	Single-Family Mortgage Portfolio CRT Issuance	25
17	17	Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding	24	17	Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding	26
18	18	Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio	25	18	Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio	26
19	19	Credit Quality Characteristics of Our Single-Family Mortgage Portfolio	26	19	Credit Quality Characteristics of Our Single-Family Mortgage Portfolio	27
20	20	Single-Family Mortgage Portfolio Attribute Combinations	26	20	Single-Family Mortgage Portfolio Attribute Combinations	28
21	21	Multifamily Mortgage Portfolio CRT Issuance	28	21	Multifamily Mortgage Portfolio CRT Issuance	30
22	22	Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio	29	22	Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio	31
23	23	Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement	29	23	Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement	31
24	24	PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve	30	24	PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve	32
25	25	Duration Gap and PVS Results	30	25	Duration Gap and PVS Results	32
26	26	PVS-L Results Before Derivatives and After Derivatives	30	26	PVS-L Results Before Derivatives and After Derivatives	32
27	27	Earnings Sensitivity to Changes in Interest Rates	31	27	Earnings Sensitivity to Changes in Interest Rates	33
28	28	Liquidity Sources	32	28	Liquidity Sources	34
29	29	Funding Sources	33	29	Funding Sources	35
30	30	Debt of Freddie Mac Activity	33	30	Debt of Freddie Mac Activity	35
31	31	Maturity and Redemption Dates	34	31	Maturity and Redemption Dates	36
32	32	Debt of Consolidated Trusts Activity	34	32	Debt of Consolidated Trusts Activity	37
33	33	Net Worth Activity	35	33	Net Worth Activity	38
34	34	Regulatory Capital Components	36	34	Regulatory Capital Components	39
35	35	Statutory Capital Components	36	35	Statutory Capital Components	39
36	36	Capital Metrics Under ERCF	37	36	Capital Metrics Under ERCF	40
37	37	Forecasted House Price Growth Rates	39	37	Forecasted House Price Growth Rates	42


Freddie Mac 1Q2Q 2023 Form 10-Q						ii


Management's Discussion and Analysis						Introduction

Management's Discussion and Analysis of Financial Condition and Results of Operations

This Quarterly Report on Form 10-Q includes forward-looking statements that are based on current expectations and that are subject to significant risks and uncertainties. These forward-looking statements are made as of the date of this Form 10-Q. We undertake no obligation to update any forward-looking statement to reflect events or circumstances after the date of this Form 10-Q. Actual results might differ significantly from those described in or implied by such statements due to various factors and uncertainties, including those described in the MD&A - Forward-Looking Statements section of this Form 10-Q and the Introduction and Risk Factors sections of our Annual Report on Form 10-K for the year ended December 31, 2022, or 2022 Annual Report.

Throughout this Form 10-Q, we use certain acronyms and terms that are defined in the Glossary of our 2022 Annual Report.

You should read the following MD&A in conjunction with our 2022 Annual Report and our condensed consolidated financial statements and accompanying notes for the three and six months ended ~~March 31,~~June 30, 2023 included in Financial Statements.

INTRODUCTION

Freddie Mac is a GSE chartered by Congress in 1970, with a mission to provide liquidity, stability, and affordability to the U.S. housing market. We do this primarily by purchasing single-family and multifamily residential mortgage loans originated by lenders. In most instances, we package these loans into guaranteed mortgage-related securities, which are sold in the global capital markets, and transfer interest-rate and liquidity risks to third-party investors. In addition, we transfer mortgage credit risk exposure to third-party investors through our credit risk transfer programs, which include securities- and insurance-based offerings. We also invest in mortgage loans and mortgage-related securities. We do not originate mortgage loans or lend money directly to mortgage borrowers.

We support the U.S. housing market and the overall economy by enabling America's families to access mortgage loan funding with better terms and by providing consistent liquidity to the single-family and multifamily mortgage markets. We have helped many distressed borrowers keep their homes or avoid foreclosure and have helped many distressed renters avoid eviction.

Since September 2008, we have been operating in conservatorship, with FHFA as our Conservator. The conservatorship and related matters significantly affect our management, business activities, financial condition, and results of operations. Our future is uncertain, and the conservatorship has no specified termination date. We do not know what changes may occur to our business model during or following conservatorship, including whether we will continue to exist. In connection with our entry into conservatorship, we entered into the Purchase Agreement with Treasury, under which we issued Treasury both senior preferred stock and a warrant to purchase common stock. Our Purchase Agreement with Treasury is critical to keeping us solvent and avoiding the appointment of a receiver by FHFA under statutory mandatory receivership provisions. We believe the support provided by Treasury pursuant to the Purchase Agreement currently enables us to have adequate liquidity to conduct normal business activities. For additional information on the conservatorship and related matters and the Purchase Agreement, see our 2022 Annual Report.


Freddie Mac 1Q2Q 2023 Form 10-Q						1


Management's Discussion and Analysis						Introduction

Business Results

Consolidated Financial Results

Net Revenues and Net Income

(In billions)

Net Worth

(In billions)

Key Drivers:

n Net income was ~~$2.0~~$2.9 billion, ~~a decrease~~an increase of ~~47%~~20% year-over-year, with the increase primarily driven by ~~lower net revenues and a credit reserve build in the current period compared to~~ a credit reserve release in ~~the prior year period.~~Single-Family.

n Net revenues were ~~$4.8~~$5.3 billion, a decrease of ~~17%~~1% year-over-year, as ~~higher~~lower net interest income was partially offset by ~~a decline~~an increase in non-interest income.

n Net worth was $42.0 billion as of June 30, 2023, up from $39.1 billion as of March 31, 2023 ~~up from $37.0~~and $34.1 billion as of ~~December 31, 2022 and $31.7 billion as of March 31,~~June 30, 2022. The quarterly increases in net worth have been, or will be, added to the aggregate liquidation preference of the senior preferred stock. The liquidation preference of the senior preferred stock was ~~$109.7~~$111.7 billion on ~~March 31,~~June 30, 2023, and will increase to ~~$111.7~~$114.6 billion on ~~June~~September 30, 2023 based on the increase in net worth in 1Q2Q 2023.

Market Liquidity

Market Liquidity

(In thousands)

We support the U.S. housing market by executing our mission to provide liquidity and help maintain credit availability for new and refinanced single-family mortgages as well as for rental housing. We provided ~~$65~~$96 billion in liquidity to the mortgage market in 1Q2Q 2023, which enabled the financing of ~~250,000~~372,000 home purchases, refinancings, and rental units.


Freddie Mac 1Q2Q 2023 Form 10-Q						2


Management's Discussion and Analysis						Introduction

Mortgage Portfolio Balances

Mortgage Portfolio

(UPB in billions)

Key Drivers:

n Our mortgage portfolio increased 4%3% year-over-year to $3.4 trillion at ~~March 31,~~June 30, 2023.

l Our Single-Family mortgage portfolio was $3.0 trillion at ~~March 31,~~June 30, 2023, up 4%3% year-over-year, ~~and flat quarter-over-quarter,~~ as portfolio growth has moderated in recent periods due to the slowdown in new business activity as both home purchase activity and refinance activity slowed due to higher mortgage interest rates.

l Our Multifamily mortgage portfolio was ~~$426~~$427 billion at ~~March 31,~~June 30, 2023, up 3% year-over-year, ~~and down 1% quarter-over-quarter, primarily~~as portfolio growth has moderated in recent periods due to ~~the~~a slowdown in new business activity asdue to higher mortgage interest ~~rates and greater market uncertainty have reduced demand for multifamily mortgage financing.~~rates.

Credit Risk Transfer

Single-Family Mortgage Portfolio with Credit Enhancement

(UPB in billions)

Multifamily Mortgage Portfolio with Credit Enhancement

(UPB in billions)

In addition to transferring interest-rate and liquidity risk to third-party investors through our securitization activities, we engage in various credit enhancement arrangements to reduce our credit risk exposure. We transfer a portion of the credit risk, primarily on recently acquired loans, through our CRT programs. We also reduce our credit risk exposure through other credit enhancement arrangements, mainly primary mortgage insurance. See MD&A - Risk Management – Credit Risk for additional information on our credit enhancements and CRT programs.


Freddie Mac 1Q2Q 2023 Form 10-Q						3


Management's Discussion and Analysis						Housing and Mortgage Market Conditions

HOUSING AND MORTGAGE MARKET CONDITIONS

The following charts present certain housing and mortgage market indicators that can significantly affect our business and financial results. Certain market and macroeconomic prior period data have been updated to reflect revised historical data. For additional information on the effect of these indicators on our business and financial results, see MD&A – Consolidated Results of Operations and MD&A – Our Business Segments.

Single-Family

U.S. Single-Family Home Sales and House Prices

Sources: National Association of Realtors, U.S. Census Bureau, and Freddie Mac House Price Index.

U.S. Single-Family Mortgage Originations

(UPB in billions) 320

Source: Freddie Mac and Inside Mortgage Finance. 1Q2Q 2023 U.S. single-family mortgage originations data is not yet available.

Single-Family Serious Delinquency Rates

Source: Freddie Mac and National Delinquency Survey from the Mortgage Bankers Association. 1Q2Q 2023 total mortgage market rate is not yet available.

Single-Family Mortgage Debt Outstanding

(UPB in billions)

Source: Freddie Mac and Federal Reserve Financial Accounts of the United States of America. 1Q2Q 2023 U.S. single-family mortgage debt outstanding data is not yet available.


Freddie Mac 1Q2Q 2023 Form 10-Q						4


Management's Discussion and Analysis						Housing and Mortgage Market Conditions

Multifamily

Apartment Vacancy Rates and Change in Effective Rents

Source: Reis.

Multifamily Property Price Growth Rate

Source: Real Capital Analytics Commercial Property Price Index (RCA CPPI).

Multifamily Delinquency Rates

Source: Freddie Mac, FDIC Quarterly Banking Profile, Intex Solutions, Inc., and Wells Fargo Securities (Multifamily CMBS market, excluding REOs). The 1Q2Q 2023 delinquency rate for FDIC insured institutions is not yet available.

Multifamily Mortgage Debt Outstanding

(UPB in billions)

Source: Freddie Mac and Federal Reserve Financial Accounts of the United States of America. 1Q2Q 2023 U.S. multifamily mortgage debt outstanding data is not yet available.


Freddie Mac 1Q2Q 2023 Form 10-Q						5


Management's Discussion and Analysis						Consolidated Results of Operations

CONSOLIDATED RESULTS OF OPERATIONS

The discussion of our consolidated results of operations should be read in conjunction with our condensed consolidated financial statements and accompanying notes. Our financial results and business volumes could be negatively affected by adverse changes in the housing market or economic conditions, including volatility and stress within the banking sector and the measures governments and financial services companies take in response. Stress in U.S. regional banks could drive elevated counterparty credit risk and indirect risk due to financing or banking relationships that our counterparties have with the affected banking organizations. We could also experience declines in the liquidity in the markets for our securities as a result of any such adverse changes or regulatory responses to adverse changes. See Risk Factors in our 2022 Annual Report for additional information.

The table below compares our summarized consolidated results of operations.

Table 1 - Summary of Consolidated Statements of Income and Comprehensive Income


				Change						Change						Change
(Dollars in millions)	(Dollars in millions)	1Q 2023	1Q 2022	$	%		(Dollars in millions)	2Q 2023	2Q 2022		$	%		YTD 2023	YTD 2022		$	%
Net interest income	Net interest income	$4,501	$4,104	$397	10	%	Net interest income	$4,523	$4,759		($236)	(5)	%	$9,024	$8,863		$161	2	%
Non-interest income	Non-interest income	326	1,742	(1,416)	(81)		Non-interest income	816	645		171	27		1,142	2,387		(1,245)	(52)
Net revenues	Net revenues	4,827	5,846	(1,019)	(17)		Net revenues	5,339	5,404		(65)	(1)		10,166	11,250		(1,084)	(10)
(Provision) benefit for credit losses	(Provision) benefit for credit losses	(395)	837	(1,232)	(147)		(Provision) benefit for credit losses	537	(307)		844	275		142	530		(388)	(73)
Non-interest expense	Non-interest expense	(1,932)	(1,932)	—	—		Non-interest expense	(2,204)	(2,020)		(184)	(9)		(4,136)	(3,952)		(184)	(5)
Income before income tax expense	Income before income tax expense	2,500	4,751	(2,251)	(47)		Income before income tax expense	3,672	3,077		595	19		6,172	7,828		(1,656)	(21)
Income tax expense	Income tax expense	(505)	(953)	448	47		Income tax expense	(728)	(624)		(104)	(17)		(1,233)	(1,577)		344	22
Net income	Net income	1,995	3,798	(1,803)	(47)		Net income	2,944	2,453		491	20		4,939	6,251		(1,312)	(21)
Other comprehensive income (loss), net of taxes and reclassification adjustments	Other comprehensive income (loss), net of taxes and reclassification adjustments	54	(120)	174	145		Other comprehensive income (loss), net of taxes and reclassification adjustments	(54)	(66)		12	18		—	(186)		186	100
Comprehensive income	Comprehensive income	$2,049	$3,678	($1,629)	(44)	%	Comprehensive income	$2,890	$2,387		$503	21	%	$4,939	$6,065		($1,126)	(19)	%

Net Revenues

Net Interest Income

The table below presents the components of net interest income.

Table 2 - Components of Net Interest Income


				Change						Change						Change
(Dollars in millions)	(Dollars in millions)	1Q 2023	1Q 2022	$	%		(Dollars in millions)	2Q 2023	2Q 2022		$	%		YTD 2023	YTD 2022		$	%
Guarantee net interest income:	Guarantee net interest income:						Guarantee net interest income:
Contractual net interest income	Contractual net interest income	$3,666	$3,334	$332	10	%	Contractual net interest income	$3,658	$3,468		$190	5	%	$7,324	$6,802		$522	8	%
Deferred fee income	Deferred fee income	207	1,042	(835)	(80)		Deferred fee income	232	944		(712)	(75)		439	1,986		(1,547)	(78)
Total guarantee net interest income	Total guarantee net interest income	3,873	4,376	(503)	(11)		Total guarantee net interest income	3,890	4,412		(522)	(12)		7,763	8,788		(1,025)	(12)
Investments net interest income	Investments net interest income	1,432	579	853	147		Investments net interest income	1,611	693		918	132		3,043	1,272		1,771	139
Impact on net interest income from hedge accounting	Impact on net interest income from hedge accounting	(804)	(851)	47	6		Impact on net interest income from hedge accounting	(978)	(346)		(632)	(183)		(1,782)	(1,197)		(585)	(49)
Net interest income	Net interest income	$4,501	$4,104	$397	10	%	Net interest income	$4,523	$4,759		($236)	(5)	%	$9,024	$8,863		$161	2	%

Key Drivers:

n Guarantee net interest income

l 1Q2Q 2023 vs. 1Q2Q 2022 and YTD 2023 vs. YTD 2022 - Decreased ~~as continued mortgage portfolio growth and higher average portfolio guarantee fee rates were offset by~~primarily due to a decline in deferred fee income due to slower prepayments driven by higher mortgage interest rates, partially offset by continued mortgage portfolio growth and higher average portfolio guarantee fee rates.

n Investments net interest income

l 1Q2Q 2023 vs. 1Q2Q 2022 and YTD 2023 vs. YTD 2022 - Increased primarily due to higher returns on securities purchased under agreements to resell as a result of higher short-term interest rates.


Freddie Mac 1Q2Q 2023 Form 10-Q						6


Management's Discussion and Analysis						Consolidated Results of Operations

n Impact on net interest income from hedge accounting

l 1Q2Q 2023 vs. 1Q2Q 2022 - ~~Decreased~~Expense increased primarily due to ~~a favorable change in the earnings mismatch on qualifying fair value hedge relationships, partially offset by~~ higher interest expense on derivatives in hedge relationships as a result of higher interest rates.

lYTD 2023 vs. YTD 2022 - Expense increased primarily due to higher interest expense on derivatives in hedge relationships as a result of higher interest rates, partially offset by a favorable change in the earnings mismatch on qualifying fair value hedge relationships in 1Q 2023.

Net Interest Yield Analysis

The table below presents a yield analysis of interest-earning assets and interest-bearing liabilities.

Table 3 - Analysis of Net Interest Yield


		1Q 2023				1Q 2022					2Q 2023				2Q 2022
(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	$13,758	$121	3.51	%	$15,832	$3	0.07	%	Cash and cash equivalents	$13,572	$135	3.93	%	$14,628	$16	0.42	%
Securities purchased under agreements to resell	Securities purchased under agreements to resell	107,516	1,220	4.54		88,675	23	0.11		Securities purchased under agreements to resell	127,016	1,622	5.11		97,150	186	0.77
Investment securities	Investment securities	38,126	316	3.31		50,373	384	3.05		Investment securities	39,617	363	3.67		50,655	464	3.66
Mortgage loans(1)	Mortgage loans(1)	3,042,128	23,304	3.06		2,901,060	17,310	2.39		Mortgage loans(1)	3,047,556	23,598	3.10		2,953,930	19,324	2.62
Other assets	Other assets	1,930	26	5.30		5,534	20	1.40		Other assets	2,749	37	5.40		4,250	18	1.71
Total interest-earning assets	Total interest-earning assets	3,203,458	24,987	3.12		3,061,474	17,740	2.32		Total interest-earning assets	3,230,510	25,755	3.19		3,120,613	20,008	2.56
Interest-bearing liabilities:	Interest-bearing liabilities:									Interest-bearing liabilities:
Debt of consolidated trusts	Debt of consolidated trusts	2,975,417	(18,261)	(2.45)		2,836,484	(13,249)	(1.87)		Debt of consolidated trusts	2,984,057	(18,608)	(2.49)		2,903,912	(14,595)	(2.01)
Debt of Freddie Mac	Debt of Freddie Mac	187,599	(2,225)	(4.74)		182,580	(387)	(0.85)		Debt of Freddie Mac	201,432	(2,624)	(5.21)		174,018	(654)	(1.50)
Total interest-bearing liabilities	Total interest-bearing liabilities	3,163,016	(20,486)	(2.59)		3,019,064	(13,636)	(1.81)		Total interest-bearing liabilities	3,185,489	(21,232)	(2.67)		3,077,930	(15,249)	(1.98)
Impact of net non-interest-bearing funding	Impact of net non-interest-bearing funding	40,442	—	0.03		42,410	—	0.03		Impact of net non-interest-bearing funding	45,021	—	0.04		42,683	—	0.03
Total funding of interest-earning assets	Total funding of interest-earning assets	3,203,458	(20,486)	(2.56)		3,061,474	(13,636)	(1.78)		Total funding of interest-earning assets	3,230,510	(21,232)	(2.63)		3,120,613	(15,249)	(1.95)
Net interest income/yield	Net interest income/yield		$4,501	0.56	%		$4,104	0.54	%	Net interest income/yield		$4,523	0.56	%		$4,759	0.61	%

(1)Loan fees included in net interest income were $0.3 billion and ~~$0.5~~$0.4 billion during 1Q2Q 2023 and 1Q2Q 2022, respectively.


	YTD 2023				YTD 2022
(Dollars in millions)	Average Balance	Interest Income (Expense)	Average Rate		Average Balance	Interest Income (Expense)	Average Rate
Interest-earning assets:
Cash and cash equivalents	$13,665	$256	3.72	%	$15,230	$19	0.24	%
Securities purchased under agreements to resell	117,266	2,842	4.85		92,913	209	0.45
Investment securities	38,871	679	3.49		50,514	848	3.36
Mortgage loans(1)	3,044,843	46,902	3.08		2,927,495	36,634	2.50
Other assets	2,339	63	5.36		4,892	38	1.53
Total interest-earning assets	3,216,984	50,742	3.15		3,091,044	37,748	2.44
Interest-bearing liabilities:
Debt of consolidated trusts	2,979,737	(36,869)	(2.47)		2,870,198	(27,844)	(1.94)
Debt of Freddie Mac	194,516	(4,849)	(4.98)		178,299	(1,041)	(1.17)
Total interest-bearing liabilities	3,174,253	(41,718)	(2.63)		3,048,497	(28,885)	(1.89)
Impact of net non-interest-bearing funding	42,731	—	0.03		42,547	—	0.03
Total funding of interest-earning assets	3,216,984	(41,718)	(2.60)		3,091,044	(28,885)	(1.86)
Net interest income/yield		$9,024	0.55	%		$8,863	0.58	%

(1)Loan fees included in net interest income were $0.6 billion and $0.9 billion during YTD 2023 and YTD 2022, respectively.


Freddie Mac 2Q 2023 Form 10-Q						7


Management's Discussion and Analysis						Consolidated Results of Operations

Non-Interest Income

The table below presents the components of non-interest income.

Table 4 - Components of Non-Interest Income


				Change						Change					Change
(Dollars in millions)	(Dollars in millions)	1Q 2023	1Q 2022	$	%		(Dollars in millions)	2Q 2023	2Q 2022	$	%		YTD 2023	YTD 2022	$	%

Guarantee income:	Guarantee income:						Guarantee income:
Contractual guarantee fees	Contractual guarantee fees	324	$318	$6	2	%	Contractual guarantee fees	323	$322	$1	—	%	$647	$640	$7	1	%
Guarantee obligation amortization	Guarantee obligation amortization	279	299	(20)	(7)		Guarantee obligation amortization	286	306	(20)	(7)		565	605	(40)	(7)
Guarantee asset fair value changes	Guarantee asset fair value changes	(137)	(547)	410	75		Guarantee asset fair value changes	(300)	(423)	123	29		(437)	(970)	533	55
Total guarantee income	Total guarantee income	466	70	396	566		Total guarantee income	309	205	104	51		775	275	500	182
Investment gains, net:	Investment gains, net:						Investment gains, net:
Single-Family	Single-Family	(179)	1,252	(1,431)	(114)		Single-Family	(4)	232	(236)	(102)		(183)	1,484	(1,667)	(112)
Multifamily	Multifamily	(46)	261	(307)	(118)		Multifamily	415	89	326	366		369	350	19	5
Total investment gains, net	Total investment gains, net	(225)	1,513	(1,738)	(115)		Total investment gains, net	411	321	90	28		186	1,834	(1,648)	(90)
Other income	Other income	85	159	(74)	(47)		Other income	96	119	(23)	(19)		181	278	(97)	(35)
Non-interest income	Non-interest income	$326	$1,742	($1,416)	(81)	%	Non-interest income	$816	$645	$171	27	%	$1,142	$2,387	($1,245)	(52)	%

Key Drivers:

nGuarantee income

l2Q 2023 vs. 2Q 2022 and YTD 2023 vs. YTD 2022 - Increased primarily due to lower fair value losses on guarantee assets as a result of smaller interest rate increases.

nInvestment gains, net

l2Q 2023 vs. 2Q 2022 - Net investment gains increased primarily due to fair value gains from interest-rate risk management activities in Multifamily.

lYTD 2023 vs. YTD 2022 - Net investment gains declined from elevated levels in YTD 2022, which were driven by spread-related gains on commitments to hedge the Single-Family securitization pipeline during that period.

(Provision) Benefit for Credit Losses

The table below presents the components of provision for credit losses.

Table 5 - (Provision) Benefit for Credit Losses


			Change					Change
(Dollars in millions)	2Q 2023	2Q 2022	$	%		YTD 2023	YTD 2022	$	%
Single-Family	$638	($298)	$936	314	%	$320	$533	($213)	(40)	%
Multifamily	(101)	(9)	(92)	(1,022)		(178)	(3)	(175)	(5,833)
(Provision) benefit for credit losses	$537	($307)	$844	275	%	$142	$530	($388)	(73)	%

Key Drivers:

n2Q 2023 vs. 2Q 2022 - The benefit for credit losses for 2Q 2023 was primarily driven by a credit reserve release in Single-Family due to improvements in observed and forecasted house price appreciation, partially offset by a credit reserve build in Multifamily due to deterioration in forecasted multifamily market conditions and current loan performance. The provision for credit losses for 2Q 2022 was primarily driven by a credit reserve build in Single-Family due to portfolio growth and deterioration in forecasted economic conditions.

nYTD 2023 vs. YTD 2022 - The benefit for credit losses for YTD 2023 was primarily driven by a credit reserve release in Single-Family due to improvements in forecasted house price appreciation, partially offset by a credit reserve build in Multifamily due to increased uncertainty in forecasted economic conditions and multifamily market conditions as well as deterioration in loan performance. The benefit for credit losses for YTD 2022 was primarily driven by a credit reserve release in Single-Family due to improvements in observed house price appreciation.


Freddie Mac 1Q2Q 2023 Form 10-Q						78


Management's Discussion and Analysis						Consolidated Results of Operations

~~Key Drivers:~~

n~~Guarantee income~~

l~~1Q 2023 vs. 1Q 2022~~ ~~- Increased as 1Q 2022 included fair value losses on guarantee assets due to rising interest rates.~~

n~~Investment gains, net~~

l~~1Q 2023 vs. 1Q 2022~~ - Net investment gains in Single-Family declined from elevated levels in 1Q 2022, which were driven by spread-related gains on commitments to hedge the securitization pipeline during that period. Multifamily net investment gains also declined due to lower revenue from held-for-sale loan purchase and securitization activity as a result of lower volumes and lower margins, coupled with net losses from interest-rate risk management activities.

~~(Provision) Benefit for Credit Losses~~

~~The table below presents the components of provision for credit losses.~~

~~Table 5 - (Provision) Benefit for Credit Losses~~
Change
(Dollars in millions) 1Q 2023 1Q 2022 $ %
Single-Family ($318) $831 ($1,149) (138) %
Multifamily (77) 6 (83) (1,383)
(Provision) benefit for credit losses ($395) $837 ($1,232) (147) %

~~Key Drivers:~~

n~~1Q 2023 vs. 1Q 2022~~ - The provision for credit losses for 1Q 2023 was driven by a modest credit reserve build primarily attributable to new acquisitions in Single-Family. The benefit for credit losses for 1Q 2022 was primarily driven by a credit reserve release due to higher estimated house prices and an improvement in forecasted economic conditions.

Non-Interest Expense

The table below presents the components of non-interest expense.

Table 6 - Components of Non-Interest Expense


				Change						Change						Change
(Dollars in millions)	(Dollars in millions)	1Q 2023	1Q 2022	$	%		(Dollars in millions)	2Q 2023	2Q 2022		$	%		YTD 2023	YTD 2022		$	%

Salaries and employee benefits	Salaries and employee benefits	($374)	($356)	($18)	(5)	%	Salaries and employee benefits	($405)	($376)		($29)	(8)	%	($779)	($732)		($47)	(6)	%
Credit enhancement expense	Credit enhancement expense	(530)	(459)	(71)	(15)		Credit enhancement expense	(590)	(558)		(32)	(6)		(1,120)	(1,017)		(103)	(10)
Benefit for (decrease in) credit enhancement recoveries	Benefit for (decrease in) credit enhancement recoveries	49	(17)	66	388		Benefit for (decrease in) credit enhancement recoveries	(108)	(1)		(107)	(10,700)		(59)	(18)		(41)	(228)
Legislative assessments expense:	Legislative assessments expense:						Legislative assessments expense:
Legislated guarantee fees expense	Legislated guarantee fees expense	(708)	(666)	(42)	(6)		Legislated guarantee fees expense	(710)	(684)		(26)	(4)		(1,418)	(1,350)		(68)	(5)
Affordable housing funds allocation	Affordable housing funds allocation	(27)	(93)	66	71		Affordable housing funds allocation	(41)	(64)		23	36		(68)	(157)		89	57
Total legislative assessments expense	Total legislative assessments expense	(735)	(759)	24	3		Total legislative assessments expense	(751)	(748)		(3)	—		(1,486)	(1,507)		21	1
Other expense	Other expense	(342)	(341)	(1)	—		Other expense	(350)	(337)		(13)	(4)		(692)	(678)		(14)	(2)
Non-interest expense	Non-interest expense	($1,932)	($1,932)	$—	—	%	Non-interest expense	($2,204)	($2,020)		($184)	(9)	%	($4,136)	($3,952)		($184)	(5)	%

Key Drivers:

n Credit enhancement expense

l 1Q2Q 2023 vs. 1Q2Q 2022 and YTD 2023 vs. YTD 2022 - Increased primarily due to a higher volume of outstanding cumulative CRT transactions.

n Benefit for (decrease in) credit enhancement recoveries

l 1Q2Q 2023 vs. 1Q2Q 2022 and YTD 2023 vs. YTD 2022 - ~~Increased~~Decreased primarily due to ~~an increase~~a decrease in expected credit losses on covered loans.

n Legislative assessments expense

l 1Q2Q 2023 vs. 1Q2Q 2022- Increased primarily due to higher legislated guarantee fees expense due to growth in our Single-Family mortgage portfolio, partially offset by lower affordable housing funds allocation as a result of lower Single-Family new business activity.

l YTD 2023 vs. YTD 2022 - Decreased primarily due to lower affordable housing funds allocation as a result of lower Single-Family new business activity, partially offset by higher legislated guarantee fees expense due to growth in our Single-Family mortgage portfolio.


Freddie Mac 1Q2Q 2023 Form 10-Q						89


Management's Discussion and Analysis						Consolidated Balance Sheets Analysis

CONSOLIDATED BALANCE SHEETS ANALYSIS

The table below compares our summarized condensed consolidated balance sheets.

Table 7 - Summarized Condensed Consolidated Balance Sheets


				Change						Change
(Dollars in millions)	(Dollars in millions)	March 31, 2023	December 31, 2022	$	%		(Dollars in millions)	June 30, 2023	December 31, 2022	$	%
Assets:	Assets:						Assets:
Cash and cash equivalents	Cash and cash equivalents	$5,873	$6,360	($487)	(8)	%	Cash and cash equivalents	$5,514	$6,360	($846)	(13)	%
Securities purchased under agreements to resell	Securities purchased under agreements to resell	108,036	87,295	20,741	24		Securities purchased under agreements to resell	112,386	87,295	25,091	29
Investment securities, at fair value	Investment securities, at fair value	37,712	38,701	(989)	(3)		Investment securities, at fair value	41,629	38,701	2,928	8
Mortgage loans held-for-sale	Mortgage loans held-for-sale	12,782	12,197	585	5		Mortgage loans held-for-sale	11,695	12,197	(502)	(4)
Mortgage loans held-for-investment	Mortgage loans held-for-investment	3,024,249	3,022,318	1,931	—		Mortgage loans held-for-investment	3,042,604	3,022,318	20,286	1
Accrued interest receivable, net	Accrued interest receivable, net	8,662	8,529	133	2		Accrued interest receivable, net	9,081	8,529	552	6
Deferred tax assets, net	Deferred tax assets, net	5,329	5,777	(448)	(8)		Deferred tax assets, net	5,237	5,777	(540)	(9)
Other assets	Other assets	22,337	27,156	(4,819)	(18)		Other assets	22,810	27,156	(4,346)	(16)
Total assets	Total assets	$3,224,980	$3,208,333	$16,647	1	%	Total assets	$3,250,956	$3,208,333	$42,623	1	%

Liabilities and Equity:	Liabilities and Equity:						Liabilities and Equity:
Liabilities:	Liabilities:						Liabilities:
Accrued interest payable	Accrued interest payable	$7,507	$7,309	$198	3	%	Accrued interest payable	$8,049	$7,309	$740	10	%
Debt	Debt	3,167,514	3,145,832	21,682	1		Debt	3,189,086	3,145,832	43,254	1
Other liabilities	Other liabilities	10,892	18,174	(7,282)	(40)		Other liabilities	11,864	18,174	(6,310)	(35)
Total liabilities	Total liabilities	3,185,913	3,171,315	14,598	—		Total liabilities	3,208,999	3,171,315	37,684	1
Total equity	Total equity	39,067	37,018	2,049	6		Total equity	41,957	37,018	4,939	13
Total liabilities and equity	Total liabilities and equity	$3,224,980	$3,208,333	$16,647	1	%	Total liabilities and equity	$3,250,956	$3,208,333	$42,623	1	%

Key Drivers:

As of ~~March 31,~~June 30, 2023 compared to December 31, 2022:

n Securities purchased under agreements to resell ~~and~~increased to provide additional liquidity due to the uncertainty created by the debate about increasing the federal debt ceiling.

nMortgage loans held-for-investment increased primarily due to ~~an increase~~growth in ~~debt issuance to prefund upcoming debt maturities and anticipated calls of outstanding debt.~~our Single-Family mortgage portfolio.

n Other assets decreased primarily due to a decline in receivables related to U.S. Treasury securities sold but not yet settled.

nDebt increased due to new debt issuances to provide additional liquidity due to the uncertainty created by the debate about increasing the federal debt ceiling, as well as an increase in debt of consolidated trusts driven by growth in our Single-Family mortgage portfolio.

n Other liabilities decreased primarily due to a decline in payables related to U.S. Treasury securities purchased but not yet settled.


Freddie Mac 1Q2Q 2023 Form 10-Q						910


Management's Discussion and Analysis						Our Portfolios

OUR PORTFOLIOS

Mortgage Portfolio

The table below presents the UPB of our mortgage portfolio by segment.

Table 8 - Mortgage Portfolio


		March 31, 2023			December 31, 2022				June 30, 2023			December 31, 2022
(In millions)	(In millions)	Single-Family	Multifamily	Total	Single-Family	Multifamily	Total	(In millions)	Single-Family	Multifamily	Total	Single-Family	Multifamily	Total
Mortgage loans held-for-investment:	Mortgage loans held-for-investment:							Mortgage loans held-for-investment:
By consolidated trusts	By consolidated trusts	$2,909,802	$34,978	$2,944,780	$2,907,999	$30,574	$2,938,573	By consolidated trusts	$2,925,576	$39,443	$2,965,019	$2,907,999	$30,574	$2,938,573
By Freddie Mac	By Freddie Mac	35,147	12,375	47,522	33,506	17,805	51,311	By Freddie Mac	35,883	11,866	47,749	33,506	17,805	51,311
Total mortgage loans held-for-investment	Total mortgage loans held-for-investment	2,944,949	47,353	2,992,302	2,941,505	48,379	2,989,884	Total mortgage loans held-for-investment	2,961,459	51,309	3,012,768	2,941,505	48,379	2,989,884
Mortgage loans held-for-sale	Mortgage loans held-for-sale	3,373	10,255	13,628	3,564	9,544	13,108	Mortgage loans held-for-sale	3,231	9,319	12,550	3,564	9,544	13,108
Total mortgage loans	Total mortgage loans	2,948,322	57,608	3,005,930	2,945,069	57,923	3,002,992	Total mortgage loans	2,964,690	60,628	3,025,318	2,945,069	57,923	3,002,992
Mortgage-related guarantees:	Mortgage-related guarantees:							Mortgage-related guarantees:
Mortgage loans held by nonconsolidated trusts	Mortgage loans held by nonconsolidated trusts	31,023	357,747	388,770	31,500	360,869	392,369	Mortgage loans held by nonconsolidated trusts	30,475	355,723	386,198	31,500	360,869	392,369
Other mortgage-related guarantees	Other mortgage-related guarantees	9,290	10,684	19,974	9,476	10,510	19,986	Other mortgage-related guarantees	9,079	10,847	19,926	9,476	10,510	19,986
Total mortgage-related guarantees	Total mortgage-related guarantees	40,313	368,431	408,744	40,976	371,379	412,355	Total mortgage-related guarantees	39,554	366,570	406,124	40,976	371,379	412,355
Total mortgage portfolio	Total mortgage portfolio	$2,988,635	$426,039	$3,414,674	$2,986,045	$429,302	$3,415,347	Total mortgage portfolio	$3,004,244	$427,198	$3,431,442	$2,986,045	$429,302	$3,415,347
Guaranteed mortgage-related securities:	Guaranteed mortgage-related securities:							Guaranteed mortgage-related securities:
Issued by consolidated trusts	Issued by consolidated trusts	$2,920,201	$34,978	$2,955,179	$2,916,038	$30,813	$2,946,851	Issued by consolidated trusts	$2,938,070	$39,444	$2,977,514	$2,916,038	$30,813	$2,946,851
Issued by nonconsolidated trusts	Issued by nonconsolidated trusts	25,329	316,606	341,935	25,772	319,117	344,889	Issued by nonconsolidated trusts	24,828	315,542	340,370	25,772	319,117	344,889
Total guaranteed mortgage-related securities	Total guaranteed mortgage-related securities	$2,945,530	$351,584	$3,297,114	$2,941,810	$349,930	$3,291,740	Total guaranteed mortgage-related securities	$2,962,898	$354,986	$3,317,884	$2,941,810	$349,930	$3,291,740

Investments Portfolio

Our investments portfolio consists of our mortgage-related investments portfolio and our other investments portfolio.

Mortgage-Related Investments Portfolio

The Purchase Agreement limits the size of our mortgage-related investments portfolio to a maximum amount of $225 billion. The calculation of mortgage assets subject to the Purchase Agreement cap includes the UPB of mortgage assets and 10% of the notional value of interest-only securities. We are also subject to additional limitations on the size and composition of our mortgage-related investments portfolio pursuant to FHFA guidance. For additional information on the restrictions on our mortgage-related investments portfolio, see the MD&A - Conservatorship and Related Matters section in our 2022 Annual Report.


Freddie Mac 1Q2Q 2023 Form 10-Q						1011


Management's Discussion and Analysis						Our Portfolios

The table below presents the details of our mortgage-related investments portfolio.

Table 9 - Mortgage-Related Investments Portfolio


		March 31, 2023			December 31, 2022				June 30, 2023			December 31, 2022
(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:							Unsecuritized mortgage loans:
Securitization pipeline and other loans	Securitization pipeline and other loans	$10,863	$22,630	$33,493	$10,093	$27,349	$37,442	Securitization pipeline and other loans	$10,888	$21,185	$32,073	$10,093	$27,349	$37,442
Seasoned loans	Seasoned loans	27,657	—	$27,657	26,977	—	26,977	Seasoned loans	28,226	—	28,226	26,977	—	26,977
Total unsecuritized mortgage loans	Total unsecuritized mortgage loans	38,520	22,630	61,150	37,070	27,349	64,419	Total unsecuritized mortgage loans	39,114	21,185	60,299	37,070	27,349	64,419
Mortgage-related securities:	Mortgage-related securities:							Mortgage-related securities:
Investment securities	Investment securities	3,988	6,183	10,171	3,440	6,396	9,836	Investment securities	4,815	5,835	10,650	3,440	6,396	9,836
Debt of consolidated trusts	Debt of consolidated trusts	17,077	698	17,775	17,939	536	18,475	Debt of consolidated trusts	16,327	811	17,138	17,939	536	18,475
Total mortgage-related securities	Total mortgage-related securities	21,065	6,881	27,946	21,379	6,932	28,311	Total mortgage-related securities	21,142	6,646	27,788	21,379	6,932	28,311
Mortgage-related investments portfolio	Mortgage-related investments portfolio	$59,585	$29,511	$89,096	$58,449	$34,281	$92,730	Mortgage-related investments portfolio	$60,256	$27,831	$88,087	$58,449	$34,281	$92,730
10% of notional amount of interest-only securities	10% of notional amount of interest-only securities			$21,554			$21,758	10% of notional amount of interest-only securities			$22,994			$21,758
Mortgage-related investments portfolio for purposes of Purchase Agreement cap	Mortgage-related investments portfolio for purposes of Purchase Agreement cap			110,650			114,488	Mortgage-related investments portfolio for purposes of Purchase Agreement cap			111,081			114,488

Other Investments Portfolio

The table below presents the details of our other investments portfolio.

