Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2020 | Apr. 16, 2020 | |
Cover [Abstract] | ||
Document Quarterly Report | true | |
Document Transition Report | false | |
Document Type | 10-Q | |
Document Period End Date | Mar. 31, 2020 | |
Entity File Number | 001-34139 | |
Entity Registrant Name | Federal Home Loan Mortgage Corporation | |
Entity Incorporation, State or Country Code | X1 | |
Entity Tax Identification Number | 52-0904874 | |
Entity Address, Address Line One | 8200 Jones Branch Drive | |
Entity Address, City or Town | McLean, | |
Entity Address, State or Province | VA | |
Entity Address, Postal Zip Code | 22102-3110 | |
City Area Code | (703) | |
Local Phone Number | 903-2000 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 650,059,033 | |
Entity Central Index Key | 0001026214 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income (Loss) - USD ($) shares in Millions, $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Interest income | ||
Mortgage loans | $ 16,632 | $ 17,946 |
Investment securities | 652 | 689 |
Other | 308 | 351 |
Total interest income | 17,592 | 18,986 |
Interest expense | (14,807) | (15,833) |
Net interest income | 2,785 | 3,153 |
Non-interest income (loss) | ||
Guarantee fee income | 377 | 290 |
Gain (Loss) on Investments | (835) | (513) |
Other income (loss) | 95 | (17) |
Non-interest income (loss) | (363) | (240) |
Benefit (provision) for credit losses | (1,233) | 135 |
Revenues, Net of Interest Expense | 2,422 | 2,913 |
Non-interest expense | ||
Salaries and employee benefits | (341) | (322) |
Professional services | (76) | (105) |
Other administrative expense | (170) | (151) |
Total administrative expense | (587) | (578) |
Credit enhancement expense | 236 | (158) |
REO operations expense | (85) | (33) |
Temporary Payroll Tax Cut Continuation Act of 2011 expense | (432) | (390) |
Other expense | (103) | (124) |
Non-interest expense | (971) | (1,283) |
Income (loss) before income tax (expense) benefit | 218 | 1,765 |
Income tax (expense) benefit | (45) | (358) |
Net income (loss) | 173 | 1,407 |
Other comprehensive income (loss), net of taxes and reclassification adjustments | ||
Changes in unrealized gains (losses) related to available-for-sale securities | 438 | 246 |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 13 | 18 |
Changes in defined benefit plans | (2) | (6) |
Total other comprehensive income (loss), net of taxes and reclassification adjustments | 449 | 258 |
Comprehensive income (loss) | 622 | 1,665 |
Net income (loss) | 173 | 1,407 |
Undistributed net worth sweep, senior preferred stock dividends, or future increase in senior preferred stock liquidation preference | (382) | (1,665) |
Net income (loss) attributable to common stockholders | $ (209) | $ (258) |
Net income (loss) per common share — basic and diluted | $ (0.06) | $ (0.08) |
Weighted average common shares outstanding (in millions) — basic and diluted | 3,234 | 3,234 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Assets | ||
Cash and cash equivalents (Notes 1, 3, 14) (includes $17,920 and $991 of restricted cash and cash equivalents) | $ 24,324 | $ 5,189 |
Securities purchased under agreements to resell (Notes 3, 10) | 45,968 | 56,271 |
Investment securities, at fair value (Note 7) | 79,189 | 75,711 |
Mortgage loans held-for-sale (Notes 3, 4) (includes $13,518 and $15,035 at fair value) | 32,502 | 35,288 |
Mortgage loans held-for-investment (Notes 1, 3, 4) (net of allowance for credit losses of $6,121 and $4,234) | 2,014,155 | 1,984,912 |
Accrued interest receivable (Notes 3, 4, 7, 10) | 6,841 | 6,848 |
Derivative assets, net (Notes 9, 10) | 2,815 | 844 |
Deferred Tax assets, net | 4,629 | 5,918 |
Other assets (Notes 3, 18) (includes $4,914 and $4,627 at fair value) | 31,561 | 22,799 |
Total assets | 2,241,984 | 2,193,780 |
Liabilities | ||
Accrued interest payable (Note 3) | 6,271 | 6,559 |
Debt (Notes 3, 8) (includes $3,214 and $3,938 at fair value) | 2,216,135 | 2,169,685 |
Derivative liabilities, net (Notes 9, 10) | 2,226 | 372 |
Other liabilities (Notes 3, 18) | 7,848 | 8,042 |
Total liabilities | 2,232,480 | 2,184,658 |
Commitments and contingencies (Notes 5, 9, 16) | ||
Equity (Note 11) | ||
Senior preferred stock (liquidation preference of $81,770 and $79,322) | 72,648 | 72,648 |
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 650,059,033 shares outstanding | 0 | 0 |
Additional paid-in capital | 0 | 0 |
Retained earnings (accumulated deficit) | (74,255) | (74,188) |
AOCI, net of taxes, related to: | ||
Available-for-sale securities | 1,056 | 618 |
Cash flow hedge relationships | (231) | (244) |
Defined benefit plans | 62 | 64 |
Total AOCI, net of taxes | 887 | 438 |
Treasury stock, at cost, 75,804,853 shares | (3,885) | (3,885) |
Total equity | 9,504 | 9,122 |
Total liabilities and equity | 2,241,984 | 2,193,780 |
Condensed Consolidated Balance Sheet Line Item | ||
Mortgage loans held-for-investment (Notes 1, 3, 4) (net of allowance for credit losses of $6,121 and $4,234) | 2,014,155 | 1,984,912 |
Total assets | 2,241,984 | 2,193,780 |
Debt (Notes 3, 8) (includes $3,214 and $3,938 at fair value) | 2,216,135 | 2,169,685 |
Total liabilities | 2,232,480 | 2,184,658 |
Held by consolidated trusts | ||
Assets | ||
Cash and cash equivalents (Notes 1, 3, 14) (includes $17,920 and $991 of restricted cash and cash equivalents) | 17,856 | 870 |
Securities purchased under agreements to resell (Notes 3, 10) | 13,510 | 23,137 |
Investment securities, at fair value (Note 7) | 1,536 | 597 |
Mortgage loans held-for-sale (Notes 3, 4) (includes $13,518 and $15,035 at fair value) | 0 | 0 |
Mortgage loans held-for-investment (Notes 1, 3, 4) (net of allowance for credit losses of $6,121 and $4,234) | 1,963,630 | 1,940,523 |
Accrued interest receivable (Notes 3, 4, 7, 10) | 6,181 | 6,170 |
Other assets (Notes 3, 18) (includes $4,914 and $4,627 at fair value) | 14,332 | 9,824 |
Total assets | 2,017,045 | 1,981,121 |
Liabilities | ||
Accrued interest payable (Note 3) | 5,551 | 5,536 |
Debt (Notes 3, 8) (includes $3,214 and $3,938 at fair value) | 1,930,005 | 1,898,355 |
Other liabilities (Notes 3, 18) | 0 | 1 |
Total liabilities | 1,935,556 | 1,903,892 |
Condensed Consolidated Balance Sheet Line Item | ||
Mortgage loans held-for-investment (Notes 1, 3, 4) (net of allowance for credit losses of $6,121 and $4,234) | 1,963,630 | 1,940,523 |
All other assets | 53,415 | 40,598 |
Total assets | 2,017,045 | 1,981,121 |
Debt (Notes 3, 8) (includes $3,214 and $3,938 at fair value) | 1,930,005 | 1,898,355 |
All other liabilities | 5,551 | 5,537 |
Total liabilities | $ 1,935,556 | $ 1,903,892 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Statement of Financial Position [Abstract] | ||
Restricted Cash and Cash Equivalents | $ 17,920,000,000 | $ 991,000,000 |
Mortgages Held-for-sale, Fair Value Disclosure | 13,518,000,000 | 15,035,000,000 |
Allowance for loan losses | 6,121,000,000 | 4,234,000,000 |
Other Assets, Fair Value Disclosure | 4,914,000,000 | 4,627,000,000 |
Debt instrument recorded at fair value | 3,214,000,000 | 3,938,000,000 |
Senior preferred stock, at redemption value | $ 81,770,000,000 | $ 79,322,000,000 |
Common Stock, No Par Value | $ 0 | $ 0 |
Common Stock, Shares Authorized | 4,000,000,000 | 4,000,000,000 |
Common Stock, Shares, Issued | 725,863,886 | 725,863,886 |
Common Stock, Shares, Outstanding | 650,059,033 | 650,059,033 |
Treasury Stock, Shares | 75,804,853 | 75,804,853 |
Consolidated Statements of Equi
Consolidated Statements of Equity - USD ($) shares in Millions, $ in Millions | Total | Senior Preferred Stock | Preferred Stock, at Redemption Value | Common Stock, at Par Value | Additional Paid-In Capital | Retained Earnings (Accumulated Deficit) | AOCI, Net of Tax | Treasury Stock, at Cost |
Beginning balance at Dec. 31, 2018 | $ 4,477 | $ 72,648 | $ 14,109 | $ 0 | $ 0 | $ (78,260) | $ (135) | $ (3,885) |
Beginning balance, Shares at Dec. 31, 2018 | 1 | 464 | 650 | |||||
Comprehensive income: | ||||||||
Net income (loss) | 1,407 | 1,407 | ||||||
Other comprehensive income, net of taxes | 258 | 258 | ||||||
Comprehensive income (loss) | 1,665 | 1,407 | 258 | |||||
Senior Preferred Stock Dividends Paid | (1,477) | (1,477) | ||||||
Ending balance at Mar. 31, 2019 | 4,665 | $ 72,648 | $ 14,109 | $ 0 | 0 | (78,330) | 123 | (3,885) |
Ending balance, Shares at Mar. 31, 2019 | 1 | 464 | 650 | |||||
Comprehensive income: | ||||||||
Retained Earnings (Accumulated Deficit) | (74,188) | |||||||
Beginning balance at Dec. 31, 2019 | 9,122 | $ 72,648 | $ 14,109 | $ 0 | 0 | (74,188) | 438 | (3,885) |
Beginning balance, Shares at Dec. 31, 2019 | 1 | 464 | 650 | |||||
Comprehensive income: | ||||||||
Net income (loss) | 173 | 173 | ||||||
Other comprehensive income, net of taxes | 449 | 449 | ||||||
Comprehensive income (loss) | 622 | 173 | 449 | |||||
Cumulative effect of change in accounting principle | Accounting Standards Update 2016-13 | (240) | |||||||
Ending balance at Mar. 31, 2020 | 9,504 | $ 72,648 | $ 14,109 | $ 0 | $ 0 | $ (74,255) | $ 887 | $ (3,885) |
Ending balance, Shares at Mar. 31, 2020 | 1 | 464 | 650 | |||||
Comprehensive income: | ||||||||
Retained Earnings (Accumulated Deficit) | $ (74,255) |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Net Cash Provided by (Used in) Operating Activities | $ 2,791,000,000 | $ 4,274,000,000 |
Cash flows from investing activities | ||
Purchases of trading securities | (29,067,000,000) | (22,738,000,000) |
Proceeds from sales of trading securities | 24,252,000,000 | 23,099,000,000 |
Proceeds from maturities and repayments of trading securities | 4,992,000,000 | 1,754,000,000 |
Purchases of available-for-sale securities | (1,375,000,000) | (2,298,000,000) |
Proceeds from sales of available-for-sale securities | 2,072,000,000 | 3,032,000,000 |
Proceeds from maturities and repayments of available-for-sale securities | 865,000,000 | 932,000,000 |
Purchases of mortgage loans acquired as held-for-investment | (68,834,000,000) | (34,756,000,000) |
Proceeds from sales of mortgage loans acquired as held-for-investment | 2,464,000,000 | 2,308,000,000 |
Proceeds from repayments of mortgage loans acquired as held-for-investment | 107,876,000,000 | 52,425,000,000 |
Advances under secured lending arrangements | (17,047,000,000) | (7,997,000,000) |
Repayments of secured lending arrangements | 591,000,000 | 290,000,000 |
Net proceeds from dispositions of real estate owned and other recoveries | 260,000,000 | 268,000,000 |
Net (increase) decrease in securities purchased under agreements to resell | 5,688,000,000 | (15,363,000,000) |
Derivative premiums and terminations, swap collateral, and exchange settlement payments, net | (8,357,000,000) | (3,142,000,000) |
Other, net | (138,000,000) | (187,000,000) |
Net Cash Provided by (Used in) Investing Activities | 24,242,000,000 | (2,373,000,000) |
Cash flows from financing activities | ||
Increase in liquidation preference of senior preferred stock | 0 | 0 |
Payment of cash dividends on senior preferred stock | 0 | (1,477,000,000) |
Other, net | (25,000,000) | (1,000,000) |
Net Cash Provided by (Used in) Financing Activities | (7,898,000,000) | (2,935,000,000) |
Net increase (decrease) in cash and cash equivalents (includes restricted cash and cash equivalents) | 19,135,000,000 | (1,034,000,000) |
Cash and cash equivalents (includes restricted cash and cash equivalents) at beginning of year | 5,189,000,000 | 7,273,000,000 |
Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period | 24,324,000,000 | 6,239,000,000 |
Cash paid for: | ||
Debt interest | 17,962,000,000 | 17,366,000,000 |
Income taxes | 0 | 0 |
Held by Freddie Mac | ||
Cash flows from financing activities | ||
Proceeds from issuance of debt | 473,937,000,000 | 167,026,000,000 |
Repayments of debt | (454,607,000,000) | (150,248,000,000) |
Held by consolidated trusts | ||
Cash flows from financing activities | ||
Proceeds from issuance of debt | 73,626,000,000 | 36,092,000,000 |
Repayments of debt | (100,829,000,000) | $ (54,327,000,000) |
Cash and cash equivalents (includes restricted cash and cash equivalents) at beginning of year | 870,000,000 | |
Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period | $ 17,856,000,000 |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | Summary of Significant Accounting Policies Freddie Mac is a GSE chartered by Congress in 1970. Our public mission is 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. For more information on the roles of FHFA and Treasury, see Note 2 in this Form 10-Q and in our Annual Report on Form 10-K for the year ended December 31, 2019, or 2019 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 2019 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 2019 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. Certain amounts in prior periods' condensed consolidated financial statements have been reclassified to conform to the current presentation. See Note 1 in our 2019 Annual Report for additional information on these reclassifications. 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. Beginning January 1, 2020, we elected to offset payables related to securities sold under agreements to repurchase against receivables related to securities purchased under agreements to resell, when such amounts meet the conditions for balance sheet offsetting under GAAP. Certain amounts in prior periods' condensed financial statements have been reclassified to conform to the current presentation. See Note 10 in this Form 10-Q for additional information. We evaluate the materiality of identified errors in the financial statements using both an income statement, or "rollover," and a balance sheet, or "iron curtain," approach, based on relevant quantitative and qualitative factors. The financial statements include certain adjustments to correct immaterial errors related to previously reported periods. Use of Estimates The preparation of financial statements requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues, expenses, gains, and losses during the reporting period. Management has made significant estimates in preparing the financial statements for establishing the allowance for credit losses and valuing financial instruments and other assets and liabilities. Actual results could be different from these estimates. Cash and Cash Equivalents Upon adoption of CECL on January 1, 2020, we measure an allowance for credit losses on cash equivalents based on expected credit losses over the contractual term of the instrument. As of March 31, 2020, we did not recognize an allowance for credit losses on our cash equivalents due to their overall high credit quality and short-term nature. Recently Issued Accounting Guidance Recently Adopted Accounting Guidance Standard Description Date of Adoption Effect on Condensed Consolidated Financial Statements ASU 2016-13 , Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments; ASU 2019-04 , Codification Improvements to Topic 326, Financial Instruments - Credit Losses; and ASU 2019-11, Codification Improvements to Topic 326, Financial Instruments - Credit Losses The amendments in these Updates replace the incurred loss impairment methodology with a methodology that reflects lifetime expected credit losses and requires consideration of a broader range of reasonable and supportable information to inform credit loss estimates. January 1, 2020 Due to the adoption of these Updates, we recognized a reduction to retained earnings of $0.2 billion through a cumulative-effect adjustment on January 1, 2020. See the CECL Transition Impacts section below for additional information on transition impacts. See Note 4 , Note 5 , Note 6 , and Note 7 for additional information on the changes in our significant accounting policies as a result of our adoption of CECL. ASU 2018-13 , Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement The amendments in this Update modify the disclosure requirements on fair value measurements in Topic 820, Fair Value Measurements, based on the concepts in the Concepts Statement, including the consideration of costs and benefits. Certain disclosure requirements were either removed, modified, or added. January 1, 2020 We added disclosure of the change in unrealized gains or losses included in other comprehensive income for recurring Level 3 fair value measurements held at the end of the reporting period. See Note 15 for additional information. ASU 2018-15 , Intangibles -Goodwill and Other - Internal-Use Software (Subtopic 350-40): Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement That Is a Service Contract The amendments in this Update align the requirements for capitalizing implementation costs incurred in a hosting arrangement that is a service contract with the