Table 10 - Other Investments Portfolio


		March 31, 2023				December 31, 2022					June 30, 2023				December 31, 2022
(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	$5,038	$741	$94	$5,873	$5,652	$611	$97	$6,360	Cash and cash equivalents	$4,721	$700	$93	$5,514	$5,652	$611	$97	$6,360
Securities purchased under agreements to resell	Securities purchased under agreements to resell	100,948	10,881	859	112,688	88,499	9,703	1,084	99,286	Securities purchased under agreements to resell	109,307	11,265	982	121,554	88,499	9,703	1,084	99,286
Non-mortgage-related securities	Non-mortgage-related securities	17,531	—	4,738	22,269	20,188	—	3,645	23,833	Non-mortgage-related securities	19,310	—	6,121	25,431	20,188	—	3,645	23,833
Other assets	Other assets	—	—	5,644	5,644	—	—	4,565	4,565	Other assets	—	—	6,133	6,133	—	—	4,565	4,565
Other investments portfolio	Other investments portfolio	$123,517	$11,622	$11,335	$146,474	$114,339	$10,314	$9,391	$134,044	Other investments portfolio	$133,338	$11,965	$13,329	$158,632	$114,339	$10,314	$9,391	$134,044

(1)Represents carrying value.


Freddie Mac 1Q2Q 2023 Form 10-Q						1112


Management's Discussion and Analysis						Our Business Segments

OUR BUSINESS SEGMENTS

As shown in the table below, we have two reportable segments, which are based on the way we manage our business.


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.

Segment Net Revenues and Net Income

The charts below show our net revenues and net income by segment.

Segment Net Revenues

(In billions)

Segment Net Income

(In billions)


Freddie Mac 1Q2Q 2023 Form 10-Q						1213


Management's Discussion and Analysis			Our Business Segments \| Single-Family

Single-Family

Business Results

The charts, tables, and related discussion below present the business results of our Single-Family segment.

New Business Activity

UPB of Single-Family Loan Purchases and Guarantees by Loan Purpose and Average Estimated Guarantee Fee Rate(1) on New Acquisitions

(UPB in billions) 152

(1)Estimated guarantee fee rate calculation excludes the legislated guarantee fees and includes deferred fees recognized over the estimated life of the related loans.

Number of Families Helped to Own a Home and Average Loan UPB of New Acquisitions

(Loan count in thousands)

n 1Q2Q 2023 vs. 1Q2Q 2022 and YTD 2023 vs YTD 2022

l Our loan purchase and guarantee activity slowed due to higher mortgage interest rates. We expect volume for the remainder of the year to be lower than 2022 due in part to higher mortgage interest rates.

l The average loan size of new acquisitions increased due to a higher conforming loan limit and house price appreciation in recent quarters.

l The average estimated guarantee fee rate on new acquisitions increased primarily due to higher contractual guarantee fees and faster expected credit fee recognition driven by higher estimated prepayments on new acquisitions. This increase was partially offset by a shift in the business mix of new acquisitions.

For additional information on credit fee changes, see the MD&A - Regulation and Supervision section in this Form 10-Q and our 2022 Annual Report.


Freddie Mac 1Q2Q 2023 Form 10-Q						1314


Management's Discussion and Analysis			Our Business Segments \| Single-Family

Single-Family Mortgage Portfolio

Single-Family Mortgage Portfolio and Average Estimated Guarantee Fee Rate(1) on Mortgage Portfolio

(UPB in billions) 121

(1)Estimated guarantee fee rate is calculated as of acquisition and excludes the legislated guarantee fees. Estimated guarantee fee rate calculation also excludes certain loans, the majority of which are held by VIEs that we do not consolidate. The UPB of these excluded loans was ~~$43~~$42 billion as of ~~March 31,~~June 30, 2023.

Single-Family Mortgage Loans

(Loan count in millions) 482

n ~~The~~Our Single-Family mortgage portfolio was $3.0 trillion at ~~March 31,~~June 30, 2023, up 4%3% year-over-year, ~~and flat quarter-over-quarter,~~ as portfolio growth has moderated in recent periods due to the slowdown in new business activity as both home purchase activity and refinance activity slowed due to higher mortgage interest rates.

n The average estimated guarantee fee rate on ~~the~~our Single-Family mortgage portfolio increased year-over-year as older vintages with lower estimated guarantee fee rates were replaced by acquisitions of new loans with higher estimated guarantee fee rates.


Freddie Mac 1Q2Q 2023 Form 10-Q						1415


Management's Discussion and Analysis			Our Business Segments \| Single-Family

CRT Activities

We transfer credit risk on a portion of our Single-Family mortgage portfolio to the private market, reducing the risk of future losses to us when borrowers default. The charts below show the issuance amounts associated with CRT transactions for loans in our Single-Family mortgage portfolio.

UPB Covered by New CRT Issuance

(In billions)

New CRT Issuance Maximum Coverage

(In billions)

n 1Q2Q 2023 vs. 1Q2Q 2022 and YTD 2023 vs. YTD 2022

l The UPB of mortgage loans covered by CRT transactions and related maximum coverage issued during 1Q2Q 2023 and YTD 2023 decreased compared to 1Q2Q 2022 and YTD 2022 due to a decrease in loan acquisition activity in recent quarters and changes in business strategy and market conditions.

l ~~Our~~The percentage of our Single-Family acquisitions that were loans in the targeted population for our CRT transactions (primarily 30-year fixed rate loans with LTV ratios between 60% and 97%) increased to ~~81%~~82% during 1Qboth 2Q 2023 and YTD 2023, from ~~67%~~73% and 70% during 1Q2Q 2022 and YTD 2022, respectively, primarily driven by an increase in the percentage of recently acquired loans with original LTV ratios above 60% and an increase in the percentage of 30-year loan acquisitions. We expect to include a subset of this targeted population in our future CRT transactions.

See MD&A - Risk Management - Single-Family Mortgage Credit Risk - Transferring Credit Risk to Third-Party Investors for additional information on our CRT activities and other credit enhancements.


Freddie Mac 1Q2Q 2023 Form 10-Q						1516


Management's Discussion and Analysis			Our Business Segments \| Single-Family

Loss Mitigation Activities

The following chart provides details about the single-family loan workout activities that were completed during the periods presented.

Completed Loan Workout Activity

(UPB in billions, number of loan workouts in thousands)

(1)The forbearance data ~~included below~~ is limited to loans in forbearance that are past due based on the loans' original contractual terms and excludes both loans for which we do not control servicing and loans included in certain legacy transactions, as the forbearance data for such loans is either not reported to us by the servicers or is otherwise not readily available to us.

~~Completed Loan Workout Activity~~

~~(UPB in billions, number of loan workouts in thousands)~~

~~(1)~~Other includes repayment plans and foreclosure alternatives.

n Completed loan workout activity includes forbearance plans where borrowers fully reinstated the loan to current status during or at the end of the forbearance period, payment deferral plans, loan modifications, successfully completed repayment plans, short sales, and deeds in lieu of foreclosure. Completed loan workout activity excludes active loss mitigation activity that was ongoing and had not been completed as of the end of the period, such as forbearance plans that had been initiated but not completed and trial period modifications. There were approximately ~~27,000~~22,000 loans in active forbearance plans and approximately 13,000 loans in other active loss mitigation activity as of ~~March 31,~~June 30, 2023.

n 1Q2Q 2023 vs. 1Q2Q 2022 and YTD 2023 vs. YTD 2022 - Our loan workout activity decreased as the ~~overall forbearance~~seriously delinquent loan population continued to decline.


Freddie Mac 1Q2Q 2023 Form 10-Q						1617


Management's Discussion and Analysis			Our Business Segments \| Single-Family

Financial Results

The table below presents the results of operations for our Single-Family segment. See Note 11 for additional information about segment financial results.

Table 11 - Single-Family Segment Financial Results


				Change						Change						Change
(Dollars in millions)	(Dollars in millions)	1Q 2023	1Q 2022	$	%		(Dollars in millions)	2Q 2023	2Q 2022		$	%		YTD 2023	YTD 2022		$	%
Net interest income	Net interest income	$4,296	$3,806	$490	13	%	Net interest income	$4,295	$4,535		($240)	(5)	%	$8,591	$8,341		$250	3	%
Non-interest income	Non-interest income	(93)	1,408	(1,501)	(107)		Non-interest income	65	336		(271)	(81)		(28)	1,744		(1,772)	(102)
Net revenues	Net revenues	4,203	5,214	(1,011)	(19)		Net revenues	4,360	4,871		(511)	(10)		8,563	10,085		(1,522)	(15)
(Provision) benefit for credit losses	(Provision) benefit for credit losses	(318)	831	(1,149)	(138)		(Provision) benefit for credit losses	638	(298)		936	314		320	533		(213)	(40)
Non-interest expense	Non-interest expense	(1,783)	(1,778)	(5)	—		Non-interest expense	(2,028)	(1,854)		(174)	(9)		(3,811)	(3,632)		(179)	(5)
Income before Income tax expense	Income before Income tax expense	2,102	4,267	(2,165)	(51)		Income before Income tax expense	2,970	2,719		251	9		5,072	6,986		(1,914)	(27)
Income tax expense	Income tax expense	(425)	(856)	431	50		Income tax expense	(589)	(551)		(38)	(7)		(1,014)	(1,407)		393	28
Net income	Net income	1,677	3,411	(1,734)	(51)		Net income	2,381	2,168		213	10		4,058	5,579		(1,521)	(27)
Other comprehensive income (loss), net of taxes and reclassification adjustments	Other comprehensive income (loss), net of taxes and reclassification adjustments	(1)	(12)	11	92		Other comprehensive income (loss), net of taxes and reclassification adjustments	2	5		(3)	(60)		1	(7)		8	114
Comprehensive income	Comprehensive income	$1,676	$3,399	($1,723)	(51)	%	Comprehensive income	$2,383	$2,173		$210	10	%	$4,059	$5,572		($1,513)	(27)	%

Key Business Drivers:

n 1Q2Q 2023 vs. 1Q2Q 2022

l Net income of ~~$1.7~~$2.4 billion, ~~down 51%~~up 10% year-over-year.

–Net revenues were ~~$4.2~~$4.4 billion, down ~~19%~~10% year-over-year. Net interest income was $4.3 billion, down 5% year-over-year, primarily driven by lower deferred fee income due to slower prepayments as a result of higher mortgage interest rates.

–The benefit for credit losses was $0.6 billion for 2Q 2023, primarily driven by a credit reserve release due to improvements in observed and forecasted house price appreciation. The provision for credit losses of $0.3 billion for 2Q 2022 was primarily driven by a credit reserve build due to portfolio growth and deterioration in forecasted economic conditions.

n YTD 2023 vs. YTD 2022

lNet income of $4.1 billion, down 27% year-over-year.

–Net revenues were $8.6 billion, down 15% year-over-year.

◦Net interest income was ~~$4.3~~$8.6 billion for YTD 2023, up ~~13%~~3% year-over-year, primarily driven by mortgage portfolio growth, higher average portfolio guarantee fee rates, and higher investments net interest income due to higher interest rates. These increases were partially offset by ~~a decline in~~lower deferred fee income due to slower prepayments ~~driven by~~as a result of higher mortgage interest rates.

◦Non-interest income ~~was a loss~~ of ~~$0.1~~$1.7 billion for ~~1Q 2023, compared to non-interest income of $1.4 billion for 1Q~~YTD 2022 ~~which~~ was primarily driven by spread-related gains on commitments to hedge the securitization pipeline during that period.

–~~Provision~~The benefit for credit losses was $0.3 billion and $0.5 billion for 1QYTD 2023 ~~driven by a modest credit reserve build primarily attributable to new acquisitions.~~and YTD 2022, respectively. The benefit for credit losses ~~of $0.8 billion~~ for ~~1Q 2022~~YTD 2023 was primarily driven by a credit reserve release due to ~~higher estimated house prices and an improvement~~improvements in forecasted ~~economic conditions.~~house price appreciation. The benefit for credit losses for YTD 2022 was primarily driven by a credit reserve release due to improvements in observed house price appreciation.


Freddie Mac 1Q2Q 2023 Form 10-Q						1718


Management's Discussion and Analysis						Our Business Segments \| Multifamily

Multifamily

Business Results

The charts, tables, and related discussion below present the business results of our Multifamily segment.

New Business Activity

New Business Activity

(In billions)

Total Number of Rental Units Financed(1)

(In thousands) 344

(1) Includes rental units financed by supplemental loans.

n As of ~~March 31,~~June 30, 2023, the multifamily new business activity subject to the FHFA 2023 loan purchase cap of $75 billion was $5.7 billion. Approximately 60% of this activity, based on UPB, was mission-driven, affordable housing, currently exceeding FHFA's minimum requirement of 50%.

n~~Our~~Multifamily new business activity was $19 billion, down 37% year-over-year, as our new business activity was lower ~~year-over-year~~ as higher mortgage interest rates and greater market uncertainty have reduced demand for multifamily ~~mortgage~~ financing. Approximately 66% of this activity, based on UPB, was mission-driven, affordable housing.

n Our index lock agreements and outstanding commitments to purchase or guarantee multifamily assets were ~~$19.2~~$17.1 billion and ~~$19.9~~$19.4 billion as of ~~March 31,~~June 30, 2023 and ~~March 31,~~June 30, 2022, respectively.


Freddie Mac 1Q2Q 2023 Form 10-Q						1819


Management's Discussion and Analysis						Our Business Segments \| Multifamily

Multifamily Mortgage Portfolio and Guarantee Portfolio

Mortgage Portfolio

~~(UPB in~~(In billions)

Guarantee Portfolio

(In billions) 550

n Our Multifamily mortgage portfolio was ~~$426~~$427 billion at ~~March 31,~~June 30, 2023, up 3% year-over-year, ~~and down 1% quarter-over-quarter, primarily~~as portfolio growth has moderated in recent periods due to the slowdown in new business ~~activity as higher mortgage interest rates and greater market uncertainty have reduced demand for multifamily mortgage financing.~~activity. Our guarantee portfolio was ~~$362~~$366 billion at ~~March 31,~~June 30, 2023, up 3% year-over-year, as our new securitization activities outpaced payoffs.

n In addition to our Multifamily mortgage portfolio, we have investments in LIHTC fund partnerships with carrying values totaling ~~$2.9~~$3.0 billion and $2.8 billion as of ~~March 31,~~June 30, 2023 and December 31, 2022, respectively.


Freddie Mac 1Q2Q 2023 Form 10-Q						1920


Management's Discussion and Analysis						Our Business Segments \| Multifamily

CRT Activities

UPB Covered by New CRT Issuance New CRT Issuance Maximum Coverage

(In billions) (In billions)

n 1Q2Q 2023 vs. 1Q2Q 2022 and YTD 2023 vs. YTD 2022

l The UPB of mortgage loans covered by new CRT transactions and the maximum coverage decreased ~~year-over-year,~~ primarily due to fewer securitizations with subordination as a result of a smaller average held-for-sale securitization pipeline.

See MD&A - Risk Management - Multifamily Mortgage Credit Risk - Transferring Credit Risk to Third-Party Investors for more information on risk transfer transactions and credit enhancements on our Multifamily mortgage portfolio.


Freddie Mac 1Q2Q 2023 Form 10-Q						2021


Management's Discussion and Analysis						Our Business Segments \| Multifamily

Financial Results

The table below presents the results of operations for our Multifamily segment. See Note 11 for additional information about segment financial results.

Table 12 - Multifamily Segment Financial Results


				Change						Change						Change
(Dollars in millions)	(Dollars in millions)	1Q 2023	1Q 2022	$	%		(Dollars in millions)	2Q 2023	2Q 2022		$	%		YTD 2023	YTD 2022		$	%
Net interest income	Net interest income	$205	$298	($93)	(31)	%	Net interest income	$228	$224		$4	2	%	$433	$522		($89)	(17)	%
Non-interest income	Non-interest income	419	334	85	25		Non-interest income	751	309		442	143		1,170	643		527	82

Net revenues	Net revenues	624	632	(8)	(1)		Net revenues	979	533		446	84		1,603	1,165		438	38
(Provision) benefit for credit losses	(Provision) benefit for credit losses	(77)	6	(83)	(1,383)		(Provision) benefit for credit losses	(101)	(9)		(92)	(1,022)		(178)	(3)		(175)	(5,833)
Non-interest expense	Non-interest expense	(149)	(154)	5	3		Non-interest expense	(176)	(166)		(10)	(6)		(325)	(320)		(5)	(2)

Income before income tax expense	Income before income tax expense	398	484	(86)	(18)		Income before income tax expense	702	358		344	96		1,100	842		258	31
Income tax expense	Income tax expense	(80)	(97)	17	18		Income tax expense	(139)	(73)		(66)	(90)		(219)	(170)		(49)	(29)
Net income	Net income	318	387	(69)	(18)		Net income	563	285		278	98		881	672		209	31
Other comprehensive income (loss), net of taxes and reclassification adjustments	Other comprehensive income (loss), net of taxes and reclassification adjustments	55	(108)	163	151		Other comprehensive income (loss), net of taxes and reclassification adjustments	(56)	(71)		15	21		(1)	(179)		178	99
Comprehensive income	Comprehensive income	$373	$279	$94	34	%	Comprehensive income	$507	$214		$293	137	%	$880	$493		$387	78	%

Key Business Drivers:

n 1Q2Q 2023 vs. 1Q2Q 2022

l Net income of ~~$0.3~~$0.6 billion, ~~down 18%~~up 98% year-over-year.

–Net revenues were ~~$0.6~~$1.0 billion, ~~down 1%~~up 84% year-over-year.

–Non-interest income was $0.8 billion, up 143% year-over-year, driven by higher guarantee income and higher net investment gains. Guarantee income increased primarily due to lower fair value losses on guarantee assets as a result of smaller interest rate increases. Net investment gains increased primarily due to fair value gains from interest-rate risk management activities.

–Provision for credit losses was $0.1 billion for 2Q 2023, driven by a credit reserve build due to deterioration in forecasted multifamily market conditions and current loan performance.

nYTD 2023 vs. YTD 2022

lNet income of $0.9 billion, up 31% year-over-year.

–Net revenues were $1.6 billion, up 38% year-over-year.

–Net interest income was ~~$0.2~~$0.4 billion, down ~~31%~~17% year-over-year, primarily due to lower prepayment income driven by higher mortgage interest rates.

–Non-interest income was ~~$0.4~~$1.2 billion, up ~~25%~~82% year-over-year, ~~primarily~~ driven by higher guarantee income ~~partially offset by lower~~and higher net investment gains. Guarantee income increased ~~as 1Q 2022 included~~primarily due to lower fair value losses on guarantee assets ~~due to rising interest rates. Net investment gains declined due to lower revenue from held-for-sale loan purchase and securitization activity~~ as a result of ~~lower volumes and lower margins, coupled with net losses~~smaller interest rate increases. Net investment gains increased primarily due to fair value gains from ~~interest-rate~~interest rate risk management activities.

–Provision for credit losses was ~~$0.1~~$0.2 billion for 1QYTD 2023, ~~compared to a small benefit for credit losses for 1Q 2022, primarily due to~~driven by a credit reserve build due to ~~reflect~~ increased uncertainty in forecasted economic ~~conditions.~~

conditions and multifamily market conditions as well as deterioration in loan performance.


Freddie Mac 1Q2Q 2023 Form 10-Q						2122


Management's Discussion and Analysis						Risk Management

RISK MANAGEMENT

To achieve our mission, we take risks as an integral part of our business activities. We are exposed to the following key types of risk: credit risk, market risk, liquidity risk, operational risk, compliance risk, legal risk, strategic risk, and reputation risk.

Credit Risk

Allowance for Credit Losses

The tables below present a summary of the changes in our allowance for credit losses and key allowance for credit losses ratios.

Table 13 - Allowance for Credit Losses Activity


		1Q 2023						1Q 2022							2Q 2023		2Q 2022							YTD 2023						YTD 2022
(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	$7,746		$147		$7,893		$5,440		$78		$5,518				Beginning balance		$8,097		$224		$8,321		$4,849		$72		$4,921			$7,746		$147		$7,893		$5,440		$78		$5,518
Provision (benefit) for credit losses	Provision (benefit) for credit losses	318		77		395		(831)		(6)		(837)				Provision (benefit) for credit losses		(638)		101		(537)		298		9		307			(320)		178		(142)		(533)		3		(530)
Charge-offs	Charge-offs	(90)		—		(90)		(173)		—		(173)				Charge-offs		(111)		—		(111)		(107)		—		(107)			(201)		—		(201)		(280)		—		(280)
Recoveries collected	Recoveries collected	32		—		32		52		—		52				Recoveries collected		29		—		29		43		—		43			61		—		61		95		—		95
Net charge-offs	Net charge-offs	(58)		—		(58)		(121)		—		(121)				Net charge-offs		(82)		—		(82)		(64)		—		(64)			(140)		—		(140)		(185)		—		(185)
Other(1)	Other(1)	91		—		91		361		—		361				Other(1)		80		—		80		259		—		259			171		—		171		620		—		620
Ending balance	Ending balance	$8,097		$224		$8,321		$4,849		$72		$4,921				Ending balance		$7,457		$325		$7,782		$5,342		$81		$5,423			$7,457		$325		$7,782		$5,342		$81		$5,423

Average loans outstanding during the period(2)	Average loans outstanding during the period(2)	$2,985,726		$47,748		$3,033,474		$2,868,454		$28,079		$2,896,533				Average loans outstanding during the period(2)		$2,991,397		$48,309		$3,039,706		$2,917,015		$29,805		$2,946,820			$2,988,562		$48,029		$3,036,591		$2,892,734		$28,942		$2,921,676
Net charge-offs to average loans outstanding	Net charge-offs to average loans outstanding	0.00	%	0.00	%	0.00	%	0.00	%	0.00	%	0.00	%			Net charge-offs to average loans outstanding		—	%	—	%	—	%	—	%	—	%	—	%		—	%	—	%	—	%	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	$7,675		$160		$7,835		$4,358		$31		$4,389				Mortgage loans held-for-investment		$7,088		$251		$7,339		$4,904		$35		$4,939

Other(3)	Other(3)	422		64		486		491		41		532				Other(3)		369		74		443		438		46		484
Total ending balance	Total ending balance	$8,097		$224		$8,321		$4,849		$72		$4,921				Total ending balance		$7,457		$325		$7,782		$5,342		$81		$5,423

(1)Primarily includes capitalization of past due interest related to non-accrual loans that received payment deferral plans and loan modifications.

(2)Based on amortized cost basis of held-for-investment loans for which we have not elected the fair value option.

(3)Includes allowance for credit losses related to advances of pre-foreclosure costs, accrued interest receivable on mortgage loans, and off-balance sheet credit exposures.


Freddie Mac 2Q 2023 Form 10-Q						23


Management's Discussion and Analysis						Risk Management

Table 14 - Allowance for Credit Losses Ratios


		March 31, 2023						December 31, 2022								June 30, 2023						December 31, 2022
(Dollars in millions)	(Dollars in millions)	Single-Family		Multifamily		Total		Single-Family		Multifamily		Total			(Dollars in millions)	Single-Family		Multifamily		Total		Single-Family		Multifamily		Total
Allowance for credit losses ratios:	Allowance for credit losses ratios:													Allowance for credit losses ratios:
Allowance for credit losses(1) to total loans outstanding	Allowance for credit losses(1) to total loans outstanding	0.26	%	0.35	%	0.26	%	0.25	%	0.16	%	0.24	%		Allowance for credit losses(1) to total loans outstanding	0.24	%	0.50	%	0.24	%	0.25	%	0.16	%	0.24	%
Non-accrual loans to total loans outstanding	Non-accrual loans to total loans outstanding	0.34		0.09		0.34		0.34		0.09		0.33			Non-accrual loans to total loans outstanding	0.43		0.11		0.42		0.34		0.09		0.33
Allowance for credit losses to non-accrual loans	Allowance for credit losses to non-accrual loans	75.88		390.24		77.15		72.45		183.33		72.91			Allowance for credit losses to non-accrual loans	55.15		448.21		56.86		72.45		183.33		72.91
Balances:	Balances:													Balances:
Allowance for credit losses on mortgage loans held-for-investment	Allowance for credit losses on mortgage loans held-for-investment	$7,675		$160		$7,835		$7,314		$77		$7,391			Allowance for credit losses on mortgage loans held-for-investment	$7,088		$251		$7,339		$7,314		$77		$7,391
Total loans outstanding(2)	Total loans outstanding(2)	2,984,782		46,064		3,030,846		2,981,401		47,094		3,028,495			Total loans outstanding(2)	2,998,784		49,800		3,048,584		2,981,401		47,094		3,028,495
Non-accrual loans(2)	Non-accrual loans(2)	10,114		41		10,155		10,095		42		10,137			Non-accrual loans(2)	12,852		56		12,908		10,095		42		10,137

(1)Represents allowance for credit losses on ~~total~~ held-for-investment ~~loans.~~loans for which we have not elected the fair value option.

(2)Based on amortized cost basis of held-for-investment loans for which we have not elected the fair value option.

~~As of March 31, 2023 compared to December 31, 2022:~~

nThe ratio of allowance for credit losses to non-accrual loans ~~increased~~decreased as of June 30, 2023 compared to December 31, 2022, primarily driven by a credit reserve release in Single-Family due to ~~a modest credit reserve build primarily attributable to new acquisitions~~improvements in ~~Single-Family.~~forecasted house price appreciation.


~~Freddie Mac 1Q 2023 Form 10-Q~~						22


~~Management's Discussion and Analysis~~						~~Risk Management~~

Single-Family Mortgage Credit Risk

Maintaining Prudent Underwriting Standards and Quality Control Practices and Managing Seller/Servicer Performance

Loan Purchase Credit Characteristics

We monitor and evaluate market conditions that could affect the credit quality of our single-family loan purchases. Additionally, when managing our new acquisitions, we consider our risk limits and guidance from FHFA and capital requirements under the ERCF. This may affect the volume and characteristics of our loan acquisitions.

The charts below show the credit profile of the single-family loans we purchased or guaranteed. The average original LTV increased year-over-year due to the increase in the percentage of loan acquisitions related to home purchases as home purchase loans typically have higher LTV ratios than refinance loans. The percentage of loans with a DTI ratio greater than 45% also increased year-over-year due to changes in market conditions, such as increasing house prices and higher mortgage interest rates in recent ~~quarters.~~quarters, and changes in our purchase guidelines in support of mission-driven activities.

We have observed an increase in serious delinquency rates on certain recently acquired loans. We have updated our purchase guidelines on refinance loans with certain higher risk characteristics that are designed to partially balance our credit risk exposure while supporting affordable housing in a responsible manner.

Weighted Average Original LTV Ratio 153

Weighted Average Original Credit Score(1) 196

(1)Weighted average original credit score is generally based on three credit bureaus (Equifax, Experian, and TransUnion).


Freddie Mac 1Q2Q 2023 Form 10-Q						2324


Management's Discussion and Analysis						Risk Management

The table below contains additional information about the single-family loans we purchased or guaranteed.

Table 15 - Single-Family New Business Activity


		1Q 2023			1Q 2022			2Q 2023		2Q 2022				YTD 2023		YTD 2022
(Dollars in millions)	(Dollars in millions)	Amount	% of Total		Amount	% of Total			(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	$55,469	94	%	$181,977	88	%		20- and 30-year or more, amortizing fixed-rate	$78,730	95	%	$124,910	91	%	$134,199	95	%	$306,887	89	%
15-year or less, amortizing fixed-rate	15-year or less, amortizing fixed-rate	2,214	4		23,484	11			15-year or less, amortizing fixed-rate	3,038	4		11,084	8		5,252	4		34,568	10
Adjustable-rate	Adjustable-rate	1,282	2		1,627	1			Adjustable-rate	1,082	1		1,671	1		2,364	1		3,298	1
Total	Total	$58,965	100	%	$207,088	100	%		Total	$82,850	100	%	$137,665	100	%	$141,815	100	%	$344,753	100	%

Percentage of purchases	Percentage of purchases								Percentage of purchases
DTI ratio > 45%	DTI ratio > 45%		23	%		15	%		DTI ratio > 45%		26	%		17	%		25	%		16	%
Original LTV ratio > 90%	Original LTV ratio > 90%		28			14			Original LTV ratio > 90%		27			19			27			16
Transaction type:	Transaction type:								Transaction type:
Cash window	Cash window		28			25			Cash window		30			30			29			27
Guarantor swap	Guarantor swap		72			75			Guarantor swap		70			70			71			73

Property type:	Property type:								Property type:
Detached single-family houses and townhouses	Detached single-family houses and townhouses		91			93			Detached single-family houses and townhouses		91			92			91			93
Condominium or co-op	Condominium or co-op		9			7			Condominium or co-op		9			8			9			7
Occupancy type:	Occupancy type:								Occupancy type:
Primary residence	Primary residence		92			89			Primary residence		92			90			92			89
Second home	Second home		2			5			Second home		2			2			2			4
Investment property	Investment property		6			6			Investment property		6			8			6			7
Loan purpose:	Loan purpose:								Loan purpose:
Purchase	Purchase		86			45			Purchase		88			62			87			52
Cash-out refinance	Cash-out refinance		9			33			Cash-out refinance		8			28			9			31
Other refinance	Other refinance		5			22			Other refinance		4			10			4			17

Transferring Credit Risk to Third-Party Investors

To reduce our credit risk exposure, we engage in various credit enhancement arrangements, which include CRT transactions and other credit enhancements.

Single-Family Mortgage Portfolio CRT Issuance

The table below provides the UPB of the mortgage loans covered by CRT transactions issued during the periods presented as well as the maximum coverage provided by those transactions.

Table 16 - Single-Family Mortgage Portfolio CRT Issuance


		1Q 2023		1Q 2022			2Q 2023		2Q 2022
(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	$14,887	$611	$123,562	$5,088	STACR	$48,444	$1,591	$111,412	$4,783
ACIS	ACIS	—	—	83,991	3,226	ACIS	7,593	293	37,700	1,489
Other	Other	46	46	146	146	Other	74	74	1,551	248

Total CRT issuance	Total CRT issuance	$14,933	$657	$207,699	$8,460	Total CRT issuance	$56,111	$1,958	$150,663	$6,520

Referenced footnotes are included after the year-to-date table.


Freddie Mac 2Q 2023 Form 10-Q						25


Management's Discussion and Analysis						Risk Management


	YTD 2023		YTD 2022
(In millions)	UPB(1)	Maximum Coverage(2)	UPB(1)	Maximum Coverage(2)
STACR	$63,331	$2,202	$234,974	$9,871
ACIS	7,593	293	121,691	4,715
Other	120	120	1,697	394

Total CRT issuance	$71,044	$2,615	$358,362	$14,980

(1) Represents the UPB of the assets included in the associated reference pool or securitization trust, as applicable.

(2) For STACR transactions, represents the balance held by third parties at issuance. For ACIS transactions, represents the aggregate limit of insurance purchased from third parties at issuance.


~~Freddie Mac 1Q 2023 Form 10-Q~~						24


~~Management's Discussion and Analysis~~						~~Risk Management~~

Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding

The table below provides information on the UPB and maximum coverage associated with credit-enhanced loans in our Single-Family mortgage portfolio.

Table 17 - Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding


		March 31, 2023					June 30, 2023
(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)	$613,366	21	%	$156,920	Primary mortgage insurance(3)	$624,103	21	%	$160,625
STACR	STACR	1,184,605	40		34,150	STACR	1,209,492	40		34,255
ACIS	ACIS	901,506	30		19,260	ACIS	862,924	29		18,561
Other	Other	40,958	1		11,057	Other	40,380	1		11,097
Less: UPB with multiple credit enhancements and other reconciling items(4)	Less: UPB with multiple credit enhancements and other reconciling items(4)	(900,339)	(30)		—	Less: UPB with multiple credit enhancements and other reconciling items(4)	(873,061)	(29)		—
Single-Family mortgage portfolio - credit-enhanced	Single-Family mortgage portfolio - credit-enhanced	1,840,096	62		221,387	Single-Family mortgage portfolio - credit-enhanced	1,863,838	62		224,538
Single-Family mortgage portfolio - non-credit-enhanced	Single-Family mortgage portfolio - non-credit-enhanced	1,148,539	38		N/A	Single-Family mortgage portfolio - non-credit-enhanced	1,140,406	38		N/A
Total	Total	$2,988,635	100	%	$221,387	Total	$3,004,244	100	%	$224,538


	December 31, 2022
(Dollars in millions)	UPB(1)	% of Portfolio		Maximum Coverage(2)
Primary mortgage insurance(3)	$609,123	21	%	$155,022
STACR	1,188,017	40		35,111
ACIS	938,409	31		19,774
Other	41,572	1		11,105
Less: UPB with multiple credit enhancements and other reconciling items(4)	(945,062)	(32)		—
Single-Family mortgage portfolio - credit-enhanced	1,832,059	61		221,012
Single-Family mortgage portfolio - non-credit-enhanced	1,153,986	39		N/A
Total	$2,986,045	100	%	$221,012

(1) Represents the current UPB of the assets included in the associated reference pool or securitization trust, as applicable.

(2) For STACR transactions, represents the outstanding balance held by third parties. For ACIS transactions, represents the remaining aggregate limit of insurance purchased from third parties.

(3) Amounts exclude certain loans for which we do not control servicing, as the coverage information for these loans is not readily available to us.

(4) Other reconciling items primarily include timing differences in reporting cycles between the UPB of certain CRT transactions and the UPB of the underlying loans.

Credit Enhancement Coverage Characteristics

The table below provides the serious delinquency rates for the credit-enhanced and non-credit-enhanced loans in our Single-Family mortgage portfolio. The credit-enhanced categories are not mutually exclusive as a single loan may be covered by both primary mortgage insurance and other credit enhancements.


Freddie Mac 2Q 2023 Form 10-Q						26


Management's Discussion and Analysis						Risk Management

Table 18 - Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio


		March 31, 2023				December 31, 2022					June 30, 2023				December 31, 2022
(% of portfolio based on UPB)(1)	(% of portfolio based on UPB)(1)	% of Portfolio(2)		SDQ Rate		% of Portfolio(2)		SDQ Rate		(% of portfolio based on UPB)(1)	% of Portfolio(2)		SDQ Rate		% of Portfolio(2)		SDQ Rate
Credit-enhanced:	Credit-enhanced:									Credit-enhanced:
Primary mortgage insurance	Primary mortgage insurance	21	%	0.99	%	21	%	1.05	%	Primary mortgage insurance	21	%	0.91	%	21	%	1.05	%
CRT and other	CRT and other	56		0.64		56		0.68		CRT and other	56		0.58		56		0.68
Non-credit-enhanced	Non-credit-enhanced	38		0.52		39		0.57		Non-credit-enhanced	38		0.48		39		0.57
Total	Total	N/A		0.62		N/A		0.66		Total	N/A		0.56		N/A		0.66

(1)Excludes loans underlying certain securitization products for which loan-level data is not available.

(2)Percentages do not total to 100% as a single loan may be included in multiple line items.

Credit Enhancement Recoveries

Our expected recovery receivable from freestanding credit enhancements, net of allowance, was $0.3 billion and $0.4 billion ~~for both March 31,~~as of June 30, 2023 and December 31, ~~2022.~~2022, respectively.


~~Freddie Mac 1Q 2023 Form 10-Q~~						25


~~Management's Discussion and Analysis~~						~~Risk Management~~

Monitoring Loan Performance and Characteristics

We review loan performance, including delinquency statistics and related loan characteristics, in conjunction with housing market and economic conditions, to assess credit risk when estimating our allowance for credit losses. We also use this information to determine if our pricing and eligibility standards reflect the risk associated with the loans we purchase and guarantee.

Loan Characteristics

The table below contains details of the characteristics of the loans in our Single-Family mortgage portfolio.

Table 19 - Credit Quality Characteristics of Our Single-Family Mortgage Portfolio


		March 31, 2023								June 30, 2023
(Dollars in millions)	(Dollars in millions)	UPB	Original Credit Score (1)	Current Credit Score(1)(2)	Original LTV Ratio		Current LTV Ratio		(Dollars in millions)	UPB	Original Credit Score (1)	Current Credit Score(1)(2)	Original LTV Ratio		Current LTV Ratio
Single-Family mortgage portfolio year of origination:	Single-Family mortgage portfolio year of origination:								Single-Family mortgage portfolio year of origination:
2023	2023	$34,412	749	748	80	%	80	%	2023	$114,995	750	748	79	%	78	%
2022	2022	455,538	745	742	76		74		2022	447,722	745	746	76		72
2021	2021	1,038,828	752	756	71		59		2021	1,019,158	752	757	71		57
2020	2020	763,137	761	766	71		51		2020	747,307	761	768	71		49
2019	2019	128,761	746	751	76		50		2019	125,312	746	753	76		48
2018 and prior	2018 and prior	567,959	737	749	75		35		2018 and prior	549,750	737	751	75		34
Total	Total	$2,988,635	750	755	73		55		Total	$3,004,244	750	756	73		54


		December 31, 2022									December 31, 2022
(Dollars in millions)	(Dollars in millions)	UPB		Original Credit Score (1)	Current Credit Score(1)(2)	Original LTV Ratio		Current LTV Ratio		(Dollars in millions)	UPB	Original Credit Score (1)	Current Credit Score(1)(2)	Original LTV Ratio		Current LTV Ratio
Single-Family mortgage portfolio year of origination:	Single-Family mortgage portfolio year of origination:									Single-Family mortgage portfolio year of origination:
2022	2022	$438,339		745	742	76	%	74	%	2022	$438,339	745	742	76	%	74	%
2021	2021	1,054,844		752	758	71		59		2021	1,054,844	752	758	71		59
2020	2020	776,425		761	766	71		51		2020	776,425	761	766	71		51
2019	2019	131,637		746	752	76		50		2019	131,637	746	752	76		50
2018	2018	52,921		736		76		47		2018	52,921	736		76		47
2017 and prior	2017 and prior	531,879		737	752	75		34		2017 and prior	531,879	737	752	75		34
Total	Total	$	2,986,045	750	756	73		54		Total	$2,986,045	750	756	73		54

(1)Original credit score is generally based on three credit bureaus (Equifax, Experian, and TransUnion). Current credit score is based on Experian only.

(2)Credit scores for certain recently acquired loans may not have been updated by the credit bureau since the loan acquisition, and therefore the original credit scores also represent the current credit scores.