requirements for capitalizing implementation costs incurred to develop or obtain internal-use software (and hosting arrangements that include an internal-use software license). January 1, 2020 The adoption of the amendments did not have a material effect on our consolidated financial statements or on our disclosures. ASU 2018-17 , Consolidation (Topic 810): Targeted Improvements to Related Party Guidance for Variable Interest Entities The amendments in this Update require that indirect interests held through related parties under common control be considered on a proportional basis when determining whether fees paid to decision makers or service providers are variable interests. These amendments align with the determination of whether a reporting entity within a related party group is the primary beneficiary of a VIE. January 1, 2020 The adoption of the amendments did not have a material effect on our consolidated financial statements or on our disclosures. ASU 2019-01 , Leases (Topic 842): Codification Improvements The amendments in this Update provide guidance for the: (1) lessor's fair value determination of the lease's underlying asset; (2) lessor's statement of cash flows presentation of cash received from sales-type and direct financing leases; and (3) removal of interim transition disclosure requirements related to changes in accounting principles. January 1, 2020 The adoption of the amendments did not have a material effect on our consolidated financial statements or on our disclosures. ASU 2020-04 , Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting The amendments in this Update provide temporary optional expedients and exceptions for applying GAAP to contract modifications and hedging relationships, subject to meeting certain criteria, that reference LIBOR or other interbank offered rates expected to be discontinued. January 1, 2020 The adoption of the amendments did not have a material effect on our consolidated financial statements or on our disclosures. CECL Transition Impacts The table below provides details on the transition impacts of adopting CECL. Other balance sheet lines not presented were not affected by CECL. Table 1.1 CECL Transition Impacts (In millions) December 31, 2019 Transition Adjustments January 1, 2020 Assets Mortgage loans held-for-investment: Single-family $1,971,657 $199 $1,971,856 Multifamily 17,489 — 17,489 Less allowance for credit losses: Single-family (4,222 ) (668 ) (4,890 ) Multifamily (12 ) (24 ) (36 ) Mortgage loans held-for-investment, net 1,984,912 (493 ) 1,984,419 Deferred tax assets, net 5,918 64 5,982 Other assets 22,799 193 22,992 Total transition adjustments ($236 ) Liabilities and equity Other liabilities 8,042 4 8,046 Retained earnings (accumulated deficit) (74,188 ) (240 ) (74,428 ) Total transition adjustments ($236 ) Upon adoption of CECL on January 1, 2020, we did not recognize an allowance for credit losses on cash equivalents, investments in debt securities classified as available-for-sale, or securities purchased under agreements to resell. See Note 7 and Note 10 , respectively, for additional information. We also did not recognize an allowance for credit losses on accrued interest receivable as we charge-off outstanding accrued interest receivables through interest income when loans are placed on non-accrual status. See Note 4 for additional information. Recently Issued Accounting Guidance, Not Yet Adopted Within Our Condensed Consolidated Financial Statements Standard Description Date of Planned Adoption Effect on Consolidated Financial Statements ASU 2019-12 , Income Taxes (Topic 740): Simplifying the Accounting for Income Taxes The amendments in this Update simplify the accounting for income taxes by removing certain exceptions for investments, intraperiod allocations, and interim calculations, and adds guidance to reduce the complexity of applying Topic 740. January 1, 2021 We do not expect that the adoption of these amendments will have a material effect on our consolidated financial statements. |
Conservatorship and Related Mat
Conservatorship and Related Matters | 3 Months Ended |
Mar. 31, 2020 | |
Conservatorship and Related Matters [Abstract] | |
CONSERVATORSHIP AND RELATED MATTERS | Conservatorship and Related Matters Business Objectives We operate under the conservatorship that commenced on September 6, 2008, conducting our business under the direction of FHFA, as our Conservator. The conservatorship and related matters significantly affect our management, business activities, financial condition, and results of operations. Upon its appointment, FHFA, as Conservator, immediately succeeded to all rights, titles, powers, and privileges of Freddie Mac, and of any stockholder, officer, or director thereof, with respect to the company and its assets. The Conservator also succeeded to the title to all books, records, and assets of Freddie Mac held by any other legal custodian or third party. The Conservator provided for the Board of Directors to perform certain functions and to oversee management, and the Board delegated to management authority to conduct business operations so that the company can continue to operate in the ordinary course. The directors serve on behalf of, and perform such functions as provided by, the Conservator. We are subject to certain constraints on our business activities under the Purchase Agreement. However, the support provided by Treasury pursuant to the Purchase Agreement currently enables us to maintain our access to the debt markets and to have adequate liquidity to conduct our normal business activities, although the costs of our debt funding could vary. Our ability to access funds from Treasury under the Purchase Agreement is critical to keeping us solvent. Purchase Agreement Treasury, as the holder of the senior preferred stock, is entitled to receive quarterly cash dividends, when, as, and if declared by our Board of Directors. The dividends we have paid to Treasury on the senior preferred stock have been declared by, and paid at the direction of, the Conservator, acting as successor to the rights, titles, powers, and privileges of the Board. Under the August 2012 amendment to the Purchase Agreement, for each quarter from January 1, 2013 and thereafter, the dividend payment will be the amount, if any, by which our Net Worth Amount at the end of the immediately preceding fiscal quarter, less the applicable Capital Reserve Amount, exceeds zero. Pursuant to the September 2019 Letter Agreement, the applicable Capital Reserve Amount is $20.0 billion . As a result, we will not be required to pay a dividend on the senior preferred stock to Treasury until our Net Worth Amount exceeds $20.0 billion. If for any reason we do not pay the net worth sweep dividend in full for any period, the applicable Capital Reserve Amount will thereafter be zero . In addition, pursuant to the September 2019 Letter Agreement, the liquidation preference of the senior preferred stock will be increased, at the end of each fiscal quarter, beginning on September 30, 2019, by an amount equal to the increase in the Net Worth Amount, if any, during the immediately prior fiscal quarter, until the liquidation preference has increased by $17.0 billion . As a result, the liquidation preference of the senior preferred stock increased from $79.3 billion on December 31, 2019 to $81.8 billion on March 31, 2020 based on the $2.4 billion increase in our Net Worth Amount during 4Q 2019, and will increase to $82.2 billion on June 30, 2020 based on the $0.4 billion increase in our Net Worth Amount during 1Q 2020. Under the September 2019 Letter Agreement, Freddie Mac and Treasury also agreed to negotiate and execute an amendment to the Purchase Agreement that further enhances taxpayer protections by adopting covenants broadly consistent with recommendations for administrative reform contained in the Treasury's September 2019 Housing Reform Plan. Impact of Conservatorship and Related Developments on the Mortgage-Related Investments Portfolio In February 2019, FHFA directed us to maintain the UPB of our mortgage-related investments portfolio at or below $225 billion at all times. We began including 10% of the notional value of certain interest-only securities owned by Freddie Mac in the calculation of this portfolio during 1Q 2020 as directed by FHFA in November 2019. The UPB of this portfolio was $215.5 billion at March 31, 2020 , including $4.3 billion representing 10% of the notional amount of the interest-only securities we held as of March 31, 2020. Our ability to acquire and sell mortgage assets continues to be significantly constrained by limitations imposed by the Purchase Agreement and FHFA. Government Support for Our Business We receive substantial support from Treasury and are dependent upon its continued support to continue operating our business. Our ability to access funds from Treasury under the Purchase Agreement is critical to: n Keeping us solvent; n Allowing us to focus on our primary business objectives under conservatorship; and n Avoiding the appointment of a receiver by FHFA under statutory mandatory receivership provisions. At December 31, 2019, our assets exceeded our liabilities under GAAP; therefore, FHFA, as Conservator, did not request a draw on our behalf and, as a result, we did not receive any funding from Treasury under the Purchase Agreement during 1Q 2020. The amount of available funding remaining under the Purchase Agreement is $140.2 billion and will be reduced by any future draws. See Note 8 and Note 11 for more information on the conservatorship and the Purchase Agreement. Related Parties As a Result of Conservatorship We are deemed related parties with Fannie Mae as both we and Fannie Mae have the same relationships with FHFA and Treasury. CSS was formed in 2013 as a limited liability company equally-owned by Freddie Mac and Fannie Mae and is also deemed a related party. In connection with the formation of CSS, we entered into a limited liability company agreement with Fannie Mae. We and Fannie Mae have each appointed two executives to the CSS Board of Managers and signed governance and operating agreements for CSS, including an updated customer services agreement with Fannie Mae and CSS in May of 2019. In June of 2019, we entered into an agreement with Fannie Mae regarding the commingling of certain of our mortgage securities under the Single Security Initiative and related indemnification obligations. In January 2020, FHFA directed Freddie Mac and Fannie Mae to amend the CSS LLC agreement to change the structure of the CSS Board of Managers, appointing a new independent non-Executive Chair and providing the CSS CEO a seat on the CSS Board. During conservatorship, all CSS Board decisions will require the affirmative vote of the FHFA-designated CSS Board Chair and FHFA may appoint up to three additional independent members to the CSS Board. We account for our investment in CSS using the equity method. We increase the carrying value of our investment in CSS when we contribute capital to CSS. We recognize our equity in the net earnings of CSS each period as a component of investment gains (losses), net on our condensed consolidated statements of comprehensive income (loss). During 1Q 2020, we contributed $29 million of capital to CSS, and we have contributed $598 million since we began making contributions in the fourth quarter of 2014. The carrying value of our investment in CSS was $36 million and $35 million as of March 31, 2020 and December 31, 2019, respectively, and was included in other assets on our condensed consolidated balance sheets. |
Securitization Activities and C
Securitization Activities and Consolidation | 3 Months Ended |
Mar. 31, 2020 | |
Securitization Activities and Consolidation [Abstract] | |
Variable Interest Entity Disclosure [Text Block] | Securitization Activities and Consolidation Our primary business activities in our Single-family Guarantee and Multifamily segments involve the securitization of loans or other mortgage-related assets using trusts that are VIEs. These trusts issue beneficial interests in the loans or other mortgage-related assets that they own. We guarantee the principal and interest payments on some or all of the issued beneficial interests in substantially all of our securitization transactions. We consolidate VIEs when we have a controlling financial interest in the VIE and are therefore considered the primary beneficiary of the VIE. See Note 5 for additional information on our guarantee activities. Consolidated VIEs The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on our condensed consolidated balance sheets. Table 3.1 - Consolidated VIEs (In millions) As of March 31, 2020 As of December 31, 2019 Condensed Consolidated Balance Sheet Line Item Assets: Cash and cash equivalents (includes $17,855 and $869 of restricted cash and cash equivalents) $17,856 $870 Securities purchased under agreements to resell 13,510 23,137 Investment securities, at fair value 1,536 597 Mortgage loans held-for-investment, net 1,963,630 1,940,523 Accrued interest receivable 6,181 6,170 Other assets 14,332 9,824 Total assets of consolidated VIEs $2,017,045 $1,981,121 Liabilities: Accrued interest payable $5,551 $5,536 Debt 1,930,005 1,898,355 Other liabilities — 1 Total liabilities of consolidated VIEs $1,935,556 $1,903,892 Non-Consolidated VIEs Our involvement with VIEs for which we are not the primary beneficiary takes one or both of two forms - purchasing an investment in these entities or providing a guarantee to these entities. As part of the Single Security Initiative, we have the ability to commingle TBA-eligible Fannie Mae collateral in certain of our resecuritization products that we do not consolidate. We extend our guarantee of these products to cover principal and interest that are payable from the underlying Fannie Mae collateral. See Note 5 for additional information on our guarantee of Fannie Mae securities. The following table presents the carrying amounts and classification of the assets and liabilities recorded on our condensed consolidated balance sheets related to non-consolidated VIEs with which we were involved in the design and creation and have a significant continuing involvement, as well as our maximum exposure to loss and total assets of the VIEs. Our maximum exposure to loss includes the guaranteed UPB of the securities issued by the non-consolidated VIEs, the UPB of unguaranteed securities that we acquired from these securitization transactions, and the UPB of master servicer and guarantor advances made to the holders of the guaranteed securities. While we include the UPB of Fannie Mae securities backing non-consolidated Freddie Mac resecuritization trusts because we are providing a guaranty for the timely payment and interest on the underlying Fannie Mae securities that we have not previously guaranteed, we exclude the UPB of Freddie Mac securities backing these same trusts primarily because we already consolidate the underlying Freddie Mac collateral of these trusts on our condensed consolidated balance sheets. Our maximum exposure to loss also excludes our interest rate exposure on certain securitization activity and other mortgage-related guarantees measured at fair value where our interest rate exposure may be unlimited. We generally reduce our exposure to these guarantees with unlimited interest rate exposure through separate contracts with third parties. Total assets of non-consolidated VIEs excludes our investments in and obligations to non-consolidated Freddie Mac resecuritization trusts primarily because we already consolidate the underlying Freddie Mac collateral of these trusts on our condensed consolidated balance sheets. We do not believe the maximum exposure to loss disclosed in the table below 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, including possible recoveries under credit enhancements. See Note 6 for additional information on credit enhancements. Table 3.2 - Non-Consolidated VIEs (In millions) As of March 31, 2020 As of December 31, 2019 Assets and Liabilities Recorded on our Condensed Consolidated Balance Sheets (1) Assets: Investment securities, at fair value $35,660 $37,918 Accrued interest receivable 208 212 Derivative assets, net 8 14 Other assets 4,465 3,951 Liabilities: Derivative liabilities, net 109 108 Other liabilities 3,752 3,761 Maximum Exposure to Loss (2) 322,557 307,820 Total Assets of Non-Consolidated VIEs 342,265 335,562 (1) Includes our variable interests in REMICs and Strips, commingled Supers, K Certificates, SB Certificates, certain senior subordinate securitization structures, and other securitization products that we do not consolidate. (2) Includes amounts related to Fannie Mae securities backing non-consolidated Freddie Mac resecuritizations trusts. These amounts were previously included in text in prior periods. |