Freddie Mac 2Q 2023 Form 10-Q						27


Management's Discussion and Analysis						Risk Management

The following table presents the combination of credit score and CLTV ratio attributes of loans in our Single-Family mortgage portfolio.

Table 20 - Single-Family Mortgage Portfolio Attribute Combinations(1)
March 31, 2023
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(2)
% of Portfolio
SDQ Rate(2)
% of Portfolio
SDQ Rate(2)
% of Portfolio
SDQ Rate(2)
% of Portfolio SDQ Rate
740 and above < 620 41 % 0.19 % 18 % 0.24 % 4 % 0.25 % 2 % 0.22 % — % NM 65 % 0.21 %
700 to 739 11 0.63 7 0.73 2 0.77 1 0.51 — NM 21 0.66
680 to 699 4 1.05 3 1.28 — NM — NM — NM 7 1.12
660 to 679 2 1.49 1 1.81 — NM — NM — NM 3 1.57
620 to 659 2 2.24 1 2.87 — NM — NM — NM 3 2.39
Less than 620 1 5.40 — NM — NM — NM — NM 1 5.92
Total 61 % 0.59 30 % 0.66 6 % 0.65 3 % 0.46 — % NM 100 % 0.62

~~Referenced footnotes are included after the prior period table~~


~~Freddie Mac 1Q 2023 Form 10-Q~~						26


~~Management's Discussion and Analysis~~						~~Risk Management~~


		June 30, 2023
		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(2)		% of Portfolio		SDQ Rate(2)		% of Portfolio		SDQ Rate(2)		% of Portfolio		SDQ Rate(2)	% of Portfolio		SDQ Rate
740 and above	< 620	42	%	0.17	%	17	%	0.23	%	4	%	0.27	%	2	%	0.23	%	—	%	NM	65	%	0.19	%
700 to 739		13		0.56		6		0.72		1		0.75		1		0.57		—		NM	21		0.61
680 to 699		4		0.93		2		1.27		—		NM		—		NM		—		NM	6		1.03
660 to 679		3		1.36		1		1.76		—		NM		—		NM		—		NM	4		1.46
620 to 659		2		2.07		1		2.81		—		NM		—		NM		—		NM	3		2.21
Less than 620		1		4.77		—		NM		—		NM		—		NM		—		NM	1		5.19
Total		65	%	0.53		27	%	0.63		5	%	0.64		3	%	0.48		—	%	NM	100	%	0.56


	December 31, 2022
	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(2)		% of Portfolio		SDQ Rate(2)		% of Portfolio		SDQ Rate(2)		% of Portfolio		SDQ Rate(2)	% of Portfolio		SDQ Rate
740 and above	40	%	0.22	%	18	%	0.25	%	4	%	0.23	%	2	%	0.16	%	—	%	NM	64	%	0.23	%
700 to 739	12		0.70		6		0.75		2		0.72		1		0.38		—		NM	21		0.71
680 to 699	5		1.16		2		1.28		—		NM		—		NM		—		NM	7		1.18
660 to 679	3		1.65		1		1.77		—		NM		—		NM		—		NM	4		1.68
620 to 659	2		2.46		1		2.78		—		NM		—		NM		—		NM	3		2.54
Less than 620	1		5.97		—		NM		—		NM		—		NM		—		NM	1		6.52
Total	63	%	0.66		28	%	0.67		6	%	0.60		3	%	0.37		—	%	NM	100	%	0.66

(1) Excludes loans underlying certain securitization products for which original credit score is not available.

(2) NM - not meaningful due to the percentage of the portfolio rounding to zero.

Geographic Concentrations

We purchase mortgage loans from across the U.S. However, local economic conditions can affect the borrower's ability to repay and the value of the underlying collateral, leading to concentrations of credit risk in certain geographic areas. In addition, certain states and municipalities have passed or may pass laws that limit our ability to foreclose or evict and make it more difficult and costly to manage our risk.

See Note 12 for more information about the geographic distribution of our Single-Family mortgage portfolio.


Freddie Mac 2Q 2023 Form 10-Q						28


Management's Discussion and Analysis						Risk Management

Delinquency Rates

We report Single-Family delinquency rates based on the number of loans in our Single-Family mortgage portfolio that are past due as reported to us by our servicers as a percentage of the total number of loans in our Single-Family mortgage portfolio.

The chart below shows the delinquency rates of mortgage loans in our Single-Family mortgage portfolio.

Our Single-Family serious delinquency rate ~~decreased~~has declined below pre-pandemic levels to ~~0.62%~~0.56% as of ~~March 31,~~June 30, 2023, compared to ~~0.92%~~0.76% as of ~~March 31, 2022, as borrowers completed loan workout activities that returned the mortgages to current status primarily for borrowers exiting forbearance.~~June 30, 2022. See Note 3 for additional information on the payment status of our single-family mortgage loans.


Freddie Mac 1Q2Q 2023 Form 10-Q						2729


Management's Discussion and Analysis						Risk Management

Multifamily Mortgage Credit Risk

Maintaining Policies and Procedures for New Business Activity, Including Prudent Underwriting Standards

Our underwriting standards focus on the LTV ratio and DSCR, which estimates a borrower's ability to repay the loan using the secured property's cash flows, after expenses. The charts below provide the weighted average original LTV and DSCR for our new business activity for the periods presented.

Weighted Average Original LTV Ratio 153

Weighted Average Original DSCR

Transferring Credit Risk to Third-Party Investors

To reduce our credit risk exposure, we engage in a variety of CRT activities; however, securitizations remain our principal credit risk transfer mechanism. Through securitizations (i.e., subordination), we have transferred a substantial amount of the expected and stressed credit risk on the Multifamily mortgage portfolio, thereby reducing our overall credit risk exposure and required capital.

Multifamily Mortgage Portfolio CRT Issuance

The table below provides the UPB of the mortgage loans covered by CRT transactions issued during the periods presented as well as the maximum coverage provided by those transactions.

Table 21 - Multifamily Mortgage Portfolio CRT Issuance


		1Q 2023		1Q 2022		2Q 2023			2Q 2022		YTD 2023		YTD 2022
(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	$6,149	$425	$14,105	$974		Subordination	$8,626	$610	$14,781	$940	$14,775	$1,035	$28,886	$1,914
SCR	SCR	1,166	105	—	—		SCR	7,636	102	5,982	141	8,802	207	5,982	141

MCIP							MCIP	7,636	188	5,982	200	7,636	188	5,982	200
Lender risk-sharing	Lender risk-sharing	239	48	—	—		Lender risk-sharing	321	32	214	26	560	80	214	26

Less: UPB with more than one type of CRT							Less: UPB with more than one type of CRT	(7,636)	—	(5,982)	—	(7,636)	—	(5,982)	—
Total CRT issuance	Total CRT issuance	$7,554	$578	$14,105	$974		Total CRT issuance	$16,583	$932	$20,977	$1,307	$24,137	$1,510	$35,082	$2,281

(1) Represents the UPB of the assets included in the associated reference pool or securitization trust, as applicable.

(2) For subordination, represents the UPB of the securities that are held by third parties at issuance and are subordinate to the securities we guarantee. For SCR transactions, represents the UPB of securities held by third parties at issuance. For MCIP transactions, represents the aggregate limit of insurance purchased from third parties at issuance. For lender risk-sharing, represents the amount of loss recovery that is available subject to the terms of counterparty agreements at issuance.

Multifamily Mortgage Portfolio Credit Enhancement Coverage Outstanding

While we obtain various forms of credit protection in connection with the acquisition, guarantee, and/or securitization of a loan or group of loans, our principal credit enhancement type is subordination, which is created through our senior subordinate securitization transactions. As of ~~March 31,~~June 30, 2023 and December 31, 2022, our maximum coverage provided by subordination in nonconsolidated VIEs was ~~$41.1~~$40.2 billion and $41.7 billion, respectively.


Freddie Mac 1Q2Q 2023 Form 10-Q						2830


Management's Discussion and Analysis						Risk Management

The table below presents the UPB and delinquency rates for both credit-enhanced and non-credit-enhanced loans underlying our Multifamily mortgage portfolio.

Table 22 - Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio


		March 31, 2023			December 31, 2022		June 30, 2023			December 31, 2022
(Dollars in millions)	(Dollars in millions)	UPB	Delinquency Rate			UPB		Delinquency Rate			(Dollars in millions)	UPB	Delinquency Rate		UPB	Delinquency Rate
Credit-enhanced:	Credit-enhanced:										Credit-enhanced:
Subordination	Subordination	$355,747	0.14	%		$358,813		0.12	%		Subordination	$353,800	0.21	%	$358,813	0.12	%
Other	Other	40,011	0.15			38,870		0.12			Other	47,762	0.26		38,870	0.12
Total credit-enhanced	Total credit-enhanced	395,758	0.14			397,683		0.12			Total credit-enhanced	401,562	0.22		397,683	0.12
Non-credit-enhanced	Non-credit-enhanced	30,281	0.09			31,619		0.08			Non-credit-enhanced	25,636	0.16		31,619	0.08
Total	Total	$426,039	0.13			$429,302		0.12			Total	$427,198	0.21		$429,302	0.12

The Multifamily delinquency rate increased to 0.21% at June 30, 2023, primarily driven by an increase in delinquent loans in our senior housing loan portfolio. 95% of the delinquent loans in the Multifamily mortgage portfolio have credit enhancement coverage while 94% of all loans in the Multifamily mortgage portfolio have credit enhancement coverage.

The table below contains details on the loans underlying our Multifamily mortgage portfolio that are not credit-enhanced.

Table 23 - Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement


		March 31, 2023			December 31, 2022					June 30, 2023				December 31, 2022
(Dollars in millions)	(Dollars in millions)	UPB	Delinquency Rate			UPB	Delinquency Rate		(Dollars in millions)		UPB	Delinquency Rate			UPB	Delinquency Rate
Mortgage loans held-for-sale	Mortgage loans held-for-sale	$9,609	0.27	%		$9,138	0.29	%	Mortgage loans held-for-sale		$8,317	—	%		$9,138	0.29	%
Mortgage loans held-for-investment:	Mortgage loans held-for-investment:								Mortgage loans held-for-investment:
Held by Freddie Mac	Held by Freddie Mac	10,453	—			15,468	—		Held by Freddie Mac		10,219	0.28			15,468	—
Held by consolidated trusts	Held by consolidated trusts	7,881	0.02			4,665	—		Held by consolidated trusts		4,845	0.27			4,665	—
Other mortgage-related guarantees	Other mortgage-related guarantees	2,338	—			2,348	—		Other mortgage-related guarantees		2,255	—			2,348	—
Total	Total	$30,281	0.09			$31,619	0.08		Total		$25,636	0.16			$31,619	0.08

Market Risk

Overview

Our business segments have embedded exposure to market risk, which is the economic risk associated with adverse changes in interest rates, volatility, and spreads. Market risk can adversely affect future cash flows, or economic value, as well as earnings and net worth. The primary sources of interest-rate risk are our investments in mortgage-related assets, the debt we issue to fund these assets, and our Single-Family guarantees.

Interest-Rate Risk

Our primary interest-rate risk measures are duration gap and Portfolio Value Sensitivity (PVS). Duration gap measures the difference in price sensitivity to interest rate changes between our financial assets and liabilities and is expressed in months relative to the value of assets. PVS is an estimate of the change in the present value of the cash flows of our financial assets and liabilities from an instantaneous shock to interest rates, assuming spreads are held constant and no rebalancing actions are undertaken. PVS is measured in two ways, one measuring the estimated sensitivity of our portfolio value to a 50 basis point parallel movement in interest rates (PVS-L) and the other to a non-parallel movement resulting from a 25 basis point change in the slope of the yield curve (PVS-YC). While we believe that duration gap and PVS are useful risk management tools, they should be understood as estimates rather than as precise measurements.

The following tables provide our duration gap, estimated point-in-time and minimum and maximum PVS-L and PVS-YC results, and an average of the daily values and standard deviation. The table below also provides PVS-L estimates assuming an immediate 100 basis point shift in the yield curve. The interest-rate sensitivity of a mortgage portfolio varies across a wide range of interest rates.


Freddie Mac 1Q2Q 2023 Form 10-Q						2931


Management's Discussion and Analysis						Risk Management

Table 24 - PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve


		March 31, 2023			December 31, 2022				June 30, 2023			December 31, 2022
		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	$420	$3,410	$6,736	$362	($3,131)	($6,340)	Investments	$381	$3,170	$6,225	$362	($3,131)	($6,340)
Guarantees(2)	Guarantees(2)	(92)	(462)	(863)	(93)	512	1,090	Guarantees(2)	(77)	(493)	(947)	(93)	512	1,090
Total assets	Total assets	328	2,948	5,873	269	(2,619)	(5,250)	Total assets	304	2,677	5,278	269	(2,619)	(5,250)
Liabilities	Liabilities	69	(1,832)	(3,690)	68	1,958	3,912	Liabilities	87	(1,802)	(3,635)	68	1,958	3,912
Derivatives	Derivatives	(395)	(1,106)	(2,160)	(336)	648	1,278	Derivatives	(389)	(895)	(1,749)	(336)	648	1,278
Total	Total	$2	$10	$23	$1	($13)	($60)	Total	$2	($20)	($106)	$1	($13)	($60)
PVS	PVS	$2	$10	$23	$1	$—	$—	PVS	$2	$—	$—	$1	$—	$—

(1)The categorization of the PVS impact between assets, liabilities, and derivatives on this table is based upon the economic characteristics of those assets and liabilities, not their accounting classification. For example, purchase and sale commitments of mortgage-related securities and debt of consolidated trusts held by the mortgage-related investments portfolio are both categorized as assets on this table.

(2)Represents the interest-rate risk from our guarantees, which include buy-ups, float, and upfront fees (including buy-downs).

Table 25 - Duration Gap and PVS Results


		1Q 2023			1Q 2022				2Q 2023			2Q 2022
(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	—	$3	$3	—	$8	$11	Average	0.1	$2	$5	(0.1)	$7	$6
Minimum	Minimum	(0.2)	—	—	(0.3)	—	—	Minimum	(0.1)	—	—	(0.4)	—	—
Maximum	Maximum	0.2	9	24	0.4	16	77	Maximum	0.3	6	31	0.1	18	29
Standard deviation	Standard deviation	0.1	2	6	0.2	4	19	Standard deviation	0.1	2	9	0.1	5	9

									YTD 2023			YTD 2022
(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	—	$2	$4	—	$8	$8
Minimum								Minimum	(0.2)	—	—	(0.4)	—	—
Maximum								Maximum	0.3	9	31	0.4	18	77
Standard deviation								Standard deviation	0.1	2	8	0.2	5	15

Derivatives enable us to reduce our economic interest-rate risk exposure as we continue to align our derivative portfolio with the changing duration of our economically hedged assets and liabilities. The table below shows that the PVS-L risk levels, assuming a 50 basis point shift in the yield curve for the periods presented, would have been higher if we had not used derivatives.

Table 26 - PVS-L Results Before Derivatives and After Derivatives


		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, 2023		$1,116	$10	($1,106)
June 30, 2023					June 30, 2023	874	—	(874)
December 31, 2022(1)	December 31, 2022(1)	645	—	(645)	December 31, 2022(1)	645	—	(645)

(1)Before derivatives, our adverse PVS-L rate movement was -50 whereas after derivatives our adverse PVS-L rate movement was +50 bps.


Freddie Mac 2Q 2023 Form 10-Q						32


Management's Discussion and Analysis						Risk Management

Earnings Sensitivity to Market Risk

The accounting treatment for our financial assets and liabilities (i.e., some are measured at amortized cost, while others are measured at fair value) creates variability in our GAAP earnings when interest rates and spreads change. We manage this variability of GAAP earnings, which may not reflect the economics of our business, using fair value hedge accounting. See MD&A - Consolidated Results of Operations and MD&A - Our Business Segments for additional information on the effect of changes in interest rates and market spreads on our financial results.


~~Freddie Mac 1Q 2023 Form 10-Q~~						30


~~Management's Discussion and Analysis~~						~~Risk Management~~

Interest Rate-Related Earnings Sensitivity

While we manage our interest-rate risk exposure on an economic basis to a low level as measured by our models, changes in interest rates may still result in significant earnings variability from period to period.

By electing fair value hedge accounting for certain single-family mortgage loans and certain debt instruments, we are able to reduce the potential variability in our earnings attributable to changes in interest rates. See Note 8 for additional information on hedge accounting.

Earnings Sensitivity to Changes in Interest Rates

We evaluate a range of interest rate scenarios to determine the sensitivity of our earnings due to changes in interest rates and to determine our fair value hedge accounting strategies. The interest rate scenarios evaluated include parallel shifts in the yield curve in which interest rates increase or decrease by 100 basis points, non-parallel shifts in the yield curve in which long-term interest rates increase or decrease by 100 basis points, and non-parallel shifts in the yield curve in which short-term and medium-term interest rates increase or decrease by 100 basis points. This evaluation identifies the net effect on comprehensive income from changes in fair value attributable to changes in interest rates for financial instruments measured at fair value recognized on our condensed consolidated balance sheets at period end, including the effects of fair value hedge accounting, for each of the identified scenarios. This evaluation does not include the net effect on comprehensive income from interest-rate sensitive items that are not measured at fair value (e.g., amortization of mortgage loan premiums and discounts, changes in fair value of held-for-sale mortgage loans for which we have not elected the fair value option), from changes in our future contractual net interest income due to repricing of our interest-bearing assets and liabilities, or from future new business activities. The before-tax results of this evaluation are shown in the table below.

Table 27 - Earnings Sensitivity to Changes in Interest Rates

(In millions)

March 31, 2023

March 31, 2022

(In millions)

June 30, 2023

June 30, 2022

Interest Rate Scenarios(1)

Parallel yield curve shifts:

+100 basis points

$25

($44)

+100 basis points

($44)

$76

-100 basis points

(25)

-100 basis points

(76)

Non-parallel yield curve shifts - long-term interest rates:

+100 basis points

118

181

+100 basis points

130

114

-100 basis points

(118)

(181)

-100 basis points

(130)

(114)

Non-parallel yield curve shifts - short-term and medium-term interest rates:

+100 basis points

(92)

(224)

+100 basis points

(175)

(38)

-100 basis points

224

-100 basis points

175

(1)The earnings sensitivity presented is calculated using the change in interest rates and net effective duration exposure.

The actual effect of changes in interest rates on our comprehensive income in any given period may vary based on a number of factors, including, but not limited to, the composition of our assets and liabilities, the actual changes in interest rates that are realized at different terms along the yield curve, and the effectiveness of our hedge accounting strategies. Even if implemented properly, our hedge accounting programs may not be effective in reducing earnings volatility, and our hedges may fail in any given future period, which could expose us to significant earnings variability in that period.


Freddie Mac 1Q2Q 2023 Form 10-Q						3133


Management's Discussion and Analysis						Liquidity and Capital Resources

LIQUIDITY AND CAPITAL RESOURCES

Our business activities require that we maintain adequate liquidity to meet our financial obligations as they come due and to meet the needs of customers in a timely and cost-efficient manner. We also must maintain adequate capital resources to avoid being placed into receivership by FHFA.

Liquidity

Primary Sources of Liquidity

The following table lists the sources of our liquidity, the balances as of the dates shown, and a brief description of their importance to Freddie Mac.

Table 28 - Liquidity Sources

(In millions)

March 31, 2023(1)

December 31, 2022(1)

Description

(In millions)

June 30, 2023(1)

December 31, 2022(1)

Description

Other Investments Portfolio - Liquidity and Contingency Operating Portfolio

$123,517

$114,339

The liquidity and contingency operating portfolio, included within our other investments portfolio, is primarily used for short-term liquidity management.

Other Investments Portfolio - Liquidity and Contingency Operating Portfolio

$133,338

$114,339

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

25,580

25,853

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.

Mortgage Loans and Mortgage-Related Securities

25,524

25,853

(1)Represents carrying value for the liquidity and contingency operating portfolio, included within our other investments portfolio, and UPB for the liquid portion of the mortgage-related investments portfolio.

Other Investments Portfolio

Our other investments portfolio is important to our cash flow, collateral management, asset and liability management, and ability to provide liquidity and stability to the mortgage market.

Our liquidity and contingency operating portfolio primarily includes securities purchased under agreements to resell and non-mortgage-related securities. Our non-mortgage-related securities consist of U.S. Treasury securities and other investments that we could sell to provide us with an additional source of liquidity to fund our business operations. We also maintain non-interest-bearing deposits at the Federal Reserve Bank of New York and interest-bearing deposits at commercial banks. Our interest-bearing deposits at commercial banks totaled ~~$4.8~~$4.6 billion and $5.0 billion as of ~~March 31,~~June 30, 2023 and December 31, 2022, respectively. See MD&A - Our Portfolios - Investments Portfolio - Other Investments Portfolio for more information about our other investments portfolio.

Mortgage Loans and Mortgage-Related Securities

We invest principally in mortgage loans and mortgage-related securities, certain categories of which are largely unencumbered and liquid. Our primary source of liquidity among these mortgage assets is our holdings of agency securities. See MD&A - Our Portfolios - Investments Portfolio - Mortgage-Related Investments Portfolio for more information about our mortgage loans and mortgage-related securities.


Freddie Mac 1Q2Q 2023 Form 10-Q						3234


Management's Discussion and Analysis						Liquidity and Capital Resources

Primary Sources of Funding

The following table lists the sources of our funding, the balances as of the dates shown, and a brief description of their importance to Freddie Mac.

Table 29 - Funding Sources

(In millions)

March 31, 2023(1)

December 31, 2022(1)

Description

(In millions)

June 30, 2023(1)

December 31, 2022(1)

Description

Debt of Freddie Mac

$180,464

$166,762

Debt of Freddie Mac is used to fund our business activities.

Debt of Freddie Mac

$181,808

$166,762

Debt of Freddie Mac is used to fund our business activities.

Debt of
Consolidated Trusts

2,987,050

2,979,070

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.

Debt of Consolidated Trusts

3,007,278

2,979,070

(1)Represents the carrying value of debt balances after consideration of offsetting arrangements.

Debt of Freddie Mac

We issue debt of Freddie Mac to fund our operations. Competition for funding can vary with economic, financial market, and regulatory environments. The amount, type, and term of debt issued is based on a variety of factors and is designed to meet our ongoing cash needs and to comply with our Liquidity Management Framework.

The table below summarizes the par value and the average rate of debt of Freddie Mac we issued or paid off, including regularly scheduled principal payments, payments resulting from calls, and payments for repurchases. We call, exchange, or repurchase our outstanding debt from time to time for a variety of reasons, including managing our funding composition and supporting the liquidity of our debt securities.

Table 30 - Debt of Freddie Mac Activity


		1Q 2023			1Q 2022				2Q 2023			2Q 2022
(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	$7,716	3.49	%	$—	—	%	Beginning balance	$8,716	4.36	%	$3,300	0.25	%
Issuances	Issuances	50,739	4.18		5,553	0.15		Issuances	28,030	4.65		2,165	1.45
Repayments	Repayments	—	—		—	—		Repayments	—	—		—	—
Maturities	Maturities	(49,739)	4.04		(2,253)	0.01		Maturities	(25,360)	4.31		(2,350)	0.17
Ending balance	Ending balance	8,716	4.36		3,300	0.25		Ending balance	11,386	5.08		3,115	1.14

Securities sold under agreements to repurchase	Securities sold under agreements to repurchase	4,652	4.58		11,260	0.01		Securities sold under agreements to repurchase	9,168	4.99		9,977	1.06
Offsetting arrangements	Offsetting arrangements	(4,652)	—		(11,260)	—		Offsetting arrangements	(9,168)	—		(9,977)	—
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	8,716	4.36		3,300	0.25		Total short-term debt	11,386	5.08		3,115	1.14

Long-term:	Long-term:							Long-term:
Beginning balance	Beginning balance	170,363	2.22		181,613	1.11		Beginning balance	181,384	2.51		164,876	1.21
Issuances	Issuances	14,192	5.33		1,810	2.21		Issuances	20,341	5.44		15,262	3.28
Repayments	Repayments	(2,491)	5.93		(1,834)	2.98		Repayments	(4,020)	5.12		(71)	4.36
Maturities	Maturities	(680)	1.50		(16,713)	0.12		Maturities	(17,131)	0.83		(14,634)	0.42
Total long-term debt	Total long-term debt	181,384	2.51		164,876	1.21		Total long-term debt	180,574	3.21		165,433	1.52
Total debt of Freddie Mac, net	Total debt of Freddie Mac, net	$190,100	2.60	%	$168,176	1.19	%	Total debt of Freddie Mac, net	$191,960	3.32	%	$168,548	1.52	%
Referenced footnote is included after the year-to-date table.								Referenced footnote is included after the year-to-date table.


Freddie Mac 2Q 2023 Form 10-Q						35


Management's Discussion and Analysis						Liquidity and Capital Resources


	YTD 2023			YTD 2022
(Dollars in millions)	Par Value	Average Rate(1)		Par Value	Average Rate(1)
Short-term:
Beginning balance	$7,716	3.49	%	$—	—	%
Issuances	78,769	4.35		7,718	0.51
Repayments	—	—		—	—
Maturities	(75,099)	4.13		(4,603)	0.09
Ending balance	11,386	5.08		3,115	1.14

Securities sold under agreements to repurchase	9,168	4.99		9,977	1.06
Offsetting arrangements	(9,168)	—		(9,977)	—
Securities sold under agreements to repurchase, net	—	—		—	—
Total short-term debt	11,386	5.08		3,115	1.14

Long-term:
Beginning balance	170,363	2.22		181,613	1.11
Issuances	34,533	5.40		17,072	3.17
Repayments	(6,511)	5.43		(1,905)	3.03
Maturities	(17,811)	0.86		(31,347)	0.26
Total long-term debt	180,574	3.21		165,433	1.52
Total debt of Freddie Mac, net	$191,960	3.32	%	$168,548	1.52	%

(1)Average rate is weighted based on par value.

Total debt issuance increased ~~year-over-year primarily~~in 2Q 2023 compared to 2Q 2022 to provide additional liquidity due to the uncertainty created by the debate about increasing the federal debt ceiling. Total debt issuance during YTD 2023 increased compared to YTD 2022 due to the uncertainty related to the federal debt ceiling as well as to fund upcoming debt maturities and anticipated calls of outstanding ~~debt.~~debt during 1Q 2023. As of ~~March 31,~~June 30, 2023, our aggregate indebtedness pursuant to the Purchase Agreement was ~~$190.1~~$192.0 billion, which was below the current $270.0 billion debt cap limit. Our aggregate indebtedness calculation primarily includes the par value of short- and long-term debt.


~~Freddie Mac 1Q 2023 Form 10-Q~~						33


~~Management's Discussion and Analysis~~						~~Liquidity and Capital Resources~~

Maturity and Redemption Dates

The following table presents the par value of debt of Freddie Mac by contractual maturity date and earliest redemption date. The earliest redemption date refers to the earliest call date for callable debt and the contractual maturity date for all other debt of Freddie Mac.

Table 31 - Maturity and Redemption Dates


		As of March 31, 2023		As of December 31, 2022			As of June 30, 2023		As of December 31, 2022
(In millions)	(In millions)	Contractual Maturity Date	Earliest Redemption Date	Contractual Maturity Date	Earliest Redemption Date	(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	$56,692	$161,845	$60,534	$156,515	1 year or less	$68,239	$170,255	$60,534	$156,515
1 year through 2 years	1 year through 2 years	43,276	7,234	32,261	3,820	1 year through 2 years	40,124	6,100	32,261	3,820
2 years through 3 years	2 years through 3 years	50,206	10,106	51,658	13,071	2 years through 3 years	47,119	9,893	51,658	13,071
3 years through 4 years	3 years through 4 years	5,580	198	5,739	212	3 years through 4 years	7,630	106	5,739	212
4 years through 5 years	4 years through 5 years	8,713	204	7,603	170	4 years through 5 years	8,783	364	7,603	170
Thereafter	Thereafter	26,750	11,630	27,623	11,630	Thereafter	26,293	11,470	27,623	11,630
STACR and SCR debt(2)	STACR and SCR debt(2)	3,535	3,535	4,652	4,652	STACR and SCR debt(2)	2,940	2,940	4,652	4,652
Total debt of Freddie Mac	Total debt of Freddie Mac	$194,752	$194,752	$190,070	$190,070	Total debt of Freddie Mac	$201,128	$201,128	$190,070	$190,070

(1)Includes payables related to securities sold under agreements to repurchase that we offset against receivables related to securities purchased under agreements to resell on our condensed consolidated balance sheets, when such amounts meet the conditions for offsetting in the accounting guidance.

(2)STACR debt notes and SCR debt notes are subject to prepayment risk as their payments are based upon the performance of a reference pool of mortgage assets that may be prepaid by the related mortgage borrower at any time generally without penalty and are, therefore, included as a separate category in the table.


Freddie Mac 2Q 2023 Form 10-Q						36


Management's Discussion and Analysis						Liquidity and Capital Resources

Debt of Consolidated Trusts

The largest component of debt on our condensed consolidated balance sheets is debt of consolidated trusts, which relates to securitization transactions that we consolidate for accounting purposes. We primarily issue this type of debt by securitizing mortgage loans to fund our Single-Family guarantee activities.

The table below shows activity for the debt of consolidated trusts.

Table 32 - Debt of Consolidated Trusts Activity


(In millions)	(In millions)	1Q 2023	1Q 2022	(In millions)	2Q 2023	2Q 2022	YTD 2023	YTD 2022
Beginning balance	Beginning balance	$2,929,567	$2,732,056	Beginning balance	$2,938,721	$2,835,071	$2,929,567	$2,732,056
Issuances	Issuances	87,021	295,247	Issuances	114,546	203,919	201,567	499,166
Repayments and extinguishments	Repayments and extinguishments	(77,867)	(192,232)	Repayments and extinguishments	(92,271)	(161,268)	(170,138)	(353,500)
Ending balance	Ending balance	2,938,721	2,835,071	Ending balance	2,960,996	2,877,722	2,960,996	2,877,722
Unamortized premiums and discounts	Unamortized premiums and discounts	48,329	64,155	Unamortized premiums and discounts	46,282	56,393	46,282	56,393
Debt of consolidated trusts	Debt of consolidated trusts	$2,987,050	$2,899,226	Debt of consolidated trusts	$3,007,278	$2,934,115	$3,007,278	$2,934,115

Credit Ratings

On May 25, 2023, Fitch changed our credit rating Outlook from Stable to Negative Watch due to the uncertainty created by the debate about increasing the federal debt ceiling. For additional information on our credit ratings, seeMD&A - Liquidity and Capital Resources in our 2022 Annual Report.

Off-Balance Sheet Arrangements

We enter into certain business arrangements that are not recorded on our condensed consolidated balance sheets or that may be recorded in amounts that differ from the full contractual or notional amount of the transaction that affect our short- and long-term liquidity needs. Our off-balance sheet arrangements primarily consist of guarantees and commitments. See Note 2 and Note 4 for additional information on these transactions. See MD&A - Risk Management - Credit Risk for additional information on our credit risk exposure on off-balance sheet arrangements.

Cash Flows

Cash and cash equivalents (including restricted cash and cash equivalents) ~~decreased by $4.7 billion~~increased slightly from ~~$10.5~~$5.3 billion as of ~~March 31,~~June 30, 2022 to ~~$5.9~~$5.5 billion as of ~~March 31, 2023, primarily driven by an increase in securities purchased under agreements to resell.~~June 30, 2023.


Freddie Mac 1Q2Q 2023 Form 10-Q						3437


Management's Discussion and Analysis						Liquidity and Capital Resources

Capital Resources

The table below presents activity related to our net worth.

Table 33 - Net Worth Activity


(In millions)	(In millions)	1Q 2023	1Q 2022	(In millions)	2Q 2023	2Q 2022	YTD 2023	YTD 2022
Beginning balance	Beginning balance	$37,018	$28,033	Beginning balance	$39,067	$31,711	$37,018	$28,033
Comprehensive income (loss)		2,049	3,678
Comprehensive income				Comprehensive income	2,890	2,387	4,939	6,065
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	$39,067	$31,711	Total equity / net worth	$41,957	$34,098	$41,957	$34,098

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	109,666	100,681	Liquidation preference of the senior preferred stock	111,715	104,359	111,715	104,359

ERCF

The charts below present the ERCF capital adequacy requirements under the risk-based capital requirement (CET1 capital ratio relative to RWA) and leverage capital requirement (Tier 1 capital ratio relative to ATA).

Risk-Based Capital Requirement: CET1 Capital Ratio

Leverage Capital Requirement: Tier 1 Capital Ratio


Freddie Mac 1Q2Q 2023 Form 10-Q						3538


Management's Discussion and Analysis						Liquidity and Capital Resources

Capital Metrics

The table below presents the components of our regulatory capital.

Table 34 - Regulatory Capital Components


(In billions)	(In billions)	March 31, 2023	December 31, 2022	(In billions)	June 30, 2023	December 31, 2022
Total equity	Total equity	$39	$37	Total equity	$42	$37
Less:	Less:			Less:
Senior preferred stock	Senior preferred stock	73	73	Senior preferred stock	73	73
Preferred stock	Preferred stock	14	14	Preferred stock	14	14
Common equity	Common equity	(48)	(50)	Common equity	(45)	(50)
Less: deferred tax assets arising from temporary differences that exceed 10% of CET1 capital and other regulatory adjustments	Less: deferred tax assets arising from temporary differences that exceed 10% of CET1 capital and other regulatory adjustments	5	5	Less: deferred tax assets arising from temporary differences that exceed 10% of CET1 capital and other regulatory adjustments	5	5
Common equity Tier 1 capital	Common equity Tier 1 capital	(53)	(55)	Common equity Tier 1 capital	(50)	(55)
Add: Preferred stock	Add: Preferred stock	14	14	Add: Preferred stock	14	14
Tier 1 capital	Tier 1 capital	(39)	(41)	Tier 1 capital	(36)	(41)
Tier 2 capital adjustments	Tier 2 capital adjustments	—	—	Tier 2 capital adjustments	—	—
Adjusted total capital	Adjusted total capital	($39)	($41)	Adjusted total capital	($36)	($41)

The table below presents the components of our statutory capital.

Table 35 - Statutory Capital Components

(In billions) March 31, 2023 December 31, 2022
Total equity $39 $37
Less:
Senior preferred stock 73 73
AOCI, net of taxes (1) (1)
Core capital (33) (35)
General allowance for foreclosure losses(1)
8 8
Total capital ($25) ($27)


(In billions)	June 30, 2023	December 31, 2022
Total equity	$42	$37
Less:
Senior preferred stock	73	73
AOCI, net of taxes	—	(1)
Core capital	(31)	(35)
General allowance for foreclosure losses(1)	8	8
Total capital	($23)	($27)

(1)Represents our allowance for credit losses.


Freddie Mac 1Q2Q 2023 Form 10-Q						3639


Management's Discussion and Analysis						Liquidity and Capital Resources

Table 36 - Capital Metrics Under ERCF


(In billions)	(In billions)				March 31, 2023					December 31, 2022				(In billions)				June 30, 2023				December 31, 2022
Adjusted total assets	Adjusted total assets			$3,716				$3,710				Adjusted total assets			$3,744					$3,710
Risk-weighted assets (standardized approach):	Risk-weighted assets (standardized approach):											Risk-weighted assets (standardized approach):
Credit risk	Credit risk			781				778				Credit risk			802					778
Market risk	Market risk			57				51				Market risk			57					51
Operational risk	Operational risk			70				70				Operational risk			70					70
Total risk-weighted assets	Total risk-weighted assets			$908				$899				Total risk-weighted assets			$929					$899

(In billions)	(In billions)				March 31, 2023					December 31, 2022				(In billions)				June 30, 2023				December 31, 2022
Stress capital buffer	Stress capital buffer			$27				$27				Stress capital buffer			$28					$27
Stability capital buffer	Stability capital buffer			23				23				Stability capital buffer			23					23
Countercyclical capital buffer amount	Countercyclical capital buffer amount			—				—				Countercyclical capital buffer amount			—					—
PCCBA	PCCBA			$50				$50				PCCBA			$51					$50
PLBA	PLBA			$11				$11				PLBA			$11					$11

		March 31, 2023													June 30, 2023
(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	Total capital	$73		N/A			$73			($25)		($98)		Total capital	$74		N/A			$74		($23)		($97)
CET1 capital	CET1 capital	41		$50			91			(53)		(144)		CET1 capital	42		$51			93		(50)		(143)
Tier 1 capital	Tier 1 capital	54		50			104			(39)		(143)		Tier 1 capital	56		51			107		(36)		(143)
Adjusted total capital	Adjusted total capital	73		50			123			(39)		(162)		Adjusted total capital	74		51			125		(36)		(161)
Risk-based capital ratios(2):	Risk-based capital ratios(2):													Risk-based capital ratios(2):
Total capital	Total capital	8.0	%	N/A			8.0		%	(2.8)	%	(10.8)	%	Total capital	8.0	%	N/A			8.0	%	(2.4)	%	(10.4)	%
CET1 capital	CET1 capital	4.5		5.6		%	10.1			(5.8)		(15.9)		CET1 capital	4.5		5.4		%	9.9		(5.4)		(15.3)
Tier 1 capital	Tier 1 capital	6.0		5.6			11.6			(4.3)		(15.9)		Tier 1 capital	6.0		5.4			11.4		(3.9)		(15.3)
Adjusted total capital	Adjusted total capital	8.0		5.6			13.6			(4.3)		(17.9)		Adjusted total capital	8.0		5.4			13.4		(3.9)		(17.3)
Leverage capital amounts:	Leverage capital amounts:													Leverage capital amounts:
Core capital	Core capital	$93		N/A			$93			($33)		($126)		Core capital	$94		N/A			$94		($31)		($125)
Tier 1 capital	Tier 1 capital	93		$11			104			(39)		(143)		Tier 1 capital	94		$11			105		(36)		(141)
Leverage capital ratios(3):	Leverage capital ratios(3):													Leverage capital ratios(3):
Core capital	Core capital	2.5	%	N/A			2.5		%	(0.9)	%	(3.4)	%	Core capital	2.5	%	N/A			2.5	%	(0.8)	%	(3.3)	%
Tier 1 capital	Tier 1 capital	2.5		0.3		%	2.8			(1.0)		(3.8)		Tier 1 capital	2.5		0.3		%	2.8		(1.0)		(3.8)

Referenced footnotes are included after the prior period table.


Freddie Mac 1Q2Q 2023 Form 10-Q						3740


Management's Discussion and Analysis						Liquidity and Capital Resources


	December 31, 2022
(Dollars in billions)	Minimum Capital Requirement		Applicable Buffer(1)		Capital Requirement (Including Buffer)		Available Capital (Deficit)		Capital Shortfall
Risk-based capital amounts:
Total capital	$72		N/A		$72		($27)		($99)
CET1 capital	40		$50		90		(55)		(145)
Tier 1 capital	54		50		104		(41)		(145)
Adjusted total capital	72		50		122		(41)		(163)
Risk-based capital ratios(2):
Total capital	8.0	%	N/A		8.0	%	(3.1)	%	(11.1)	%
CET1 capital	4.5		5.6	%	10.1		(6.2)		(16.3)
Tier 1 capital	6.0		5.6		11.6		(4.6)		(16.2)
Adjusted total capital	8.0		5.6		13.6		(4.6)		(18.2)
Leverage capital amounts:
Core capital	$93		N/A		$93		($35)		($128)
Tier 1 capital	93		$11		104		(41)		(145)
Leverage capital ratios(3):
Core capital	2.5	%	N/A		2.5	%	(1.0)	%	(3.5)	%
Tier 1 capital	2.5		0.3	%	2.8		(1.1)		(3.9)

(1)PCCBA for risk-based capital and PLBA for leverage capital.

(2)As a percentage of RWA.

(3)As a percentage of ATA.

At ~~March 31,~~June 30, 2023, our maximum payout ratio under the ERCF was 0.0%.

See Note 15 for additional information on our capital amounts ~~of capital~~ and ratios under ~~the ERCF and see~~ ~~MD&A - Regulation and Supervision -~~ ~~Capital Standards and Public Disclosures~~ ~~for additional information on~~ the ERCF.


Freddie Mac 1Q2Q 2023 Form 10-Q						3841


Management's Discussion and Analysis						Critical Accounting Estimates

CRITICAL ACCOUNTING ESTIMATES

Our critical accounting estimates and policies relate to the Single-Family allowance for credit losses. For additional information about our critical accounting estimates and other significant accounting policies, see Note 1 and Critical Accounting Estimates in our 2022 Annual Report.

Single-Family Allowance for Credit Losses

The Single-Family allowance for credit losses represents our estimate of expected credit losses over the contractual term of the mortgage loans. The Single-Family allowance for credit losses pertains to all single-family loans classified as held-for-investment on our condensed consolidated balance sheets.

Determining the appropriateness of the Single-Family allowance for credit losses is a complex process that is subject to numerous estimates and assumptions requiring significant management judgment about matters that involve a high degree of subjectivity. This process involves the use of models that require us to make judgments about matters that are difficult to ~~predict, the most significant of which is the probability of default.~~predict.

Changes in forecasted house price growth rates can have a significant effect on our allowance for credit losses estimates. The table below shows our nationwide forecasted house price growth rates that were used in determining our allowance for credit losses. See Note 5 for additional information regarding our current period provision for credit losses.

Table 37 - Forecasted House Price Growth Rates


		12-Month Forward		13- to 24-Month Forward			12-Month Forward		13- to 24-Month Forward

June 30, 2023						June 30, 2023	0.8	%	0.9	%
March 31, 2023	March 31, 2023	(2.9)	%	(1.3)	%	March 31, 2023	(2.9)		(1.3)
December 31, 2022	December 31, 2022	(3.0)		(1.8)		December 31, 2022	(3.0)		(1.8)


Freddie Mac 1Q2Q 2023 Form 10-Q						3942


Management's Discussion and Analysis						Regulation and Supervision

REGULATION AND SUPERVISION

In addition to oversight by FHFA as our Conservator, we are subject to regulation and oversight by FHFA under our Charter and the GSE Act and to certain regulation by other government agencies. FHFA has the power to require us from time to time to change our processes, take action and/or stop taking action that could impact our business. Furthermore, regulatory activities by other government agencies can affect us indirectly, even if we are not directly subject to such agencies' regulation or oversight. For example, regulations that modify requirements applicable to the purchase or servicing of mortgages can affect us.

Federal Housing Finance Agency

Targeted ~~Pricing~~ Changes to Enterprise Pricing Framework

In January 2023, FHFA announced further changes to Freddie ~~Mac and Fannie Mae’s~~Mac’s single-family pricing framework by introducing, ~~redesigned and recalibrated upfront fee matrices for purchase, rate-term refinance, and cash-out refinance loans, including~~among other things, a new upfront feefor certain borrowers with a DTI ratio above 40 percent. OnIn March ~~15,~~ 2023, FHFA announced that it would delay the effective date of the DTI ratio-based fee by three months from May 1, 2023, to August 1, ~~2023, to ensure a level playing field for all lenders to have sufficient time to deploy the fee.~~

~~Single-Family Social Bond Policy~~

~~In February~~2023. On May 10, 2023, FHFA ~~requested input~~announced the rescission of the DTI ratio-based upfront fee for loans acquired by Freddie Mac.

On May 15, 2023, FHFA issued a Request for Input (RFI) on Freddie ~~Mac~~Mac’s single-family pricing framework. The RFI solicits public feedback on the goals and ~~Fannie Mae’s single-family social bond~~ policy ~~and program design.~~priorities that FHFA ~~solicited~~should pursue in its oversight of the pricing framework. FHFA also seeks input on the ~~opportunities and potential risks associated with~~process for setting the Enterprises’ single-family ~~social bond issuance,~~upfront guarantee fees, including ~~with regard~~whether it is appropriate to ~~borrower benefits and privacy. FHFA also sought input~~continue to ~~facilitate defining~~link upfront guarantee fees to the ~~criteria and appropriate~~ERCF, which has a significant impact ~~measures~~on the risk-based pricing component of the Enterprises’ guarantee fees.

Request for ~~Enterprise-labeled single-family social bonds.~~

~~Capital Standards and Public Disclosures~~Input on Multifamily Tenant Protections

On ~~February 23,~~May 30, 2023, FHFA ~~announced~~issued an RFI on tenant protections at multifamily properties with mortgages backed by Freddie Mac. This RFI will assist FHFA in exploring possible ways that ~~it is seeking comment on a notice of proposed rulemaking~~we could advance our mission. Specifically, the RFI seeks: (1) to collect information that ~~would amend several provisions~~highlights tenants’ experiences and stakeholders’ perspectives to explore challenges faced at multifamily properties; and (2) to solicit ideas for improved data collection to better quantify the size and scope of the ~~ERCF~~issues experienced by tenants.

Quality Control Standards for Freddie Mac and Fannie Mae. The proposed rule includes modifications of certain provisions of the ERCF related to guarantees on commingled securities, multifamily mortgage exposures secured by properties with government subsidies, derivatives and cleared transactions, and credit scores. These proposed amendments would clarify certain aspects of the ERCF and help to further align the ERCF with the risks faced by the Enterprises.

~~Resecuritization Fee for New Issuances of Commingled Securities~~Automated Valuation Models

~~Effective July 1, 2022, as~~On June 21, 2023, six federal regulatory agencies, including FHFA, requested public comment on a ~~result~~proposed rule designed to ensure the credibility and integrity of models used in real estate valuations. In particular, the ~~ERCF, Freddie Mac began charging~~proposed rule would implement quality control standards for automated valuation models (AVMs) used by mortgage originators and secondary market issuers in valuing real estate collateral securing mortgage loans. The proposed standards are designed to ensure a ~~50 bps fee for any newly-issued commingled security. This fee applied~~high level of confidence in the estimates produced by AVMs; help protect against the manipulation of data; seek to ~~collateral issued by Fannie Mae based on the UPB~~avoid conflicts of the collateral when it is used for a new commingled security. Freddie Mac has not been applying the fee to any Freddie Mac-issued collateral used for a new commingled security. Due to the market's reaction to this fee, our issuances of commingled securities effectively ceased after July 1, 2022. Effective April 1, 2023, we reduced the fee from 50 bps to 9.375 bps per FHFA's guidance.interest; require random sample testing and reviews; and promote compliance with applicable nondiscrimination laws.

Legislative and Regulatory Developments

~~Enhanced Payment Deferral Policies for Borrowers Facing Financial Hardship~~Middle Class Borrower Protection Act of 2023

~~Effective July~~On June 23, 2023, the House of Representatives passed the Middle Class Borrower Protection Act of 2023. The bill would require FHFA to reverse the changes in fees charged by Freddie Mac and Fannie Mae on certain single-family mortgages and would restrict future fee adjustments. If the bill becomes law, the fee structure that was in place prior to May 1, 2023 ~~Freddie Mac,~~would be reinstated and would stay in ~~conjunction with Fannie Mae~~place until the U.S. Government Accountability Office completes an assessment of the current fee structure and ~~under~~releases its report, 90 days after which FHFA may propose adjustments to the ~~direction of~~fee structure. FHFA ~~will implement~~would be required to follow the Administrative Procedure Act requirements as closely as practical when proposing adjustment to the fee structure. Any loan-level pricing adjustment fees based on a ~~new payment deferral policy allowing eligible borrowers recovering from short-term hardship~~mortgagor’s debt to ~~defer up~~income ratio would be prohibited. The bill has been received in the Senate and referred to ~~six months of delinquent mortgage payments. This policy is separate from our COVID-19~~the Senate Banking, Housing, and ~~Disaster Payment Deferral policies.~~

Urban Affairs Committee.


Freddie Mac 1Q2Q 2023 Form 10-Q						40


~~Management's Discussion and Analysis~~						~~Regulation and Supervision~~

~~Updated Equitable Housing Finance Plan~~

On April 5, 2023, FHFA announced updates to Freddie Mac and Fannie Mae’s 2022-2024 Equitable Housing Finance Plans for 2023. The updates build upon the inaugural plans first announced last year and make adjustments based on initial research and findings.

In addition, we released a performance report that outlines our progress under our Equitable Housing Finance Plan during 2022 and actions we are taking to advance equity in our automated underwriting systems, such as the inclusion of rental payments and cash flow underwriting and the use of advanced statistical techniques to improve model fairness.

~~Final Rule Amending the Duty to Serve Underserved Markets Regulation~~

On April 12, 2023, FHFA issued a final rule to amend the Enterprise Duty to Serve Underserved Markets regulation. The final rule allows Freddie Mac’s activities in all colonia census tracts to be eligible for Duty to Serve credit. The final rule: (1) adds a new definition for “colonia census tract” to mean that a census tract containing a colonia will serve as a census tract-based proxy for a colonia; (2) amends the definition of “high-needs rural region” by substituting “colonia census tract” for “colonia”; and (3) amends the definition of “rural area” to include all colonia census tracts, regardless of their location. The final rule will go into effect on July 1, 2023.

~~Fair Lending, Fair Housing, and Equitable Housing Finance Plans~~

On April 19, 2023, FHFA announced that it is seeking comment on a notice of proposed rulemaking that would formalize many of its existing practices and programs regarding fair housing and fair lending oversight of its regulated entities.

~~Specifically, the proposed rule would codify in regulation:~~

n~~FHFA’s fair lending oversight requirements for Freddie Mac and Fannie Mae and the Federal Home Loan Banks;~~

n~~The requirements for the Enterprises to maintain Equitable Housing Finance Plans; and~~

n~~The requirements for the Enterprises to collect and report homeownership education, housing counseling, and language preference information from the Supplemental Consumer Information Form.~~

~~The proposed rule would also expand requirements for the Enterprises in fair lending compliance and provide greater oversight and transparency regarding the Equitable Housing Finance Plans.~~


~~Freddie Mac 1Q 2023 Form 10-Q~~						4143


Management's Discussion and Analysis			Forward-Looking Statements

FORWARD-LOOKING STATEMENTS

We regularly communicate information concerning our business activities to investors, the news media, securities analysts, and others as part of our normal operations. Some of these communications, including this Form 10-Q, contain "forward-looking statements." Examples of forward-looking statements include, but are not limited to, statements pertaining to the conservatorship, our current expectations and objectives for the Single-Family and Multifamily segments of our business, our efforts to assist the housing market, our liquidity and capital management, economic and market conditions and trends including, but not limited to, changes in observed and forecasted house price appreciation, our market share, the effect of legislative and regulatory developments and new accounting guidance, the credit quality of loans we own or guarantee, the costs and benefits of our CRT transactions, banking crises or failures, the effects of natural disasters, other catastrophic events, and significant climate change effects and actions taken in response thereto on our business, and our results of operations and financial condition. Forward-looking statements involve known and unknown risks and uncertainties, some of which are beyond our control. Forward-looking statements are often accompanied by, and identified with, terms such as "could," "may," "will," "believe," "expect," "anticipate," "forecast," and similar phrases. These statements are not historical facts, but rather represent our expectations based on current information, plans, judgments, assumptions, estimates, and projections. Actual results may differ significantly from those described in or implied by such forward-looking statements due to various factors and uncertainties, including those described in the Risk Factors section in our 2022 Annual Report, and including, without limitation, the following:

n The actions the federal government (including FHFA, Treasury, and Congress) and state governments may take, require us to take, or restrict us from taking, including actions to promote equitable access to affordable and sustainable housing, such as programs to implement the expectations in FHFA's Conservatorship Scorecards, recent requirements and guidance related to equitable housing, and other objectives for us;

n Changes in the fiscal and monetary policies of the Federal Reserve, including changes in target interest rates and in the amount of agency MBS and agency CMBS held by the Federal Reserve;

n The effect of the restrictions on our business due to the conservatorship and the Purchase Agreement;

n Changes in our Charter, applicable legislative or regulatory requirements (including any legislation affecting the future status of our company), or the Purchase Agreement;

n Changes to our capital requirements and potential effects of such changes on our business strategies;

n Changes in tax laws;

n Changes in privacy and cybersecurity laws and regulations;

n Changes in accounting policies, practices, standards, or guidance;

n Changes in economic and market conditions, including volatility in the financial services industry, changes in employment rates, inflation, interest rates, spreads, and house prices;

n Changes in the U.S. residential mortgage market, including changes in the supply and type of loan products (e.g., refinance vs. purchase and fixed-rate vs. ARM);

n The success of our efforts to mitigate our losses on our Single-Family mortgage portfolio;

n The success of our strategy to transfer mortgage credit risk through STACR, ACIS, K Certificate, SCR, MCIP, and other CRT transactions;

n Our ability to maintain adequate liquidity to fund our operations;

n Our ability to maintain the security and resiliency of our operational systems and infrastructure, including against cyberattacks or other security incidents, whether due to insider error or malfeasance or system errors or vulnerabilities in our or our third parties' systems;

n Our ability to effectively execute our business strategies, implement significant changes, and improve efficiency;

n The adequacy of our risk management framework, including the adequacy of our regulatory capital framework prescribed by FHFA and internal models for measuring risk;

n Our ability to manage mortgage credit risk, including the effect of changes in underwriting and servicing practices;

n Our ability to limit or manage our economic exposure and GAAP earnings exposure to interest-rate volatility and spread volatility, including the availability of derivative financial instruments needed for interest-rate risk management purposes and our ability to apply hedge accounting;

n Our operational ability to issue new securities, make timely and correct payments on securities, and provide initial and ongoing disclosures;

n Our reliance on CSS and the CSP for the operation of the majority of our Single-Family securitization activities, limits on our influence over CSS Board decisions, and any additional changes FHFA may require in our relationship with, or support of, CSS;

n Changes in the methodologies, models, assumptions, and estimates we use to prepare our financial statements, make business decisions, and manage risks;


Freddie Mac 1Q2Q 2023 Form 10-Q						4244


Management's Discussion and Analysis			Forward-Looking Statements

n Changes in investor demand for our debt or mortgage-related securities;

n Our ability to maintain market acceptance of the UMBS, including our ability to maintain alignment of the prepayment speeds of our and Fannie Mae's respective UMBS;

n Changes in the practices of loan originators, servicers, investors, and other participants in the secondary mortgage market;

n Competition from other market participants, which could affect the pricing we offer for our products, the credit characteristics of the loans we purchase, and our ability to meet our affordable housing goals and other mandated activities;

n The ~~discontinuance of, transition~~adverse consequences on our business and operations that may occur from ~~or replacement~~the discontinuance of LIBOR and the ~~adverse consequences it could have on our business and operations;~~transition to SOFR as the replacement;

n The availability of critical third parties, or their vendors and other business partners, to deliver products or services, or to manage risks, including cybersecurity risk, effectively;

n The occurrence of a major natural disaster, other catastrophic event, or significant climate change effects in areas in which our offices, significant portions of our total mortgage portfolio, or the offices of critical third parties are located, and for which we may be uninsured or significantly underinsured; and

n Other factors and assumptions described in this Form 10-Q and our 2022 Annual Report, including in the MD&A section.

Forward-looking statements are made only as of the date of this Form 10-Q, and we undertake no obligation to update any forward-looking statements we make to reflect events or circumstances occurring after the date of this Form 10-Q.


Freddie Mac 1Q2Q 2023 Form 10-Q						4345


Financial Statements

Financial Statements


Freddie Mac 1Q2Q 2023 Form 10-Q						4446


Financial Statements			Condensed Consolidated Statements of Income and Comprehensive Income

FREDDIE MAC

Condensed Consolidated Statements of Income and Comprehensive Income (Unaudited)


(In millions, except share-related amounts)	(In millions, except share-related amounts)	1Q 2023	1Q 2022	(In millions, except share-related amounts)	2Q 2023	2Q 2022	YTD 2023	YTD 2022
Net interest income	Net interest income			Net interest income
Interest income	Interest income	$24,987	$17,740	Interest income	$25,755	$20,008	$50,742	$37,748
Interest expense	Interest expense	(20,486)	(13,636)	Interest expense	(21,232)	(15,249)	(41,718)	(28,885)
Net interest income	Net interest income	4,501	4,104	Net interest income	4,523	4,759	9,024	8,863

Non-interest income	Non-interest income			Non-interest income
Guarantee income	Guarantee income	466	70	Guarantee income	309	205	775	275
Investment gains, net	Investment gains, net	(225)	1,513	Investment gains, net	411	321	186	1,834
Other income	Other income	85	159	Other income	96	119	181	278
Non-interest income	Non-interest income	326	1,742	Non-interest income	816	645	1,142	2,387
Net revenues	Net revenues	4,827	5,846	Net revenues	5,339	5,404	10,166	11,250

(Provision) benefit for credit losses	(Provision) benefit for credit losses	(395)	837	(Provision) benefit for credit losses	537	(307)	142	530

Non-interest expense	Non-interest expense			Non-interest expense
Salaries and employee benefits	Salaries and employee benefits	(374)	(356)	Salaries and employee benefits	(405)	(376)	(779)	(732)

Credit enhancement expense	Credit enhancement expense	(530)	(459)	Credit enhancement expense	(590)	(558)	(1,120)	(1,017)
Benefit for (decrease in) credit enhancement recoveries	Benefit for (decrease in) credit enhancement recoveries	49	(17)	Benefit for (decrease in) credit enhancement recoveries	(108)	(1)	(59)	(18)

Legislative assessments expense	Legislative assessments expense	(735)	(759)	Legislative assessments expense	(751)	(748)	(1,486)	(1,507)
Other expense	Other expense	(342)	(341)	Other expense	(350)	(337)	(692)	(678)
Non-interest expense	Non-interest expense	(1,932)	(1,932)	Non-interest expense	(2,204)	(2,020)	(4,136)	(3,952)

Income before income tax expense	Income before income tax expense	2,500	4,751	Income before income tax expense	3,672	3,077	6,172	7,828
Income tax expense	Income tax expense	(505)	(953)	Income tax expense	(728)	(624)	(1,233)	(1,577)
Net income	Net income	1,995	3,798	Net income	2,944	2,453	4,939	6,251

Other comprehensive income (loss), net of taxes and reclassification adjustments	Other comprehensive income (loss), net of taxes and reclassification adjustments	54	(120)	Other comprehensive income (loss), net of taxes and reclassification adjustments	(54)	(66)	—	(186)
Comprehensive income	Comprehensive income	$2,049	$3,678	Comprehensive income	$2,890	$2,387	$4,939	$6,065

Net income	Net income	$1,995	$3,798	Net income	$2,944	$2,453	$4,939	$6,251
Amounts attributable to senior preferred stock	Amounts attributable to senior preferred stock	(2,049)	(3,678)	Amounts attributable to senior preferred stock	(2,890)	(2,387)	(4,939)	(6,065)
Net income attributable to common stockholders	Net income attributable to common stockholders	($54)	$120	Net income attributable to common stockholders	$54	$66	$—	$186
Net income per common share	Net income per common share	($0.02)	$0.04	Net income per common share	$0.02	$0.02	$—	$0.06
Weighted average common shares (in millions)	Weighted average common shares (in millions)	3,234	3,234	Weighted average common shares (in millions)	3,234	3,234	3,234	3,234

The accompanying notes are an integral part of these condensed consolidated financial statements.


Freddie Mac 1Q2Q 2023 Form 10-Q						4547


Financial Statements			Condensed Consolidated Balance Sheets

FREDDIE MAC

Condensed Consolidated Balance Sheets (Unaudited)


		March 31,	December 31,		June 30,	December 31,
(In millions, except share-related amounts)	(In millions, except share-related amounts)	2023	2022	(In millions, except share-related amounts)	2023	2022
Assets	Assets			Assets
Cash and cash equivalents (includes $834 and $707 of restricted cash and cash equivalents)		$5,873	$6,360
Cash and cash equivalents (includes $793 and $707 of restricted cash and cash equivalents)				Cash and cash equivalents (includes $793 and $707 of restricted cash and cash equivalents)	$5,514	$6,360
Securities purchased under agreements to resell	Securities purchased under agreements to resell	108,036	87,295	Securities purchased under agreements to resell	112,386	87,295
Investment securities, at fair value	Investment securities, at fair value	37,712	38,701	Investment securities, at fair value	41,629	38,701
Mortgage loans held-for-sale (includes $2,926 and $3,218 at fair value)		12,782	12,197
Mortgage loans held-for-investment (net of allowance for credit losses of $7,835 and $7,391 and includes $1,238 and $1,214 at fair value)		3,024,249	3,022,318
Mortgage loans held-for-sale (includes $5,712 and $3,218 at fair value)				Mortgage loans held-for-sale (includes $5,712 and $3,218 at fair value)	11,695	12,197
Mortgage loans held-for-investment (net of allowance for credit losses of $7,339 and $7,391 and includes $1,359 and $1,214 at fair value)				Mortgage loans held-for-investment (net of allowance for credit losses of $7,339 and $7,391 and includes $1,359 and $1,214 at fair value)	3,042,604	3,022,318
Accrued interest receivable, net	Accrued interest receivable, net	8,662	8,529	Accrued interest receivable, net	9,081	8,529
Deferred tax assets, net	Deferred tax assets, net	5,329	5,777	Deferred tax assets, net	5,237	5,777
Other assets (includes $5,982 and $5,890 at fair value)		22,337	27,156
Other assets (includes $5,840 and $5,890 at fair value)				Other assets (includes $5,840 and $5,890 at fair value)	22,810	27,156
Total assets	Total assets	$3,224,980	$3,208,333	Total assets	$3,250,956	$3,208,333
Liabilities and equity	Liabilities and equity			Liabilities and equity
Liabilities	Liabilities			Liabilities
Accrued interest payable	Accrued interest payable	$7,507	$7,309	Accrued interest payable	$8,049	$7,309
Debt (includes $2,811 and $3,047 at fair value)		3,167,514	3,145,832
Other liabilities (includes $894 and $759 at fair value)		10,892	18,174
Debt (includes $1,995 and $3,047 at fair value)				Debt (includes $1,995 and $3,047 at fair value)	3,189,086	3,145,832
Other liabilities (includes $1,017 and $759 at fair value)				Other liabilities (includes $1,017 and $759 at fair value)	11,864	18,174
Total liabilities	Total liabilities	3,185,913	3,171,315	Total liabilities	3,208,999	3,171,315
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 $109,666 and $107,878)		72,648	72,648
Senior preferred stock (liquidation preference of $111,715 and $107,878)				Senior preferred stock (liquidation preference of $111,715 and $107,878)	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	Retained earnings	(43,671)	(45,666)	Retained earnings	(40,727)	(45,666)
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	(32)	(84)	Available-for-sale securities	(88)	(84)
Other	Other	(102)	(104)	Other	(100)	(104)
AOCI, net of taxes	AOCI, net of taxes	(134)	(188)	AOCI, net of taxes	(188)	(188)
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	39,067	37,018	Total equity	41,957	37,018
Total liabilities and equity	Total liabilities and equity	$3,224,980	$3,208,333	Total liabilities and equity	$3,250,956	$3,208,333

The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on our condensed consolidated balance sheets.


		March 31,	December 31,		June 30,	December 31,
(In millions)	(In millions)	2023	2022	(In millions)	2023	2022

Assets:	Assets:			Assets:

Cash and cash equivalents (includes $740 and $610 of restricted cash and cash equivalents)		$741	$611
Cash and cash equivalents (includes $700 and $610 of restricted cash and cash equivalents)				Cash and cash equivalents (includes $700 and $610 of restricted cash and cash equivalents)	$701	$611
Securities purchased under agreements to resell	Securities purchased under agreements to resell	10,881	9,703	Securities purchased under agreements to resell	11,265	9,703
Investment securities, at fair value	Investment securities, at fair value	113	126	Investment securities, at fair value	94	126
Mortgage loans held-for-investment, net	Mortgage loans held-for-investment, net	2,977,998	2,971,601	Mortgage loans held-for-investment, net	2,995,770	2,971,601
Accrued interest receivable, net	Accrued interest receivable, net	8,083	7,944	Accrued interest receivable, net	8,288	7,944
Other assets	Other assets	5,925	5,019	Other assets	6,653	5,019
Total assets of consolidated VIEs	Total assets of consolidated VIEs	$3,003,741	$2,995,004	Total assets of consolidated VIEs	$3,022,771	$2,995,004
Liabilities:	Liabilities:			Liabilities:
Accrued interest payable	Accrued interest payable	$6,779	$6,619	Accrued interest payable	$7,014	$6,619
Debt	Debt	2,987,050	2,979,070	Debt	3,007,278	2,979,070
Total liabilities of consolidated VIEs	Total liabilities of consolidated VIEs	$2,993,829	$2,985,689	Total liabilities of consolidated VIEs	$3,014,292	$2,985,689

The accompanying notes are an integral part of these condensed consolidated financial statements.


Freddie Mac 1Q2Q 2023 Form 10-Q						4648


Financial Statements			Condensed Consolidated Statements of Equity

FREDDIE MAC

Condensed Consolidated Statements of Equity (Unaudited)

Shares Outstanding
Senior
Preferred
Stock
Preferred
Stock, at
Redemption
Value
Common
Stock, at
Par Value
Retained
Earnings
AOCI,
Net of
Tax
Treasury
Stock, at
Cost
Total
Equity
(In millions)
Senior
Preferred
Stock
Preferred
Stock
Common
Stock
Balance at December 31, 2022 1 464 650 $72,648 $14,109 $— ($45,666) ($188) ($3,885) $37,018
Comprehensive income:
Net income — — — — — — 1,995 — — 1,995
Other comprehensive income (loss):
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $14 million) — — — — — — — 52 — 52
Reclassification adjustment for gains on available-for-sale securities included in net income (net of taxes of $0 million) — — — — — — — — — —
Other (net of taxes of $1 million) — — — — — — — 2 — 2
Comprehensive income — — — — — — 1,995 54 — 2,049
Ending balance at March 31, 2023 1 464 650 $72,648 $14,109 $— ($43,671) ($134) ($3,885) $39,067
Balance at December 31, 2021 1 464 650 $72,648 $14,109 $— ($54,993) $154 ($3,885) $28,033
Comprehensive income:
Net income — — — — — — 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 — — — — — — 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


	Shares Outstanding			Senior Preferred Stock	Preferred Stock, at Redemption Value	Common Stock, at Par Value	Retained Earnings	AOCI, Net of Tax	Treasury Stock, at Cost	Total Equity
(In millions)	Senior Preferred Stock	Preferred Stock	Common Stock
Balance at March 31, 2023	1	464	650	$72,648	$14,109	$—	($43,671)	($134)	($3,885)	$39,067
Comprehensive income:
Net income	—	—	—	—	—	—	2,944	—	—	2,944
Other comprehensive income (loss):
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $15 million)	—	—	—	—	—	—	—	(55)	—	(55)
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 $0 million)	—	—	—	—	—	—	—	2	—	2
Comprehensive income	—	—	—	—	—	—	2,944	(54)	—	2,890
Ending balance at June 30, 2023	1	464	650	$72,648	$14,109	$—	($40,727)	($188)	($3,885)	$41,957

Balance at March 31, 2022	1	464	650	$72,648	$14,109	$—	($51,195)	$34	($3,885)	$31,711
Comprehensive income:
Net income	—	—	—	—	—	—	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	—	—	—	—	—	—	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


	Shares Outstanding			Senior Preferred Stock	Preferred Stock, at Redemption Value	Common Stock, at Par Value	Retained Earnings	AOCI, Net of Tax	Treasury Stock, at Cost	Total Equity
(In millions)	Senior Preferred Stock	Preferred Stock	Common Stock
Balance at December 31, 2022	1	464	650	$72,648	$14,109	$—	($45,666)	($188)	($3,885)	$37,018
Comprehensive income:
Net income	—	—	—	—	—	—	4,939	—	—	4,939
Other comprehensive income (loss):
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $1 million)	—	—	—	—	—	—	—	(3)	—	(3)
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)	—	—	—	—	—	—	—	4	—	4
Comprehensive income	—	—	—	—	—	—	4,939	—	—	4,939
Ending balance at June 30, 2023	1	464	650	$72,648	$14,109	$—	($40,727)	($188)	($3,885)	$41,957

Balance at December 31, 2021	1	464	650	$72,648	$14,109	$—	($54,993)	$154	($3,885)	$28,033
Comprehensive income:
Net income	—	—	—	—	—	—	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	—	—	—	—	—	—	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

The accompanying notes are an integral part of these condensed consolidated financial statements.


Freddie Mac 1Q2Q 2023 Form 10-Q						4749


Financial Statements			Condensed Consolidated Statements of Cash Flows

FREDDIE MAC

Condensed Consolidated Statements of Cash Flows (Unaudited)


(In millions)	(In millions)	1Q 2023	1Q 2022	(In millions)	YTD 2023	YTD 2022
Net cash provided by (used in) operating activities	Net cash provided by (used in) operating activities	$3,435	$3,749	Net cash provided by (used in) operating activities	$5,006	$7,783
Cash flows from investing activities	Cash flows from investing activities			Cash flows from investing activities
Investment securities:	Investment securities:			Investment securities:
Purchases	Purchases	(39,052)	(42,254)	Purchases	(69,402)	(80,629)
Proceeds from sales	Proceeds from sales	34,919	40,122	Proceeds from sales	56,879	74,416
Proceeds from maturities and repayments	Proceeds from maturities and repayments	5,464	1,833	Proceeds from maturities and repayments	9,373	7,993
Mortgage loans acquired held-for-investment:	Mortgage loans acquired held-for-investment:			Mortgage loans acquired held-for-investment:
Purchases	Purchases	(19,991)	(53,755)	Purchases	(48,969)	(96,257)
Proceeds from sales	Proceeds from sales	1,661	329	Proceeds from sales	4,634	2,159
Proceeds from repayments	Proceeds from repayments	55,034	116,023	Proceeds from repayments	121,259	211,698
Secured lending arrangements:	Secured lending arrangements:			Secured lending arrangements:
Advances	Advances	(22,317)	(62,351)	Advances	(47,709)	(104,516)
Proceeds from repayments	Proceeds from repayments	1	238	Proceeds from repayments	12	363
Net (increase) decrease in securities purchased under agreements to resell	Net (increase) decrease in securities purchased under agreements to resell	(13,353)	(2,341)	Net (increase) decrease in securities purchased under agreements to resell	(22,267)	(17,889)
Cash flows related to derivatives	Cash flows related to derivatives	61	826	Cash flows related to derivatives	1,654	3,424
Other, net	Other, net	(113)	(141)	Other, net	(221)	(237)
Net cash provided by (used in) investing activities	Net cash provided by (used in) investing activities	2,314	(1,471)	Net cash provided by (used in) investing activities	5,243	525
Cash flows from financing activities	Cash flows from financing activities			Cash flows from financing activities
Debt of consolidated trusts:	Debt of consolidated trusts:			Debt of consolidated trusts:
Proceeds from issuance	Proceeds from issuance	44,187	136,361	Proceeds from issuance	99,146	231,938
Repayments and redemptions	Repayments and redemptions	(55,197)	(128,700)	Repayments and redemptions	(121,120)	(234,680)
Debt of Freddie Mac:	Debt of Freddie Mac:			Debt of Freddie Mac:
Proceeds from issuance	Proceeds from issuance	64,864	7,361	Proceeds from issuance	113,098	24,803
Repayments	Repayments	(52,748)	(20,849)	Repayments	(99,255)	(37,903)
Net increase (decrease) in securities sold under agreements to repurchase	Net increase (decrease) in securities sold under agreements to repurchase	(7,339)	3,927	Net increase (decrease) in securities sold under agreements to repurchase	(2,824)	2,644

Other, net	Other, net	(3)	(2)	Other, net	(140)	(3)
Net cash provided by (used in) financing activities	Net cash provided by (used in) financing activities	(6,236)	(1,902)	Net cash provided by (used in) financing activities	(11,095)	(13,201)
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)	(487)	376	Net increase (decrease) in cash and cash equivalents (includes restricted cash and cash equivalents)	(846)	(4,893)
Cash and cash equivalents (includes restricted cash and cash equivalents) at the beginning of year	Cash and cash equivalents (includes restricted cash and cash equivalents) at the beginning of year	6,360	10,150	Cash and cash equivalents (includes restricted cash and cash equivalents) at the beginning of year	6,360	10,150
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	5,873	10,526	Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period	$5,514	$5,257

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	20,806	17,996	Debt interest	42,058	$36,287
Income taxes	Income taxes	—	—	Income taxes	700	1,500
Non-cash investing and financing activities (Notes 3 and 6)	Non-cash investing and financing activities (Notes 3 and 6)			Non-cash investing and financing activities (Notes 3 and 6)

The accompanying notes are an integral part of these condensed consolidated financial statements.


Freddie Mac 1Q2Q 2023 Form 10-Q						4850


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 1

Notes to Condensed Consolidated Financial Statements

NOTE 1

Summary of Significant Accounting Policies

Freddie Mac is a GSE chartered by Congress in 1970, with a mission to provide liquidity, stability, and affordability to the U.S. housing market. We are regulated by FHFA, the SEC, HUD, and Treasury, and are currently operating under the conservatorship of FHFA. The conservatorship and related matters significantly affect our management, business activities, financial condition, and results of operations. In connection with our entry into conservatorship, we entered into the Purchase Agreement with Treasury, under which we issued Treasury both senior preferred stock and a warrant to purchase common stock. Our Purchase Agreement with Treasury is critical to keeping us solvent and avoiding the appointment of a receiver by FHFA under statutory mandatory receivership provisions. We believe the support provided by Treasury pursuant to the Purchase Agreement currently enables us to have adequate liquidity to conduct normal business activities. For more information on the conservatorship, the roles of FHFA and Treasury, and the Purchase Agreement, see our 2022 Annual Report. Throughout our unaudited condensed consolidated financial statements and related notes, we use certain acronyms and terms which are defined in the Glossary of our 2022 Annual Report.

The accompanying unaudited condensed consolidated financial statements should be read in conjunction with the audited consolidated financial statements and related notes in our 2022 Annual Report.

Basis of Presentation

The accompanying unaudited condensed consolidated financial statements have been prepared in accordance with GAAP and include our accounts as well as the accounts of other entities in which we have a controlling financial interest. All intercompany balances and transactions have been eliminated.

We are operating under the basis that we will realize assets and satisfy liabilities in the normal course of business as a going concern and in accordance with the authority provided by FHFA to our Board of Directors to oversee management's conduct of our business operations. In the opinion of management, our unaudited condensed consolidated financial statements contain all adjustments, which include only normal recurring adjustments, necessary for a fair statement of our results.

Use of Estimates

The preparation of our condensed consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses, and disclosure of contingent assets and liabilities at the date of the financial statements. Management has made significant estimates to report the allowance for credit losses on single-family mortgage loans. Actual results could be different from these estimates.


Freddie Mac 1Q2Q 2023 Form 10-Q						4951


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 1

Recently Issued Accounting Guidance


Recently Adopted Accounting Guidance
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 Update 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. The Update provides additional guidance on the accounting for and disclosure of hedge basis adjustments that are applicable to the portfolio layer method.	January 1, 2023	The adoption of these amendments did not have a material effect on our consolidated financial statements. We adopted the guidance in this Update related to disclosures on a prospective basis.
ASU 2022-02, Financial Instruments—Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures	The amendments in this Update 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, 2023 for the amendments related to disclosure of gross write-offs by year of origination.	The adoption of these amendments did not have a material effect on our consolidated financial statements. See Note 3 for additional disclosure of gross write-offs by year of origination.


Recently Issued Accounting Guidance, Not Yet Adopted Within Our Consolidated Financial Statements
Standard	Description	Date of Adoption	Effect on Consolidated Financial Statements
ASU 2023-02, Investments - Equity Method and Joint Ventures (Topic 323): Accounting for Investments in Tax Credit Structures Using the Proportional Amortization Method	The amendments in this Update expand the use of the proportional amortization method of accounting to equity investments in other tax credit structures that meet certain conditions. This Update also amends those conditions primarily to assess projected benefits on a discounted basis and expands the disclosure requirements of those investments.	January 1, 2024	We do not expect the adoption of these amendments to have a material effect on our consolidated financial statements.


Freddie Mac 1Q2Q 2023 Form 10-Q						5052


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 2

NOTE 2

Securitizations and Variable Interest Entities

Nonconsolidated VIEs

The following table presents the carrying amounts and classification of the assets and liabilities recorded on our condensed consolidated balance sheets that relate to our variable interests in VIEs for which we are not the primary beneficiary and with which we were involved in the design and creation and have a significant continuing involvement, our maximum exposure to loss as a result of our involvement with such VIEs, and the total assets of the VIEs. Our involvement with such VIEs primarily consists of guarantees that we have issued to the VIE, some of which are accounted for as derivative instruments, and investments in debt securities issued by the VIE. See Note 4 for additional information on our guarantees to nonconsolidated VIEs.

Total assets shown in the table below represents the remaining UPB of the mortgage loans or other noncash financial assets held by the VIE and excludes cash and nonfinancial assets held by the VIE. Maximum exposure to loss shown in the table below is primarily based on the remaining UPB of the guaranteed securities issued by the VIE and represents the contractual amounts that could be lost if the assets of the VIE (including the assets in the related reference pool for CRT products) became worthless at the balance sheet date, without consideration of proceeds from related collateral liquidation and possible recoveries under credit enhancements. We do not believe the maximum exposure to loss from our involvement with nonconsolidated VIEs is representative of the actual loss we are likely to incur based on our historical loss experience and after consideration of proceeds from related collateral liquidation and available credit enhancements.