Mortgage Loans and Loan Loss Re
Mortgage Loans and Loan Loss Reserves | 3 Months Ended |
Mar. 31, 2020 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
MORTGAGE LOANS AND LOAN LOSS RESERVES | Mortgage Loans and Allowance for Credit Losses The table below provides details of the loans on our condensed consolidated balance sheets. Table 4.1 - Mortgage Loans March 31, 2020 December 31, 2019 (In millions) Held by Freddie Mac Held by Total Held by Freddie Mac Held by Total Held-for-sale: Single-family $18,474 $— $18,474 $18,543 $— $18,543 Multifamily 15,929 — 15,929 18,954 — 18,954 Total UPB 34,403 — 34,403 37,497 — 37,497 Cost basis and fair value adjustments, net (1,901 ) — (1,901 ) (2,209 ) — (2,209 ) Total held-for-sale loans, net 32,502 — 32,502 35,288 — 35,288 Held-for-investment: Single-family 40,626 1,921,521 1,962,147 35,324 1,902,958 1,938,282 Multifamily 10,421 7,837 18,258 10,831 6,642 17,473 Total UPB 51,047 1,929,358 1,980,405 46,155 1,909,600 1,955,755 Cost basis adjustments 532 39,339 39,871 (183 ) 33,574 33,391 Allowance for credit losses (1,054 ) (5,067 ) (6,121 ) (1,583 ) (2,651 ) (4,234 ) Total held-for-investment loans, net 50,525 1,963,630 2,014,155 44,389 1,940,523 1,984,912 Total mortgage loans, net $83,027 $1,963,630 $2,046,657 $79,677 $1,940,523 $2,020,200 We own both single-family loans, which are secured by one- to four-unit residential properties, and multifamily loans, which are secured by properties with five or more residential rental units. Our single-family loans are predominantly first lien, fixed-rate loans secured by the borrower's primary residence. We do not typically acquire loans that have experienced more-than-insignificant deterioration in credit quality since origination as of our acquisition date, although we may acquire such loans in connection with performance under certain of our securitization activity or other mortgage-related guarantees. In addition, in April 2020, we announced that we would temporarily purchase certain single-family mortgage loans that have entered into forbearance as a result of borrower hardship caused by the COVID-19 pandemic and that these loans will be priced to mitigate the heightened risk of loss that they present. Upon acquisition, we classify a loan as either held-for-investment or held-for-sale based on our intent with respect to the loan. Loans that we have the ability and intent to hold for the foreseeable future, including loans held by consolidated trusts and loans we intend to securitize using an entity we will consolidate, are classified as held-for-investment. Loans that we intend to sell are classified as held-for-sale. Held-for-investment loans for which we have not elected the fair value option are reported on our condensed consolidated balance sheets at their amortized cost basis, net of the allowance for credit losses. The amortized cost basis is based on a loan’s outstanding UPB, net of deferred fees and other cost basis adjustments (including unamortized premiums and discounts, upfront fees, commitment-related derivative basis adjustments, fair value hedge accounting adjustments, and other pricing adjustments), excluding accrued interest receivable. Accrued interest receivable for both held-for-investment and held-for-sale loans is separately presented on our condensed consolidated balance sheets and excluded for the purposes of disclosure of the amortized cost basis of mortgage loans held-for-investment. Held-for-sale loans for which we have not elected the fair value option are reported at lower-of-cost-or-fair-value on our condensed consolidated balance sheets. Any excess of a held-for-sale loan's cost over its fair value is recognized as a valuation allowance in investment gains (losses), net on our condensed consolidated statements of comprehensive income (loss), with subsequent changes in this valuation allowance also being recorded in investment gains (losses), net. Premiums, discounts, and other cost basis adjustments (including lower-of-cost-or-fair-value adjustments) are deferred and not amortized. We elect the fair value option for certain multifamily loans that are originally classified as held-for-sale. Loans for which we have elected the fair value option are measured at fair value on a recurring basis, with subsequent gains or losses related to changes in fair value reported in investment gains (losses), net on our condensed consolidated statements of comprehensive income (loss). All fees, upfront costs, and other cost basis adjustments are recognized in earnings as incurred. Cash flows related to loans originally classified as held-for-investment are classified as either investing activities (e.g., principal repayments) or operating activities (e.g., interest payments received from borrowers included within net income (loss)). Cash flows related to loans originally classified as held-for-sale are classified as operating activities. The table below provides details of the UPB of loans we purchased, reclassified from held-for-investment to held-for-sale, and sold during the periods presented. Table 4.2 - Loans Purchased, Reclassified from Held-for-Investment to Held-for-Sale, and Sold (In billions) 1Q 2020 1Q 2019 Single-family: Purchases Held-for-investment loans $137.7 $69.7 Reclassified from held-for-investment to held-for-sale (1) 2.6 4.1 Sale of held-for-sale loans (2) 2.2 2.1 Multifamily: Purchases Held-for-investment loans 1.2 1.0 Held-for-sale loans 8.2 11.6 Reclassified from held-for-investment to held-for-sale (1) — 0.5 Sale of held-for-sale loans (3) 10.7 14.7 (1) We reclassify loans from held-for-investment to held-for-sale when we no longer have both the intent and ability to hold the loans for the foreseeable future. For additional information regarding the fair value of our loans classified as held-for-sale, see Note 15 . (2) Our sales of single-family loans reflect the sale of seasoned single-family mortgage loans. (3) Our sales of multifamily loans occur primarily through the issuance of multifamily K Certificates and SB Certificates. See Note 3 Reclassifications We reclassify loans from held-for-investment to held-for-sale when we no longer have both the intent and ability to hold the loan for the foreseeable future. Upon reclassification from held-for-investment to held-for-sale, we perform a collectability assessment. When we determine that a loan to be transferred has experienced more-than-insignificant deterioration in credit quality since origination, the excess of the loan’s amortized cost basis over its fair value is written off against the allowance for credit losses prior to the transfer. For all other loans, upon a transfer from held-for-investment to held-for-sale, we reverse the loan’s existing allowance for credit losses, if any, and establish a held-for-sale valuation allowance if the loan’s fair value is less than its amortized cost basis. We reclassify loans from held-for-sale to held-for-investment when we have both the intent and ability to hold the loan for the foreseeable future. Upon a loan reclassification from held-for-sale to held-for-investment, we reverse the loan’s held-for-sale valuation allowance, if any, and establish an allowance for credit losses as needed. 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 period presented. Table 4.3 - Loan Reclassifications 1Q 2020 (In millions) Unpaid Principal Balance Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed Single-family reclassifications from: Held-for-investment to held-for-sale (1) $2,637 $214 $— Held-for-sale to held-for-Investment 1 — — Multifamily reclassifications from: Held-for-investment to held-for-sale 32 — — Held-for-sale to held-for-Investment 482 (1 ) — (1) Prior to reclassification from held-for-investment to held-for-sale, we charged-off $79 million against the allowance for credit losses during 1Q 2020. Interest Income We recognize interest income on an accrual basis except when we believe the collection of principal and interest in full is not reasonably assured, which generally occurs when a loan is three monthly payments or more past due, at which point we place the loan on non-accrual status unless the loan is well secured and in the process of collection based upon an individual loan assessment. A loan is considered past due if a full payment of principal and interest is not received within one month of its due date. We charge off outstanding accrued interest receivable through interest income when loans are placed on non-accrual status and recognize interest income on a cash basis while a loan is on non-accrual status. Cost basis adjustments on held-for-investment loans are amortized into interest income over the contractual life of the loan using the effective interest method. No amortization is recognized during periods in which a loan is on non-accrual status. A non-accrual loan is returned to accrual status when the collectability of principal and interest in full is reasonably assured. For single-family loans, we generally determine that collectability is reasonably assured when the loan returns to current payment status. For multifamily loans, the collectability of principal and interest is considered reasonably assured based on an analysis of the factors specific to the loan being assessed. Upon a loan's return to accrual status, all previously reversed interest income is recognized and amortization of any basis adjustments into interest income is resumed. We are currently evaluating our policy for interest income recognition for loans that receive forbearance as a result of a hardship related to COVID-19. The table below presents the amortized cost basis of non-accrual loans at the beginning and end of the periods presented, including the interest income recognized for the periods presented that is related to the loans on non-accrual status at end of the periods. Table 4.4 - Amortized Cost Basis of Held-for-Investment Loans on Non-accrual Non-accrual Amortized Cost Basis Interest Income Recognized (In millions) January 1, 2020 March 31, 2020 1Q 2020 Single-family: 20- and 30-year or more, amortizing fixed-rate $5,598 $5,494 $4 15-year amortizing fixed-rate 242 241 — Adjustable-rate 91 83 — Alt-A, interest-only, and option ARM 439 389 2 Total single-family 6,370 6,207 6 Total multifamily 13 13 — Total single-family and multifamily $6,383 $6,220 $6 The table below provides the amount of accrued interest receivable presented on our condensed consolidated balance sheets and the amount of accrued interest receivable related to loans on non-accrual status at end of the periods that is written off through reversal of interest income on our condensed consolidated statements of comprehensive income (loss) by portfolio. Table 4.5 - Accrued Interest Receivable and Related Charge-offs March 31, 2020 1Q 2020 (In millions) Accrued Interest Receivable Accrued Interest Receivable Related Charge-offs Single-family loans $6,320 ($29 ) Multifamily loans 118 — Allowance for Credit Losses On January 1, 2020, we adopted CECL. The objective of CECL is to recognize an allowance for credit losses that is deducted from or added to the amortized cost basis of the financial asset to present the net amount expected to be collected on the financial asset on the balance sheet. Under CECL, an allowance for credit losses is recognized before a loss event has been incurred, which results in earlier recognition of credit losses compared to the previous incurred loss methodology. Our allowance for credit losses on mortgage loans pertains to all single-family and multifamily loans classified as held-for-investment for which we have not elected the fair value option. We recognize changes in the allowance for credit losses by recording a provision for credit losses (or reversal of a provision for credit losses) on our condensed consolidated statements of comprehensive income (loss). We measure the allowance for credit losses on a collective basis when our loans share similar risk characteristics. We record charge-offs in the period in which a loan is deemed uncollectible. Proceeds received in excess of amounts previously written off are recorded as a decrease to REO operations expense on our condensed consolidated statements of comprehensive income (loss). We may incur expenses related to a mortgage loan subsequent to its original acquisition but prior to foreclosure (pre-foreclosure costs). These expenses are generally to protect or preserve our interest or legal right in or to the property prior to foreclosure, such as property taxes or homeowner's insurance premiums owed by the borrower. Many of these expenses are advanced by the servicer and are reimbursable from the borrower. If the borrower ultimately defaults, we reimburse the servicer for the advances it has made. Upon advance by the servicer, we recognize a receivable for the amounts due from the borrower and a payable for amounts due to the servicer. We recognize an allowance for credit losses for amounts that we do not ultimately expect to collect from the borrower (allowance for credit losses on pre-foreclosure costs). The table below summarizes changes in our allowance for credit losses for single-family and multifamily loans held-for-investment and related single-family advances of pre-foreclosure costs. Provision (benefit) for credit losses shifted to a provision in 1Q 2020 from a benefit in 1Q 2019 as we incorporated our forecasts of higher expected credit losses as a result of the COVID-19 pandemic, resulting in an increase of more than 20% in the allowance for credit losses related to our single-family guarantee portfolio in 1Q 2020. The increase in the allowance from higher expected credit losses related to the pandemic was partially offset by a benefit from higher estimated prepayments as a result of the significant decline in interest rates during 1Q 2020. In addition, charge-offs decreased in 1Q 2020 due to a lower volume of transfers of single-family loans from held-for-investment to held-for-sale. The decline in economic activity caused by the COVID-19 pandemic, and the corresponding government response, is unprecedented, and as a result, our estimate of expected credit losses is subject to significant uncertainty. Table 4.6 - Details of the Allowance for Credit Losses (In millions) 1Q 2020 1Q 2019 Single-family: Beginning balance (1) $5,184 $6,130 Provision (benefit) for credit losses 1,164 (137 ) Charge-offs (162 ) (604 ) Recoveries collected 88 106 Other 24 41 Single-family ending balance 6,298 5,536 Multifamily ending balance 77 10 Total ending balance $6,375 $5,546 (1) Includes transition adjustments recognized upon the adoption of CECL on January 1, 2020. See Note 1 for more information on transition adjustments. Single-Family Loans We estimate the allowance for credit losses for single-family loans on a pooled basis using a discounted cash flow model that evaluates a variety of factors to estimate the cash flows we expect to collect. If we determine that foreclosure on the underlying collateral is probable, we measure the allowance for credit losses for single-family loans based upon the fair value of the collateral, less costs to sell, adjusted for estimated proceeds from attached credit enhancements. The discounted cash flow model we use to estimate the single-family loan allowance for credit losses forecasts cash flows over the loan’s remaining contractual life, adjusted for expectations of prepayments and TDRs we reasonably expect will occur. We do not have a reasonable and supportable forecast period beyond which we revert to historical loss information. Cash flow estimates are discounted at the loan’s prepayment-adjusted effective interest rate. For adjustable-rate loans, forecasts are adjusted for projections in the underlying benchmark interest rate. For both fixed-rate and adjustable-rate loans, we forecast cash flows we expect to collect using our historical experience, such as historical default rates and severity of loss based on loan characteristics, adjusted for current and future economic forecasts, such as current and projected home price appreciation and interest rate forecasts, and estimated recoveries from loss mitigation activities, attached credit enhancements, and disposition of collateral, less estimated disposition costs. We also calculate allowance for credit losses for advances of pre-foreclosure costs based on the amounts we expect to collect using our historical experience such as historical default rates. These projections require significant management judgment. We rely on third-parties to provide certain model