Table 2.1 - Nonconsolidated VIEs


		March 31, 2023						June 30, 2023
		Carrying Amounts of the Assets and Liabilities On the Condensed Consolidated Balance Sheets			Total Assets	Maximum Exposure to Loss		Carrying Amounts of the Assets and Liabilities On the Condensed Consolidated Balance Sheets			Total Assets	Maximum Exposure to Loss
(In millions)	(In millions)	Investment securities	Accrued Interest Receivable and Other Assets(1)	Liabilities(1)			(In millions)	Investment securities	Accrued Interest Receivable and Other Assets(1)	Liabilities(1)
Single-Family:	Single-Family:						Single-Family:
Securitization products	Securitization products	$952	$178	$430	$31,139	$25,329	Securitization products	$916	$171	$424	$30,593	$24,828
Resecuritization products(2)	Resecuritization products(2)	5,800	64	587	116,807	116,807	Resecuritization products(2)	7,135	76	618	114,359	114,359
CRT products(3)	CRT products(3)	—	211	104	30,701	117	CRT products(3)	—	163	142	31,399	63
Total Single-Family	Total Single-Family	6,752	453	1,121	178,647	142,253	Total Single-Family	8,051	410	1,184	176,351	139,250
Multifamily:	Multifamily:						Multifamily:
Securitization products(4)	Securitization products(4)	7,641	4,903	4,783	357,747	316,606	Securitization products(4)	7,161	4,872	4,718	355,723	315,542
CRT products(3)	CRT products(3)	—	2	4	1,065	—	CRT products(3)	—	2	5	1,165	4
Total Multifamily	Total Multifamily	7,641	4,905	4,787	358,812	316,606	Total Multifamily	7,161	4,874	4,723	356,888	315,546
Other	Other	—	8	5	166	440	Other	—	7	5	153	478
Total	Total	$14,393	$5,366	$5,913	$537,625	$459,299	Total	$15,212	$5,291	$5,912	$533,392	$455,274

Referenced footnotes are included after the prior period table.


Freddie Mac 1Q2Q 2023 Form 10-Q						5153


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 2


	December 31, 2022
	Carrying Amounts of the Assets and Liabilities On the Condensed Consolidated Balance Sheets			Total Assets	Maximum Exposure to Loss
(In millions)	Investment securities	Accrued Interest Receivable and Other Assets(1)	Liabilities(1)
Single-Family:
Securitization products	$965	$175	$436	$31,614	$25,772
Resecuritization products(2)	5,092	61	659	119,267	119,267
CRT products(3)	—	197	52	30,549	105
Total Single-Family	6,057	433	1,147	181,430	145,144
Multifamily:
Securitization products(4)	7,808	4,931	4,920	360,869	319,117
CRT products(3)	—	2	2	972	—
Total Multifamily	7,808	4,933	4,922	361,841	319,117
Other	—	8	5	185	435
Total	$13,865	$5,374	$6,074	$543,456	$464,696

(1) Other assets primarily include our guarantee assets. Liabilities primarily include our guarantee obligations.

(2) Total assets and maximum exposure to loss are based on the UPB of Fannie Mae securities underlying commingled Freddie Mac resecuritization trusts. We exclude noncommingled resecuritization trusts from these amounts as we have already guaranteed the underlying collateral and therefore noncommingled resecuritizations do not involve any incremental assets or create any incremental exposure to credit risk. Total assets exclude $0.1 billion as of both ~~March 31,~~June 30, 2023 and December 31, 2022, of Fannie Mae securities that we have guaranteed that are included in resecuritization trusts that we have consolidated as we own all of the outstanding securities issued by the VIE.

(3) Maximum exposure to loss is based on our expected recovery receivables. We also have exposure to loss from our obligations to make certain payments to the VIE to support payment of the interest due on the notes issued by the VIE, which we account for as derivative instruments. The notional value of these derivative instruments is equal to the total assets of the VIE.

(4) Includes total assets of ~~$0.7~~$0.3 billion and $0.4 billion as of ~~March 31,~~June 30, 2023 and December 31, 2022, respectively, related to VIEs in which our interest would no longer absorb significant variability as the guaranteed securities have completely paid off.

We also obtain interests in various other entities created by third parties through the normal course of business that may be VIEs, such as through purchases of multifamily loans, guarantees of multifamily housing revenue bonds, as a derivative counterparty, or through other activities. To the extent that we were not involved in the design or creation of these VIEs, they are excluded from the table above. Our interests in these VIEs are generally passive in nature and are not expected to result in us obtaining a controlling financial interest in these VIEs in the future. As a result, we do not consolidate these VIEs and we account for our interests in these VIEs in the same manner that we account for our interests in other third-party transactions.


Freddie Mac 1Q2Q 2023 Form 10-Q						5254


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 3

NOTE 3

Mortgage Loans

The table below provides details of the loans on our condensed consolidated balance sheets.

Table 3.1 - Mortgage Loans


		March 31, 2023			December 31, 2022				June 30, 2023			December 31, 2022
(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	$3,373	$10,255	$13,628	$3,564	$9,544	$13,108	Held-for-sale UPB	$3,231	$9,319	$12,550	$3,564	$9,544	$13,108
Cost basis and fair value adjustments, net	Cost basis and fair value adjustments, net	(675)	(171)	(846)	(696)	(215)	(911)	Cost basis and fair value adjustments, net	(686)	(169)	(855)	(696)	(215)	(911)
Total held-for-sale loans, net	Total held-for-sale loans, net	2,698	10,084	12,782	2,868	9,329	12,197	Total held-for-sale loans, net	2,545	9,150	11,695	2,868	9,329	12,197
Held-for-investment UPB	Held-for-investment UPB	2,944,949	47,353	2,992,302	2,941,505	48,379	2,989,884	Held-for-investment UPB	2,961,459	51,309	3,012,768	2,941,505	48,379	2,989,884
Cost basis and fair value adjustments, net(1)	Cost basis and fair value adjustments, net(1)	39,833	(51)	39,782	39,896	(71)	39,825	Cost basis and fair value adjustments, net(1)	37,325	(150)	37,175	39,896	(71)	39,825
Allowance for credit losses	Allowance for credit losses	(7,675)	(160)	(7,835)	(7,314)	(77)	(7,391)	Allowance for credit losses	(7,088)	(251)	(7,339)	(7,314)	(77)	(7,391)
Total held-for-investment loans, net(2)	Total held-for-investment loans, net(2)	2,977,107	47,142	3,024,249	2,974,087	48,231	3,022,318	Total held-for-investment loans, net(2)	2,991,696	50,908	3,042,604	2,974,087	48,231	3,022,318
Total mortgage loans, net	Total mortgage loans, net	$2,979,805	$57,226	$3,037,031	$2,976,955	$57,560	$3,034,515	Total mortgage loans, net	$2,994,241	$60,058	$3,054,299	$2,976,955	$57,560	$3,034,515

(1)Includes ($~~0.7)~~0.3) billion of basis adjustments maintained on a closed portfolio basis related to existing portfolio layer method hedge relationships as of ~~March 31,~~June 30, 2023.

(2)Includes $1.4 billion and $1.2 billion of multifamily held-for-investment loans for which we have elected the fair value option as of ~~both March 31,~~June 30, 2023 and December 31, 2022, respectively.

For the purposes of certain single-family mortgage loan disclosures below, we present loans by class of financing receivable type. Financing receivable classes used for disclosure consist of: "20- and 30-year or more, amortizing fixed-rate," "15-year or less, amortizing fixed-rate," and "adjustable-rate and other." The "other" class consists of Alt-A, interest-only, and option ARM loans.

The table below provides details of the UPB of loans we purchased and sold during the periods presented.

Table 3.2 - Loans Purchased and Sold


(In millions)	(In millions)	1Q 2023	1Q 2022	(In millions)	2Q 2023	2Q 2022	YTD 2023	YTD 2022
Single-Family:	Single-Family:			Single-Family:
Purchases:	Purchases:			Purchases:
Held-for-investment loans	Held-for-investment loans	$58,965	$206,935	Held-for-investment loans	$82,850	$137,665	$141,815	$344,600
Sales of held-for-sale loans(1)	Sales of held-for-sale loans(1)	—	15	Sales of held-for-sale loans(1)	—	1,429	—	1,444
Multifamily:	Multifamily:			Multifamily:
Purchases:	Purchases:			Purchases:
Held-for-investment loans	Held-for-investment loans	3,349	2,565	Held-for-investment loans	4,661	2,957	8,010	5,522
Held-for-sale loans	Held-for-sale loans	2,695	12,267	Held-for-sale loans	7,398	11,372	10,093	23,639
Sales of held-for-sale loans(2)	Sales of held-for-sale loans(2)	6,150	14,292	Sales of held-for-sale loans(2)	8,626	14,899	14,776	29,191

(1)Our sales of single-family loans reflect the sale of single-family seasoned loans.

(2)Our sales of multifamily loans occur primarily through the issuance of Multifamily K Certificates.


Freddie Mac 1Q2Q 2023 Form 10-Q						5355


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 3

Reclassifications

The table below presents the allowance for credit losses or valuation allowance that was reversed or established due to loan reclassifications between held-for-investment and held-for-sale during the periods presented.

Table 3.3 - Loan Reclassifications(1)


		1Q 2023			1Q 2022				2Q 2023			2Q 2022
(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	Held-for-investment to held-for-sale	$—	$—	$—	$248	$—	$—	Held-for-investment to held-for-sale	$—	$—	$—	$325	$10	$—
Held-for-sale to held-for-investment(2)	Held-for-sale to held-for-investment(2)	48	4	4	62	(3)	—	Held-for-sale to held-for-investment(2)	—	—	—	75	(4)	3
Multifamily reclassifications from:	Multifamily reclassifications from:							Multifamily reclassifications from:
Held-for-investment to held-for-sale	Held-for-investment to held-for-sale	4,731	1	(27)	315	—	—	Held-for-investment to held-for-sale	735	1	(6)	386	1	—
Held-for-sale to held-for-investment(2)	Held-for-sale to held-for-investment(2)	561	—	16	246	—	—	Held-for-sale to held-for-investment(2)	161	—	—	39	—	—


	YTD 2023			YTD 2022
(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	$—
Held-for-sale to held-for-investment(2)	48	4	4	137	(7)	3
Multifamily reclassifications from:
Held-for-investment to held-for-sale	5,466	2	(33)	701	1	—
Held-for-sale to held-for-investment(2)	722	—	16	285	—	—

(1)Amounts exclude reclassifications related to loans for which we have elected the fair value option.

(2)Allowance for credit losses established upon loan reclassifications from held-for-sale to held-for-investment to reflect the net amount we expect to collect on the loan. Loans with prior charge-offs may have a negative allowance for credit losses established upon reclassification.

Interest Income

The table below presents the amortized cost basis of non-accrual loans as of the beginning and the end of the periods presented, including the interest income recognized for the period that is related to the loans on non-accrual status as of the period end.

Table 3.4 - Amortized Cost Basis of Held-for-Investment Loans on Non-Accrual

Non-Accrual Amortized Cost Basis
Interest Income Recognized(1)
(In millions) December 31, 2022 March 31, 2023 1Q 2023
Single-Family:
20- and 30-year or more, amortizing fixed-rate $9,307 $9,348 $28
15-year or less, amortizing fixed-rate 427 434 1
Adjustable-rate and other 361 332 1
Total Single-Family 10,095 10,114 30
Total Multifamily 42 41 1
Total Single-Family and Multifamily $10,137 $10,155 $31
(1)


		Non-Accrual Amortized Cost Basis		Interest Income Recognized(1)		Non-Accrual Amortized Cost Basis			Interest Income Recognized(2)
(In millions)	(In millions)	December 31, 2021	March 31, 2022	1Q 2022	(In millions)		June 30, 2023	March 31, 2023		2Q 2023	YTD 2023
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		$11,989	$9,348		$28	$78
15-year or less, amortizing fixed-rate	15-year or less, amortizing fixed-rate	844	684	1	15-year or less, amortizing fixed-rate		540	434		1	2
Adjustable-rate and other	Adjustable-rate and other	793	580	1	Adjustable-rate and other		323	332		1	2
Total Single-Family	Total Single-Family	18,650	15,095	51	Total Single-Family		12,852	10,114		30	82
Total Multifamily	Total Multifamily	—	42	—	Total Multifamily		56	41		1	1
Total Single-Family and Multifamily	Total Single-Family and Multifamily	$18,650	$15,137	$51	Total Single-Family and Multifamily		$12,908	$10,155		$31	$83

~~(1)~~Referenced footnotes are included after the prior period table.~~Represents the amount of payments received during the period, including those received while the loans were on accrual status, for the held-for-investment loans on non-accrual status as of period end.~~


Freddie Mac 1Q2Q 2023 Form 10-Q						5456


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 3


	Non-Accrual Amortized Cost Basis		Interest Income Recognized(2)
(In millions)	June 30, 2022	March 31, 2022	2Q 2022	YTD 2022
Single-Family:
20- and 30-year or more, amortizing fixed-rate	$11,021	$13,831	$40	$80
15-year or less, amortizing fixed-rate	562	684	1	3
Adjustable-rate and other	435	580	1	3
Total Single-Family	12,018	15,095	42	86
Total Multifamily	42	42	—	—
Total Single-Family and Multifamily	$12,060	$15,137	$42	$86

(1)Excludes amounts related to loans for which we have elected the fair value option.

(2)Represents the amount of payments received during the period, including those received while the loans were on accrual status, for the held-for-investment loans on non-accrual status as of period end.

The table below provides the amount of accrued interest receivable, net presented on our condensed consolidated balance sheets and the amount of accrued interest receivable related to loans on non-accrual status at the end of the periods that was charged off.

Table 3.5 - Accrued Interest Receivable, Net and Related Charge-Offs


		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, 2023	December 31, 2022	1Q 2023	1Q 2022		(In millions)	June 30, 2023	December 31, 2022	2Q 2023	2Q 2022	YTD 2023	YTD 2022
Single-Family loans	Single-Family loans	$8,090	$7,967	($48)	($87)		Single-Family loans	$8,285	$7,967	($88)	($58)	($136)	($145)
Multifamily loans	Multifamily loans	228	220	—	—		Multifamily loans	234	220	—	—	—	—

Credit Quality

Single-Family

The current LTV ratio is one key factor we consider when estimating our allowance for credit losses for single-family loans. As current LTV ratios increase, the borrower's equity in the home decreases, which may negatively affect the borrower's ability to refinance (outside of our relief refinance programs) or to sell the property for an amount at or above the balance of the outstanding loan.

The table below presents the amortized cost basis of single-family held-for-investment loans by current LTV ratio. Our current LTV ratios are estimates based on available data through the end of each period presented. For reporting purposes:

n Alt-A loans continue to be presented in the "adjustable-rate and other" category following modification, even though the borrower may have provided full documentation of assets and income to complete the modification and

n Option ARM loans continue to be presented in the "adjustable-rate and other" category following modification, even though the modified loan no longer provides for optional payment provisions.


Freddie Mac 1Q2Q 2023 Form 10-Q						5557


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 3

Table 3.6 - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratio and Vintage


		March 31, 2023								June 30, 2023
		Year of Origination						Total		Year of Origination						Total
(In millions)	(In millions)	2023	2022	2021	2020	2019	Prior		(In millions)	2023	2022	2021	2020	2019	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	$4,065	$69,133	$395,062	$483,968	$86,816	$436,771	$1,475,815	≤ 60	$14,338	$76,635	$435,402	$510,674	$90,381	$429,346	$1,556,776
> 60 to 80	> 60 to 80	11,184	162,441	415,109	184,807	27,759	17,233	818,533	> 60 to 80	42,991	175,477	389,009	147,535	21,066	12,364	788,442
> 80 to 90	> 80 to 90	6,522	86,335	82,824	5,149	579	568	181,977	> 80 to 90	20,207	87,422	59,288	2,371	380	418	170,086
> 90 to 100	> 90 to 100	10,477	86,541	12,317	391	59	152	109,937	> 90 to 100	31,434	61,855	5,608	328	38	120	99,383
> 100	> 100	5	6,027	211	6	5	151	6,405	> 100	14	2,459	101	4	5	121	2,704
Total 20- and 30-year or more, amortizing fixed-rate	Total 20- and 30-year or more, amortizing fixed-rate	32,253	410,477	905,523	674,321	115,218	454,875	2,592,667	Total 20- and 30-year or more, amortizing fixed-rate	108,984	403,848	889,408	660,912	111,870	442,369	2,617,391
Current-period gross write-offs(1)		—	3	8	2	1	12	26
Current year-to-date gross write-offs(1)									Current year-to-date gross write-offs(1)	—	5	11	3	2	20	41
15-year or less, amortizing fixed-rate	15-year or less, amortizing fixed-rate								15-year or less, amortizing fixed-rate
≤ 60	≤ 60	561	17,299	119,253	106,899	14,068	69,206	327,286	≤ 60	1,753	18,368	121,835	104,298	13,525	64,685	324,464
> 60 to 80	> 60 to 80	639	12,575	18,425	1,938	103	26	33,706	> 60 to 80	1,958	11,244	11,942	925	47	12	26,128
> 80 to 90	> 80 to 90	123	1,500	275	6	—	1	1,905	> 80 to 90	340	1,092	94	2	1	2	1,531
> 90 to 100	> 90 to 100	69	462	5	—	—	1	537	> 90 to 100	192	180	3	—	—	—	375
> 100	> 100	—	12	—	—	—	1	13	> 100	—	6	—	—	—	1	7
Total 15-year or less, amortizing fixed-rate	Total 15-year or less, amortizing fixed-rate	1,392	31,848	137,958	108,843	14,171	69,235	363,447	Total 15-year or less, amortizing fixed-rate	4,243	30,890	133,874	105,225	13,573	64,700	352,505
Current-period gross write-offs(1)		—	—	—	—	—	1	1
Current year-to-date gross write-offs(1)									Current year-to-date gross write-offs(1)	—	—	1	—	—	—	1
Adjustable-rate and other	Adjustable-rate and other								Adjustable-rate and other
≤ 60	≤ 60	74	1,312	2,779	1,498	615	14,915	21,193	≤ 60	186	1,416	2,970	1,499	604	14,230	20,905
> 60 to 80	> 60 to 80	269	2,391	1,873	200	69	447	5,249	> 60 to 80	725	2,594	1,616	147	49	349	5,480
> 80 to 90	> 80 to 90	211	1,251	173	5	2	35	1,677	> 80 to 90	433	1,145	108	3	1	26	1,716
> 90 to 100	> 90 to 100	207	912	13	—	—	16	1,148	> 90 to 100	376	669	6	—	—	13	1,064
> 100	> 100	—	71	—	—	—	8	79	> 100	—	39	—	—	—	6	45
Total adjustable-rate and other	Total adjustable-rate and other	761	5,937	4,838	1,703	686	15,421	29,346	Total adjustable-rate and other	1,720	5,863	4,700	1,649	654	14,624	29,210
Current-period gross write-offs(1)		—	—	—	—	—	5	5
Current year-to-date gross write-offs(1)									Current year-to-date gross write-offs(1)	—	—	—	—	—	—	—
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	$4,700	$87,744	$517,094	$592,365	$101,499	$520,892	$1,824,294	≤ 60	16,277	96,419	560,207	616,471	104,510	508,261	1,902,145
> 60 to 80	> 60 to 80	12,092	177,407	435,407	186,945	27,931	17,706	857,488	> 60 to 80	45,674	189,315	402,567	148,607	21,162	12,725	820,050
> 80 to 90	> 80 to 90	6,856	89,086	83,272	5,160	581	604	185,559	> 80 to 90	20,980	89,659	59,490	2,376	382	446	173,333
> 90 to 100	> 90 to 100	10,753	87,915	12,335	391	59	169	111,622	> 90 to 100	32,002	62,704	5,617	328	38	133	100,822
> 100	> 100	5	6,110	211	6	5	160	6,497	> 100	14	2,504	101	4	5	128	2,756
Total Single-Family loans	Total Single-Family loans	$34,406	$448,262	$1,048,319	$784,867	$130,075	$539,531	$2,985,460	Total Single-Family loans	$114,947	$440,601	$1,027,982	$767,786	$126,097	$521,693	$2,999,106
Total current-period gross write-offs(1)		$—	$3	$8	$2	$1	$18	$32
Total current year-to-date gross write-offs(1)									Total current year-to-date gross write-offs(1)	$—	$5	$12	$3	$2	$20	$42

Referenced footnotes are included after the prior period table.


Freddie Mac 1Q2Q 2023 Form 10-Q						5658


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 3


		December 31, 2022								December 31, 2022
		Year of Origination						Total		Year of Origination						Total
(In millions)	(In millions)	2022	2021	2020	2019	2018	Prior		(In millions)	2022	2021	2020	2019	2018	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	$66,153	$394,498	$489,315	$87,188	$38,955	$407,819	$1,483,928	≤ 60	$66,153	$394,498	$489,315	$87,188	$38,955	$407,819	$1,483,928
> 60 to 80	> 60 to 80	158,421	424,141	190,167	28,991	7,870	10,426	820,016	> 60 to 80	158,421	424,141	190,167	28,991	7,870	10,426	820,016
> 80 to 90	> 80 to 90	79,901	90,006	4,405	569	164	419	175,464	> 80 to 90	79,901	90,006	4,405	569	164	419	175,464
> 90 to 100	> 90 to 100	86,109	8,911	397	56	24	143	95,640	> 90 to 100	86,109	8,911	397	56	24	143	95,640
> 100	> 100	2,568	49	6	6	5	156	2,790	> 100	2,568	49	6	6	5	156	2,790
Total 20- and 30-year or more, amortizing fixed-rate	Total 20- and 30-year or more, amortizing fixed-rate	393,152	917,605	684,290	116,810	47,018	418,963	2,577,838	Total 20- and 30-year or more, amortizing fixed-rate	393,152	917,605	684,290	116,810	47,018	418,963	2,577,838
15-year or less, amortizing fixed-rate	15-year or less, amortizing fixed-rate								15-year or less, amortizing fixed-rate
≤ 60	≤ 60	16,752	119,379	109,685	14,606	5,578	68,240	334,240	≤ 60	16,752	119,379	109,685	14,606	5,578	68,240	334,240
> 60 to 80	> 60 to 80	13,042	22,007	2,503	132	16	16	37,716	> 60 to 80	13,042	22,007	2,503	132	16	16	37,716
> 80 to 90	> 80 to 90	1,601	368	7	—	—	1	1,977	> 80 to 90	1,601	368	7	—	—	1	1,977
> 90 to 100	> 90 to 100	570	5	—	—	—	1	576	> 90 to 100	570	5	—	—	—	1	576
> 100	> 100	3	—	—	—	—	1	4	> 100	3	—	—	—	—	1	4
Total 15-year or less, amortizing fixed-rate	Total 15-year or less, amortizing fixed-rate	31,968	141,759	112,195	14,738	5,594	68,259	374,513	Total 15-year or less, amortizing fixed-rate	31,968	141,759	112,195	14,738	5,594	68,259	374,513
Adjustable-rate and other	Adjustable-rate and other								Adjustable-rate and other
≤ 60	≤ 60	1,255	2,779	1,524	634	428	15,139	21,759	≤ 60	1,255	2,779	1,524	634	428	15,139	21,759
> 60 to 80	> 60 to 80	2,322	1,956	214	76	28	445	5,041	> 60 to 80	2,322	1,956	214	76	28	445	5,041
> 80 to 90	> 80 to 90	1,127	186	5	1	1	34	1,354	> 80 to 90	1,127	186	5	1	1	34	1,354
> 90 to 100	> 90 to 100	836	11	—	—	—	14	861	> 90 to 100	836	11	—	—	—	14	861
> 100	> 100	26	—	—	—	—	9	35	> 100	26	—	—	—	—	9	35
Total adjustable-rate and other	Total adjustable-rate and other	5,566	4,932	1,743	711	457	15,641	29,050	Total adjustable-rate and other	5,566	4,932	1,743	711	457	15,641	29,050

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	$84,160	$516,656	$600,524	$102,428	$44,961	$491,198	$1,839,927	≤ 60	84,160	516,656	600,524	102,428	44,961	491,198	1,839,927
> 60 to 80	> 60 to 80	173,785	448,104	192,884	29,199	7,914	10,887	862,773	> 60 to 80	173,785	448,104	192,884	29,199	7,914	10,887	862,773
> 80 to 90	> 80 to 90	82,629	90,560	4,417	570	165	454	178,795	> 80 to 90	82,629	90,560	4,417	570	165	454	178,795
> 90 to 100	> 90 to 100	87,515	8,927	397	56	24	158	97,077	> 90 to 100	87,515	8,927	397	56	24	158	97,077
> 100	> 100	2,597	49	6	6	5	166	2,829	> 100	2,597	49	6	6	5	166	2,829
Total Single-Family loans	Total Single-Family loans	$430,686	$1,064,296	$798,228	$132,259	$53,069	$502,863	$2,981,401	Total Single-Family loans	$430,686	$1,064,296	$798,228	$132,259	$53,069	$502,863	$2,981,401

(1) Excludes write-offs related to accrued interest receivable and advances of pre-foreclosure costs.

Multifamily

The table below presents the amortized cost basis of our multifamily held-for-investment loans, for which we have not elected the fair value option, by credit quality indicator, based on available data through the end of each period presented. These indicators involve significant management judgment and are defined as follows:

n "Pass" is current and adequately protected by the borrower's current financial strength and debt service capacity;

n "Special mention" has administrative issues that may affect future repayment prospects but does not have current credit weaknesses. In addition, this category generally includes loans in forbearance;

n "Substandard" has a weakness that jeopardizes the timely full repayment; and

n "Doubtful" has a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions.


Freddie Mac 1Q2Q 2023 Form 10-Q						5759


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 3

Table 3.7 - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator and Vintage


		March 31, 2023									June 30, 2023
		Year of Origination						Total			Year of Origination							Total
(In millions)	(In millions)	2023	2022	2021	2020	2019	Prior		Revolving Loans	(In millions)		2023	2022	2021	2020	2019	Prior		Total	Revolving Loans
Category:	Category:									Category:
Pass	Pass	$1,588	$18,854	$7,733	$6,479	$4,810	$3,660	$2,242	$45,366	Pass		$6,026	$18,547	$7,660	$6,427	$4,556	$3,262		$2,081	$48,559
Special mention	Special mention	—	—	39	73	190	17	—	319	Special mention		20	14	4	109	226	61		—	434
Substandard	Substandard	—	—	78	75	27	199	—	379	Substandard		—	—	64	77	205	461		—	807
Doubtful	Doubtful	—	—	—	—	—	—	—	—	Doubtful		—	—	—	—	—	—		—	—
Total	Total	$1,588	$18,854	$7,850	$6,627	$5,027	$3,876	$2,242	$46,064	Total		$6,046	$18,561	$7,728	$6,613	$4,987	$3,784		$2,081	$49,800


	December 31, 2022
	Year of Origination						Total
(In millions)	2022	2021	2020	2019	2018	Prior		Revolving Loans
Category:
Pass	$21,854	$7,638	$6,546	$4,784	$1,077	$2,646	$1,924	$46,469
Special mention	—	39	65	232	7	113	—	456
Substandard	—	1	3	27	7	131	—	169
Doubtful	—	—	—	—	—	—	—	—
Total	$21,854	$7,678	$6,614	$5,043	$1,091	$2,890	$1,924	$47,094

Past Due Status

The table below presents the amortized cost basis of our single-family and multifamily held-for-investment loans, for which we have not elected the fair value option, by payment status.

Table 3.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status


		March 31, 2023								June 30, 2023
(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	$2,560,613	$16,017	$4,017	$12,020	$2,592,667	$3,053	$499	20- and 30-year or more, amortizing fixed-rate	$2,581,894	$19,586	$4,299	$11,612	$2,617,391	$—	$507
15-year or less, amortizing fixed-rate	15-year or less, amortizing fixed-rate	361,524	1,131	214	578	363,447	157	7	15-year or less, amortizing fixed-rate	350,510	1,257	212	526	352,505	—	8
Adjustable-rate and other	Adjustable-rate and other	28,650	279	75	342	29,346	28	59	Adjustable-rate and other	28,524	301	81	304	29,210	—	56
Total Single-Family	Total Single-Family	2,950,787	17,427	4,306	12,940	2,985,460	3,238	565	Total Single-Family	2,960,928	21,144	4,592	12,442	2,999,106	—	571
Total Multifamily	Total Multifamily	46,008	13	2	41	46,064	—	—	Total Multifamily	49,713	30	1	56	49,800	—	15
Total Single-Family and Multifamily	Total Single-Family and Multifamily	$2,996,795	$17,440	$4,308	$12,981	$3,031,524	$3,238	$565	Total Single-Family and Multifamily	$3,010,641	$21,174	$4,593	$12,498	$3,048,906	$—	$586

Referenced footnotes are included after the prior period table.


Freddie Mac 1Q2Q 2023 Form 10-Q						5860


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 3


	December 31, 2022
(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	$2,541,057	$19,820	$4,603	$12,358	$2,577,838	$3,432	$522
15-year or less, amortizing fixed-rate	372,065	1,590	250	608	374,513	191	9
Adjustable-rate and other	28,262	325	88	375	29,050	30	67
Total Single-Family	2,941,384	21,735	4,941	13,341	2,981,401	3,653	598
Total Multifamily	47,039	13	—	42	47,094	—	42
Total Single-Family and Multifamily	$2,988,423	$21,748	$4,941	$13,383	$3,028,495	$3,653	$640

(1)Includes $1.9 billion and $1.6 billion of single-family loans that were in the process of foreclosure as of ~~March 31,~~June 30, 2023 and December 31, 2022, respectively.

(2)Loans with no allowance for loan losses primarily represent those loans that were previously charged off and therefore the collateral value is sufficiently in excess of the amortized cost to result in recovery of the entire amortized cost basis if the property were foreclosed upon or otherwise subject to disposition. We exclude the amounts of allowance for credit losses on accrued interest receivable and advances of pre-foreclosure costs when determining whether a loan has an allowance for credit losses.

Loan Restructurings

Single-Family Loan Restructurings

We offer several types of restructurings to single-family borrowers that may result in a payment delay, interest rate reduction, term extension, or combination thereof. We do not offer principal forgiveness.

For purposes of the disclosure related to single-family loan restructurings involving borrowers experiencing financial difficulty, we exclude loans that were held-for-sale either at the time of restructuring or at the period end. The table below presents the amortized cost basis of single-family held-for-investment loan restructurings involving borrowers experiencing financial difficulty that we entered into during the periods presented. The amortized cost basis of loans in trial period modification plans was $1.8 billion and ~~$3.1~~$2.6 billion as of ~~March 31,~~June 30, 2023 and ~~March 31,~~June 30, 2022, respectively. Most of these loans are 20- and 30-year or more, amortizing fixed-rate ~~loans~~.loans.

Table 3.9 - Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty(1)


		1Q 2023							2Q 2023
(Dollars in millions)	(Dollars in millions)	Payment Delay(2)	Payment Delay and Term Extension	Payment Delay, Term Extension, and Interest Rate Reduction	Total	Total as % of Class of Financing Receivable(3)		(Dollars in millions)		Payment Delay(2)	Payment Delay and Term Extension	Payment Delay, Term Extension, and Interest Rate Reduction	Total	Total as % of Class of Financing Receivable(3)
Single-Family:	Single-Family:							Single-Family:
20- and 30-year or more, amortizing fixed-rate	20- and 30-year or more, amortizing fixed-rate	$6,357	$1,037	$86	$7,480	0.3	%	20- and 30-year or more, amortizing fixed-rate		$5,328	$1,116	$32	$6,476	0.2	%
15-year or less, amortizing fixed-rate	15-year or less, amortizing fixed-rate	332	19	1	352	0.1		15-year or less, amortizing fixed-rate		265	—	—	265	0.1
Adjustable-rate and other	Adjustable-rate and other	76	13	4	93	0.3		Adjustable-rate and other		63	8	1	72	0.2
Total Single-Family loan restructurings	Total Single-Family loan restructurings	$6,765	$1,069	$91	$7,925	0.3		Total Single-Family loan restructurings		$5,656	$1,124	$33	$6,813	0.2


		1Q 2022							2Q 2022
(Dollars in millions)	(Dollars in millions)	Payment Delay(2)	Payment Delay and Term Extension	Payment Delay, Term Extension, and Interest Rate Reduction	Total	Total as % of Class of Financing Receivable(3)		(Dollars in millions)		Payment Delay(2)	Payment Delay and Term Extension	Payment Delay, Term Extension, and Interest Rate Reduction	Total	Total as % of Class of Financing Receivable(3)
Single-Family:	Single-Family:							Single-Family:
20- and 30-year or more, amortizing fixed-rate	20- and 30-year or more, amortizing fixed-rate	$9,133	$683	$2,948	$12,764	0.5	%	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	596	15	55	666	0.2		15-year or less, amortizing fixed-rate		429	15	16	460	0.1
Adjustable-rate and other	Adjustable-rate and other	212	15	78	305	1.1		Adjustable-rate and other		139	14	50	203	0.7
Total Single-Family loan restructurings	Total Single-Family loan restructurings	$9,941	$713	$3,081	$13,735	0.5		Total Single-Family loan restructurings		$7,400	$549	$2,542	$10,491	0.4

Referenced footnotes are onincluded after the ~~next page.~~year-to-date table.


Freddie Mac 1Q2Q 2023 Form 10-Q						5961


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 3


	YTD 2023
(Dollars in millions)	Payment Delay(2)	Payment Delay and Term Extension	Payment Delay, Term Extension, and Interest Rate Reduction	Total	Total as % of Class of Financing Receivable(3)
Single-Family:
20- and 30-year or more, amortizing fixed-rate	$10,607	$2,148	$118	$12,873	0.5	%
15-year or less, amortizing fixed-rate	547	—	—	547	0.2
Adjustable-rate and other	123	18	5	146	0.5
Total Single-Family loan restructurings	$11,277	$2,166	$123	$13,566	0.5


	YTD 2022
(Dollars in millions)	Payment Delay(2)	Payment Delay and Term Extension	Payment Delay, Term Extension, and Interest Rate Reduction	Total	Total as % of Class of Financing Receivable(3)
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

(1) Type of loan restructurings reflects the cumulative effects of the loan restructurings received during the period. Includes loan modifications in the period in which the borrower completes the trial period and the loan is permanently modified.

(2) Includes ~~$2.7~~$2.2 billion and ~~$5.1~~$4.8 billion related to payment deferral plans for 1Q2Q 2023 and 1QYTD 2023, respectively, compared to $3.6 billion and $8.4 billion for 2Q 2022 and YTD 2022, respectively. Also includes forbearance plans, repayment plans, and loan modifications that only involve payment delays.

(3) Based on the amortized cost basis as of period end, divided by the total period-end amortized cost basis of the corresponding financing receivable class of single-family held-for-investment loans.

The table below shows the financial effect of single-family held-for-investment loan restructurings involving borrowers experiencing financial difficulty that we entered into during the periods presented.

Table 3.10 – Financial Effects of Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty(1)


		1Q 2023					2Q 2023
(Dollars in thousands)	(Dollars in thousands)	Weighted-Average Interest Rate Reduction		Weighted-Average Months of Term Extension	Weighted-Average Payment Deferral or Principal Forbearance(2)	(Dollars in thousands)	Weighted-Average Interest Rate Reduction		Weighted-Average Months of Term Extension	Weighted-Average Payment Deferral or Principal Forbearance(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	0.9	%	180	$16	20- and 30-year or more, amortizing fixed-rate	1.1	%	179	$18
15-year or less, amortizing fixed-rate	15-year or less, amortizing fixed-rate	0.4		354	16	15-year or less, amortizing fixed-rate	—		0	16
Adjustable-rate and other	Adjustable-rate and other	2.0		206	19	Adjustable-rate and other	1.6		201	15


		1Q 2022					2Q 2022
(Dollars in thousands)	(Dollars in thousands)	Weighted-Average Interest Rate Reduction		Weighted-Average Months of Term Extension	Weighted-Average Payment Deferral or Principal Forbearance(2)	(Dollars in thousands)	Weighted-Average Interest Rate Reduction		Weighted-Average Months of Term Extension	Weighted-Average Payment Deferral or Principal Forbearance(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	1.6	%	186	$24	20- and 30-year or more, amortizing fixed-rate	1.4	%	185	$21
15-year or less, amortizing fixed-rate	15-year or less, amortizing fixed-rate	0.8		366	25	15-year or less, amortizing fixed-rate	0.6		359	22
Adjustable-rate and other	Adjustable-rate and other	2.2		226	27	Adjustable-rate and other	2.2		234	26

Referenced footnotes are included after the year-to-date table.


Freddie Mac 2Q 2023 Form 10-Q						62


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 3


	YTD 2023
(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	1.0	%	181	$17
15-year or less, amortizing fixed-rate	—		0	16
Adjustable-rate and other	1.9		200	17


	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

(1) Averages are based on payment deferral plans and loan modifications completed during the periods presented. The financial effects of forbearance plans and repayment plans consist of a payment delay of between one and twelve months. In addition, the financial effect of a forbearance plan is included at the time the forbearance plan is completed if the borrower exits forbearance by entering into a payment deferral plan or loan modification.

(2) Primarily related to payment deferral plans. Amounts are based on non-interest-bearing principal balances on the restructured loans.

The following table provides the amortized cost basis of single-family held-for-investment loans that had a payment default (i.e., loans that became two months delinquent) during the periods presented and had been restructured within the previous 12 months preceding the payment default, when the borrower was experiencing financial difficulty at the time of the restructuring. Since we adopted ASU 2022-02 prospectively, single-family held-for-investment loans that were restructured prior to January 1, 2022, the date we adopted such guidance, have been excluded from the disclosures related to loan restructurings.

Table 3.11 - Subsequent Defaults of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty(1)


		1Q 2023					2Q 2023
(In millions)	(In millions)	Payment Delay	Payment Delay and Term Extension	Payment Delay, Term Extension, and Interest Rate Reduction	Total	(In millions)		Payment Delay	Payment Delay and Term Extension	Payment Delay, Term Extension, and Interest Rate Reduction	Total
Single-Family:	Single-Family:					Single-Family:
20- and 30-year or more, amortizing fixed-rate	20- and 30-year or more, amortizing fixed-rate	$704	$175	$206	$1,085	20- and 30-year or more, amortizing fixed-rate		$710	$239	$131	$1,080
15-year or less, amortizing fixed-rate	15-year or less, amortizing fixed-rate	32	—	—	32	15-year or less, amortizing fixed-rate		33	—	—	33
Adjustable-rate and other	Adjustable-rate and other	10	2	5	17	Adjustable-rate and other		11	2	2	15
Total Single-Family	Total Single-Family	$746	$177	$211	$1,134	Total Single-Family		$754	$241	$133	$1,128


	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

Referenced ~~footnote is~~footnotes are included after the ~~prior period~~year-to-date table.


Freddie Mac 1Q2Q 2023 Form 10-Q						6063


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 3


		1Q 2022					YTD 2023
(In millions)	(In millions)	Payment Delay	Payment Delay and Term Extension	Payment Delay, Term Extension, and Interest Rate Reduction	Total	(In millions)		Payment Delay	Payment Delay and Term Extension	Payment Delay, Term Extension, and Interest Rate Reduction	Total
Single-Family:	Single-Family:					Single-Family:
20- and 30-year or more, amortizing fixed-rate	20- and 30-year or more, amortizing fixed-rate	$391	$7	$7	$405	20- and 30-year or more, amortizing fixed-rate		$1,286	$381	$305	$1,972
15-year or less, amortizing fixed-rate	15-year or less, amortizing fixed-rate	28	—	—	28	15-year or less, amortizing fixed-rate		59	—	—	59
Adjustable-rate and other	Adjustable-rate and other	16	—	—	16	Adjustable-rate and other		18	3	6	27
Total Single-Family	Total Single-Family	$435	$7	$7	$449	Total Single-Family		$1,363	$384	$311	$2,058


	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

(1) Excludes forbearance plans and repayment plans as borrowers are typically past due based on the loan's original contractual terms at the time the borrowers enter into these plans.

The following table provides the single-family held-for-investment loan performance in the 12 months after a restructuring involving borrowers experiencing financial difficulty. While a single-family loan is in a forbearance plan or repayment plan, payments continue to be due based on the loan’s original contractual terms because the loan has not been permanently modified. As a result, we report single-family loans in forbearance plans and repayment plans as delinquent to the extent that payments are past due based on the loan’s original contractual terms. Loans that have been restructured by entering into a payment deferral plan or loan modification are reported as delinquent to the extent that payments are past due based on the loan's restructured terms.

Table 3.12 - Amortized Cost Basis of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty by Payment Status


		March 31, 2023						June 30, 2023
(In millions)	(In millions)	Current	One Month Past Due	Two Months Past Due	Three Months or More Past Due	Total	(In millions)	Current	One Month Past Due	Two Months Past Due	Three Months or More Past Due	Total
Single-Family:	Single-Family:						Single-Family:
20- and 30-year or more, amortizing fixed-rate	20- and 30-year or more, amortizing fixed-rate	$16,491	$2,381	$1,572	$6,642	$27,086	20- and 30-year or more, amortizing fixed-rate	$13,660	$2,341	$1,478	$6,244	$23,723
15-year or less, amortizing fixed-rate	15-year or less, amortizing fixed-rate	670	98	71	310	1,149	15-year or less, amortizing fixed-rate	572	94	57	281	1,004
Adjustable-rate and other	Adjustable-rate and other	227	33	17	115	392	Adjustable-rate and other	158	32	19	84	293
Total Single-Family	Total Single-Family	$17,388	$2,512	$1,660	$7,067	$28,627	Total Single-Family	$14,390	$2,467	$1,554	$6,609	$25,020


		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	Total	(In millions)	Current	One Month Past Due	Two Months Past Due	Three Months or More Past Due	Total
Single-Family:	Single-Family:						Single-Family:
20- and 30-year or more, amortizing fixed-rate	20- and 30-year or more, amortizing fixed-rate	$7,887	$1,486	$1,359	$2,032	$12,764	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	15-year or less, amortizing fixed-rate	380	89	88	109	666	15-year or less, amortizing fixed-rate	610	97	72	228	1,007
Adjustable-rate and other	Adjustable-rate and other	191	19	16	79	305	Adjustable-rate and other	292	31	21	125	469
Total Single-Family	Total Single-Family	$8,458	$1,594	$1,463	$2,220	$13,735	Total Single-Family	$14,426	$2,033	$1,317	$4,501	$22,277


Freddie Mac 2Q 2023 Form 10-Q						64


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 3

Non-Cash Investing and Financing Activities

During 1QYTD 2023 and 1QYTD 2022, we acquired ~~$42.5~~$100.9 billion and ~~$153.3~~$247.8 billion, respectively, of loans held-for-investment in exchange for the issuance of debt of consolidated trusts in guarantor swap transactions. We received approximately ~~$21.3~~$46.3 billion and ~~$61.5~~$105.8 billion of loans held-for-investment from sellers during 1QYTD 2023 and 1QYTD 2022, respectively, to satisfy advances to lenders that were recorded in other assets on our condensed consolidated balance sheets.


Freddie Mac 1Q2Q 2023 Form 10-Q						6165


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 4

NOTE 4

Guarantees and Other Off-Balance Sheet Credit Exposures

Guarantee Activities

The table below shows information about our mortgage-related guarantees and guarantees of Fannie Mae securities, including the UPB of the loans or securities underlying the guarantee, the maximum potential amount of future payments that we could be required to make under the guarantee, the liability we have recognized on our condensed consolidated balance sheets for the guarantee, and the maximum remaining term of the guarantee. This table does not include our unrecognized guarantees, such as guarantees to consolidated VIEs or to resecuritization trusts that do not expose us to incremental credit risk. We do not believe the potential amount of future payments we could be required to make is representative of the actual payments we will be required to make or the actual loss we are likely to incur, based on our historical loss experience and after consideration of proceeds from related collateral liquidation, including possible recoveries under credit enhancements.

Table 4.1 - Financial Guarantees


		March 31, 2023					June 30, 2023
(Dollars in millions, terms in years)	(Dollars in millions, terms in years)	UPB	Maximum Exposure	Recognized Liability(1)	Maximum Remaining Term	(Dollars in millions, terms in years)	UPB	Maximum Exposure	Recognized Liability(1)	Maximum Remaining Term
Single-Family mortgage-related guarantees:	Single-Family mortgage-related guarantees:					Single-Family mortgage-related guarantees:
Nonconsolidated securitization products(2)	Nonconsolidated securitization products(2)	$31,130	$25,329	$385	40	Nonconsolidated securitization products(2)	$30,583	$24,828	$379	39
Other mortgage-related guarantees	Other mortgage-related guarantees	9,290	9,290	192	29	Other mortgage-related guarantees	9,079	9,079	181	29
Total Single-Family mortgage-related guarantees	Total Single-Family mortgage-related guarantees	40,420	34,619	577		Total Single-Family mortgage-related guarantees	39,662	33,907	560
Multifamily mortgage-related guarantees:	Multifamily mortgage-related guarantees:					Multifamily mortgage-related guarantees:
Nonconsolidated securitization products(2)(3)	Nonconsolidated securitization products(2)(3)	357,747	316,606	4,751	37	Nonconsolidated securitization products(2)(3)	355,723	315,542	4,688	37
Other mortgage-related guarantees	Other mortgage-related guarantees	10,684	10,684	378	36	Other mortgage-related guarantees	10,847	10,847	400	35
Total Multifamily mortgage-related guarantees	Total Multifamily mortgage-related guarantees	368,431	327,290	5,129		Total Multifamily mortgage-related guarantees	366,570	326,389	5,088
Guarantees of Fannie Mae securities(4)	Guarantees of Fannie Mae securities(4)	116,807	116,807	—	39	Guarantees of Fannie Mae securities(4)	114,359	114,359	—	38
Other	Other	166	440	—	30	Other	153	478	—	30


	December 31, 2022
(Dollars in millions, terms in years)	UPB	Maximum Exposure	Recognized Liability(1)	Maximum Remaining Term
Single-Family mortgage-related guarantees:
Nonconsolidated securitization products(2)	$31,604	$25,772	$391	40
Other mortgage-related guarantees	9,476	9,476	203	29
Total Single-Family mortgage-related guarantees	41,080	35,248	594
Multifamily mortgage-related guarantees:
Nonconsolidated securitization products(2)(3)	360,869	319,117	4,889	37
Other mortgage-related guarantees	10,510	10,510	379	36
Total Multifamily mortgage-related guarantees	371,379	329,627	5,268
Guarantees of Fannie Mae securities(4)	119,267	119,267	—	39
Other	185	435	—	29

(1) Excludes allowance for credit losses on off-balance sheet credit exposures. See Note 5 for additional information on our allowance for credit losses on off-balance sheet credit exposures.

(2) Maximum exposure is based on remaining UPB of the guaranteed securities issued by the VIE.

(3) Includes UPB of ~~$0.7~~$0.3 billion and $0.4 billion as of ~~March 31,~~June 30, 2023 and December 31, 2022, respectively, related to VIEs in which our interest would no longer absorb significant variability as the guaranteed securities have completely paid off. In addition, includes guarantees that are accounted for as derivatives with UPB of $2.1 billion as of both ~~March 31,~~June 30, 2023 and December 31, 2022.

(4) Excludes $0.1 billion as of both ~~March 31,~~June 30, 2023 and December 31, 2022, of Fannie Mae securities that we have guaranteed that are included in resecuritization trusts that we have consolidated as we own all of the outstanding securities issued by the VIE.


Freddie Mac 1Q2Q 2023 Form 10-Q						6266


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 4

The table below shows the payment status of the mortgage loans underlying our mortgage-related guarantees.

Table 4.2 – UPB of Loans Underlying Our Mortgage-Related Guarantees by Payment Status


		March 31, 2023						June 30, 2023
(In millions)	(In millions)	Current	One Month Past Due	Two Months Past Due	Three Months or More Past Due, or in Foreclosure	Total	(In millions)	Current	One Month Past Due	Two Months Past Due	Three Months or More Past Due, or in Foreclosure	Total
Single-Family	Single-Family	$35,753	$2,075	$729	$1,863	$40,420	Single-Family	$35,498	$1,899	$674	$1,591	$39,662
Multifamily	Multifamily	367,681	251	21	478	368,431	Multifamily	365,658	86	66	760	366,570
Total	Total	$403,434	$2,326	$750	$2,341	$408,851	Total	$401,156	$1,985	$740	$2,351	$406,232


	December 31, 2022
(In millions)	Current	One Month Past Due	Two Months Past Due	Three Months or More Past Due, or in Foreclosure	Total
Single-Family	$36,241	$2,072	$748	$2,019	$41,080
Multifamily	370,911	23	12	433	371,379
Total	$407,152	$2,095	$760	$2,452	$412,459

Other Off-Balance Sheet Credit Exposures

In addition to our guarantees, we enter into other agreements that expose us to off-balance sheet credit risk. These agreements may require us to transfer cash before or upon settlement of our contractual obligation. We recognize an allowance for credit losses for those agreements not measured at fair value or otherwise recognized in the financial statements. Most of these commitments expire in less than one year. See Note 5 for additional discussion of our allowance for credit losses on our off-balance sheet credit exposures. The table below shows our other off-balance sheet credit exposures.

Table 4.3 – Other Off-Balance Sheet Credit Exposures


(In millions)	(In millions)	March 31, 2023	December 31, 2022	(In millions)	June 30, 2023	December 31, 2022
Mortgage loan purchase commitments(1)	Mortgage loan purchase commitments(1)	$11,249	$9,609	Mortgage loan purchase commitments(1)	$12,262	$9,609
Other commitments(2)	Other commitments(2)	34,923	22,293	Other commitments(2)	22,556	22,293
Total	Total	$46,172	$31,902	Total	$34,818	$31,902

(1)Includes ~~$2.1~~$2.9 billion and $0.5 billion of commitments for which we have elected the fair value option as of ~~March 31,~~June 30, 2023 and December 31, 2022, respectively. Excludes mortgage loan purchase commitments accounted for as derivative instruments. See Note 8 for additional information on commitments accounted for as derivative instruments.

(2)Consists of unfunded portion of revolving lines of credit, liquidity guarantees, and other commitments.


Freddie Mac 1Q2Q 2023 Form 10-Q						6367


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 5

NOTE 5

Allowance for Credit Losses

The table below summarizes changes in our allowance for credit losses.

Table 5.1 - Details of the Allowance for Credit Losses


		1Q 2023			1Q 2022			2Q 2023		2Q 2022				YTD 2023			YTD 2022
(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	$7,746	$147	$7,893	$5,440	$78	$5,518		Beginning balance		$8,097	$224	$8,321	$4,849	$72	$4,921		$7,746	$147	$7,893	$5,440	$78	$5,518
Provision (benefit) for credit losses	Provision (benefit) for credit losses	318	77	395	(831)	(6)	(837)		Provision (benefit) for credit losses		(638)	101	(537)	298	9	307		(320)	178	(142)	(533)	3	(530)
Charge-offs	Charge-offs	(90)	—	(90)	(173)	—	(173)		Charge-offs		(111)	—	(111)	(107)	—	(107)		(201)	—	(201)	(280)	—	(280)
Recoveries collected	Recoveries collected	32	—	32	52	—	52		Recoveries collected		29	—	29	43	—	43		61	—	61	95	—	95
Other(1)	Other(1)	91	—	91	361	—	361		Other(1)		80	—	80	259	—	259		171	—	171	620	—	620
Ending balance	Ending balance	$8,097	$224	$8,321	$4,849	$72	$4,921		Ending balance		$7,457	$325	$7,782	$5,342	$81	$5,423		$7,457	$325	$7,782	$5,342	$81	$5,423

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	$7,675	$160	$7,835	$4,358	$31	$4,389		Mortgage loans held-for-investment		$7,088	$251	$7,339	$4,904	$35	$4,939
Other(2)	Other(2)	422	64	486	491	41	532		Other(2)		369	74	443	438	46	484

Total ending balance	Total ending balance	$8,097	$224	$8,321	$4,849	$72	$4,921		Total ending balance		$7,457	$325	$7,782	$5,342	$81	$5,423

(1)Primarily includes capitalization of past due interest related to non-accrual loans that receive payment deferral plans and loan modifications.

(2)Includes allowance for credit losses related to advances of pre-foreclosure costs, accrued interest receivable, and off-balance sheet credit exposures.

n 1Q2Q 2023 vs. 1Q2Q 2022 - ~~Provision for credit losses for 1Q 2023 was driven by a modest credit reserve build primarily attributable to new acquisitions in Single-Family.~~ The benefit for credit losses for ~~1Q 2022~~2Q 2023 was primarily driven by a credit reserve release in Single-Family due to ~~higher estimated~~improvements in observed and forecasted house ~~prices~~price appreciation, partially offset by a credit reserve build in Multifamily due to deterioration in forecasted multifamily market conditions and ~~an improvement~~current loan performance. The provision for credit losses for 2Q 2022 was primarily driven by a credit reserve build in Single-Family due to portfolio growth and deterioration in forecasted economic conditions.

In addition, charge-offs decreased ~~year-over-year~~for YTD 2023, compared to YTD 2022, primarily due to a decrease in charge-offs of accrued interest ~~receivable during 1Q 2023.~~receivable.


Freddie Mac 1Q2Q 2023 Form 10-Q						6468


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 6

NOTE 6

Investment Securities

The table below summarizes the fair values of our investments in debt securities by classification.

Table 6.1 - Investment Securities


(In millions)	(In millions)	March 31, 2023	December 31, 2022	(In millions)	June 30, 2023	December 31, 2022
Trading securities	Trading securities	$31,343	$32,167	Trading securities	$35,687	$32,167
Available-for-sale securities	Available-for-sale securities	6,369	6,534	Available-for-sale securities	5,942	6,534
Total fair value of investment securities	Total fair value of investment securities	$37,712	$38,701	Total fair value of investment securities	$41,629	$38,701

Trading Securities

The table below presents the fair values of our trading securities by major security type. Our non-mortgage-related securities primarily consist of investments in U.S. Treasury securities.

Table 6.2 - Trading Securities


(In millions)	(In millions)	March 31, 2023	December 31, 2022	(In millions)	June 30, 2023	December 31, 2022
Mortgage-related securities	Mortgage-related securities	$9,074	$8,334	Mortgage-related securities	$10,256	$8,334
Non-mortgage-related securities	Non-mortgage-related securities	22,269	23,833	Non-mortgage-related securities	25,431	23,833
Total fair value of trading securities	Total fair value of trading securities	$31,343	$32,167	Total fair value of trading securities	$35,687	$32,167

For trading securities held at ~~March 31,~~June 30, 2023, we recorded net unrealized losses of $0.3 billion and $0.2 billion during 2Q 2023 and ~~March 31,~~YTD 2023, respectively. For trading securities held at June 30, 2022, we recorded net unrealized losses of ~~$0.2~~$0.3 billion and ~~$1.0~~$1.1 billion during ~~1Q 2023~~2Q 2022 and 1QYTD 2022, respectively.

Available-for-Sale Securities

The table below provides details of the securities classified as available-for-sale on our condensed consolidated balance sheets. At ~~March 31,~~June 30, 2023 and December 31, 2022, all available-for-sale securities were mortgage-related securities.

Table 6.3 - Available-for-Sale Securities


		March 31, 2023						June 30, 2023
		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)
Agency mortgage-related securities	Agency mortgage-related securities	$6,006	$14	($238)	$5,782	$13	Agency mortgage-related securities	$5,677	$3	($297)	$5,382	$12
Other mortgage-related securities	Other mortgage-related securities	408	182	(3)	587	3	Other mortgage-related securities	383	182	(5)	560	3
Total available-for-sale securities	Total available-for-sale securities	$6,414	$196	($241)	$6,369	$16	Total available-for-sale securities	$6,060	$185	($302)	$5,942	$15


	December 31, 2022
	Amortized Cost Basis	Gross Unrealized Gains in Other Comprehensive Income	Gross Unrealized Losses in Other Comprehensive Income	Fair Value	Accrued Interest Receivable
(In millions)
Agency mortgage-related securities	$6,215	$6	($301)	$5,920	$12
Other mortgage-related securities	429	188	(3)	614	3
Total available-for-sale securities	$6,644	$194	($304)	$6,534	$15

The fair value of our available-for-sale securities held at ~~March 31,~~June 30, 2023 scheduled to contractually mature after ten years was ~~$1.5~~$1.4 billion, with an additional ~~$4.0~~$3.5 billion scheduled to contractually mature after five years through ten years.


Freddie Mac 1Q2Q 2023 Form 10-Q						6569


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 6

The table below presents available-for-sale securities in a gross unrealized loss position and whether such securities have been in an unrealized loss position for less than 12 months, or 12 months or greater.

Table 6.4 - Available-for-Sale Securities in a Gross Unrealized Loss Position


		March 31, 2023					June 30, 2023
		Less than 12 Months		12 Months or Greater			Less than 12 Months		12 Months or Greater
(In millions)	(In millions)	Fair Value	Gross Unrealized Losses	Fair Value	Gross Unrealized Losses	(In millions)	Fair Value	Gross Unrealized Losses	Fair Value	Gross Unrealized Losses
Agency mortgage-related securities	Agency mortgage-related securities	$3,038	($80)	$1,696	($158)	Agency mortgage-related securities	$2,346	($103)	$2,520	($194)
Other mortgage-related securities	Other mortgage-related securities	28	(2)	13	(1)	Other mortgage-related securities	48	(3)	14	(2)
Total available-for-sale securities in a gross unrealized loss position	Total available-for-sale securities in a gross unrealized loss position	$3,066	($82)	$1,709	($159)	Total available-for-sale securities in a gross unrealized loss position	$2,394	($106)	$2,534	($196)


	December 31, 2022
	Less than 12 Months		12 Months or Greater
(In millions)	Fair Value	Gross Unrealized Losses	Fair Value	Gross Unrealized Losses
Agency mortgage-related securities	$5,086	($253)	$325	($48)
Other mortgage-related securities	46	(3)	5	—
Total available-for-sale securities in a gross unrealized loss position	$5,132	($256)	$330	($48)

At ~~March 31,~~June 30, 2023, the gross unrealized losses relate to ~~187~~207 securities.

The table below summarizes the gross realized gains and gross realized losses from sales of available-for-sale securities.

Table 6.5 - Gross Realized Gains and Gross Realized Losses from Sales of Available-for-Sale Securities


(In millions)	(In millions)	1Q 2023	1Q 2022	(In millions)	2Q 2023	2Q 2022	YTD 2023	YTD 2022
Gross realized gains	Gross realized gains	$2	$—	Gross realized gains	$3	$1	$5	$1
Gross realized losses	Gross realized losses	(2)	(1)	Gross realized losses	(2)	(3)	(4)	(4)
Net realized gains		$—	($1)
Net realized gains (losses)				Net realized gains (losses)	$1	($2)	$1	($3)

Non-Cash Investing and Financing Activities

During 1QYTD 2023 and 1QYTD 2022, we recognized ~~$0.6~~$1.7 billion and ~~$3.1~~$8.3 billion, respectively, of investment securities in exchange for the issuance of debt of consolidated trusts through partial sales of commingled single-class resecuritization products that were previously consolidated.

During 1QYTD 2023 and 1QYTD 2022, we derecognized ~~$1.4~~$2.8 billion and ~~$1.5~~$7.7 billion, respectively, of mortgage-related securities and debt of consolidated trusts where we were no longer deemed the primary beneficiary.


Freddie Mac 1Q2Q 2023 Form 10-Q						6670


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 7

NOTE 7

Debt

The table below summarizes the balances of total debt on our condensed consolidated balance sheets.

Table 7.1 - Total Debt


(In millions)	(In millions)	March 31, 2023	December 31, 2022	(In millions)	June 30, 2023	December 31, 2022
Debt of consolidated trusts	Debt of consolidated trusts	$2,987,050	$2,979,070	Debt of consolidated trusts	$3,007,278	$2,979,070
Debt of Freddie Mac:	Debt of Freddie Mac:			Debt of Freddie Mac:
Short-term debt	Short-term debt	8,681	7,712	Short-term debt	11,330	7,712
Long-term debt	Long-term debt	171,783	159,050	Long-term debt	170,478	159,050
Total debt of Freddie Mac	Total debt of Freddie Mac	180,464	166,762	Total debt of Freddie Mac	181,808	166,762
Total debt	Total debt	$3,167,514	$3,145,832	Total debt	$3,189,086	$3,145,832

As of ~~March 31,~~June 30, 2023, our aggregate indebtedness pursuant to the Purchase Agreement was ~~$190.1~~$192.0 billion, which was below the current $270.0 billion debt cap limit. Our aggregate indebtedness calculation primarily includes the par value of short- and long-term debt.

Debt of Consolidated Trusts

The table below summarizes the debt of consolidated trusts based on underlying loan product type.

Table 7.2 - Debt of Consolidated Trusts


		March 31, 2023					December 31, 2022						June 30, 2023					December 31, 2022
(Dollars in millions)	(Dollars in millions)	Contractual Maturity	UPB	Carrying Amount(1)	Weighted Average Coupon(2)		Contractual Maturity	UPB	Carrying Amount(1)	Weighted Average Coupon(2)		(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:	Single-Family:											Single-Family:
20-and 30-year or more, fixed-rate	20-and 30-year or more, fixed-rate	2023 - 2061	$2,522,559	$2,564,677	2.82	%	2023 - 2061	$2,507,235	$2,550,137	2.76	%	20-and 30-year or more, fixed-rate	2023 - 2061	$2,551,815	$2,592,440	2.89	%	2023 - 2061	$2,507,235	$2,550,137	2.76	%
15-year or less, fixed-rate	15-year or less, fixed-rate	2023 - 2038	357,248	363,390	2.15		2023 - 2038	367,844	374,339	2.14		15-year or less, fixed-rate	2023 - 2038	346,538	352,290	2.17		2023 - 2038	367,844	374,339	2.14
Adjustable-rate and other	Adjustable-rate and other	2023 - 2053	23,834	24,402	3.29		2023 - 2053	23,561	24,153	3.04		Adjustable-rate and other	2023 - 2053	24,010	24,528	3.52		2023 - 2053	23,561	24,153	3.04
Total Single-Family	Total Single-Family		2,903,641	2,952,469				2,898,640	2,948,629			Total Single-Family		2,922,363	2,969,258				2,898,640	2,948,629
Multifamily	Multifamily	2024 - 2053	35,080	34,581	2.88		2023 - 2052	30,927	30,441	2.66		Multifamily	2024 - 2053	38,633	38,020	2.96		2023 - 2052	30,927	30,441	2.66
Total debt of consolidated trusts	Total debt of consolidated trusts		$2,938,721	$2,987,050				$2,929,567	$2,979,070			Total debt of consolidated trusts		$2,960,996	$3,007,278				$2,929,567	$2,979,070

(1)Includes ~~$2.1~~$1.4 billion and $1.9 billion as of ~~March 31,~~June 30, 2023 and December 31, 2022, respectively, of debt of consolidated trusts that represents the fair value of debt for which the fair value option was elected.

(2)The effective interest rate for debt of consolidated trusts was ~~2.47%~~2.50% and 2.39% as of ~~March 31,~~June 30, 2023 and December 31, 2022, respectively.


Freddie Mac 1Q2Q 2023 Form 10-Q						6771


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 7

Short-Term Debt

The table below summarizes the balances and effective interest rates for short-term debt.

Table 7.3 - Short-Term Debt


		March 31, 2023				December 31, 2022					June 30, 2023				December 31, 2022
(Dollars in millions)	(Dollars in millions)	Par Value	Carrying Amount	Weighted Average Effective Rate		Par Value	Carrying Amount	Weighted Average Effective Rate		(Dollars in millions)	Par Value	Carrying Amount	Weighted Average Effective Rate		Par Value	Carrying Amount	Weighted Average Effective Rate
Short-term debt:	Short-term debt:									Short-term debt:
Discount notes and Reference Bills®	Discount notes and Reference Bills®	$8,051	$8,016	4.56	%	$6,826	$6,822	3.71	%	Discount notes and Reference Bills®	$11,386	$11,330	5.08	%	$6,826	$6,822	3.71	%
Medium-term notes	Medium-term notes	665	665	1.91		890	890	1.81		Medium-term notes	—	—	—		890	890	1.81
Securities sold under agreements to repurchase	Securities sold under agreements to repurchase	4,652	4,652	4.58		11,991	11,991	3.86		Securities sold under agreements to repurchase	9,168	9,168	4.99		11,991	11,991	3.86
Offsetting arrangements(1)	Offsetting arrangements(1)	(4,652)	(4,652)			(11,991)	(11,991)			Offsetting arrangements(1)	(9,168)	(9,168)			(11,991)	(11,991)
Total short-term debt	Total short-term debt	$8,716	$8,681	4.36	%	$7,716	$7,712	3.49	%	Total short-term debt	$11,386	$11,330	5.08	%	$7,716	$7,712	3.49	%

(1)We offset payables related to securities sold under agreements to repurchase against receivables related to securities purchased under agreements to resell on our condensed consolidated balance sheets, when such amounts meet the conditions for offsetting in the accounting guidance.

Long-Term Debt

The table below summarizes our long-term debt.

Table 7.4 - Long-Term Debt


		March 31, 2023					December 31, 2022						June 30, 2023					December 31, 2022
(Dollars in millions)	(Dollars in millions)	Contractual Maturity	Par Value	Carrying Amount(1)	Weighted Average Effective Rate(2)		Contractual Maturity	Par Value	Carrying Amount(1)	Weighted Average Effective Rate(2)		(Dollars in millions)	Contractual Maturity	Par Value	Carrying Amount(1)	Weighted Average Effective Rate(2)		Contractual Maturity	Par Value	Carrying Amount(1)	Weighted Average Effective Rate(2)
Long-term debt:	Long-term debt:											Long-term debt:
Fixed-rate:	Fixed-rate:											Fixed-rate:
Medium-term notes — callable	Medium-term notes — callable	2023 - 2050	$115,743	$115,680	2.35	%	2023 - 2050	$103,584	$103,528	1.96	%	Medium-term notes — callable	2023 - 2050	$132,542	$132,473	2.81	%	2023 - 2050	$103,584	$103,528	1.96	%
Medium-term notes — non-callable	Medium-term notes — non-callable	2023 - 2028	2,481	2,481	0.78		2023 - 2028	2,747	2,747	0.73		Medium-term notes — non-callable	2023 - 2028	1,971	1,972	0.92		2023 - 2028	2,747	2,747	0.73
Reference Notes securities — non-callable	Reference Notes securities — non-callable	2023 - 2032	49,801	49,839	2.04		2023 - 2032	49,801	49,832	1.76		Reference Notes securities — non-callable	2023 - 2032	36,051	36,095	3.82		2023 - 2032	49,801	49,832	1.76
SCR debt notes	SCR debt notes	2031 - 2032	86	86	13.00		2031 - 2032	90	93	13.00		SCR debt notes	2031 - 2032	84	84	13.00		2031 - 2032	90	93	13.00
Variable-rate:	Variable-rate:											Variable-rate:
Medium-term notes — callable	Medium-term notes — callable	2023 - 2028	4,941	4,939	4.04		2023 - 2027	4,691	4,689	3.95		Medium-term notes — callable	2023 - 2028	2,187	2,184	4.66		2023 - 2027	4,691	4,689	3.95
Medium-term notes — non-callable	Medium-term notes — non-callable	2026	47	47	8.10		2026	47	47	8.10		Medium-term notes — non-callable	2026	47	47	8.10		2026	47	47	8.10
STACR	STACR	2023 - 2042	3,449	3,342	9.40		2023 - 2042	4,562	4,448	8.79		STACR	2023 - 2042	2,856	2,757	10.30		2023 - 2042	4,562	4,448	8.79
Zero-coupon:	Zero-coupon:											Zero-coupon:
Medium-term notes — non-callable	Medium-term notes — non-callable	2024 - 2039	4,836	2,955	6.12		2023 - 2039	4,841	2,913	6.11		Medium-term notes — non-callable	2024 - 2039	4,836	3,002	6.14		2023 - 2039	4,841	2,913	6.11
Other	Other	2047 - 2053	—	128	0.85		2047 - 2052	—	137	0.82		Other	2047 - 2053	—	129	0.83		2047 - 2052	—	137	0.82
Hedging-related basis adjustments	Hedging-related basis adjustments		N/A	(7,714)				N/A	(9,384)			Hedging-related basis adjustments		N/A	(8,265)				N/A	(9,384)
Total long-term debt	Total long-term debt		$181,384	$171,783	2.49	%		$170,363	$159,050	2.20	%	Total long-term debt		$180,574	$170,478	3.20	%		$170,363	$159,050	2.20	%

(1)Represents par value, net of associated discounts or premiums and issuance cost. Includes ~~$0.7~~$0.6 billion and $1.1 billion at ~~March 31,~~June 30, 2023 and December 31, 2022, respectively, of long-term debt that represents the fair value of debt for which the fair value option was elected.

(2)Based on carrying amount.


Freddie Mac 1Q2Q 2023 Form 10-Q						6872


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 7

The table below summarizes the contractual maturities of long-term debt.

Table 7.5 - Contractual Maturities of Long-Term Debt


		March 31, 2023		June 30, 2023
(In millions)	(In millions)	Amounts	(In millions)	Amounts
Annual Maturities	Annual Maturities		Annual Maturities
Long-term debt (excluding STACR and SCR debt notes):	Long-term debt (excluding STACR and SCR debt notes):		Long-term debt (excluding STACR and SCR debt notes):
2023			2023	$23,376
2024	2024	$40,271	2024	42,095
2025	2025	33,340	2025	61,105
2026	2026	58,018	2026	12,024
2027	2027	10,097	2027	9,434
2028		7,793
Thereafter	Thereafter	28,330	Thereafter	29,600
Debt of consolidated trusts, STACR, and SCR debt notes(1)	Debt of consolidated trusts, STACR, and SCR debt notes(1)	2,942,256	Debt of consolidated trusts, STACR, and SCR debt notes(1)	2,963,936
Total	Total	3,120,105	Total	3,141,570
Net discounts, premiums, debt issuance costs, hedge-related, and other basis adjustments(2)	Net discounts, premiums, debt issuance costs, hedge-related, and other basis adjustments(2)	38,728	Net discounts, premiums, debt issuance costs, hedge-related, and other basis adjustments(2)	36,186
Total debt of consolidated trusts, STACR, SCR, and long-term debt	Total debt of consolidated trusts, STACR, SCR, and long-term debt	$3,158,833	Total debt of consolidated trusts, STACR, SCR, and long-term debt	$3,177,756

(1)Contractual maturities of these debt securities are not presented because they are subject to prepayment risk, as their payments are based upon the performance of a pool of mortgage assets that may be prepaid by the related mortgage borrower at any time generally without penalty.

(2)Other basis adjustments primarily represent changes in fair value on debt where we have elected the fair value option.


Freddie Mac 1Q2Q 2023 Form 10-Q						6973


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 8

NOTE 8

Derivatives

We analyze the interest-rate sensitivity of financial assets and liabilities across a variety of interest-rate scenarios based on market prices, models, and economics. We use derivatives primarily to hedge interest-rate sensitivity mismatches between our financial assets and liabilities. We designate certain derivatives as hedging instruments in qualifying hedge accounting relationships. Interest-rate risk management derivatives that are not designated in qualifying hedge accounting relationships are economic hedges of financial instruments measured at fair value on a recurring basis or of other transactions or instruments that expose us to interest-rate risk.

We apply fair value hedge accounting to certain single-family mortgage loans and certain issuances of debt where we hedge the changes in fair value of these items attributable to the designated benchmark interest rate, using interest-rate swaps.

Derivative Assets and Liabilities at Fair Value

The table below presents the notional value and fair value of derivatives reported on our condensed consolidated balance sheets.

Table 8.1 - Derivative Assets and Liabilities at Fair Value


		March 31, 2023			December 31, 2022				June 30, 2023			December 31, 2022
		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	$445,598	$1,427	($604)	$480,824	$1,762	($526)	Swaps	$743,108	$1,837	($441)	$480,824	$1,762	($526)
Written options	Written options	49,745	—	(1,550)	46,101	—	(1,857)	Written options	67,813	—	(1,910)	46,101	—	(1,857)
Purchased options(1)	Purchased options(1)	87,065	3,703	—	92,010	4,302	—	Purchased options(1)	76,970	3,668	—	92,010	4,302	—
Futures	Futures	134,295	—	—	182,330	—	—	Futures	249,149	—	—	182,330	—	—
Total interest-rate risk management derivatives	Total interest-rate risk management derivatives	716,703	5,130	(2,154)	801,265	6,064	(2,383)	Total interest-rate risk management derivatives	1,137,040	5,505	(2,351)	801,265	6,064	(2,383)
Mortgage commitment derivatives	Mortgage commitment derivatives	39,505	19	(6)	29,354	12	(11)	Mortgage commitment derivatives	58,503	6	(20)	29,354	12	(11)
CRT-related derivatives(2)	CRT-related derivatives(2)	31,888	—	(110)	31,647	—	(55)	CRT-related derivatives(2)	32,681	—	(149)	31,647	—	(55)
Other	Other	14,090	3	(539)	14,426	2	(624)	Other	13,752	13	(581)	14,426	2	(624)
Total derivatives not designated as hedges	Total derivatives not designated as hedges	802,186	5,152	(2,809)	876,692	6,078	(3,073)	Total derivatives not designated as hedges	1,241,976	5,524	(3,101)	876,692	6,078	(3,073)
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	189,974	328	(6,648)	181,298	321	(7,847)	Swaps	181,144	97	(7,478)	181,298	321	(7,847)
Total derivatives designated as fair value hedges	Total derivatives designated as fair value hedges	189,974	328	(6,648)	181,298	321	(7,847)	Total derivatives designated as fair value hedges	181,144	97	(7,478)	181,298	321	(7,847)
Receivables (payables)	Receivables (payables)		1	(214)		35	(25)	Receivables (payables)		52	(100)		35	(25)
Netting adjustments(3)	Netting adjustments(3)		(5,090)	8,778		(6,127)	10,187	Netting adjustments(3)		(5,314)	9,698		(6,127)	10,187
Total derivative portfolio, net	Total derivative portfolio, net	$992,160	$391	($893)	$1,057,990	$307	($758)	Total derivative portfolio, net	$1,423,120	$359	($981)	$1,057,990	$307	($758)

(1)Includes swaptions on credit indices with a notional or contractual amount of ~~$6.9~~$5.5 billion and $10.1 billion at ~~March 31,~~June 30, 2023 and December 31, 2022, respectively, and a fair value of $1.0 million and $2.0 million ~~as of both March 31,~~at June 30, 2023 and December 31, ~~2022.~~2022, respectively.

(2)Includes derivative instruments related to CRT transactions that are considered freestanding credit enhancements.

(3)Represents counterparty netting and cash collateral netting.


Freddie Mac 1Q2Q 2023 Form 10-Q						7074


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 8

Gains and Losses on Derivatives

The table below presents the gains and losses on derivatives not designated in qualifying hedge relationships. These amounts are reported on our condensed consolidated statements of income as investment gains, net.

Table 8.2 - Gains and Losses on Derivatives(1)


(In millions)	(In millions)	1Q 2023	1Q 2022	(In millions)	2Q 2023	2Q 2022	YTD 2023	YTD 2022
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	$29	$390	Swaps	$380	($141)	$408	$249
Written options	Written options	195	(364)	Written options	82	(320)	277	(684)
Purchased options	Purchased options	(504)	717	Purchased options	(45)	508	(549)	1,225
Futures	Futures	(307)	868	Futures	519	557	212	1,425
Total interest-rate risk management derivatives fair value gains (losses)	Total interest-rate risk management derivatives fair value gains (losses)	(587)	1,611	Total interest-rate risk management derivatives fair value gains (losses)	936	604	348	2,215
Mortgage commitment derivatives	Mortgage commitment derivatives	(80)	1,839	Mortgage commitment derivatives	125	880	45	2,719
CRT-related derivatives(2)	CRT-related derivatives(2)	(76)	12	CRT-related derivatives(2)	(68)	66	(144)	78
Other	Other	61	(39)	Other	(64)	(42)	(3)	(81)
Total derivatives not designated as hedges fair value gains (losses)	Total derivatives not designated as hedges fair value gains (losses)	($682)	$3,423	Total derivatives not designated as hedges fair value gains (losses)	$929	$1,508	$246	$4,931

(1)Accrual of periodic cash settlements on swaps is included in the respective gain (loss) of the derivative and is no longer presented separately. Certain prior period amounts have been reclassified to conform to the current period presentation.

(2)Includes derivative instruments related to CRT transactions that are considered freestanding credit enhancements.


Freddie Mac 2Q 2023 Form 10-Q						75


Financial Statements			Notes to the Condensed Consolidated Financial Statements \|Note 8

Fair Value Hedges

The table below presents the effects of fair value hedge accounting by condensed consolidated statements of income line item, including the gains and losses on derivatives and hedged items designated in qualifying hedge relationships and other components due to the application of hedge accounting.