inputs used in our projections. At loan delivery, the seller provides us with loan data, which includes borrower and loan characteristics and underwriting information. Each subsequent month, the servicers provide us with monthly loan level servicing data, including delinquency and loss information. We measure an allowance for credit losses for TDR loans on a pooled basis when they share similar risk characteristics, using either the discounted cash flow approach discussed above or based on the fair value of the collateral, less costs to sell when foreclosure is probable. When using a discounted cash flow approach, the present value of the expected future cash flows is discounted at the loan's prepayment-adjusted effective interest rate just prior to the restructuring, with no adjustments made to the effective interest rate for changes in the timing of expected cash flows subsequent to the restructuring. We review the outputs of our model by considering qualitative factors such as current economic events and other external factors, including the economic effects of the COVID-19 pandemic and the impact of associated government relief programs, to see whether the model outputs are consistent with our expectations. Additionally, we incorporate expected credit losses for TDRs that are reasonably expected to occur and the incidence of redefault we have experienced on similar loans that have completed a loan modification. Further management adjustments may be necessary to take into consideration the qualitative factors that have occurred but that are not yet reflected in the factors used to derive the model outputs or the uncertainty inherent in our projections. Significant judgment is exercised in making these adjustments. Multifamily Loans We estimate the allowance for credit losses for multifamily loans using a loss-rate method to estimate the net amount of cash flows we expect to collect. The loss rate method is based on a probability of default and loss given default framework that estimates credit losses by considering a loan’s underlying characteristics and current and forecasted economic conditions. Loan characteristics considered by our model include vintage, loan term, current DSCR, current LTV ratio, occupancy rate, and interest rate hedges. We forecast economic conditions over a reasonable and supportable two-year period prior to reverting to historical averages at the model input level over a five-year period, using a linear reversion method. We also consider as model inputs expected prepayments, contractually specified extensions, modifications we reasonably expect will occur, expected recoveries from collateral posting requirements, and the expected recoveries from attached credit enhancements. Our loss rates incorporate published historical commercial loan performance data, which we calibrate for differences between that data and our portfolio experience. Except for cases of fraud and certain other types of borrower defaults, most multifamily loans are non-recourse to the borrower. As a result, the cash flows of the underlying property (including any attached credit enhancements) serve as the primary source of funds for repayment of the loan. For loans where we determined that the borrower is experiencing financial difficulty and is two monthly payments or more past due, we measure the allowance for credit losses using the fair value of the underlying collateral, less estimated costs to sell, adjusted for estimated proceeds from credit enhancements that are not freestanding contracts. Factors considered by management in determining whether a borrower is experiencing financial difficulty include the borrower’s current payment status and an evaluation of the underlying property's operating performance as represented by its current DSCR, its available credit enhancements, the current LTV ratio, the management of the underlying property, and the property's geographic location. We review the outputs of our model considering qualitative factors such as current economic events and other external factors to determine whether the model outputs are consistent with our expectations. Further management adjustments may be necessary to take into consideration the qualitative factors that have occurred but that are not yet reflected in the factors used to derive the model outputs. Significant judgment is exercised in making these adjustments. 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 the Enhanced Relief Refinance program) or to sell the property for an amount at or above the balance of the outstanding loan. A second-lien loan also reduces the borrower's equity in the home and has a similar negative effect on the borrower's ability to refinance or sell the property for an amount at or above the combined balances of the first and second loans. However, borrowers are free to obtain second-lien financing after origination, and we are not entitled to receive notification when a borrower does so. For further information about concentrations of risk associated with our single-family and multifamily loans, see Note 14 . The tables below present the amortized cost basis of single-family held-for-investment loans by current LTV ratios. Our current LTV ratios are estimates based on available data through the end of each respective period presented. For reporting purposes: n Loans within the Alt-A category continue to be presented in that category following modification, even though the borrower may have provided full documentation of assets and income to complete the modification and n Loans within the option ARM category continue to be presented in that category following modification, even though the modified loan no longer provides for optional payment provisions. Table 4.7 - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratios and Vintage March 31, 2020 Year of Origination Total (In millions) 2020 2019 2018 2017 2016 Prior Current LTV Ratio: 20- and 30-year or more, amortizing fixed-rate ≤ 80 $45,990 $229,800 $125,462 $176,050 $222,411 $637,471 $1,437,184 > 80 to 100 24,835 148,243 55,970 21,881 5,091 11,220 267,240 > 100 (1) 142 432 104 159 150 2,389 3,376 Total 20- and 30-year or more, amortizing fixed-rate 70,967 378,475 181,536 198,090 227,652 651,080 1,707,800 15-year amortizing fixed-rate ≤ 80 8,951 38,981 17,996 27,553 37,962 108,636 240,079 > 80 to 100 1,466 4,493 478 85 33 64 6,619 > 100 (1) 11 17 5 13 10 19 75 Total 15-year amortizing fixed-rate 10,428 43,491 18,479 27,651 38,005 108,719 246,773 Adjustable-rate ≤ 80 217 2,462 2,143 5,450 3,618 19,424 33,314 > 80 to 100 53 529 295 246 31 43 1,197 > 100 (1) — 1 — — — 4 5 Total Adjustable-rate 270 2,992 2,438 5,696 3,649 19,471 34,516 Alt-A, Interest-only, and option ARM ≤ 80 — — — — — 12,032 12,032 > 80 to 100 — — — — — 727 727 > 100 (1) — — — — — 138 138 Total Alt-A, Interest-only, and option ARM — — — — — 12,897 12,897 Total single-family loans $81,665 $424,958 $202,453 $231,437 $269,306 $792,167 $2,001,986 Referenced footnotes are included after the next table. December 31, 2019 Current LTV Ratio Total (In millions) ≤ 80 > 80 to 100 > 100 (1) 20- and 30-year or more, amortizing fixed-rate $1,405,562 $267,752 $3,954 $1,677,268 15-year amortizing fixed-rate 236,837 6,797 89 243,723 Adjustable-rate 35,478 1,425 6 36,909 Alt-A, interest-only, and option ARM 12,668 901 188 13,757 Total single-family loans $1,690,545 $276,875 $4,237 $1,971,657 (1) The serious delinquency rate for the single-family held-for-investment mortgage loans with current LTV ratios in excess of 100% was 4.03% and 4.51% as of March 31, 2020 and December 31, 2019, respectively. Multifamily The table below presents the amortized cost basis of our multifamily held-for-investment loans, 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 current financial strength and debt service capacity of the borrower; n "Special mention" has administrative issues that may affect future repayment prospects but does not have current credit weaknesses; 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. Table 4.8 - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator by Vintage March 31, 2020 December 31, 2019 Year of Origination Total Total (In millions) 2020 2019 2018 2017 2016 Prior Revolving Loans Category: Pass $1,110 $8,516 $1,361 $941 $687 $3,327 $ 2,060 $18,002 $17,227 Special mention — 37 29 20 — 92 — 178 141 Substandard — 2 19 8 5 76 — 110 121 Doubtful — — — — — — — — — Total $1,110 $8,555 $1,409 $969 $692 $3,495 $2,060 $18,290 $17,489 Table 4.9 - Amortized Cost Basis of Held -for-Investment Loans by Payment Status March 31, 2020 (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 Non-accrual With No Allowance (2) Single-family: 20- and 30-year or more, amortizing fixed-rate $1,682,763 $16,596 $3,190 $5,251 $1,707,800 $— $370 15-year amortizing fixed-rate 245,198 1,172 165 238 246,773 — 5 Adjustable-rate 34,133 260 41 82 34,516 — 3 Alt-A, interest-only, and option ARM 11,877 501 144 375 12,897 — 86 Total single-family 1,973,971 18,529 3,540 5,946 2,001,986 — 464 Total multifamily 18,290 — — — 18,290 — 13 Total single-family and multifamily $1,992,261 $18,529 $3,540 $5,946 $2,020,276 $— $477 December 31, 2019 (In millions) Current One Two Three Months or (1) Total Non-accrual Single-family: 20- and 30-year or more, amortizing fixed-rate $1,653,113 $15,481 $3,326 $5,348 $1,677,268 $5,822 15-year amortizing fixed-rate 242,177 1,131 175 240 243,723 252 Adjustable-rate 36,537 238 45 89 36,909 104 Alt-A, interest-only, and option ARM 12,690 489 161 417 13,757 205 Total single-family 1,944,517 17,339 3,707 6,094 1,971,657 6,383 Total multifamily 17,489 — — — 17,489 13 Total single-family and multifamily $1,962,006 $17,339 $3,707 $6,094 $1,989,146 $6,396 (1) Includes $1.7 billion and $1.8 billion of single-family loans that were in the process of foreclosure as of March 31, 2020 and December 31, 2019 , respectively. (2) Loans with no allowance 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. FHFA requires us to purchase loans out of consolidated trusts if they are delinquent for 120 days, and we have the option to purchase sooner under certain circumstances (e.g., imminent default and seller breaches of representations and warranties). Our practice generally has been to purchase loans from consolidated trusts when the loans have been delinquent for 120 days Troubled Debt Restructurings A modification to the contractual terms of a loan that results in granting a concession to a borrower experiencing financial difficulties is considered a TDR. A concession is deemed granted when, as a result of the restructuring, we do not expect to collect all amounts due, including interest accrued, at the original contractual interest rate. As appropriate, we also consider other qualitative factors in determining whether a concession is deemed granted, including whether the borrower's modified interest rate is consistent with that of a non-troubled borrower. We do not consider restructurings that result in an insignificant delay in payment to be a concession. We generally consider a delay in monthly amortizing payments of three months or less to be insignificant. A concession typically includes one or more of the following being granted to the borrower: n A trial period where the expected permanent modification will change our expectation of collecting all amounts due at the original contract rate; n A delay in payment that is more than insignificant; n A reduction in the contractual interest rate; n Interest forbearance for a period of time that is more than insignificant or forgiveness of accrued but uncollected interest amounts; n Principal forbearance that is more than insignificant; and n Discharge of the borrower's obligation in Chapter 7 bankruptcy. The assessment as to whether a multifamily loan restructuring is considered a TDR contemplates the unique facts and circumstances of each loan. This assessment considers qualitative factors such as whether the borrower's modified interest rate is consistent with that of a non-troubled borrower having a similar credit profile at the time of modification. In certain cases, for maturing loans we may provide short-term loan extensions of up to one year with no changes to the effective borrowing rate. In other cases, we may make more significant modifications of terms for borrowers experiencing financial difficulty, such as reducing the interest rate, extending the maturity for longer than one year, providing principal forbearance, or some combination of these terms. Section 4013 of the CARES Act provides temporary relief from the accounting and reporting requirements for TDRs for certain loan modifications related to COVID-19. Specifically, the CARES Act provides that a qualifying financial institution may elect to suspend (1) the requirements under U.S. GAAP for certain loan modifications that would otherwise be categorized as a TDR, and (2) any determination that such loan modifications would be considered a TDR, including the related impairment for accounting purposes. Section 4013 of the CARES Act applies to any modification related to an economic hardship as a result of the COVID-19 pandemic, including a forbearance arrangement, an interest rate modification, a repayment plan, or any similar arrangement that defers or delays payment of principal or interest, that occurs during the period beginning on March 1, 2020 and ending on the earlier of December 31, 2020 or the date that is 60 days after the declaration of the national emergency related to the COVID-19 pandemic ends for a loan that was not more than 30 days past due as of December 31, 2019. We have elected to suspend TDR accounting for eligible modifications under Section 4013 of the CARES Act. In addition, Section 4022 and Section 4023 of the CARES Act require us to offer forbearance to certain single-family and multifamily borrowers, respectively, with an economic hardship related to COVID-19. Recent guidance issued by federal banking regulators and endorsed by the FASB staff allows entities to use a practical expedient to conclude that borrowers who receive relief through government-mandated modification or deferral programs related to COVID-19 are not experiencing financial difficulty and, therefore, such modifications or deferral programs should not be accounted for as TDRs. We have elected to apply this practical expedient to the forbearance programs we are offering under Section 4022 and Section 4023 of the CARES Act, as such programs are government-mandated deferral programs related to COVID-19, and therefore we will not account for such modifications as TDRs. We recognize an allowance for credit losses on TDRs as discussed in the Allowance for Credit Losses section above. We recognize interest income at the modified interest rate, subject to our non-accrual policy as discussed in the Interest Income section above, with all other changes in the present value of expected future cash flows being recognized as a component of benefit (provision) for credit losses on our condensed consolidated statements of comprehensive |
Guarantees and Other Off-Balanc
Guarantees and Other Off-Balance Sheet Credit Exposures | 3 Months Ended |
Mar. 31, 2020 | |
Guarantees [Abstract] | |
GUARANTEE ACTIVITIES | Guarantees and Other Off-Balance Sheet Credit Exposures We generate revenue through our guarantee activities by agreeing to absorb the credit risk associated with certain financial instruments that are owned or held by third parties. In exchange for providing this guarantee, we receive an ongoing guarantee fee that is commensurate with the risks assumed and that will, over the long-term, provide us with cash flows that are expected to exceed the credit-related and administrative expenses of the underlying financial instruments. The profitability of our guarantee activities may vary and will be dependent on our guarantee fee and the actual credit performance of the underlying financial instruments that we have guaranteed. The table below shows our maximum exposure, recognized liability, and maximum remaining term of our guarantees to non-consolidated VIEs and other third parties. This table does not include certain of our unrecognized guarantees, such as guarantees to consolidated VIEs or to resecuritization trusts that do not expose us to incremental credit risk. The maximum exposure disclosed in the table is not 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, including possible recoveries under credit enhancements. See Note 6 for additional information on our credit enhancements. Table 5.1 - Financial Guarantees March 31, 2020 December 31, 2019 ( Dollars in millions , terms in years ) Maximum (1) Recognized (2) Maximum Maximum (1) Recognized (2) Maximum Single-family: Securitization activity guarantees $27,696 $379 39 $26,818 $361 40 Other mortgage-related guarantees 7,943 183 30 7,492 182 30 Total single-family $35,639 $562 $34,310 $543 Multifamily: Securitization activity guarantees $254,459 $3,310 39 $252,167 $3,333 39 Other mortgage-related guarantees 10,427 440 34 9,989 416 34 Total multifamily $264,886 $3,750 $262,156 $3,749 Other guarantees measured at fair value 31,599 659 30 24,965 253 30 Fannie Mae securities backing Freddie Mac resecuritization products 39,549 — 30 27,408 — 30 (1) The maximum exposure represents the contractual amounts that could be lost if counterparties or borrowers defaulted, without consideration of possible recoveries under credit enhancements. For other guarantees measured at fair value, this amount represents the notional value if it relates to our market value guarantees or guarantees of third-party derivative instruments or the UPB if it relates to a guarantee of a mortgage-related asset. For certain of our other guarantees measured at fair value, our exposure may be unlimited and, as a result, the notional value is included. We generally reduce our exposure to these guarantees with unlimited exposure through separate contracts with third parties. (2) For securitization activity guarantees and other mortgage-related guarantees, this amount represents the guarantee obligation on our condensed consolidated balance sheets and excludes our allowance for credit losses on off-balance sheet credit exposures. For other guarantees measured at fair value, this amount represents the fair value of the contract. The table below shows the payment status of the mortgage loans underlying our guarantees that are not measured at fair value. Table 5.2 – UPB of Loans Underlying Our Guarantees by Payment Status March 31, 2020 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure Total Single-family $35,362 $1,985 $660 $861 $38,868 Multifamily 304,903 9 12 254 305,178 Total $340,265 $1,994 $672 $1,115 $344,046 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, primarily related to our multifamily business, including certain purchase commitments that are not accounted for as derivative instruments, unfunded lending arrangements, and other commitments. These agreements may require us to transfer cash before or upon settlement of our contractual obligation. The total notional value of these other off-balance sheet credit exposures was $20.3 billion and $17.1 billion at March 31, 2020 and December 31, 2019, respectively. Allowance for Credit Losses on Off-Balance Sheet Credit Exposures Upon adoption of CECL on January 1, 2020, we began recognizing an allowance for credit losses on off-balance sheet credit exposures for our guarantees that are not measured at fair value and other off-balance sheet arrangements based on expected credit losses over the contractual period in which we are exposed to credit risk via a present contractual obligation to extend credit, unless that obligation is unconditionally cancellable by us. We include this allowance for credit losses on off-balance sheet credit exposures within other liabilities on our condensed consolidated balance sheets, with changes recognized through benefit (provision) for credit losses on our condensed consolidated statements of comprehensive income (loss). Our methodologies for estimating the allowance for credit losses on off-balance sheet credit exposures for our single-family and multifamily guarantees are generally consistent with our methodologies for estimating the allowance for credit losses for single-family mortgage loans and multifamily mortgage loans, respectively. Many of our guarantees have credit enhancement provided by subordination that exceeds the amount of expected credit losses. See Note 4 for additional information on our allowance for credit losses methodologies and Note 6 for additional information on our guarantee credit enhancements. We have not recorded an allowance for credit losses on our guarantees of Fannie Mae securities due to the support provided to Fannie Mae by the U.S. government, the importance of Fannie Mae to the liquidity and stability of the U.S. housing market, and the long history of zero credit losses on Fannie Mae securities. The allowance for credit losses on off-balance sheet credit exposures was $108 million and $51 million as of March 31, 2020 and December 31, 2019, respectively. |
Credit Enhancements
Credit Enhancements | 3 Months Ended |
Mar. 31, 2020 | |
Credit Enhancements [Abstract] | |
CREDIT ENHANCEMENTS | Credit Enhancements We obtain various forms of credit enhancements that reduce our exposure to credit losses. These credit enhancements may be associated with mortgage loans or guarantees recognized on our condensed consolidated balance sheets or embedded in debt recognized on our condensed consolidated balance sheets. Our adoption of CECL on January 1, 2020 did not result in significant changes to our accounting policies for credit enhancements. Upon adoption of CECL, we continue to consider expected recoveries from attached credit enhancements in measuring the allowance for credit losses, resulting in a reduction in the recognized provision for credit losses by the amount of the expected recoveries. We also continue to recognize expected recoveries from freestanding credit enhancements separately in other assets on our condensed consolidated balance sheets, with an offsetting reduction to credit enhancement (expense) benefit, net, at the same time that we recognize an allowance for credit losses on the covered loans, measured on the same basis as the allowance for credit losses on the covered loans. See Note 6 in our 2019 Annual Report for additional information on our significant accounting policies for credit enhancements. Adoption of CECL resulted in an increase of $0.3 billion in our expected recovery receivable balance as the amount of expected recoveries from freestanding credit enhancements increased in conjunction with the increase in expected losses on the covered mortgage loans. Upon adoption of CECL, we measure credit losses on our expected recovery receivables based on our estimate of current expected credit losses over the contractual term of the contract. For information about counterparty credit risk associated with mortgage insurers and other credit enhancement providers, see Note 14 . Credit Enhancement (Expense) Benefit, Net Credit enhancement (expense) benefit, net primarily relates to freestanding credit enhancements. We do not typically recognize separate expenses for attached credit enhancements, as attached credit enhancements are accounted for on a net basis with the underlying financial instruments. The expenses associated with debt with embedded credit enhancements are generally recorded in interest expense. Refer to Note 8 for additional information on debt with embedded credit enhancements. The table below presents the components of credit enhancement (expense) benefit, net. Table 6.1 - Components of Credit Enhancement (Expense) Benefit, Net (In millions) 1Q 2020 1Q 2019 Premiums, amortization, and transaction costs ($231 ) ($162 ) Expected recoveries 467 4 Credit enhancement (expense) benefit, net $236 ($158 ) Single-Family Credit Enhancements The table below presents the total current and protected UPB and maximum amounts of potential loss recovery related to our single-family credit enhancements. Table 6.2 - Single-Family Credit Enhancements March 31, 2020 December 31, 2019 (In millions) Credit Enhancement Accounting Treatment Total Current and Protected UPB (1) Maximum Coverage Total Current and Protected UPB (1) Maximum Coverage Primary mortgage insurance Attached $427,467 $109,003 $421,870 $107,690 STACR: (2) Trust notes Freestanding 395,689 12,802 288,323 9,739 Debt notes Debt 510,742 14,532 536,036 15,373 Insurance/reinsurance (3) Freestanding 907,873 10,442 863,149 10,157 Subordination: Non-consolidated VIEs (4) Attached 26,479 4,708 25,443 4,545 Consolidated VIEs (5) Debt 17,884 792 19,498 854 Lender risk-sharing Freestanding 29,222 5,923 24,078 5,657 Other Primarily attached 879 874 1,056 1,051 Total single-family credit enhancements $159,076 $155,066 (1) Underlying loans may be covered by more than one form of credit enhancement. (2) Total current and protected UPB represents the UPB of the assets included in the reference pool. Maximum coverage amount represents the outstanding balance held by third parties. (3) As of March 31, 2020 and December 31, 2019, substantially all of our counterparties posted sufficient collateral on our ACIS transactions to meet the minimum collateral requirements of the ACIS program. Minimum collateral requirements are assessed on each deal based on a combination of factors, including counterparty credit risk of the reinsurer, as well as the structure and risk profile of the transaction. Other insurance/reinsurance transactions have similar collateral requirements. (4) Total current and protected UPB includes the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities, and the UPB of guarantor advances made to the holders of the guaranteed securities. Maximum coverage represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties. (5) Total current and protected UPB represents the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities. Maximum coverage amount represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties. Multifamily Credit Enhancements The table below presents the total current and protected UPB and maximum amounts of potential loss recovery related to our multifamily credit enhancements. Table 6.3 - Multifamily Credit Enhancements March 31, 2020 December 31, 2019 (In millions) Credit Enhancement Accounting Treatment Total Current and Protected UPB (1) Maximum Coverage Total Current and Protected UPB (1) Maximum Coverage Subordination: Non-consolidated VIEs (2) Attached $253,565 $40,527 $251,008 $40,262 Consolidated VIEs (3) Debt 1,800 200 1,800 200 Lender risk-sharing (4) Freestanding 2,295 380 2,529 381 Insurance/reinsurance (5) Freestanding 2,764 127 2,769 127 SCR debt notes (6) Debt 2,431 122 2,470 123 Other (4) Attached 454 454 467 467 Total multifamily credit enhancements $41,810 $41,560 (1) Underlying loans may be covered by more than one form of credit enhancement. (2) Total current and protected UPB includes the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities, and the UPB of guarantor advances made to the holders of the guaranteed securities. Maximum coverage represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties. (3) Total current and protected UPB represents the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities. Maximum coverage amount represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties. (4) Maximum coverage represents the remaining amount of loss recovery that is available subject to the terms of counterparty agreements. (5) As of March 31, 2020 and December 31, 2019, the counterparties to our insurance/reinsurance transactions have complied with the minimum collateral requirements. Minimum collateral requirements are assessed on each deal based on a combination of factors, including counterparty credit risk of the reinsurer, as well as the structure and risk profile of the transaction. (6) Total current and protected UPB represents the UPB of the assets included in the reference pool. Maximum coverage amount represents the outstanding balance of the SCR notes held by third parties. |
Investment Securities
Investment Securities | 3 Months Ended |
Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
INVESTMENTS IN SECURITIES | Investment Securities The table below summarizes the fair values of our investments in debt securities by classification. Table 7.1 - Investment Securities (In millions) March 31, 2020 December 31, 2019 Trading securities $53,851 $49,537 Available-for-sale securities 25,338 26,174 Total fair value of investment securities $79,189 $75,711 As of March 31, 2020 and December 31, 2019, we did not classify any securities as held-to-maturity, although we may elect to do so in the future. Allowance for Credit Losses On January 1, 2020, we adopted CECL, which changes the accounting for credit losses on available-for-sale debt securities from the other-than-temporary impairment methodology to a new methodology that uses an allowance for credit losses. We evaluate available-for-sale securities in an unrealized loss position as of the end of each quarter to determine whether the decline in value is from a credit loss or other factors. An unrealized loss exists when the fair value of an individual lot is less than its amortized cost basis. When qualitative factors indicate that a credit loss may exist, we compare the present value of cash flows expected to be collected from the security with the amortized cost basis of the security. We recognize an allowance for credit losses measured as the difference between the present value of expected cash flows and the amortized cost basis of the security, limited by the amount that the security’s fair value is less than its amortized cost basis. The present value of cash flows expected to be collected represents our best estimate of future contractual cash flows that we expect to collect, discounted at the security's implicit effective interest rate. If we intend to sell the security or we believe it is more likely than not we will be required to sell the security before recovery of its amortized cost basis, we charge-off any allowance for credit losses by writing down the security’s amortized basis to its fair value. Subsequently, increases in fair value are recognized through AOCI. However, if there are significant increases in the cash flows expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, we recognize those changes as a prospective adjustment to the yield of the security. The evaluation of whether unrealized losses on available-for-sale securities indicate a credit loss exists requires significant management judgment and assumptions and consideration of numerous factors. We perform an evaluation on a security lot basis considering all available information. The relative importance of this information varies based on the facts and circumstances surrounding each security, as well as the economic environment at the time of assessment. We present accrued interest receivable separately on our condensed consolidated balance sheets and accrued interest receivable is excluded for the purposes of disclosure of the amortized cost basis of available-for-sale securities. When collection of interest in full is not reasonably assured, we charge-off outstanding accrued interest receivable through interest income on our condensed consolidated statements of comprehensive income (loss) and therefore do not recognize an allowance for credit losses on accrued interest receivable. As of March 31, 2020 no accrued interest receivable was charged-off. Agency MBS Substantially all of our available-for-sale securities are agency MBS issued by us, Fannie Mae, or Ginnie Mae. The principal and interest on these securities are guaranteed by the issuing agency. We believe that the guarantee provided by the issuing agency, the support provided to the agencies by the U.S. government, the importance of the agencies to the liquidity and stability of the U.S. housing market, and the long history of zero credit losses on agency MBS are all indicators that credit losses on these securities do not exist, even if the security is in an unrealized loss position. In addition, we generally hold these securities that are in an unrealized loss position to recovery. As a result, unless we intend to sell the security, we do not recognize an allowance for credit losses on agency MBS. Non-Agency Residential MBS We believe the unrealized losses on the non-agency RMBS we hold are mainly attributable to poor underlying collateral performance, limited liquidity, and risk premiums. In evaluating securities for credit losses, we use management judgment and historical information in considering the credit performance of the underlying collateral and incorporate assumptions about the economic environment. As of March 31, 2020, substantially all of our non-agency residential MBS were in an unrealized gain position. As a result, we have not recognized an allowance for credit losses on these securities. Trading Securities The table below presents the estimated 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 7.2 - Trading Securities (In millions) March 31, 2020 December 31, 2019 Mortgage-related securities: Agency $21,076 $22,481 Non-agency 1 1 Total mortgage-related securities 21,077 22,482 Non-mortgage-related securities 32,774 27,055 