Table 8.3 - Gains and Losses on Fair Value Hedges


		1Q 2023		1Q 2022			2Q 2023		2Q 2022
(In millions)	(In millions)	Interest Income	Interest Expense	Interest Income	Interest Expense	(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 income in which the effects of fair value hedges are recorded:	Total amounts of income and expense line items presented in our condensed consolidated statements of income in which the effects of fair value hedges are recorded:	$24,987	($20,486)	$17,740	($13,636)	Total amounts of income and expense line items presented in our condensed consolidated statements of income in which the effects of fair value hedges are recorded:	$25,755	($21,232)	$20,008	($15,249)

Interest contracts on mortgage loans held-for-investment:	Interest contracts on mortgage loans held-for-investment:					Interest contracts on mortgage loans held-for-investment:
Gain (loss) on fair value hedging relationships:	Gain (loss) on fair value hedging relationships:					Gain (loss) on fair value hedging relationships:
Hedged items	Hedged items	1,123	—	(2,627)	—	Hedged items	(964)	—	(1,523)	—
Derivatives designated as hedging instruments	Derivatives designated as hedging instruments	(1,073)	—	2,055	—	Derivatives designated as hedging instruments	900	—	1,408	—
Interest accruals on hedging instruments	Interest accruals on hedging instruments	211	—	(267)	—	Interest accruals on hedging instruments	251	—	(149)	—
Discontinued hedge related basis adjustments amortization	Discontinued hedge related basis adjustments amortization	31	—	(124)	—	Discontinued hedge related basis adjustments amortization	39	—	(4)	—
Interest contracts on debt:	Interest contracts on debt:					Interest contracts on debt:
Gain (loss) on fair value hedging relationships:	Gain (loss) on fair value hedging relationships:					Gain (loss) on fair value hedging relationships:
Hedged items	Hedged items	—	(1,535)	—	3,861	Hedged items	—	725	—	1,300
Derivatives designated as hedging instruments	Derivatives designated as hedging instruments	—	1,534	—	(3,896)	Derivatives designated as hedging instruments	—	(749)	—	(1,328)
Interest accruals on hedging instruments	Interest accruals on hedging instruments	—	(1,051)	—	144	Interest accruals on hedging instruments	—	(1,000)	—	(44)
Discontinued hedge related basis adjustment amortization	Discontinued hedge related basis adjustment amortization	—	(38)	—	10	Discontinued hedge related basis adjustment amortization	—	(172)	—	2

							YTD 2023		YTD 2022
(In millions)						(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 income in which the effects of fair value hedges are recorded:						Total amounts of income and expense line items presented in our condensed consolidated statements of income in which the effects of fair value hedges are recorded:	$50,742	($41,718)	$37,748	($28,885)

Interest contracts on mortgage loans held-for-investment:						Interest contracts on mortgage loans held-for-investment:
Gain (loss) on fair value hedging relationships:						Gain (loss) on fair value hedging relationships:
Hedged items						Hedged items	159	—	(4,150)	—
Derivatives designated as hedging instruments						Derivatives designated as hedging instruments	(173)	—	3,463	—
Interest accruals on hedging instruments						Interest accruals on hedging instruments	462	—	(416)	—
Discontinued hedge related basis adjustments amortization						Discontinued hedge related basis adjustments amortization	70	—	(128)	—
Interest contracts on debt:						Interest contracts on debt:
Gain (loss) on fair value hedging relationships:						Gain (loss) on fair value hedging relationships:
Hedged items						Hedged items	—	(810)	—	5,161
Derivatives designated as hedging instruments						Derivatives designated as hedging instruments	—	785	—	(5,224)
Interest accruals on hedging instruments						Interest accruals on hedging instruments	—	(2,051)	—	100
Discontinued hedge related basis adjustment amortization						Discontinued hedge related basis adjustment amortization	—	(210)	—	12


Freddie Mac 1Q2Q 2023 Form 10-Q						7176


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 8

The table below presents the cumulative basis adjustments and the carrying amounts of the hedged item by its respective balance sheet line item.

Table 8.4 - Cumulative Basis Adjustments Due to Fair Value Hedging


		March 31, 2023										June 30, 2023
		Carrying Amount Assets / (Liabilities)		Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount				Closed Portfolio Under the Portfolio Layer Method				Carrying Amount Assets / (Liabilities)		Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount				Closed Portfolio Under the Portfolio Layer Method
(In millions)	(In millions)		Total	Under the Portfolio Layer Method	Discontinued - Hedge Related		Total Amount by Amortized Cost Basis	Designated Amount by UPB	(In millions)				Total	Under the Portfolio 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		$1,126,852		($1,967)	($678)	($1,289)		$77,275	$11,516	Mortgage loans held-for-investment		$1,127,522		($2,893)	($322)	($2,571)		$63,283	$11,670
Mortgage loans held-for-sale	Mortgage loans held-for-sale	56		1	—	1		—	—	Mortgage loans held-for-sale		54		1	—	1		—	—
Debt	Debt	(156,649)		7,714	—	187		—	—	Debt		(156,961)		8,265	—	193		—	—

		December 31, 2022										December 31, 2022
		Carrying Amount Assets / (Liabilities)		Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount				Closed Portfolio Under the Portfolio Layer Method				Carrying Amount Assets / (Liabilities)		Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount				Closed Portfolio Under the Portfolio Layer Method
(In millions)	(In millions)		Total	Under the Portfolio Layer Method	Discontinued - Hedge Related		Total Amount by Amortized Cost Basis	Designated Amount by UPB	(In millions)				Total	Under the Portfolio 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		$1,108,098		($3,122)	($959)	($2,163)		$79,070	$11,516	Mortgage loans held-for-investment		$1,108,098		($3,122)	($959)	($2,163)		$79,070	$11,516
Mortgage loans held-for-sale	Mortgage loans held-for-sale	67		1	—	1		—	—	Mortgage loans held-for-sale		67		1	—	1		—	—
Debt	Debt	(142,511)		9,384	—	123		—	—	Debt		(142,511)		9,384	—	123		—	—


Freddie Mac 1Q2Q 2023 Form 10-Q						7277


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 9

NOTE 9

Collateralized Agreements and Offsetting Arrangements

Offsetting of Financial Assets and Liabilities

The table below presents offsetting and collateral information related to derivatives, securities purchased under agreements to resell, and securities sold under agreements to repurchase which are subject to enforceable master netting agreements or similar arrangements.

Table 9.1 - Offsetting and Collateral Information of Financial Assets and Liabilities


		March 31, 2023												June 30, 2023
		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		$5,459		($4,052)	($1,038)				$369		($180)			$189	OTC derivatives		$5,652	($4,229)	($1,112)		$311	($281)	$30
Cleared and exchange-traded derivatives	Cleared and exchange-traded derivatives	—		—	—		—	—	—		Cleared and exchange-traded derivatives			2			—	27	29	—	29
Mortgage commitment derivatives	Mortgage commitment derivatives	19		—	—		19	—	19		Mortgage commitment derivatives			6			—	—	6	—	6
Other	Other	3		—	—		3	—	3		Other			13			—	—	13	—	13
Total derivatives	Total derivatives	5,481		(4,052)	(1,038)		391	(180)	211		Total derivatives			5,673			(4,229)	(1,085)	359	(281)	78
Securities purchased under agreements to resell	Securities purchased under agreements to resell	112,688		(4,652)	—		108,036	(108,036)	—		Securities purchased under agreements to resell			121,554			(9,168)	—	112,386	(112,386)	—
Total	Total	$118,169		($8,704)	($1,038)		$108,427	($108,216)	$211		Total			$127,227			($13,397)	($1,085)	$112,745	($112,667)	$78
Liabilities:	Liabilities:										Liabilities:
Derivatives:	Derivatives:										Derivatives:
OTC derivatives	OTC derivatives	($8,790)		$4,052	$4,669		($69)	$26	($43)		OTC derivatives			($9,826)			$4,229	$5,434	($163)	$104	($59)
Cleared and exchange-traded derivatives	Cleared and exchange-traded derivatives	(199)		—	57		(142)	142	—		Cleared and exchange-traded derivatives			(68)			—	35	(33)	33	—
Mortgage commitment derivatives	Mortgage commitment derivatives	(33)		—	—		(33)	—	(33)		Mortgage commitment derivatives			(55)			—	—	(55)	—	(55)
Other	Other	(649)		—	—		(649)	—	(649)		Other			(730)			—	—	(730)	—	(730)
Total derivatives	Total derivatives	(9,671)		4,052	4,726		(893)	168	(725)		Total derivatives			(10,679)			4,229	5,469	(981)	137	(844)
Securities sold under agreements to repurchase	Securities sold under agreements to repurchase	(4,652)		4,652	—		—	—	—		Securities sold under agreements to repurchase			(9,168)			9,168	—	—	—	—
Total	Total	($14,323)		$8,704	$4,726		($893)	$168	($725)		Total			($19,847)			$13,397	$5,469	($981)	$137	($844)

Referenced footnotes are included after the ~~next~~prior period table.


Freddie Mac 1Q2Q 2023 Form 10-Q						7378


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 9


	December 31, 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
(In millions)		Counterparty Netting	Cash Collateral Netting(1)
Assets:
Derivatives:
OTC derivatives	$6,385	($4,468)	($1,681)	$236	($214)	$22
Cleared and exchange-traded derivatives	28	—	22	50	—	50
Mortgage commitment derivatives	19	—	—	19	(4)	15
Other	2	—	—	2	—	2
Total derivatives	6,434	(4,468)	(1,659)	307	(218)	89
Securities purchased under agreements to resell	99,286	(11,991)	—	87,295	(87,295)	—
Total	$105,720	($16,459)	($1,659)	$87,602	($87,513)	$89
Liabilities:
Derivatives:
OTC derivatives	($10,230)	$4,468	$5,702	($60)	$23	($37)
Cleared and exchange-traded derivatives	(25)	—	17	(8)	8	—
Mortgage commitment derivatives	(11)	—	—	(11)	—	(11)
Other	(679)	—	—	(679)	—	(679)
Total derivatives	(10,945)	4,468	5,719	(758)	31	(727)
Securities sold under agreements to repurchase	(11,991)	11,991	—	—	—	—
Total	($22,936)	$16,459	$5,719	($758)	$31	($727)

(1)Excess cash collateral held is presented as a derivative liability, while excess cash collateral posted is presented as a derivative asset.

(2)Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability, netted by counterparty, presented on the condensed consolidated balance sheets. For securities purchased under agreements to resell, includes ~~$112.6~~$119.9 billion and $54.7 billion of collateral that we had the right to repledge as of ~~March 31,~~June 30, 2023 and December 31, 2022, respectively. We repledged less than $0.1 billion of collateral as of both ~~March 31,~~June 30, 2023 and December 31, 2022.


Freddie Mac 1Q2Q 2023 Form 10-Q						7479


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 9

Collateral Pledged

The table below summarizes the carrying value of the collateral pledged by us and recorded on our condensed consolidated balance sheets for derivatives and collateralized borrowing transactions, including securities that the secured party may repledge.

Table 9.2 - Collateral in the Form of Securities Pledged


		March 31, 2023					June 30, 2023
(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 of consolidated trusts(2)		$—	$—	$183	$183

Trading securities	Trading securities	2,351	4,619	2,056	9,026	Trading securities	$2,048	$7,598	$3,112	$12,758
Total securities pledged	Total securities pledged	$2,351	$4,619	$2,239	$9,209	Total securities pledged	$2,048	$7,598	$3,112	$12,758


	December 31, 2022
(In millions)	Derivatives	Securities Sold Under Agreements to Repurchase	Other(1)	Total
Trading securities	$1,533	$2,910	$1,347	$5,790
Other assets	—	6,543	—	6,543
Total securities pledged	$1,533	$9,453	$1,347	$12,333

(1)Includes other collateralized borrowings and collateral related to transactions with certain clearinghouses.

~~(2)~~Represents debt of consolidated trusts held by us in our mortgage-related investments portfolio which is recorded as a reduction to debt of consolidated trusts on our condensed consolidated balance sheets.

The table below presents the remaining contractual maturity of our gross obligations for securities sold under agreements to repurchase. The collateral for such obligations consisted primarily of U.S. Treasury securities.

Table 9.3 - Remaining Contractual Maturity

March 31, 2023

June 30, 2023

(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

Securities sold under agreements to repurchase

$—

$1,165

$3,487

$—

$4,652

Securities sold under agreements to repurchase

$—

$5,562

$3,606

$—

$9,168

December 31, 2022

(In millions)

Overnight and Continuous

30 Days or Less

After 30 Days Through 90 Days

Greater Than 90 Days

Total

Securities sold under agreements to repurchase

$—

$11,991

$—

$11,991


Freddie Mac 1Q2Q 2023 Form 10-Q						7580


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 10

NOTE 10

Net Interest Income

The table below presents the components of net interest income per our condensed consolidated statements of income and comprehensive income.

Table 10.1 - Components of Net Interest Income


(In millions)	(In millions)	1Q 2023	1Q 2022	(In millions)	2Q 2023	2Q 2022	YTD 2023	YTD 2022
Interest income:	Interest income:			Interest income:
Mortgage loans	Mortgage loans	$23,304	$17,310	Mortgage loans	$23,598	$19,324	$46,902	$36,634
Investment securities	Investment securities	316	384	Investment securities	363	464	679	848
Other	Other	1,367	46	Other	1,794	220	3,161	266
Total interest income	Total interest income	24,987	17,740	Total interest income	25,755	20,008	50,742	37,748
Interest expense:	Interest expense:			Interest expense:
Debt of consolidated trusts	Debt of consolidated trusts	(18,261)	(13,249)	Debt of consolidated trusts	(18,608)	(14,595)	(36,869)	(27,844)
Debt of Freddie Mac:	Debt of Freddie Mac:			Debt of Freddie Mac:
Short-term debt	Short-term debt	(154)	—	Short-term debt	(248)	(20)	(402)	(20)
Long-term debt	Long-term debt	(2,071)	(387)	Long-term debt	(2,376)	(634)	(4,447)	(1,021)
Total interest expense	Total interest expense	(20,486)	(13,636)	Total interest expense	(21,232)	(15,249)	(41,718)	(28,885)
Net interest income	Net interest income	4,501	4,104	Net interest income	4,523	4,759	9,024	8,863
(Provision) benefit for credit losses	(Provision) benefit for credit losses	(395)	837	(Provision) benefit for credit losses	537	(307)	142	530
Net interest income after (provision) benefit for credit losses	Net interest income after (provision) benefit for credit losses	$4,106	$4,941	Net interest income after (provision) benefit for credit losses	$5,060	$4,452	$9,166	$9,393


Freddie Mac 1Q2Q 2023 Form 10-Q						7681


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 11

NOTE 11

Segment Reporting

As shown in the table below, we have two reportable segments, Single-Family and Multifamily.


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.

Segment Results

The table below presents the financial results for our Single-Family and Multifamily segments.

Table 11.1 - Segment Financial Results


		1Q 2023			1Q 2022				2Q 2023				2Q 2022

(In millions)	(In millions)	Single-Family	Multifamily	Total		Single-Family	Multifamily	Total		(In millions)	Single-Family	Multifamily		Total	Single-Family	Multifamily	Total
Net interest income	Net interest income	$4,296	$205	$4,501		$3,806	$298	$4,104		Net interest income	$4,295	$228		$4,523	$4,535	$224	$4,759
Non-interest income	Non-interest income									Non-interest income
Guarantee income	Guarantee income	32	434	466		30	40	70		Guarantee income	16	293		309	35	170	205
Investment gains, net	Investment gains, net	(179)	(46)	(225)		1,252	261	1,513		Investment gains, net	(4)	415		411	232	89	321
Other income	Other income	54	31	85		126	33	159		Other income	53	43		96	69	50	119
Non-interest income	Non-interest income	(93)	419	326		1,408	334	1,742		Non-interest income	65	751		816	336	309	645
Net revenues	Net revenues	4,203	624	4,827		5,214	632	5,846		Net revenues	4,360	979		5,339	4,871	533	5,404
(Provision) benefit for credit losses	(Provision) benefit for credit losses	(318)	(77)	(395)		831	6	837		(Provision) benefit for credit losses	638	(101)		537	(298)	(9)	(307)
Non-interest expense	Non-interest expense	(1,783)	(149)	(1,932)		(1,778)	(154)	(1,932)		Non-interest expense	(2,028)	(176)		(2,204)	(1,854)	(166)	(2,020)
Income before income tax expense	Income before income tax expense	2,102	398	2,500		4,267	484	4,751		Income before income tax expense	2,970	702		3,672	2,719	358	3,077
Income tax expense	Income tax expense	(425)	(80)	(505)		(856)	(97)	(953)		Income tax expense	(589)	(139)		(728)	(551)	(73)	(624)
Net income	Net income	1,677	318	1,995		3,411	387	3,798		Net income	2,381	563		2,944	2,168	285	2,453
Other comprehensive income (loss), net of taxes and reclassification adjustments	Other comprehensive income (loss), net of taxes and reclassification adjustments	(1)	55	54		(12)	(108)	(120)		Other comprehensive income (loss), net of taxes and reclassification adjustments	2	(56)		(54)	5	(71)	(66)
Comprehensive income	Comprehensive income	$1,676	$373	$2,049		$3,399	$279	$3,678		Comprehensive income	$2,383	$507		$2,890	$2,173	$214	$2,387


Freddie Mac 2Q 2023 Form 10-Q						82


Financial Statements			Notes to the Condensed Consolidated Financial Statements\|Note 11


	YTD 2023			YTD 2022
(In millions)	Single-Family	Multifamily	Total		Single-Family	Multifamily	Total
Net interest income	$8,591	$433	$9,024		$8,341	$522	$8,863
Non-interest income
Guarantee income	48	727	775		65	210	275
Investment gains, net	(183)	369	186		1,484	350	1,834
Other income	107	74	181		195	83	278
Non-interest income	(28)	1,170	1,142		1,744	643	2,387
Net revenues	8,563	1,603	10,166		10,085	1,165	11,250
(Provision) benefit for credit losses	320	(178)	142		533	(3)	530
Non-interest expense	(3,811)	(325)	(4,136)		(3,632)	(320)	(3,952)
Income before income tax expense	5,072	1,100	6,172		6,986	842	7,828
Income tax expense	(1,014)	(219)	(1,233)		(1,407)	(170)	(1,577)
Net income	4,058	881	4,939		5,579	672	6,251
Other comprehensive income (loss), net of taxes and reclassification adjustments	1	(1)	—		(7)	(179)	(186)
Comprehensive income	$4,059	$880	$4,939		$5,572	$493	$6,065

The table below presents total assets for our Single-Family and Multifamily segments.

Table 11.2 - Segment Assets


(In millions)	(In millions)	March 31, 2023	December 31, 2022	(In millions)	June 30, 2023	December 31, 2022
Single-Family	Single-Family	$2,988,635	$2,986,045	Single-Family	$3,004,244	$2,986,045
Multifamily	Multifamily	426,039	429,302	Multifamily	427,198	429,302
Total segment assets	Total segment assets	3,414,674	3,415,347	Total segment assets	3,431,442	3,415,347
Reconciling items(1)	Reconciling items(1)	(189,694)	(207,014)	Reconciling items(1)	(180,486)	(207,014)
Total assets per condensed consolidated balance sheets	Total assets per condensed consolidated balance sheets	$3,224,980	$3,208,333	Total assets per condensed consolidated balance sheets	$3,250,956	$3,208,333

(1)Reconciling items include assets in our mortgage portfolio that are not recognized on our condensed consolidated balance sheets and assets recognized on our condensed consolidated balance sheets that are not allocated to the reportable segments.


Freddie Mac 1Q2Q 2023 Form 10-Q						7783


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 12

NOTE 12

Concentration of Credit and Other Risks

Single-Family Mortgage Portfolio

The table below summarizes the concentration by geographic area of our Single-Family mortgage portfolio. See Note 2, Note 3, and Note 5 for more information about credit risk associated with single-family loans that we hold or guarantee.

Table 12.1 - Concentration of Credit Risk of Our Single-Family Mortgage Portfolio


			March 31, 2023					December 31, 2022							June 30, 2023					December 31, 2022
(Dollars in millions)	(Dollars in millions)		Portfolio UPB(1)	% of Portfolio		SDQ Rate		Portfolio UPB(1)	% of Portfolio		SDQ Rate		(Dollars in millions)		Portfolio UPB(1)	% of Portfolio		SDQ Rate		Portfolio UPB(1)	% of Portfolio		SDQ Rate
Region:(2)	Region:(2)												Region:(2)
		West	$905,823	30	%	0.46	%	$906,123	30	%	0.49	%		West	$907,973	30	%	0.43	%	$906,123	30	%	0.49	%
		Northeast	694,781	23		0.76		695,944	23		0.82			Northeast	695,851	23		0.70		695,944	23		0.82
		North Central	435,435	15		0.61		436,294	15		0.65			North Central	436,738	15		0.55		436,294	15		0.65
		Southeast	514,825	17		0.67		512,495	17		0.73			Southeast	520,570	17		0.59		512,495	17		0.73
		Southwest	437,497	15		0.58		434,907	15		0.63			Southwest	442,846	15		0.53		434,907	15		0.63
Total	Total		$2,988,361	100	%	0.62		$2,985,763	100	%	0.66		Total		$3,003,978	100	%	0.56		$2,985,763	100	%	0.66
State:	State:												State:
		California	$515,908	17	%	0.47		$516,891	17	%	0.51			California	$515,634	17	%	0.44		$516,891	17	%	0.51
		Texas	203,128	7		0.58		200,807	7		0.64			Texas	206,944	7		0.55		200,807	7		0.64
		Florida	192,552	6		0.78		191,009	6		0.84			Florida	195,485	7		0.67		191,009	6		0.84
		New York	130,010	4		1.08		129,935	4		1.16			New York	130,089	4		1.03		129,935	4		1.16
		Illinois	112,289	4		0.83		112,784	4		0.90			Illinois	112,581	4		0.73		112,784	4		0.90
		All other	1,834,474	62		0.58		1,834,337	62		0.63			All other	1,843,245	61		0.53		1,834,337	62		0.63
Total	Total		$2,988,361	100	%	0.62		$2,985,763	100	%	0.66		Total		$3,003,978	100	%	0.56		$2,985,763	100	%	0.66

(1)Excludes UPB of loans underlying certain securitization products for which data was not available.

(2)Region designation: West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA); Northeast (CT, DE, DC, MA, ME, MD, NH, NJ, NY, PA, RI, VT, VA, WV); North Central (IL, IN, IA, MI, MN, ND, OH, SD, WI); Southeast (AL, FL, GA, KY, MS, NC, PR, SC, TN, VI); Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY).

Multifamily Mortgage Portfolio

The table below summarizes the concentration by geographic area of our Multifamily mortgage portfolio. See Note 2, Note 3, Note 4, and Note 5 for more information about credit risk associated with multifamily loans that we hold or guarantee.

Table 12.2 - Concentration of Credit Risk of Our Multifamily Mortgage Portfolio


		March 31, 2023					December 31, 2022						June 30, 2023					December 31, 2022
(Dollars in millions)	(Dollars in millions)	Portfolio UPB	% of Portfolio		Delinquency Rate(1)		Portfolio UPB	% of Portfolio		Delinquency Rate(1)		(Dollars in millions)	Portfolio UPB	% of Portfolio		Delinquency Rate(1)		Portfolio UPB	% of Portfolio		Delinquency Rate(1)
Region(2)(3):	Region(2)(3):											Region(2)(3):
West	West	$106,840	25	%	0.04	%	$107,260	25	%	0.04	%	West	$107,717	25	%	0.05	%	$107,260	25	%	0.04	%
Northeast	Northeast	104,627	25		0.30		106,478	25		0.28		Northeast	103,742	24		0.51		106,478	25		0.28
North Central	North Central	40,555	10		0.16		40,524	9		0.16		North Central	40,713	10		0.37		40,524	9		0.16
Southeast	Southeast	84,801	20		0.04		85,438	20		0.04		Southeast	85,067	20		0.07		85,438	20		0.04
Southwest	Southwest	89,216	20		0.13		89,602	21		0.08		Southwest	89,959	21		0.13		89,602	21		0.08
Total	Total	$426,039	100	%	0.13		$429,302	100	%	0.12		Total	$427,198	100	%	0.21		$429,302	100	%	0.12

(1)Based on loans two monthly payments or more delinquent or in foreclosure.

(3)The UPB of loans collateralized by properties located in multiple regions are reported entirely in the region with the largest underlying collateral UPB as of origination.


Freddie Mac 1Q2Q 2023 Form 10-Q						7884


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 13

NOTE 13

Fair Value Disclosures

We use fair value measurements for the initial recording of certain assets and liabilities and periodic remeasurement of certain assets and liabilities on a recurring or non-recurring basis.

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The table below presents our assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments where we have elected the fair value option.

Table 13.1 - Assets and Liabilities Measured at Fair Value on a Recurring Basis


		March 31, 2023						June 30, 2023
(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	$—	$5,516	$853	$—	$6,369	Available-for-sale	$—	$5,152	$790	$—	$5,942
Trading:	Trading:						Trading:
Mortgage-related securities	Mortgage-related securities	—	6,169	2,905	—	9,074	Mortgage-related securities	—	7,695	2,561	—	10,256
Non-mortgage-related securities	Non-mortgage-related securities	21,884	385	—	—	22,269	Non-mortgage-related securities	24,939	492	—	—	25,431
Total trading securities	Total trading securities	21,884	6,554	2,905	—	31,343	Total trading securities	24,939	8,187	2,561	—	35,687
Total investment securities	Total investment securities	21,884	12,070	3,758	—	37,712	Total investment securities	24,939	13,339	3,351	—	41,629
Mortgage loans held-for-sale	Mortgage loans held-for-sale	—	2,579	347	—	2,926	Mortgage loans held-for-sale	—	4,831	881	—	5,712
Mortgage loans held-for-investment	Mortgage loans held-for-investment	—	1,174	64	—	1,238	Mortgage loans held-for-investment	—	1,189	170	—	1,359
Other assets:	Other assets:						Other assets:
Guarantee assets	Guarantee assets	—	—	5,432	—	5,432	Guarantee assets	—	—	5,323	—	5,323
Derivative assets, net	Derivative assets, net	—	5,477	3	(5,089)	391	Derivative assets, net	—	5,609	12	(5,262)	359
Other assets	Other assets	—	34	125	—	159	Other assets	—	11	147	—	158
Total other assets	Total other assets	—	5,511	5,560	(5,089)	5,982	Total other assets	—	5,620	5,482	(5,262)	5,840
Total assets carried at fair value on a recurring basis	Total assets carried at fair value on a recurring basis	$21,884	$21,334	$9,729	($5,089)	$47,858	Total assets carried at fair value on a recurring basis	$24,939	$24,979	$9,884	($5,262)	$54,540
Liabilities:	Liabilities:						Liabilities:
Debt:	Debt:						Debt:
Debt of consolidated trusts	Debt of consolidated trusts	$—	$1,858	$290	$—	$2,148	Debt of consolidated trusts	$—	$1,069	$282	$—	$1,351
Debt of Freddie Mac	Debt of Freddie Mac	—	569	94	—	663	Debt of Freddie Mac	—	552	92	—	644
Total debt	Total debt	—	2,427	384	—	2,811	Total debt	—	1,621	374	—	1,995
Other liabilities:	Other liabilities:						Other liabilities:
Derivative liabilities, net	Derivative liabilities, net	13	9,367	77	(8,564)	893	Derivative liabilities, net	3	10,486	90	(9,598)	981
Other liabilities	Other liabilities	—	1	—	—	1	Other liabilities	—	27	9	—	36
Total other liabilities	Total other liabilities	13	9,368	77	(8,564)	894	Total other liabilities	3	10,513	99	(9,598)	1,017
Total liabilities carried at fair value on a recurring basis	Total liabilities carried at fair value on a recurring basis	$13	$11,795	$461	($8,564)	$3,705	Total liabilities carried at fair value on a recurring basis	$3	$12,134	$473	($9,598)	$3,012

Referenced footnote is included after the prior period table.


Freddie Mac 1Q2Q 2023 Form 10-Q						7985


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 13


	December 31, 2022
(In millions)	Level 1	Level 2	Level 3	Netting Adjustments(1)	Total
Assets:
Investment securities:
Available-for-sale	$—	$5,640	$894	$—	$6,534
Trading:
Mortgage-related securities	—	5,603	2,731	—	8,334
Non-mortgage-related securities	23,453	380	—	—	23,833
Total trading securities	23,453	5,983	2,731	—	32,167
Total investment securities	23,453	11,623	3,625	—	38,701
Mortgage loans held-for-sale	—	2,908	310	—	3,218
Mortgage loans held-for-investment	—	1,104	110	—	1,214
Other assets:
Guarantee assets	—	—	5,442	—	5,442
Derivative assets, net	—	6,397	2	(6,092)	307
Other assets	—	12	129	—	141
Total other assets	—	6,409	5,573	(6,092)	5,890
Total assets carried at fair value on a recurring basis	$23,453	$22,044	$9,618	($6,092)	$49,023
Liabilities:
Debt:
Debt of consolidated trusts	$—	$1,656	$288	$—	$1,944
Debt of Freddie Mac	—	1,003	100	—	1,103
Total debt	—	2,659	388	—	3,047
Other liabilities:
Derivative liabilities, net	—	10,823	97	(10,162)	758
Other liabilities	—	1	—	—	1
Total other liabilities	—	10,824	97	(10,162)	759
Total liabilities carried at fair value on a recurring basis	$—	$13,483	$485	($10,162)	$3,806

(1) Represents counterparty netting and cash collateral netting.

Level 3 Fair Value Measurements

The table below presents a reconciliation of all assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis using significant unobservable inputs (Level 3), including transfers into and out of Level 3. The table also presents gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our condensed consolidated statements of income for Level 3 assets and liabilities.


Freddie Mac 1Q2Q 2023 Form 10-Q						8086


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 13

Table 13.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs
1Q 2023
Balance,
January 1,
2023
Total Realized/Unrealized Gains (Losses)(1)
Purchases Issues Sales Settlements,
Net Transfers
into
Level 3 Transfers
out of
Level 3 Balance,
March 31,
2023
Change in Unrealized Gains/Losses(1) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2023(2)
Change in Unrealized Gains/Losses(1), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2023
(In millions) Included in
Earnings Included in Other
Comprehensive
Income
Assets
Investment securities:
Available-for-sale $894 $1 ($3) $— $— $— ($39) $— $— $853 $— ($3)
Trading 2,731 (139) — 324 — — (11) — — 2,905 33 —
Total investment securities 3,625 (138) (3) 324 — — (50) — — 3,758 33 (3)
Mortgage loans held-for-sale 310 1 — 26 — — (1) 11 — 347 — —
Mortgage loans held-for-investment 110 2 — — — — — — (48) 64 2 —
Other assets:
Guarantee assets 5,442 85 — — 127 — (222) — — 5,432 85 —
Other assets 131 16 — (10) — — (9) — — 128 16 —
Total other assets 5,573 101 — (10) 127 — (231) — — 5,560 101 —
Total assets $9,618 ($34) ($3) $340 $127 $— ($282) $11 ($48) $9,729 $136 ($3)
Liabilities
Debt $388 ($12) $— $— $12 $— ($4) $— $— $384 ($8) $—
Other liabilities 97 (18) — — — — (2) — — 77 (19) —
Total liabilities $485 ($30) $— $— $12 $— ($6) $— $— $461 ($27) $—


	2Q 2023
	Balance, April 1, 2023	Total Realized/Unrealized Gains (Losses)(1)		Purchases	Issues	Sales	Settlements, Net	Transfers into Level 3	Transfers out of Level 3	Balance, June 30, 2023	Change in Unrealized Gains/Losses(1) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2023(2)	Change in Unrealized Gains/Losses(1), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2023
(In millions)		Included in Earnings	Included in Other Comprehensive Income

Assets
Investment securities:
Available-for-sale	$853	$—	($5)	$—	$—	$—	($58)	$—	$—	$790	$—	($4)
Trading	2,905	(191)	—	90	—	—	(13)	—	(230)	2,561	(25)	—
Total investment securities	3,758	(191)	(5)	90	—	—	(71)	—	(230)	3,351	(25)	(4)
Mortgage loans held-for-sale	347	(30)	—	727	—	—	(9)	—	(154)	881	(31)	—
Mortgage loans held-for-investment	64	(13)	—	—	—	—	(6)	142	(17)	170	(12)	—
Other assets:
Guarantee assets	5,432	(79)	—	—	192	—	(222)	—	—	5,323	(79)	—
Other assets	128	39	—	(8)	4	—	(4)	—	—	159	38	—
Total other assets	5,560	(40)	—	(8)	196	—	(226)	—	—	5,482	(41)	—
Total assets	$9,729	($274)	($5)	$809	$196	$—	($312)	$142	($401)	$9,884	($109)	($4)

Liabilities
Debt	$384	($8)	$—	$—	$—	$—	($2)	$—	$—	$374	($2)	$—
Other liabilities	77	23	—	—	—	—	(1)	—	—	99	22	—
Total liabilities	$461	$15	$—	$—	$—	$—	($3)	$—	$—	$473	$20	$—



	YTD 2023
	Balance, January 1, 2023	Total Realized/Unrealized Gains (Losses)(1)		Purchases	Issues	Sales	Settlements, Net	Transfers into Level 3	Transfers out of Level 3	Balance, June 30, 2023	Change in Unrealized Gains/Losses(1) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2023(2)	Change in Unrealized Gains/Losses(1), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2023
(In millions)		Included in Earnings	Included in Other Comprehensive Income

Assets
Investment securities:
Available-for-sale	$894	$1	($9)	$—	$—	$—	($96)	$—	$—	$790	$—	($7)
Trading	2,731	(329)	—	183	—	—	(24)	—	—	2,561	10	—
Total investment securities	3,625	(328)	(9)	183	—	—	(120)	—	—	3,351	10	(7)
Mortgage loans held-for-sale	310	(29)	—	753	—	—	(11)	12	(154)	881	(31)	—
Mortgage loans held-for-investment	110	(11)	—	—	—	—	(6)	142	(65)	170	(12)	—
Other assets:
Guarantee assets	5,442	8	—	—	318	—	(445)	—	—	5,323	8	—
Other assets	131	55	—	(18)	3	—	(12)	—	—	159	54	—
Total other assets	5,573	63	—	(18)	321	—	(457)	—	—	5,482	62	—
Total assets	$9,618	($305)	($9)	$918	$321	$—	($594)	$154	($219)	$9,884	$29	($7)

Liabilities
Debt	$388	($19)	$—	$—	$11	$—	($6)	$—	$—	$374	($9)	$—
Other liabilities	97	4	—	—	—	—	(2)	—	—	99	2	—
Total liabilities	$485	($15)	$—	$—	$11	$—	($8)	$—	$—	$473	($7)	$—

Referenced footnote is included after the prior period table.

Freddie Mac 2Q 2023 Form 10-Q

Financial Statements

Notes to the Condensed Consolidated Financial Statements|Note 13

1Q 2022
Balance,
January 1,
2022
Total Realized/Unrealized Gains (Losses)(1)
Purchases Issues Sales Settlements,
Net Transfers
into
Level 3 Transfers
out of
Level 3 Balance,
March 31,
2022
Change in Unrealized Gains/Losses(1) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2022(2)
Change in Unrealized Gains/Losses(1), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2022
(In millions) Included in
Earnings Included in Other
Comprehensive
Income

Assets
Investment securities:
Available-for-sale $1,286 ($1) ($36) $— $— $— ($91) $30 $— $1,188 ($1) ($29)
Trading 3,386 (426) — 243 — — (18) — (20) 3,165 (256) —
Total investment securities 4,672 (427) (36) 243 — — (109) 30 (20) 4,353 (257) (29)
Other assets:
Guarantee assets 5,919 (316) — — 333 — (240) — — 5,696 (316) —
Other assets 101 16 — (4) 3 — (2) — — 114 16 —
Total other assets 6,020 (300) — (4) 336 — (242) — — 5,810 (300) —
Total assets $10,692 ($727) ($36) $239 $336 $— ($351) $30 ($20) $10,163 ($557) ($29)
Liabilities
Debt $294 $23 $— $— $86 $— ($1) $— $— $402 $33 $—
Other liabilities 24 24 — — — — (1) — — 47 24 —
Total liabilities $318 $47 $— $— $86 $— ($2) $— $— $449 $57 $—


	2Q 2022
	Balance, April 1, 2022	Total Realized/Unrealized Gains (Losses)(1)		Purchases	Issues	Sales	Settlements, Net	Transfers into Level 3	Transfers out of Level 3	Balance, June 30, 2022	Change in Unrealized Gains/Losses(1) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2022(2)	Change in Unrealized Gains/Losses(1), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2022
(In millions)		Included in Earnings	Included in Other Comprehensive Income

Assets
Investment securities:
Available-for-sale	$1,188	$—	($7)	$43	$—	($1)	($99)	$—	$—	$1,124	$—	($5)
Trading	3,165	(232)	—	436	—	—	(15)	—	(35)	3,319	(57)	—
Total investment securities	4,353	(232)	(7)	479	—	(1)	(114)	—	(35)	4,443	(57)	(5)
Mortgage loans held-for-sale	—	(14)	—	—	—	(5)	(25)	383	—	339	(14)	—
Other assets:
Guarantee assets	5,696	(194)	—	—	376	—	(229)	—	—	5,649	(194)	—
Other assets	114	33	—	(6)	5	(5)	(9)	—	—	132	33	—
Total other assets	5,810	(161)	—	(6)	381	(5)	(238)	—	—	5,781	(161)	—
Total assets	$10,163	($407)	($7)	$473	$381	($11)	($377)	$383	($35)	$10,563	($232)	($5)

Liabilities
Debt	$402	$12	$—	($6)	$55	$—	($6)	$—	$—	$457	$23	$—
Other liabilities	47	14	—	—	—	—	(3)	—	—	58	13	—
Total liabilities	$449	$26	$—	($6)	$55	$—	($9)	$—	$—	$515	$36	$—



	YTD 2022
	Balance, January 1, 2022	Total Realized/Unrealized Gains (Losses)(1)		Purchases	Issues	Sales	Settlements, Net	Transfers into Level 3	Transfers out of Level 3	Balance, June 30, 2022	Change in Unrealized Gains/Losses(1) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2022(2)	Change in Unrealized Gains/Losses(1), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2022
(In millions)		Included in Earnings	Included in Other Comprehensive Income

Assets
Investment securities:
Available-for-sale	$1,286	$—	($43)	$43	$—	($1)	($191)	$30	$—	$1,124	($1)	($33)
Trading	3,386	(658)	—	644	—	—	(33)	—	(20)	3,319	(312)	—
Total investment securities	4,672	(658)	(43)	687	—	(1)	(224)	30	(20)	4,443	(313)	(33)
Mortgage loans held-for-sale	—	(14)	—	—	—	(5)	(25)	383	—	339	(14)	—
Other assets:												—
Guarantee assets	5,919	(510)	—	—	708	—	(468)	—	—	5,649	(510)	—
Other assets	101	47	—	(9)	9	(5)	(11)	—	—	132	48	—
Total other assets	6,020	(463)	—	(9)	717	(5)	(479)	—	—	5,781	(462)	—
Total assets	$10,692	($1,135)	($43)	$678	$717	($11)	($728)	$413	($20)	$10,563	($789)	($33)

Liabilities
Debt	$294	$35	$—	($6)	$141	$—	($7)	$—	$—	$457	$56	$—
Other liabilities	24	37	—	1	—	—	(4)	—	—	58	35	—
Total liabilities	$318	$72	$—	($5)	$141	$—	($11)	$—	$—	$515	$91	$—

(1)For assets, increase and decrease in earnings and other comprehensive income is shown as gains and (losses), respectively. For liabilities, increase and decrease in earnings and comprehensive income is shown as (gains) and losses, respectively.

(2)Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains and losses related to assets and liabilities classified as Level 3 that were still held at ~~March 31,~~June 30, 2023 and ~~March 31,~~June 30, 2022.


Freddie Mac 1Q2Q 2023 Form 10-Q						8188


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 13

The table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis.

Table 13.3 - Quantitative Information about Recurring Level 3 Fair Value Measurements
March 31, 2023

Level 3
Fair
Value
Predominant
Valuation
Technique(s)
Unobservable Inputs
(Dollars in millions, except for certain unobservable inputs as shown)

Type Range
Weighted
Average(1)
Assets
Investment securities:
Available-for-sale $533 Median of external sources External pricing sources $58.2 - $72.8 $68.2
320 Other
Trading 2,023 Single external source External pricing source $0.0 - $5,410.0 $210.0
882 Other
Mortgage loans held-for-sale 347 Single external source External pricing source $39.6 - $98.6 $78.7
Guarantee assets 5,074 Discounted cash flows OAS 17 - 186 bps 46 bps
358 Other
Insignificant Level 3 assets(2)
192
Total level 3 assets $9,729
Liabilities
Insignificant Level 3 liabilities(2)
461
Total level 3 liabilities $461

June 30, 2023

Level 3

Fair

Value

Predominant

Valuation

Technique(s)

Unobservable Inputs

(Dollars in millions, except for certain unobservable inputs as shown)

Type

Range

Weighted

Average(1)

Assets

Investment securities:

Available-for-sale

$510

Median of external sources

External pricing sources

$57.9 - $71.9

$67.1

280

Other

Trading

1,944

Single external source

External pricing source

$0.0 - $5,007.3

$183.8

617

Other

Mortgage loans held-for-sale

881

Single external source

External pricing source

$46.7 - $100.2

$91.9

Mortgage loans held-for-investment

170

Single external source

External pricing source

$29.4 - $97.8

$74.8

Guarantee assets

4,981

Discounted cash flows

OAS

17 - 233 bps

46 bps

342

Other

Insignificant Level 3 assets(2)

159

Total level 3 assets

$9,884

Liabilities

Insignificant Level 3 liabilities(2)

473

Total level 3 liabilities

$473

December 31, 2022

Level 3
Fair
Value

Predominant
Valuation
Technique(s)

Unobservable Inputs

(Dollars in millions, except for certain unobservable inputs as shown)

Type

Range

Weighted

Average(1)

Assets

Investment securities:

Available-for-sale

$557

Median of external sources

External pricing sources

$66.3 - $74.6

$70.5

337

Other

Trading

2,080

Single external source

External pricing source

$0.0 - $5,702.4

$224.8

651

Other

Mortgage loans held-for-sale

310

Single external source

External pricing source

$39.6 - $98.1

$76.6

Mortgage loans held-for-investment

110

Single external source

External pricing source

$76.9 - $87.5

$80.6

Guarantee assets

5,084

Discounted cash flows

OAS

17 - 186 bps

45 bps

358

Other

Insignificant Level 3 assets(2)

131

Total level 3 assets

$9,618

Liabilities

Insignificant Level 3 liabilities(2)

485

Total level 3 liabilities

$485

(1) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments.

(2) Represents the aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant.


Freddie Mac 1Q2Q 2023 Form 10-Q						8289


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 13

Assets Measured at Fair Value on a Non-Recurring Basis

We may be required, from time to time, to measure certain assets at fair value on a non-recurring basis. These adjustments usually result from the application of lower-of-cost-or-fair-value accounting or measurement of impairment based on the fair value of the underlying collateral. Certain fair values in the tables below were not obtained as of period end, but were obtained during the period.

The table below presents assets measured on our condensed consolidated balance sheets at fair value on a non-recurring basis.

Table 13.4 - Assets Measured at Fair Value on a Non-Recurring Basis

March 31, 2023

December 31, 2022

June 30, 2023

December 31, 2022

(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

Mortgage loans(1)

$—

$454

$2,170

$2,624

$—

$386

$1,758

$2,144

Mortgage loans(1)

$—

$326

$1,935

$2,261

$—

$386

$1,758

$2,144

(1)Includes loans that are classified as held-for-investment and have an allowance for credit losses based on the fair value of the underlying collateral and held-for-sale loans where the fair value is below cost.

The table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets measured on our condensed consolidated balance sheets at fair value on a non-recurring basis.

Table 13.5 - Quantitative Information About Non-Recurring Level 3 Fair Value Measurements

March 31, 2023

June 30, 2023

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)

Type

Range

Weighted

Average(1)

(Dollars in millions, except for unobservable inputs as shown)

Type

Range

Weighted

Average(1)

Mortgage loans

$1,520

Median of external sources

External pricing sources

$75.3 - $97.3

$85.5

Mortgage loans

$1,568

Median of external sources

External pricing sources

$73.7 - $96.2

$83.6

650

Other

367

Other

Total

$2,170

Total

$1,935

December 31, 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)

Type

Range

Weighted

Average(1)

(Dollars in millions, except for unobservable inputs as shown)

Type

Range

Weighted

Average(1)

Mortgage loans

$1,657

Median of external sources

External pricing sources

$74.8 - $98.6

$86.3

Mortgage loans

$1,657

Median of external sources

External pricing sources

$74.8 - $98.6

$86.3

101

Other

101

Other

Total

$1,758

Total

$1,758

(1) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments.


Freddie Mac 1Q2Q 2023 Form 10-Q						8390


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 13

Fair Value of Financial Instruments

The table below presents the carrying value and estimated fair value of our financial instruments. For certain types of financial instruments, such as cash and cash equivalents, securities purchased under agreements to resell, and certain debt, the carrying value on our condensed consolidated balance sheets approximates fair value, as these assets and liabilities are short-term in nature and have limited fair value volatility.

Table 13.6 - Fair Value of Financial Instruments


			March 31, 2023														June 30, 2023
		GAAP Measurement Category(1)	Carrying Amount		Fair Value											GAAP Measurement Category(1)	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	$5,873		$5,873		$—		$—		$—		$5,873	Cash and cash equivalents		Amortized cost	$5,514		$5,514		$—		$—		$—		$5,514
Securities purchased under agreements to resell	Securities purchased under agreements to resell	Amortized cost	108,036		—		112,688		—		(4,652)		108,036	Securities purchased under agreements to resell		Amortized cost	112,386		—		121,554		—		(9,168)		112,386
Investment securities:	Investment securities:													Investment securities:
Available-for-sale	Available-for-sale	FV - OCI	6,369		—		5,516		853		—		6,369	Available-for-sale		FV - OCI	5,942		—		5,152		790		—		5,942
Trading	Trading	FV - NI	31,343		21,884		6,554		2,905		—		31,343	Trading		FV - NI	35,687		24,939		8,187		2,561		—		35,687
Total investment securities	Total investment securities		37,712		21,884		12,070		3,758		—		37,712	Total investment securities			41,629		24,939		13,339		3,351		—		41,629
Mortgage loans:	Mortgage loans:													Mortgage loans:
Loans held by consolidated trusts	Loans held by consolidated trusts		2,977,998		—		2,337,448		276,492		—		2,613,940	Loans held by consolidated trusts			2,995,770		—		2,366,320		231,946		—		2,598,266
Loans held by Freddie Mac	Loans held by Freddie Mac		59,711		—		25,534		30,236		—		55,770	Loans held by Freddie Mac			58,851		—		24,409		29,565		—		53,974
Total mortgage loans(3)	Total mortgage loans(3)	Various(4)	3,037,709		—		2,362,982		306,728		—		2,669,710	Total mortgage loans(3)		Various(4)	3,054,621		—		2,390,729		261,511		—		2,652,240
Other assets:	Other assets:													Other assets:
Guarantee assets	Guarantee assets	FV - NI	5,432		—		—		5,435		—		5,435	Guarantee assets		FV - NI	5,323		—		—		5,327		—		5,327
Derivative assets, net	Derivative assets, net	FV - NI	391		—		5,477		3		(5,089)		391	Derivative assets, net		FV - NI	359		—		5,609		12		(5,262)		359
Other assets(5)	Other assets(5)	Various	2,805		—		931		1,880		—		2,811	Other assets(5)		Various	3,106		—		895		2,215		—		3,110
Total other assets	Total other assets		8,628		—		6,408		7,318		(5,089)		8,637	Total other assets			8,788		—		6,504		7,554		(5,262)		8,796
Total financial assets	Total financial assets		$3,197,958		$27,757		$2,494,148		$317,804		($9,741)		$2,829,968	Total financial assets			$3,222,938		$30,453		$2,532,126		$272,416		($14,430)		$2,820,565
Financial Liabilities	Financial Liabilities													Financial Liabilities
Debt:	Debt:													Debt:
Debt of consolidated trusts	Debt of consolidated trusts		$2,987,050		$—		$2,610,811		$696		$—		$2,611,507	Debt of consolidated trusts			$3,007,278		$—		$2,598,799		$677		$—		$2,599,476
Debt of Freddie Mac	Debt of Freddie Mac		180,464		—		182,379		3,306		(4,652)		181,033	Debt of Freddie Mac			181,808		—		188,053		3,316		(9,168)		182,201
Total debt	Total debt	Various(6)	3,167,514		—		2,793,190		4,002		(4,652)		2,792,540	Total debt		Various(6)	3,189,086		—		2,786,852		3,993		(9,168)		2,781,677
Other liabilities:	Other liabilities:													Other liabilities:
Guarantee obligations	Guarantee obligations	Amortized cost	5,639		—		—		6,018		—		6,018	Guarantee obligations		Amortized cost	5,569		—		107		5,979		—		6,086
Derivative liabilities, net	Derivative liabilities, net	FV - NI	893		13		9,367		77		(8,564)		893	Derivative liabilities, net		FV - NI	981		3		10,486		90		(9,598)		981
Other liabilities(5)	Other liabilities(5)	FV - NI	12		—		828		155		—		983	Other liabilities(5)		FV - NI	56		—		794		218		—		1,012
Total other liabilities	Total other liabilities		6,544		13		10,195		6,250		(8,564)		7,894	Total other liabilities			6,606		3		11,387		6,287		(9,598)		8,079
Total financial liabilities	Total financial liabilities		$3,174,058		$13		$2,803,385		$10,252		($13,216)		$2,800,434	Total financial liabilities			$3,195,692		$3		$2,798,239		$10,280		($18,766)		$2,789,756

Referenced footnotes are included after the prior period table.


Freddie Mac 1Q2Q 2023 Form 10-Q						8491


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 13


		December 31, 2022
	GAAP Measurement Category(1)	Carrying Amount	Fair Value
(In millions)			Level 1	Level 2	Level 3	Netting Adjustments(2)	Total
Financial Assets
Cash and cash equivalents	Amortized cost	$6,360	$6,360	$—	$—	$—	$6,360
Securities purchased under agreements to resell	Amortized cost	87,295	—	99,286	—	(11,991)	87,295
Investment securities:
Available-for-sale	FV - OCI	6,534	—	5,640	894	—	6,534
Trading	FV - NI	32,167	23,453	5,983	2,731	—	32,167
Total investment securities		38,701	23,453	11,623	3,625	—	38,701
Mortgage loans:
Loans held by consolidated trusts		2,971,601	—	2,331,969	244,045	—	2,576,014
Loans held by Freddie Mac		62,914	—	25,921	32,460	—	58,381
Total mortgage loans	Various(4)	3,034,515	—	2,357,890	276,505	—	2,634,395
Other assets:
Guarantee assets	FV - NI	5,442	—	—	5,445	—	5,445
Derivative assets, net	FV - NI	307	—	6,397	2	(6,092)	307
Other assets(5)	Various	1,739	—	907	835	—	1,742
Total other assets		7,488	—	7,304	6,282	(6,092)	7,494
Total financial assets		$3,174,359	$29,813	$2,476,103	$286,412	($18,083)	$2,774,245
Financial Liabilities
Debt:
Debt of consolidated trusts		$2,979,070	$—	$2,564,323	$701	$—	$2,565,024
Debt of Freddie Mac		166,762	—	175,673	3,162	(11,991)	166,844
Total debt	Various(6)	3,145,832	—	2,739,996	3,863	(11,991)	2,731,868
Other liabilities:
Guarantee obligations	Amortized cost	5,779	—	—	6,016	—	6,016
Derivative liabilities, net	FV - NI	758	—	10,823	97	(10,162)	758
Other liabilities(5)	FV - NI	20	—	1,025	211	—	1,236
Total other liabilities		6,557	—	11,848	6,324	(10,162)	8,010
Total financial liabilities		$3,152,389	$—	$2,751,844	$10,187	($22,153)	$2,739,878

(1)FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income.

(2)Represents counterparty netting and cash collateral netting.

(3)Excludes basis adjustments maintained on a closed portfolio basis related to existing portfolio layer method hedge relationships as of ~~March 31,~~June 30, 2023. See Note 3 for additional information on basis adjustments associated with closed portfolios during existing portfolio layer method hedges.

(4)The GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $3.0 trillion, ~~$9.9~~$6.0 billion, and ~~$4.2~~$7.1 billion as of ~~March 31,~~June 30, 2023, respectively, and $3.0 trillion, $9.0 billion and $4.4 billion as of December 31, 2022, respectively.

(5)For other assets, includes advances to lenders, secured lending, and loan commitments. For other liabilities, includes loan commitments.

(6)The GAAP carrying amounts measured at amortized cost and FV - NI were $3.2 trillion and ~~$2.8~~$2.0 billion as of ~~March 31,~~June 30, 2023, respectively, and $3.1 trillion and $3.0 billion as of December 31, 2022, respectively.


Freddie Mac 1Q2Q 2023 Form 10-Q						8592


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 13

Fair Value Option

We elected the fair value option for certain mortgage loans and loan commitments and certain debt issuances.

The table below presents the fair value and UPB related to ~~multifamily loan purchase commitments and loans and debt~~items for which we have elected the fair value option.

Table 13.7 - Difference between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected(1)


		March 31, 2023			December 31, 2022				June 30, 2023			December 31, 2022
(In millions)	(In millions)	Fair value	UPB	Difference	Fair value	UPB	Difference	(In millions)	Fair value	UPB	Difference	Fair value	UPB	Difference
Mortgage loans held-for-sale	Mortgage loans held-for-sale	$2,926	$3,063	($137)	$3,218	$3,421	($203)	Mortgage loans held-for-sale	$5,712	$5,859	($147)	$3,218	$3,421	($203)
Mortgage loans held-for-investment	Mortgage loans held-for-investment	1,238	1,367	(129)	1,214	1,368	(154)	Mortgage loans held-for-investment	1,359	1,566	(207)	1,214	1,368	(154)
Debt of Freddie Mac	Debt of Freddie Mac	460	453	7	892	881	11	Debt of Freddie Mac	445	441	4	892	881	11
Debt of consolidated trusts	Debt of consolidated trusts	1,858	1,981	(123)	1,656	1,833	(177)	Debt of consolidated trusts	1,068	1,213	(145)	1,656	1,833	(177)
Other assets/other liabilities		33	N/A		11	N/A
Other assets (other liabilities)								Other assets (other liabilities)	(26)	N/A		11	N/A

(1) Excludes interest-only securities related to debt of consolidated trusts and debt of Freddie Mac with a fair value of $0.5 billion as of both ~~March 31,~~June 30, 2023 and December 31, 2022.

Changes in Fair Value Under the Fair Value Option Election

The table below presents the changes in fair value related to items for which we have elected the fair value option. These amounts are included in investment gains, net, on our condensed consolidated statements of income.

Table 13.8 - Changes in Fair Value Under the Fair Value Option Election


		1Q 2023	1Q 2022				2Q 2023	2Q 2022		YTD 2023	YTD 2022
(In millions)	(In millions)	Gains (Losses)		(In millions)		Gains (Losses)			Gains (Losses)
Mortgage loans held-for-sale	Mortgage loans held-for-sale	$4	($676)		Mortgage loans held-for-sale		($127)	($273)		($123)	($949)
Mortgage loans held-for-investment	Mortgage loans held-for-investment	26	—		Mortgage loans held-for-investment		(30)	—		(4)	—
Debt of Freddie Mac	Debt of Freddie Mac	14	(11)		Debt of Freddie Mac		5	(15)		19	(26)
Debt of consolidated trusts	Debt of consolidated trusts	(35)	72		Debt of consolidated trusts		35	171		—	243
Other assets/other liabilities	Other assets/other liabilities	55	(36)		Other assets/other liabilities		(1)	(170)		54	(206)

Changes in fair value attributable to instrument-specific credit risk were not material for the periods presented for assets or liabilities for which we elected the fair value option.


Freddie Mac 1Q2Q 2023 Form 10-Q						8693


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 14

NOTE 14

Legal Contingencies

We are involved, directly or indirectly, in a variety of legal and regulatory proceedings arising from time to time in the ordinary course of business (including, among other things, contractual disputes, personal injury claims, employment-related litigation, and other legal proceedings incidental to our business) and in connection with the conservatorship and Purchase Agreement. We are frequently involved, directly or indirectly, in litigation involving mortgage foreclosures. From time to time, we are also involved in proceedings arising from our termination of a seller's or servicer's eligibility to sell loans to, and/or service loans for, us. In these cases, the former seller or servicer sometimes seeks damages against us for wrongful termination under a variety of legal theories. In addition, we are sometimes sued in connection with the origination or servicing of loans. These suits typically involve claims alleging wrongful actions of sellers and servicers. Our contracts with our sellers and servicers generally provide for indemnification of Freddie Mac against liability arising from sellers' and servicers' wrongful actions with respect to loans sold to or serviced for Freddie Mac.

Litigation claims and proceedings of all types are subject to many uncertainties (including appeals and procedural filings), and there can be no assurance as to the ultimate outcome of those actions (including the matters described below). In accordance with the accounting guidance for contingencies, we reserve for litigation claims and assessments asserted or threatened against us when a loss is probable (as defined in such guidance) and the amount of the loss can be reasonably estimated. The actual costs of resolving legal actions may be substantially higher or lower than the amounts accrued for those actions.

It is not possible for us to predict the actions the U.S. government (including Treasury and FHFA) might take in response to any ruling or finding in any of these lawsuits or any future lawsuits. However, it is possible that we could be adversely affected by these events, including, for example, by changes to the Purchase Agreement, or any resulting actual or perceived changes in the level of U.S. government support for our business.

Putative Securities Class Action Lawsuit: Ohio Public Employees Retirement System vs. Freddie Mac, Syron, Et Al.

This putative securities class action lawsuit was filed against Freddie Mac and certain former officers on January 18, 2008 in the U.S. District Court for the Northern District of Ohio purportedly on behalf of a class of purchasers of Freddie Mac stock from August 1, 2006 through November 20, 2007. FHFA later intervened as Conservator, and the plaintiff amended its complaint on several occasions. The plaintiff alleged, among other things, that the defendants violated federal securities laws by making false and misleading statements concerning our business, risk management, and the procedures we put into place to protect the company from problems in the mortgage industry. The plaintiff seeks unspecified damages and interest, and reasonable costs and expenses, including attorney and expert fees.

In August 2018, the District Court denied the plaintiff's motion for class certification, and in January 2019, the Sixth Circuit denied plaintiff's petition for leave to appeal that decision. On September 17, 2020, the District Court granted a request from the plaintiff for summary judgment and entered final judgment in favor of Freddie Mac and the other defendants. On October 9, 2020, the plaintiff filed a notice of appeal in the Sixth Circuit. On April 6, 2023, the Sixth Circuit reversed the District Court’s September 17, 2020 decision and remanded the case to the District Court for further proceedings. The District Court scheduled the trial to begin on October 21, 2024.

Litigation Concerning the Purchase Agreement in the U.S. District Court for the District of Columbia

In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations. This is a consolidated class action lawsuit filed by private individual and institutional investors (collectively, "Class Plaintiffs") against FHFA, Fannie Mae, and Freddie Mac.

Fairholme Funds, Inc., et al. v. FHFA, et al. This is an individual plaintiffs’ lawsuit by certain institutional investors (“Individual Plaintiffs”) against FHFA, Fannie Mae, and Freddie Mac.

Plaintiffs in each of the District of Columbia lawsuits filed an amended complaint on November 1, 2017 alleging claims for breach of contract, breach of the implied covenant of good faith and fair dealing, breach of fiduciary duties, and violation of Delaware and Virginia corporate law. Additionally, the Class Plaintiffs brought derivative claims against FHFA for breach of fiduciary duties and the Individual Plaintiffs brought claims under the Administrative Procedure Act. Both sets of claims are generally based on allegations that the net worth sweep dividend provisions of the senior preferred stock that were implemented pursuant to the August 2012 amendments nullified certain of the shareholders’ rights, including the rights to


Freddie Mac 2Q 2023 Form 10-Q						94


Financial Statements			Notes to the Condensed Consolidated Financial Statements\|Note 14

receive dividends and a liquidation preference. On September 28, 2018, the District Court dismissed all of the claims except those for breach of the implied covenant of good faith and fair dealing. The cases were consolidated for trial.


~~Freddie Mac 1Q 2023 Form 10-Q~~						87


~~Financial Statements~~			~~Notes to the Condensed Consolidated Financial Statements~~\|~~Note 14~~

~~On September 23 and October 11, 2022, the District~~ Court ~~ruled on the parties' motions for summary judgment and related matters. The~~ rulings have limited the Plaintiffs’ ~~remaining~~ damages theories to those based on the decline in Freddie Mac’s and Fannie Mae’s share value immediately after the Third Amendment. The Plaintiffs have asserted losses based on the decline in value of Freddie Mac’s common and junior preferred stock from August 16 to August 17, 2012. During the trial in October and early November 2022, the Plaintiffs requested that the jury award $832 million plus pre-judgment interest as damages against Freddie Mac. The jury in that trial was not able to reach a unanimous verdict and on November 7, 2022 the judge declared a mistrial. The ~~District Court set a new trial for~~retrial started on July 24, ~~2023.~~2023 and is ongoing as of the date hereof. At this time, we do not believe the likelihood of loss is probable; therefore, we have not established an accrual in connection with these lawsuits. However, it is reasonably possible that the Plaintiffs could prevail in this matter and, if so, we may incur a loss up to $832 million plus pre-judgment interest as discussed above. We estimate that ~~prejudgment~~pre-judgment interest, if awarded, would be calculated at a rate of 6%.


Freddie Mac 1Q2Q 2023 Form 10-Q						8895


Financial Statements			Notes to the Condensed Consolidated Financial Statements \| Note 15

NOTE 15

Regulatory Capital

ERCF

The table below presents our capital metrics under the ERCF.

Table 15.1 - ERCF Available Capital and Capital Requirements


(In billions)	(In billions)			March 31, 2023			December 31, 2022				(In billions)			June 30, 2023			December 31, 2022
Adjusted total assets	Adjusted total assets			$3,716			$3,710				Adjusted total assets			$3,744			$3,710
Risk-weighted assets (standardized approach)	Risk-weighted assets (standardized approach)			908			899				Risk-weighted assets (standardized approach)			929			899

		March 31, 2023										June 30, 2023
		Amounts			Ratios							Amounts			Ratios
(Dollars in billions)	(Dollars in billions)	Available Capital (Deficit)	Minimum Capital Requirement	Capital Requirement (Including Buffer(1))	Available Capital (Deficit) Ratio(2)		Minimum Capital Requirement Ratio(2)		Capital Requirement Ratio(2) (Including Buffer(1))		(Dollars in billions)	Available Capital (Deficit)	Minimum Capital Requirement	Capital Requirement (Including Buffer(1))	Available Capital (Deficit) Ratio(2)		Minimum Capital Requirement Ratio(2)		Capital Requirement Ratio(2) (Including Buffer(1))
Risk-based capital:	Risk-based capital:										Risk-based capital:
Total capital	Total capital	($25)	$73	$73	(2.8)	%	8.0	%	8.0	%	Total capital	($23)	$74	$74	(2.4)	%	8.0	%	8.0	%
CET1 capital	CET1 capital	(53)	41	91	(5.8)		4.5		10.1		CET1 capital	(50)	42	93	(5.4)		4.5		9.9
Tier 1 capital	Tier 1 capital	(39)	54	104	(4.3)		6.0		11.6		Tier 1 capital	(36)	56	107	(3.9)		6.0		11.4
Adjusted total capital	Adjusted total capital	(39)	73	123	(4.3)		8.0		13.6		Adjusted total capital	(36)	74	125	(3.9)		8.0		13.4
Leverage capital:	Leverage capital:										Leverage capital:
Core capital	Core capital	($33)	$93	$93	(0.9)	%	2.5	%	2.5	%	Core capital	($31)	$94	$94	(0.8)	%	2.5	%	2.5	%
Tier 1 capital	Tier 1 capital	(39)	93	104	(1.0)		2.5		2.8		Tier 1 capital	(36)	94	105	(1.0)		2.5		2.8

		December 31, 2022										December 31, 2022
		Amounts			Ratios							Amounts			Ratios
(Dollars in billions)	(Dollars in billions)	Available Capital (Deficit)	Minimum Capital Requirement	Capital Requirement (Including Buffer(1))	Available Capital (Deficit) Ratio(2)		Minimum Capital Requirement Ratio(2)		Capital Requirement Ratio(2) (Including Buffer(1))		(Dollars in billions)	Available Capital (Deficit)	Minimum Capital Requirement	Capital Requirement (Including Buffer(1))	Available Capital (Deficit) Ratio(2)		Minimum Capital Requirement Ratio(2)		Capital Requirement Ratio(2) (Including Buffer(1))
Risk-based capital:	Risk-based capital:										Risk-based capital:
Total capital	Total capital	($27)	$72	$72	(3.1)	%	8.0	%	8.0	%	Total capital	($27)	$72	$72	(3.1)	%	8.0	%	8.0	%
CET1 capital	CET1 capital	(55)	40	90	(6.2)		4.5		10.1		CET1 capital	(55)	40	90	(6.2)		4.5		10.1
Tier 1 capital	Tier 1 capital	(41)	54	104	(4.6)		6.0		11.6		Tier 1 capital	(41)	54	104	(4.6)		6.0		11.6
Adjusted total capital	Adjusted total capital	(41)	72	122	(4.6)		8.0		13.6		Adjusted total capital	(41)	72	122	(4.6)		8.0		13.6
Leverage capital:	Leverage capital:										Leverage capital:
Core capital	Core capital	($35)	$93	$93	(1.0)	%	2.5	%	2.5	%	Core capital	($35)	$93	$93	(1.0)	%	2.5	%	2.5	%
Tier 1 capital	Tier 1 capital	(41)	93	104	(1.1)		2.5		2.8		Tier 1 capital	(41)	93	104	(1.1)		2.5		2.8

(1)PCCBA for risk-based capital and PLBA for leverage capital.

(2)As a percentage of RWA for risk-based capital and ATA for leverage capital.

END OF CONDENSED CONSOLIDATED FINANCIAL STATEMENTS AND ACCOMPANYING NOTES


Freddie Mac 1Q2Q 2023 Form 10-Q						8996


Other Information

Other Information

LEGAL PROCEEDINGS

We are involved, directly or indirectly, in a variety of legal proceedings arising from time to time in the ordinary course of business and in connection with the conservatorship and Purchase Agreement. See Note 14 for more information regarding our involvement as a party to various legal proceedings, including those in connection with the conservatorship and Purchase Agreement.

Over the last several years, numerous lawsuits have been filed against the U.S. government and, in some cases, the Secretary of the Treasury and the Director of FHFA, challenging certain government actions related to the conservatorship (including actions taken in connection with the imposition of conservatorship) and the Purchase Agreement. Freddie Mac is not a party to all of these lawsuits. Several of the lawsuits seek to invalidate the net worth sweep dividend provisions of the senior preferred stock, which were implemented pursuant to the August 2012 amendment to the Purchase Agreement. Some of these cases also have challenged the constitutionality of the structure of FHFA. A number of cases have been dismissed (some of which have been appealed), and others remain pending.

These cases include one that was filed in the U.S. Court of Federal Claims as a derivative lawsuit, purportedly on behalf of Freddie Mac as a “nominal” defendant: Reid and Fisher vs. the United States of America and Federal Home Loan Mortgage Corporation. This case was filed on February 26, 2014. The complaint alleges, among other items, that the net worth sweep dividend provisions of the senior preferred stock constitute an unlawful taking of private property for public use without just compensation. The plaintiffs ask that Freddie Mac be awarded just compensation for the U.S. government's alleged taking of its property, attorneys' fees, costs, and other expenses. The case remains pending.

Pursuant to the Purchase Agreement, in addition to satisfying other conditions, all currently pending material litigation related to our conservatorship and/or the Purchase Agreement must be resolved or settled and we must indemnify Treasury and the United States from and against any loss, cost, or damage of any kind arising out of our placement into conservatorship or the August 2012 amendment to the Purchase Agreement in order to exit from conservatorship.

RISK FACTORS

This Form 10-Q should be read together with the Risk Factors section in our 2022 Annual Report, which describe various risks and uncertainties to which we are or may become subject. These risks and uncertainties could, directly or indirectly, adversely affect our business, financial condition, results of operations, cash flows, strategies, and/or prospects.

UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

Recent Sales of Unregistered Securities

The securities we issue are "exempted securities" under the Securities Act of 1933, as amended. As a result, we do not file registration statements with the SEC with respect to offerings of our securities.

Following our entry into conservatorship, we suspended the operation of, and ceased making grants under, equity compensation plans. Previously, we had provided equity compensation under those plans to employees and members of the Board of Directors. Under the Purchase Agreement, we cannot issue any new options, rights to purchase, participations, or other equity interests without Treasury's prior approval.

Information About Certain Securities Issuances by Freddie Mac

We make available, free of charge through our website at www.freddiemac.com, our annual reports on Form 10-K, quarterly reports on Form 10-Q, current reports on Form 8-K, and all other SEC reports and amendments to those reports as soon as reasonably practicable after we electronically file the material with the SEC. The SEC also maintains an internet site (www.sec.gov) that contains reports, proxy and information statements, and other information regarding companies that file electronically with the SEC.

We provide disclosure about our debt securities on our website at www.freddiemac.com/debt. From this address, investors can access the offering circular and related supplements for debt securities offerings under Freddie Mac's global debt facility,


Freddie Mac 1Q2Q 2023 Form 10-Q						9097


Other Information

including pricing supplements for individual issuances of debt securities. Similar information about our STACR transactions and SCR transactions is available at crt.freddiemac.com and mf.freddiemac.com/investors, respectively.

We provide disclosure about our mortgage-related securities, some of which are off-balance sheet obligations (e.g., K Certificates and SB Certificates), on our website at www.freddiemac.com/mbs and mf.freddiemac.com/investors. From these addresses, investors can access information and documents, including offering circulars and offering circular supplements, for mortgage-related securities offerings.

We provide additional information, including product descriptions, investor presentations, securities issuance calendars, transactions volumes and details, redemption notices, Freddie Mac research, and material developments or other events that may be important to investors, in each case as applicable, on the websites for our business activities, which can be found at sf.freddiemac.com, mf.freddiemac.com, and capitalmarkets.freddiemac.com/capital-markets.

We provide information on our ESG efforts on our website at freddiemac.com/about/esg.

OTHER INFORMATION

Amendments to Bylaws

Effective July 11, 2023, our Bylaws were amended to change the duration for which the complete list of stockholders entitled to vote at any meeting of stockholders shall be open to examination by any such stockholder. Previously, the Bylaws provided that the list would be made available for a period of at least 10 days prior to the meeting; the period of such availability is now at least five business days. The amendments also remove the requirement that the stockholders list be kept at the place of the meeting and open to examination throughout the duration of the meeting.

Section 3.10, as amended, is set forth below:

Section 3.10 Stockholders’ List.

(a) A complete list of stockholders entitled to vote at any meeting of stockholders, showing the address of each such stockholder and the number of shares registered in his or her name, shall be open to the examination of any such stockholder, for any purpose germane to the meeting, during ordinary business hours for a period beginning no later than five business days following the delivery of the notice to shareholders pursuant to Section 3.3.(a) and continuing through the last business day before the meeting of stockholders, either at the principal office of the Corporation or at the office of its transfer agent.

(b) If the requirements of this Section have not been substantially complied with, the meeting shall, on the demand of any stockholder in person or by proxy, be adjourned until such requirements are complied with. Refusal or failure to prepare or make available the stockholders’ list shall not affect the validity of action taken at the meeting prior to the making of any such demand, but any action taken by the stockholders after the making of any such demand shall be invalid and of no effect.

A copy of our amended and restated Bylaws is filed as Exhibit 3.1 to this Quarterly Report on Form 10-Q.

Insider Trading Arrangements and Policies

We ceased paying our executive officers and directors stock-based compensation when we entered conservatorship. In addition, the Purchase Agreement prohibits us from issuing any of our equity securities, including as compensation to our directors and executive officers, without the prior written consent of Treasury, and no equity securities, other than the senior preferred stock issued to Treasury, have been issued since we entered conservatorship. Furthermore, company policy prohibits directors and executive officers from engaging in transactions involving our equity securities, except selling company securities owned prior to the implementation of the policy. No executive officer or director adopted or terminated any contract, instruction, or written plan for the purchase or sale of, or any other such trading arrangement for, our securities during 2Q 2023. For more information on executive officer and director compensation and security ownership by our executive officers and directors, see Directors, Corporate Governance, and Executive Officers, Executive Compensation and Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters in our 2022 Annual Report.

EXHIBITS

The exhibits are listed in the Exhibit Index of this Form 10-Q.


Freddie Mac 1Q2Q 2023 Form 10-Q						9198


Controls and Procedures

Controls and Procedures

EVALUATION OF DISCLOSURE CONTROLS AND PROCEDURES

Disclosure controls and procedures include, without limitation, controls and procedures designed to ensure that the information we are required to disclose in reports that we file or submit under the Exchange Act is recorded, processed, summarized, and reported within the time periods specified by the SEC's rules and forms and that such information is accumulated and communicated to management of the company, including the company's Chief Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosure. In designing our disclosure controls and procedures, we recognize that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and we must apply judgment in implementing possible controls and procedures.

Management, including the company's Chief Executive Officer and Chief Financial Officer, conducted an evaluation of the effectiveness of our disclosure controls and procedures as of ~~March 31,~~June 30, 2023. As a result of management's evaluation, our Chief Executive Officer and Chief Financial Officer concluded that our disclosure controls and procedures were not effective as of ~~March 31,~~June 30, 2023, at a reasonable level of assurance, because we have not been able to update our disclosure controls and procedures to provide reasonable assurance that information known by FHFA on an ongoing basis is communicated from FHFA to Freddie Mac's management in a manner that allows for timely decisions regarding our required disclosure under the federal securities laws. We consider this situation to be a material weakness in our internal control over financial reporting.

CHANGES IN INTERNAL CONTROL OVER FINANCIAL REPORTING DURING 1Q2Q 2023

We evaluated the changes in our internal control over financial reporting that occurred during 1Q2Q 2023 and concluded that there were no changes that materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

MITIGATING ACTIONS RELATED TO THE MATERIAL WEAKNESS IN INTERNAL CONTROL OVER FINANCIAL REPORTING

As described above under Evaluation of Disclosure Controls and Procedures, we have one material weakness in internal control over financial reporting as of ~~March 31,~~June 30, 2023 that we have not remediated.

Given the structural nature of this material weakness, we believe it is likely that we will not remediate it while we are under conservatorship. However, both we and FHFA have continued to engage in activities and employ procedures and practices intended to permit accumulation and communication to management of information needed to meet our disclosure obligations under the federal securities laws. These include the following:

n FHFA has established the Division of Conservatorship Oversight and Readiness, which is intended to facilitate operation of the company with the oversight of the Conservator.

n We provide drafts of our SEC filings to FHFA personnel for their review and comment prior to filing. We also provide drafts of certain external press releases and statements to FHFA personnel for their review and comment prior to release.

n FHFA personnel, including senior officials, review our SEC filings prior to filing, including this Form 10-Q, and engage in discussions with us regarding issues associated with the information contained in those filings. Prior to filing this Form 10-Q, FHFA provided us with a written acknowledgment that it had reviewed the Form 10-Q, was not aware of any material misstatements or omissions in the Form 10-Q, and had no objection to our filing the Form 10-Q.

n Our senior management meets regularly with senior leadership at FHFA, including, but not limited to, the Director.

n FHFA representatives attend meetings frequently with various groups within the company to enhance the flow of information and to provide oversight on a variety of matters, including accounting, credit and capital markets management, external communications, and legal matters.

n Senior officials within FHFA's accounting group meet frequently with our senior financial executives regarding our accounting policies, practices, and procedures.

In view of our mitigating actions related to this material weakness, we believe that our condensed consolidated financial statements for 1Q2Q 2023 have been prepared in conformity with GAAP.


Freddie Mac 1Q2Q 2023 Form 10-Q						9299


Exhibit Index

Exhibit Index


Exhibit			Description*

~~4.1~~3.1			Bylaws of the Federal Home Loan Mortgage Corporation, ~~Debt Facility Agreement, dated February 22,~~as amended and restated July 11, 2023


31.1			Certification of Chief Executive Officer pursuant to Securities Exchange Act Rule 13a-14(a)


31.2			Certification of Executive Vice President and Chief Financial Officer pursuant to Securities Exchange Act Rule 13a-14(a)


32.1			Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350


32.2			Certification of Executive Vice President and Chief Financial Officer pursuant to 18 U.S.C. Section 1350




















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.


Freddie Mac 1Q2Q 2023 Form 10-Q						93100


Signatures

Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.


Federal Home Loan Mortgage Corporation

By:						/s/ Michael J. DeVito
						Michael J. DeVito
						Chief Executive Officer
						(Principal Executive Officer)

Date: ~~May 3,~~August 2, 2023


By:						/s/ Christian M. Lown
						Christian M. Lown
						Executive Vice President and Chief Financial Officer
						(Principal Financial Officer)

Date: ~~May 3,~~August 2, 2023


Freddie Mac 1Q2Q 2023 Form 10-Q						94101


Form 10-Q Index

Form 10-Q Index


Item Number		Page(s)
PART I	FINANCIAL INFORMATION
Item 1.	Financial Statements	4446 - 8996
Item 2.	Management's Discussion and Analysis of Financial Condition and Results of Operations	1 - 4345
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	2931 - 3133
Item 4.	Controls and Procedures	9299
PART II	OTHER INFORMATION
Item 1.	Legal Proceedings	9097
Item 1A.	Risk Factors	9097
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	9097 - 9198
Item 5.	Other Information	98
Item 6.	Exhibits	9198
Exhibit Index		93100
Signatures		94101


Freddie Mac 1Q2Q 2023 Form 10-Q						95102