Total fair value of trading securities $53,851 $49,537 For trading securities held at March 31, 2020 and 2019, we recorded net unrealized gains (losses) of $723 million and $97 million during 1Q 2020 and 1Q 2019, respectively. Available-for-Sale Securities At both March 31, 2020 and December 31, 2019, all available-for-sale securities were mortgage-related securities. The tables below provide details of the securities classified as available-for-sale on our condensed consolidated balance sheets. Table 7.3 - Available-for-Sale Securities March 31, 2020 Amortized Basis Allowance for Credit Losses Gross Gross Fair Accrued Interest Receivable (In millions) Available-for-sale securities: Agency $23,054 $— $1,209 ($27 ) $24,236 $62 Non-agency and other 949 — 154 (1 ) 1,102 2 Total available-for-sale securities $24,003 $— $1,363 ($28 ) $25,338 $64 December 31, 2019 Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value (In millions) Other-Than-Temporary Impairment (1) Temporary Impairment (2) Available-for-sale securities: Agency $24,390 $571 $— ($74 ) $24,887 Non-agency and other 1,004 283 — — 1,287 Total available-for-sale securities $25,394 $854 $— ($74 ) $26,174 (1) Represents the gross unrealized losses for securities for which we have previously recognized other-than-temporary impairment in earnings. (2) Represents the gross unrealized losses for securities for which we have not previously recognized other-than-temporary impairment in earnings. The fair value of our available-for-sale securities held at March 31, 2020 scheduled to contractually mature after ten years was $20.7 billion , with an additional $4.2 billion scheduled to contractually mature after five years through ten years. Available-for-Sale Securities in a Gross Unrealized Loss Position The tables below present 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 7.4 - Available-for-Sale Securities in a Gross Unrealized Loss Position March 31, 2020 Less than 12 Months 12 Months or Greater (In millions) Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Available-for-sale securities: Agency $1,190 ($10 ) $893 ($17 ) Non-agency and other 60 (1 ) — — Total available-for-sale securities in a gross unrealized loss position $1,250 ($11 ) $893 ($17 ) December 31, 2019 Less than 12 Months 12 Months or Greater (In millions) Fair Gross Unrealized Losses Fair Gross Unrealized Losses Available-for-sale securities: Agency $5,778 ($27 ) $2,934 ($47 ) Non-agency and other 1 — — — Total available-for-sale securities in a gross unrealized loss position $5,779 ($27 ) $2,934 ($47 ) At March 31, 2020, the gross unrealized losses relate to 99 separate securities. Realized Gains and Losses on Sales of Available-for-Sale Securities The table below summarizes the gross realized gains and gross realized losses from the sale of available-for-sale securities. Table 7.5 - Gross Realized Gains and Gross Realized Losses from Sales of Available-for-Sale Securities (In millions) 1Q 2020 1Q 2019 Gross realized gains $33 $63 Gross realized losses (23 ) (29 ) Net realized gains (losses) $10 $34 Non-Cash Investing and Financing Activities During 1Q 2020, we recognized $3.5 billion of investment securities in exchange for the issuance of debt securities of consolidated trusts through partial sales of commingled single-class securities that were previously consolidated. During 1Q 2020, certain counterparties in our securities purchased under agreements to resell defaulted under the terms of the governing legal agreements by failing to meet margin requirements. This resulted in an increase in investment securities and a decrease in securities purchased under agreements to resell of $0.2 billion |
Debt
Debt | 3 Months Ended |
Mar. 31, 2020 | |
Debt Disclosure [Abstract] | |
DEBT SECURITIES AND SUBORDINATED BORROWINGS | Debt The table below summarizes the balances of total debt per our condensed consolidated balance sheets and the interest expense per our condensed consolidated statements of comprehensive income (loss). Table 8.1 - Total Debt Balance, Net Interest Expense (In millions) March 31, 2020 December 31, 2019 1Q 2020 1Q 2019 Debt securities of consolidated trusts held by third parties $1,930,005 $1,898,355 $13,447 $13,981 Other debt: Short-term debt 97,995 101,034 430 436 Long-term debt 188,135 170,296 930 1,416 Total other debt 286,130 271,330 1,360 1,852 Total debt $2,216,135 $2,169,685 $14,807 $15,833 As of March 31, 2020, our aggregate indebtedness was $288.2 billion , which was below the $300.0 billion debt cap limit imposed by the Purchase Agreement. Our aggregate indebtedness calculation primarily includes the par value of other short- and long-term debt. Debt Securities of Consolidated Trusts Held by Third Parties The table below summarizes the debt securities of consolidated trusts held by third parties based on underlying loan product type. Table 8.2 - Debt Securities of Consolidated Trusts Held by Third Parties March 31, 2020 December 31, 2019 (Dollars in millions) Contractual Maturity UPB Carrying Amount (1) Weighted Average Coupon (2) Contractual Maturity UPB Carrying Amount (1) Weighted Average Coupon (2) Single-family: 30-year or more, fixed-rate 2020 - 2057 $1,546,487 $1,584,748 3.59 % 2020 - 2057 $1,516,550 $1,554,095 3.63 % 20-year fixed-rate 2020 - 2040 72,200 73,870 3.32 2020 - 2040 70,901 72,558 3.37 15-year fixed-rate 2020 - 2035 226,582 230,206 2.85 2020 - 2035 225,501 229,133 2.87 Adjustable-rate 2020 - 2050 27,902 28,424 3.21 2020 - 2050 30,183 30,756 3.25 Interest-only 2026 - 2041 3,946 4,003 4.34 2026 - 2041 4,244 4,307 4.55 FHA/VA 2020 - 2050 662 677 4.54 2020 - 2049 633 647 4.68 Total single-family 1,877,779 1,921,928 1,848,012 1,891,496 Multifamily 2021-2050 7,992 8,077 3.10 2021 - 2049 6,790 6,859 3.29 Total debt of consolidated trusts held by third parties $1,885,771 $1,930,005 $1,854,802 $1,898,355 (1) Includes $205 million and $209 million at March 31, 2020 and December 31, 2019, respectively, of debt securities of consolidated trusts that represents the fair value of debt with the fair value option elected. (2) The effective interest rate for debt securities of consolidated trusts held by third parties was 2.78% and 2.79% as of March 31, 2020 and December 31, 2019, respectively. Other Debt Table 8.3 - Total Other Debt March 31, 2020 December 31, 2019 (Dollars in millions) Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Other short-term debt: Discount notes and Reference Bills $57,822 $57,685 1.33 % $60,830 $60,629 1.67 % Medium-term notes 40,313 40,310 2.07 40,407 40,405 2.31 Securities sold under agreements to repurchase (3) 14,305 14,305 0.16 9,843 9,843 1.46 Total other short-term debt 112,440 112,300 1.45 111,080 110,877 1.89 Other long-term debt: Original maturities on or before December 31, 2020 32,507 32,505 1.81 45,133 45,127 1.76 2021 45,202 45,198 1.23 30,069 30,072 1.89 2022 25,236 25,219 1.94 23,185 23,166 2.20 2023 17,680 17,661 1.98 13,413 13,393 2.22 2024 22,975 22,938 2.13 26,966 26,924 2.22 Thereafter 31,564 29,270 3.49 17,615 15,294 5.13 STACR and SCR debt (4) 14,654 14,271 5.66 15,496 15,652 5.64 Hedging-related basis adjustments N/A 1,073 N/A 668 Total other long-term debt 189,818 188,135 2.30 171,877 170,296 2.61 Total other debt (5) $302,258 $300,435 $282,957 $281,173 (1) Represents par value, net of associated discounts or premiums and issuance cost. Includes $3.0 billion and $3.7 billion at March 31, 2020 and December 31, 2019, respectively, of other long-term debt that represents the fair value of debt with the fair value option elected. (2) Based on carrying amount. (3) Beginning January 1, 2020, we elected to 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. (4) Contractual maturities of these debts 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. (5) Carrying amount for other debt includes callable debt of $84.8 billion and $95.1 billion at March 31, 2020 and December 31, 2019, respectively. |
Derivatives
Derivatives | 3 Months Ended |
Mar. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVES | Derivatives Use of Derivatives We use derivatives primarily to hedge interest-rate sensitivity mismatches between our financial assets and liabilities. We analyze the interest-rate sensitivity of financial assets and liabilities on a daily basis across a variety of interest-rate scenarios based on market prices, models, and economics. When we use derivatives to mitigate our exposures, we consider a number of factors, including cost, exposure to counterparty risk, and our overall risk management strategy. We classify derivatives into three categories: n Exchange-traded derivatives; n Cleared derivatives; and n OTC derivatives. Exchange-traded derivatives include standardized interest-rate futures contracts and options on futures contracts. Cleared derivatives refer to those interest-rate swaps that the U.S. Commodity Futures Trading Commission has determined are subject to the central clearing requirement of the Dodd-Frank Act. OTC derivatives refer to those derivatives that are neither exchange-traded derivatives nor cleared derivatives. Types of Derivatives We principally use the following types of derivatives: n LIBOR- and SOFR-based interest-rate swaps; n LIBOR- and Treasury-based purchased options (including swaptions); and n LIBOR-, Treasury-, and SOFR-based exchange-traded futures. We also purchase swaptions on credit indices in order to obtain protection against adverse movements in multifamily spreads which may affect the profitability of our K Certificate or SB Certificate transactions. In addition to swaps, futures, and purchased options, our derivative positions include written options and swaptions, and commitments. Hedge Accounting 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 (i.e., LIBOR), using LIBOR-based interest-rate swaps. If a hedge relationship qualifies for fair value hedge accounting, all changes in fair value of the derivative hedging instrument, including interest accruals, are recognized in the same condensed consolidated statements of comprehensive income (loss) line item used to present the earnings effect of the hedged item. Therefore, changes in the fair value of the hedged item, mortgage loans and debt, attributable to the risk being hedged are recognized in interest income - mortgage loans and interest expense, respectively, along with the changes in the fair value of the respective derivative hedging instruments. 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 9.1 - Derivative Assets and Liabilities at Fair Value March 31, 2020 December 31, 2019 Notional or Contractual Amount Derivatives at Fair Value Notional or Contractual Amount Derivatives at Fair Value (In millions) Assets Liabilities Assets Liabilities Not designated as hedges Interest-rate swaps: Receive-fixed $267,283 $3,166 ($3 ) $230,926 $1,990 ($6 ) Pay-fixed 329,418 — (8,104 ) 251,392 10 (4,162 ) Basis (floating to floating) 5,924 3 — 5,924 — — Total interest-rate swaps 602,625 3,169 (8,107 ) 488,242 2,000 (4,168 ) Option-based: Call swaptions Purchased 81,025 7,586 — 75,325 2,717 — Written 5,275 — (492 ) 3,375 — (42 ) Put swaptions Purchased (1) 82,265 637 — 67,155 835 — Written 8,100 — (44 ) 7,275 — (88 ) Options on futures 206,250 55 — — — — Other option-based derivatives (2) 10,301 815 — 10,334 646 — Total option-based 393,216 9,093 (536 ) 163,464 4,198 (130 ) Futures 117,881 — — 210,305 — — Commitments 189,656 1,142 (1,898 ) 93,960 61 (126 ) CRT-related derivatives 16,360 62 (106 ) 12,362 15 (116 ) Other 7,851 1 (18 ) 5,984 1 (28 ) Total derivatives not designated as hedges 1,327,589 13,467 (10,665 ) 974,317 6,275 (4,568 ) Designated as fair value hedges Interest-rate swaps: Receive-fixed 92,089 353 (2 ) 104,459 104 (75 ) Pay-fixed 45,013 — (909 ) 87,907 — (639 ) Total derivatives designated as fair value hedges 137,102 353 (911 ) 192,366 104 (714 ) Derivative interest and other receivable (payable) (3) 1,192 (829 ) 887 (724 ) Netting adjustments (4) (12,197 ) 10,179 (6,422 ) 5,634 Total derivative portfolio, net $1,464,691 $2,815 ($2,226 ) $1,166,683 $844 ($372 ) (1) Includes swaptions on credit indices with a notional or contractual amount of $5.6 billion and $11.4 billion at March 31, 2020 and December 31, 2019 , respectively, and a fair value of $116.0 million and $3.0 million at March 31, 2020 and December 31, 2019 , respectively. (2) Primarily consists of purchased interest-rate caps and floors. (3) Includes other derivative receivables and payables. (4) Represents counterparty netting and cash collateral netting. See Note 10 for information related to our derivative counterparties and collateral held and posted. Gains and Losses on Derivatives The table below presents the gains and losses on derivatives, including the accrual of periodic cash settlements, while not designated in qualifying hedge relationships and reported on our condensed consolidated statements of comprehensive income (loss) as investment gain (losses), net. Table 9.2 - Gains and Losses on Derivatives (In millions) 1Q 2020 1Q 2019 Not designated as hedges Interest-rate swaps: Receive-fixed $13,895 $1,837 Pay-fixed (18,741 ) (2,888 ) Basis (floating to floating) (17 ) 4 Total interest-rate swaps (4,863 ) (1,047 ) Option-based: Call swaptions Purchased 4,907 454 Written (430 ) (56 ) Put swaptions Purchased (527 ) (626 ) Written 110 16 Options on futures (7 ) — Other option-based derivatives (1) 169 25 Total option-based 4,222 (187 ) Other: Futures (2,328 ) (242 ) Commitments (726 ) (96 ) CRT-related derivatives 78 (1 ) Other 31 21 Total other (2,945 ) (318 ) Accrual of periodic cash settlements: Receive-fixed interest-rate swaps 235 (51 ) Pay-fixed interest-rate swaps (472 ) (36 ) Other (2) 61 33 Total accrual of periodic cash settlements (176 ) (54 ) Total ($3,762 ) ($1,606 ) (1) Primarily consists of purchased interest-rate caps and floors. (2) Includes interest on variation margin on cleared interest-rate swaps. Fair Value Hedges The table below presents the effects of fair value hedge accounting by condensed consolidated statements of comprehensive income (loss) line, 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 9.3 - Gains and Losses on Fair Value Hedges 1Q 2020 1Q 2019 (In millions) Interest Income - Mortgage Loans Interest Expense Interest Income - Mortgage Loans Interest Expense Total amounts of income and expense line items presented in our condensed consolidated statements of comprehensive income in which the effects of fair value hedges are recorded: $16,632 ($14,807 ) $17,946 ($15,833 ) Interest contracts on mortgage loans held-for-investment: Gain (loss) on fair value hedging relationships: Hedged items 4,893 — 1,542 — Derivatives designated as hedging instruments (5,080 ) — (1,243 ) — Interest accruals on hedging instruments (63 ) — 38 — Discontinued hedge-related basis adjustments amortization (253 ) — 28 — Interest contracts on debt: Gain (loss) on fair value hedging relationships: Hedged items — (505 ) — (505 ) Derivatives designated as hedging instruments — 554 — 546 Interest accruals on hedging instruments — 100 — (125 ) Discontinued hedge-related basis adjustments amortization — 20 — 9 Cumulative Basis Adjustments Due to Fair Value Hedging The tables below present the hedged item cumulative basis adjustments due to qualifying fair value hedging and the related hedged item carrying amounts by their respective balance sheet line item. Table 9.4 - Cumulative Basis Adjustments Due to Fair Value Hedging March 31, 2020 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount Closed Portfolio Under the Last-of-Layer Method (In millions) Total Under the Last-of-Layer Method Discontinued - Hedge Related Total Amount by Amortized Cost Basis Designated Amount by UPB Mortgage loans held-for-investment $410,074 $7,526 $989 $6,537 $183,244 $19,503 Debt (113,669 ) (1,073 ) — (89 ) — — December 31, 2019 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount Closed Portfolio Under the Last-of-Layer Method (In millions) Total Under the Last-of-Layer Method Discontinued - Hedge Related Total Amount by Amortized Cost Basis Designated Amount by UPB Mortgage loans held-for-investment $470,889 $2,886 ($943 ) $3,829 $273,346 $22,747 Debt (122,746 ) (668 ) — (93 ) — — |
Collateral and Offsetting of As
Collateral and Offsetting of Assets and Liabilities | 3 Months Ended |
Mar. 31, 2020 | |
Offsetting [Abstract] | |
COLLATERAL AND OFFSETTING OF ASSETS AND LIABILITIES | Collateralized Agreements and Offsetting Arrangements Derivative Portfolio Our use of cleared derivatives, exchange-traded derivatives, and OTC derivatives exposes us to counterparty credit risk. Our use of interest-rate swaps and option-based derivatives is subject to internal credit and legal reviews. On an ongoing basis, we review the credit fundamentals of all of our derivative counterparties, clearinghouses, and clearing members to confirm that they continue to meet our internal risk management standards. Over-the-Counter Derivatives We use master netting and collateral agreements to reduce our credit risk exposure to our OTC derivative counterparties. In the event that all of our counterparties for OTC derivatives were to default simultaneously on March 31, 2020 , our maximum loss for accounting purposes after applying netting agreements and collateral on an individual counterparty basis would have been approximately $80 million . Cleared and Exchange-Traded Derivatives The majority of our interest-rate swaps are subject to the central clearing requirement of the Dodd-Frank Act. A reduction in our credit ratings could cause the clearinghouses or clearing members we use for our cleared and exchange-traded derivatives to demand additional collateral. Other Derivatives We also execute forward purchase and sale commitments of loans and mortgage-related securities, including dollar roll transactions, that are treated as derivatives for accounting purposes. The total net exposure on our forward purchase and sale commitments, which are treated as derivatives, was $1,142 million and $61 million at March 31, 2020 and December 31, 2019 , respectively. Many of our transactions involving forward purchase and sale commitments of mortgage-related securities utilize the Mortgage Backed Securities Division of the Fixed Income Clearing Corporation ("MBSD/FICC") as a clearinghouse. As a clearing member of the clearinghouse, we post margin to the MBSD/FICC and are exposed to the counterparty credit risk of the organization (including its clearing members). Securities Purchased Under Agreements to Resell As an investor, we enter into arrangements to purchase securities under agreements to subsequently resell the identical or substantially the same securities to our counterparty. Our counterparties to these transactions are required to pledge the purchased securities as collateral for their obligation to repurchase those securities at a later date. While such transactions involve the legal transfer of securities, they are accounted for as secured financings because the transferor does not relinquish effective control over the securities transferred. These agreements may allow us to repledge all or a portion of the collateral pledged to us, and we may repledge such collateral periodically, although it is not typically our practice to repledge collateral that has been pledged to us. We consider the types of securities being pledged to us as collateral when determining how much we lend in transactions involving securities purchased under agreements to resell. Additionally, we regularly review the market values of these securities compared to amounts loaned in an effort to manage our exposure to losses, and our counterparties are typically required under contract to adjust the amount of collateral based on changes in the fair value of the collateral. As of March 31, 2020 and December 31, 2019, all of our securities purchased under agreements to resell were fully collateralized and we expect our counterparties to continue to replenish the collateral as necessary to meet the requirements of the contract. Therefore, as of March 31, 2020, we did not recognize an allowance for credit losses on our securities purchased under agreements to resell nor have we recognized any charge-offs of accrued interest receivable. We present accrued interest receivable separately on our condensed consolidated balance sheets. As of March 31, 2020 and December 31, 2019, we recognized accrued interest receivable for securities purchased under agreements to resell of $12 million and $18 million , respectively. During 1Q 2020, certain of our counterparties engaging in securities purchased under agreements to resell on Freddie Mac securities defaulted under the terms of the governing legal agreements by failing to meet margin requirements. The transactions were terminated in accordance with the terms of the agreements and we recognized the collateral at fair value, which was in excess of the outstanding balance of the counterparties' obligations. We did not recognize a financial loss as a result of these defaults. Securities Sold Under Agreements to Repurchase Securities sold under agreements to repurchase are effectively collateralized borrowings where we sell securities with an agreement to repurchase such securities at a future date. We are required to pledge the sold securities to the counterparties to these transactions as collateral for our repurchase obligation. Similar to the securities purchased under agreements to resell transactions, these transactions involve the legal transfer of securities. However, they are accounted for as secured financings because they require the identical or substantially the same securities to be subsequently repurchased. These agreements may allow our counterparties to repledge all or a portion of the collateral. Offsetting of Financial Assets and Liabilities At March 31, 2020 and December 31, 2019 , all amounts of cash collateral related to derivatives with master netting and collateral agreements were offset against derivative assets, net or derivative liabilities, net, as applicable. Beginning January 1, 2020, we elected to offset payables related to securities sold under agreements to repurchase against receivables related to securities purchased under agreements to resell when such amounts meet the conditions for balance sheet offsetting. Certain amounts in prior periods' condensed consolidated financial statements have been reclassified to conform to the current presentation. This change resulted in a reduction in debt of $9.8 billion and a corresponding reduction in securities purchased under agreements to resell on our consolidated balance sheets as of December 31, 2019 . The tables below display 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 10.1 - Offsetting and Collateral Information of Financial Assets and Liabilities March 31, 2020 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $13,294 ($7,919 ) ($4,422 ) $953 ($873 ) $80 Cleared and exchange-traded derivatives 513 — 144 657 — 657 Commitments 1,142 — — 1,142 — 1,142 Other 63 — — 63 — 63 Total derivatives 15,012 (7,919 ) (4,278 ) 2,815 (873 ) 1,942 Securities purchased under agreements to resell 60,273 (14,305 ) — 45,968 (45,968 ) — Total $75,285 ($22,224 ) ($4,278 ) $48,783 ($46,841 ) $1,942 Liabilities: Derivatives: OTC derivatives ($10,383 ) $7,919 $2,260 ($204 ) $— ($204 ) Cleared and exchange-traded derivatives — — — — — — Commitments (1,898 ) — — (1,898 ) — (1,898 ) Other (124 ) — — (124 ) — (124 ) Total derivatives (12,405 ) 7,919 2,260 (2,226 ) — (2,226 ) Securities sold under agreements to repurchase (14,305 ) 14,305 — — — — Total ($26,710 ) $22,224 $2,260 ($2,226 ) $— ($2,226 ) Referenced footnotes are included after the next table. December 31, 2019 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $7,045 ($4,465 ) ($2,075 ) $505 ($485 ) $20 Cleared and exchange-traded derivatives 144 (5 ) 123 262 — 262 Commitments 61 — — 61 — 61 Other 16 — — 16 — 16 Total derivatives 7,266 (4,470 ) (1,952 ) 844 (485 ) 359 Securities purchased under agreements to resell 66,114 (9,843 ) — 56,271 (56,271 ) — Total $73,380 ($14,313 ) ($1,952 ) $57,115 ($56,756 ) $359 Liabilities: Derivatives: OTC derivatives ($5,731 ) $4,465 $1,164 ($102 ) $— ($102 ) Cleared and exchange-traded derivatives (5 ) 5 — — — — Commitments (126 ) — — (126 ) — (126 ) Other (144 ) — — (144 ) — (144 ) Total derivatives (6,006 ) 4,470 1,164 (372 ) — (372 ) Securities sold under agreements to repurchase (9,843 ) 9,843 — — — — Total ($15,849 ) $14,313 $1,164 ($372 ) $— ($372 ) (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 cleared and exchange-traded derivatives, does not include non-cash collateral posted by us as initial margin with an aggregate fair value of $4.4 billion and $3.5 billion as of March 31, 2020 and December 31, 2019 , respectively. For commitments and securities purchased under agreements to resell, does not include cash and non-cash collateral deposited totaling $1.2 billion and $0.6 billion , respectively, as of March 31, 2020, and $0.2 billion and $0.3 billion , respectively, as of December 31, 2019. We primarily execute securities purchased under agreements to resell transactions with central clearing organizations where we have the right to repledge the collateral that has been pledged to us, either with the central clearing organization or with other counterparties. At March 31, 2020 , and December 31, 2019 , we had $53.3 billion and $52.4 billion , respectively, of securities pledged to us in these transactions. In addition, at March 31, 2020 and December 31, 2019 , we had $1.0 billion and $2.4 billion Collateral Pledged Collateral Pledged to Freddie Mac We have cash pledged to us as collateral primarily related to OTC derivative transactions. We had $6.4 billion and $2.6 billion pledged to us as collateral that was invested as part of our liquidity and contingency operating portfolio as of March 31, 2020 and December 31, 2019, respectively. Collateral Pledged by Freddie Mac The tables below summarize the fair value of the securities pledged as collateral by us for derivatives and collateralized borrowing transactions, including securities that the secured party may repledge. Table 10.2 - Collateral in the Form of Securities Pledged March 31, 2020 (In millions) Derivatives Securities Sold Under Agreements to Repurchase Other (2) Total Debt securities of consolidated trusts (1) $977 $— $220 $1,197 Available-for-sale securities — — 7 7 Trading securities 3,435 13,912 371 17,718 Total securities pledged $4,412 $13,912 $598 $18,922 December 31, 2019 (In millions) Derivatives Securities Sold Under Agreements to Repurchase Other (2) Total Debt securities of consolidated trusts (1) $562 $— $280 $842 Trading securities 2,894 9,346 49 12,289 Total securities pledged $3,456 $9,346 $329 $13,131 (1) Represents debt securities of consolidated trusts held by us in our Capital Markets segment mortgage investments portfolio which are recorded as a reduction to debt securities of consolidated trusts held by third parties on our condensed consolidated balance sheets. (2) Includes other collateralized borrowings and collateral related to transactions with certain clearinghouses. The table below summarizes the underlying collateral pledged and the remaining contractual maturity of our gross obligations under securities sold under agreements to repurchase. Table 10.3 - Underlying Collateral Pledged March 31, 2020 (In millions) Overnight and Continuous 30 Days or Less After 30 Days Through 90 Days Greater Than 90 Days Total U.S. Treasury securities and other $4,957 $8,955 $— $— $13,912 Non-Cash Investing and Financing Activities During 1Q 2020, we recognized securities purchased under agreements to resell of $0.1 billion |
Stockholders' Equity and Earnin
Stockholders' Equity and Earnings per Share | 3 Months Ended |
Mar. 31, 2020 | |
Stockholders' Equity Note [Abstract] | |
STOCKHOLDERS' EQUITY (DEFICIT) | Stockholders' Equity and Earnings Per Share Accumulated Other Comprehensive Income The tables below present changes in AOCI after the effects of our federal statutory tax rate of 21% Table 11.1 - Changes in AOCI by Component, Net of Taxes 1Q 2020 (In millions) AOCI Related to Available- For-Sale Securities AOCI Related to Cash Flow Hedge Relationships AOCI Related to Defined Benefit Plans Total Beginning balance $618 ($244 ) $64 $438 Other comprehensive income before reclassifications 446 — 2 448 Amounts reclassified from accumulated other comprehensive income (8 ) 13 (4 ) 1 Changes in AOCI by component 438 13 (2 ) 449 Ending balance $1,056 ($231 ) $62 $887 1Q 2019 (In millions) AOCI Related to Available- For-Sale Securities AOCI Related to Cash Flow Hedge Relationships AOCI Related to Defined Benefit Plans Total Beginning balance $83 ($315 ) $97 ($135 ) Other comprehensive income before reclassifications 273 — (2 ) 271 Amounts reclassified from accumulated other comprehensive income (27 ) 18 (4 ) (13 ) Changes in AOCI by component 246 18 (6 ) 258 Ending balance $329 ($297 ) $91 $123 Reclassifications from AOCI to Net Income The table below presents reclassifications from AOCI to net income, including the affected line items in our condensed consolidated statements of comprehensive income (loss). Table 11.2 - Reclassifications from AOCI to Net Income (In millions) 1Q 2020 1Q 2019 AOCI related to available-for-sale securities Affected line items on the consolidated statements of comprehensive income: Investment gains (losses), net $10 $34 Income tax (expense) benefit (2 ) (7 ) Net of tax 8 27 AOCI related to cash flow hedge relationships Affected line items on the consolidated statements of comprehensive income: Interest expense (16 ) (23 ) Income tax (expense) benefit 3 5 Net of tax (13 ) (18 ) AOCI related to defined benefit plans Affected line items on the consolidated statements of comprehensive income: Salaries and employee benefits 5 5 Income tax (expense) benefit (1 ) (1 ) Net of tax 4 4 Total reclassifications in the period net of tax ($1 ) $13 Senior Preferred Stock Pursuant to the September 2019 Letter Agreement, for each dividend period from July 1, 2019 and thereafter, the applicable Capital Reserve Amount used in determining the dividend payable to Treasury will be $20.0 billion , rather than $3.0 billion as previously provided. As a result of this change, we did not have a dividend requirement to Treasury in March 2020, as our Net Worth Amount of $9.1 billion as of December 31, 2019 was lower than the $20.0 billion applicable Capital Reserve Amount. As of March 31, 2020 , our assets exceeded our liabilities under GAAP; therefore, no draw is being requested from Treasury under the Purchase Agreement. Based on our Net Worth Amount of $9.5 billion as of March 31, 2020 and the applicable Capital Reserve Amount of $20.0 billion , we will not have a dividend requirement to Treasury in June 2020. See Note 2 for additional information. Our cumulative senior preferred stock dividend payments remain at $119.7 billion as of March 31, 2020. The aggregate liquidation preference of the senior preferred stock owned by Treasury was $79.3 billion as of December 31, 2019. Pursuant to the September 2019 Letter Agreement, the liquidation preference of the senior preferred stock will be increased, at the end of each fiscal quarter, beginning on September 30, 2019, by an amount equal to the increase in the Net Worth Amount, if any, during the immediately prior fiscal quarter, until the liquidation preference has increased by $17.0 billion . During 4Q 2019, our Net Worth Amount increased by $2.4 billion . As a result, the liquidation preference of the senior preferred stock increased to $81.8 billion on March 31, 2020 , and will increase to $82.2 billion on June 30, 2020 based on the $0.4 billion The table below provides a summary of our senior preferred stock outstanding at March 31, 2020 . Table 11.3 - Senior Preferred Stock ( In millions , except initial liquidation preference price per share) Shares Authorized Shares Outstanding Total Par Value Initial Liquidation Preference Price per Share Total Liquidation Preference Non-draw Adjustment Dates: September 8, 2008 1.00 1.00 $1.00 $1,000 $1,000 December 31, 2017 — — — N/A 3,000 September 30, 2019 — — — N/A 1,826 December 31, 2019 — — — N/A 1,848 March 31, 2020 — — — N/A 2,448 Total non-draw adjustments 1.00 1.00 1.00 10,122 Draw Dates: November 24, 2008 — — — N/A 13,800 March 31, 2009 — — — N/A 30,800 June 30, 2009 — — — N/A 6,100 June 30, 2010 — — — N/A 10,600 September 30, 2010 — — — N/A 1,800 December 30, 2010 — — — N/A 100 March 31, 2011 — — — N/A 500 September 30, 2011 — — — N/A 1,479 December 30, 2011 — — — N/A 5,992 March 30, 2012 — — — N/A 146 June 29, 2012 — — — N/A 19 March 30, 2018 — — — N/A 312 Total draw adjustments — — — 71,648 Total senior preferred stock 1.00 1.00 $1.00 $81,770 Stock Issuances and Repurchases We did not repurchase or issue any of our common shares or non-cumulative preferred stock during 1Q 2020. Earnings Per Share We have participating securities related to RSUs with dividend equivalent rights that receive dividends as declared on an equal basis with common shares but are not obligated to participate in undistributed net losses. These participating securities consist of vested RSUs that earn dividend equivalents at the same rate when and as declared on common stock. Consequently, in accordance with accounting guidance, we use the "two-class" method of computing earnings per common share. The "two-class" method is an earnings allocation formula that determines earnings per share for common stock and participating securities based on dividends declared and participation rights in undistributed earnings. Basic earnings per common share is computed as net income attributable to common stockholders divided by the weighted average common shares outstanding for the period. The weighted average common shares outstanding for the period includes the weighted average number of shares that are associated with the warrant for our common stock issued to Treasury pursuant to the Purchase Agreement. These shares are included since the warrant is unconditionally exercisable by the holder at a minimal cost. Diluted earnings per common share is computed as net income attributable to common stockholders divided by the weighted average common shares outstanding during the period adjusted for the dilutive effect of common equivalent shares outstanding. For periods with net income attributable to common stockholders, the calculation includes the effect of the weighted-average of RSUs. During periods in which a net loss attributable to common stockholders has been incurred, potential common equivalent shares outstanding are not included in the calculation because it would have an antidilutive effect. Dividends and Dividend Restrictions No common dividends were declared during 1Q 2020. As a result of the increase in the applicable Capital Reserve Amount pursuant to the September 2019 Letter Agreement, we did not declare or pay a dividend on the senior preferred stock during 1Q 2020. We also did not declare or pay dividends on any other series of Freddie Mac preferred stock outstanding during 1Q 2020. Our payment of dividends on Freddie Mac common stock or any series of Freddie Mac preferred stock (other than senior preferred stock) is subject to certain restrictions as described in Note 11 in our 2019 Annual Report. |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2020 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | Income Taxes Income Tax Expense For 1Q 2020 and 1Q 2019, we reported income tax expense of $45 million and $358 million , respectively, resulting in effective tax rates of 20.6% and 20.3% , respectively. Our effective tax rates differed from the statutory tax rate of 21% in these periods primarily due to our recognition of low income housing tax credits and tax-exempt interest income. Deferred Tax Assets, Net We had net deferred tax assets of $4.6 billion and $5.9 billion as of March 31, 2020 and December 31, 2019 , respectively. At March 31, 2020 , our net deferred tax assets consisted primarily of basis differences related to derivative instruments and deferred fees. Based on all positive and negative evidence available at March 31, 2020 , we determined that it is more likely than not that our net deferred tax assets, except for a portion of the deferred tax asset related to our capital loss carryforward, will be realized. As of March 31, 2020 , we have a $37 million valuation allowance recorded against our capital loss carryforward deferred tax asset. Unrecognized Tax Benefits We evaluated all income tax positions and determined that there were no uncertain tax positions that required reserves as of March 31, 2020 . We are under IRS examination for tax years 2013 through 2016 related to the carryback of 2016 capital losses to the prior three years. |
Segment Reporting
Segment Reporting | 3 Months Ended |
Mar. 31, 2020 | |
Segment Reporting [Abstract] | |
SEGMENT REPORTING | Segment Reporting We have three reportable segments, which are based on the type of business activities each performs - Single-family Guarantee, Multifamily, and Capital Markets. Material corporate-level activities that are infrequent in nature and based on decisions outside the control of the management of our reportable segments are included in the All Other category. For more information, see our 2019 Annual Report. Segment Earnings We present Segment Earnings by reclassifying certain credit guarantee-related activities and investment-related activities between various line items on our GAAP condensed consolidated statements of comprehensive income (loss) and allocating certain revenues and expenses, including certain returns on assets, funding and hedging costs, and administrative expenses, to our three reportable segments. We do not consider our assets by segment when evaluating segment performance or allocating resources. We operate our business in the United States and its territories, and accordingly, we generate no revenue from and have no long-lived assets, other than financial instruments, in geographic locations other than the United States and its territories. We evaluate segment performance and allocate resources based on a Segment Earnings approach, subject to the conduct of our business under the direction of the Conservator. See Note 2 The table below presents Segment Earnings by segment. Table 13.1 - Segment Earnings (In millions) 1Q 2020 1Q 2019 Segment Earnings (Loss), net of taxes: Single-family Guarantee $588 $740 Multifamily (238 ) 330 Capital Markets (177 ) 337 All Other — — Total Segment Earnings (Loss), net of taxes 173 1,407 Net income (loss) $173 $1,407 Comprehensive income (loss) of segments: Single-family Guarantee $586 $736 Multifamily (174 ) 395 Capital Markets 210 534 All Other — — Comprehensive income (loss) of segments 622 1,665 Comprehensive income (loss) $622 $1,665 The tables below present detailed reconciliations between our GAAP condensed consolidated statements of comprehensive income (loss) and Segment Earnings for our reportable segments and All Other. Table 13.2 - Segment Earnings and Reconciliations to GAAP Condensed Consolidated Statements of Comprehensive Income (Loss) 1Q 2020 Single-family Guarantee Multifamily Capital Markets All Other Total Segment Earnings (Loss) Reclassifications Total per Consolidated Statements of Comprehensive Income (In millions) Net interest income $— $269 $509 $— $778 $2,007 $2,785 Guarantee fee income 2,093 413 — — 2,506 (2,129 ) 377 Investment gains (losses), net 437 (851 ) (427 ) — (841 ) 6 (835 ) Other income (loss) 15 37 (201 ) — (149 ) 244 95 Benefit (provision) for credit losses (1,222 ) (67 ) — — (1,289 ) 56 (1,233 ) Administrative expense (372 ) (120 ) (95 ) — (587 ) — (587 ) Credit enhancement (expense) benefit, net 28 24 — — 52 184 236 REO operations expense (87 ) — — — (87 ) 2 (85 ) Other expense (151 ) (5 ) (9 ) — (165 ) (370 ) (535 ) Income tax (expense) benefit (153 ) 62 46 — (45 ) — (45 ) Net income (loss) 588 (238 ) (177 ) — 173 — 173 Changes in unrealized gains (losses) related to available-for-sale securities — 64 374 — 438 — 438 Changes in unrealized gains (losses) related to cash flow hedge relationships — — 13 — 13 — 13 Changes in defined benefit plans (2 ) — — — (2 ) — (2 ) Total other comprehensive income (loss), net of taxes (2 ) 64 387 — 449 — 449 Comprehensive income (loss) $586 ($174 ) $210 $— $622 $— $622 1Q 2019 Single-family Guarantee Multifamily Capital Markets All Other Total Segment Earnings (Loss) Reclassifications Total per Consolidated Statements of Comprehensive Income (In millions) Net interest income $— $247 $758 $— $1,005 $2,148 $3,153 Guarantee fee income 1,635 287 — — 1,922 (1,632 ) 290 Investment gains (losses), net 6 (26 ) (36 ) — (56 ) (457 ) (513 ) Other income (loss) 112 29 (206 ) — (65 ) 48 (17 ) Benefit (provision) for credit losses 71 (1 ) — — 70 65 135 Administrative expense (374 ) (112 ) (92 ) — (578 ) — (578 ) Credit enhancement (expense) benefit, net (316 ) (4 ) — — (320 ) 162 (158 ) REO operations expense (38 ) — — — (38 ) 5 (33 ) Other expense (168 ) (6 ) (1 ) — (175 ) (339 ) (514 ) Income tax (expense) benefit (188 ) (84 ) (86 ) — (358 ) — (358 ) Net income (loss) 740 330 337 — 1,407 — 1,407 Changes in unrealized gains (losses) related to available-for-sale securities — 66 180 — 246 — 246 Changes in unrealized gains (losses) related to cash flow hedge relationships — — 18 — 18 — 18 Changes in defined benefit plans (4 ) (1 ) (1 ) — (6 ) — (6 ) Total other comprehensive income (loss), net of taxes (4 ) 65 197 — 258 — 258 Comprehensive income (loss) $736 $395 $534 $— $1,665 $— $1,665 |
Concentration of Credit and Oth
Concentration of Credit and Other Risks | 3 Months Ended |
Mar. 31, 2020 | |
Risks and Uncertainties [Abstract] | |
CONCENTRATION OF CREDIT AND OTHER RISKS | Concentration of Credit and Other Risks Single-Family Credit Guarantee Portfolio The table below summarizes the concentration by loan portfolio and geographic area of the approximately $2.0 trillion UPB of our single-family credit guarantee portfolio as of both March 31, 2020 and December 31, 2019. See Note 4 and Note 7 for more information about credit risk associated with loans and mortgage-related securities that we hold or guarantee. Table 14.1 - Concentration of Credit Risk of Our Single-Family Credit Guarantee Portfolio March 31, 2020 December 31, 2019 Percent of Credit Losses Percentage of Portfolio Serious Delinquency Rate Percentage of Portfolio Serious Delinquency Rate 1Q 2020 1Q 2019 Core single-family loan portfolio 86 % 0.26 % 85 % 0.26 % 21 % 12 % Legacy and relief refinance single-family loan portfolio 14 1.79 15 1.84 79 88 Total 100 % 0.60 100 % 0.63 100 % 100 % Region (1) West 30 % 0.35 30 % 0.36 8 % 15 % Northeast 24 0.83 24 0.87 36 37 North Central 16 0.59 16 0.61 29 16 Southeast 16 0.70 16 0.73 18 25 Southwest 14 0.52 14 0.54 9 7 Total 100 % 0.60 100 % 0.63 100 % 100 % State (2) Illinois 4 % 0.82 4 % 0.85 16 % 10 % New York 5 1.13 5 1.21 9 12 Florida 6 0.71 6 0.77 9 18 New Jersey 3 1.01 3 1.08 8 10 Maryland 3 0.82 3 0.88 5 4 All other 79 0.52 79 0.54 53 46 Total 100 % 0.60 100 % 0.63 100 % 100 % (1) 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). (2) States presented based on those with the highest percentage of credit losses during 1Q 2020. Credit Performance of Certain Higher Risk Single-Family Loan Categories Participants in the mortgage market have characterized single-family loans based upon their overall credit quality at the time of origination, including as prime or subprime. Mortgage market participants have classified single-family loans as Alt-A if these loans have credit characteristics that range between their prime and subprime categories, if they are underwritten with lower or alternative income or asset documentation requirements compared to a full documentation loan, or both. Although we discontinued new purchases of loans with lower documentation standards beginning March 1, 2009, we continued to purchase certain amounts of these loans in cases where the loan was either: n Purchased pursuant to a previously issued other mortgage-related guarantee; n Part of our relief refinance initiative; or n In another refinance loan initiative and the pre-existing loan (including Alt-A loans) was originated under less than full documentation standards. In the event we purchase a refinance loan and the original loan had been previously identified as Alt-A, such refinance loan may no longer be categorized or reported as Alt-A in the table below because the new refinance loan replacing the original loan would not be identified by the seller/servicer as an Alt-A loan. As a result, our reported Alt-A balances may be lower than would otherwise be the case had such refinancing not occurred. Although we do not categorize single-family loans we purchase or guarantee as prime or subprime, we recognize that there are a number of loan types with certain characteristics that indicate a higher degree of credit risk. For example, a borrower's credit score is a useful measure for assessing the credit quality of the borrower. Statistically, borrowers with higher credit scores are more likely to repay or have the ability to refinance than those with lower scores. Presented below is a summary of the serious delinquency rates of certain higher-risk categories (based on characteristics of the loan at origination) of loans in our single-family credit guarantee portfolio. The table includes a presentation of each higher-risk category in isolation. A single loan may fall within more than one category (for example, an interest-only loan may also have an original LTV ratio greater than 90%). Loans with a combination of these attributes will have an even higher risk of delinquency than those with an individual attribute. Table 14.2 - Certain Higher Risk Categories in Our Single-Family Credit Guarantee Portfolio Percentage of Portfolio (1) Serious Delinquency Rate (1) (Percentage of portfolio based on UPB) March 31, 2020 December 31, 2019 March 31, 2020 December 31, 2019 Interest-only 1 % 1 % 2.68 % 2.72 % Alt-A 1 1 3.64 3.75 Original LTV ratio greater than 90% (2) 18 18 0.93 0.96 Lower credit scores at origination (less than 620) 2 2 4.43 4.52 (1) Excludes loans underlying certain other securitization products for which data was not available. (2) Sellers and Servicers We are exposed to counterparty credit risk arising from the potential insolvency or non-performance by our sellers and servicers of their obligations to repurchase loans or (at our option) indemnify us in the event of breaches of the representations and warranties they made when they sold the loans to us or failure to comply with our servicing requirements. The ultimate amounts of recovery payments we receive from seller/servicers related to their repurchase obligations may be significantly less than the amount of our estimates of potential exposure to losses. Our exposure to seller/servicers for their repurchase obligations is considered in our allowance for credit losses. See Note 4 for further information. Sellers We acquire a significant portion of our single-family and multifamily loan purchase volume from several large sellers. The tables below summarize the concentration of single-family and multifamily sellers who provided 10% or more of our purchase volume during 1Q 2020 or 1Q 2019. Table 14.3 - Seller Concentration Single-family Sellers (1) 1Q 2020 1Q 2019 JPMorgan Chase Bank, N.A. 12 % 16 % United Shore Financial Services, LLC 10 10 Other top 10 sellers 33 31 Top 10 single-family sellers 55 % 57 % Multifamily Sellers (1) 1Q 2020 1Q 2019 CBRE Capital Markets, Inc. 17 % 15 % Berkadia Commercial Mortgage LLC 14 13 Other top 10 sellers 47 49 Top 10 multifamily sellers 78 % 77 % (1) Sellers presented based on those with the highest percentage of purchase volume during 1Q 2020. In recent years, there has been a shift in our single-family purchase volume from depository institutions to non-depository and smaller depository financial institutions. Some of these non-depository sellers have grown in recent years, and we purchase a significant share of our loans from them. Our top five non-depository sellers provided approximately 27% and 26% of our single-family purchase volume during 1Q 2020 and 1Q 2019, respectively. Servicers Significant portions of our single-family and multifamily loans are serviced by several large servicers. The tables below summarize the concentration of single-family and multifamily servicers who serviced 10% or more of our single-family credit guarantee portfolio and multifamily mortgage portfolio as of March 31, 2020 or December 31, 2019. Table 14.4 - Servicer Concentration Single-family Servicers (1) March 31, 2020 (2) December 31, 2019 (2) Wells Fargo Bank, N.A. 15 % 15 % JPMorgan Chase Bank, N.A. 10 10 Other top 10 servicers 32 32 Top 10 single-family servicers 57 % 57 % Multifamily Servicers (1) March 31, 2020 December 31, 2019 CBRE Capital Markets, Inc. 17 % 17 % Berkadia Commercial Mortgage LLC 13 13 Other top 10 servicers 46 46 Top 10 multifamily servicers 76 % 76 % (1) Servicers presented based on those with the highest percentage of servicing volume as of March 31, 2020. (2) Percentage of servicing volume is based on the total single-family credit guarantee portfolio, which includes loans where we do not exercise servicing control. However, loans where we do not exercise servicing control are not included for purposes of determining the concentration of servicers who serviced more than 10% of our single-family credit guarantee portfolio because we do not know which entity serves as the primary servicer for such loans. In recent years, there has been a shift in our single-family servicing from depository institutions to non-depository servicers. Some of these non-depository servicers have grown in recent years and now service a large share of our loans. As of both March 31, 2020 and December 31, 2019 , approximately 18% of our single-family credit guarantee portfolio, excluding loans where we do not exercise control over the associated servicing, was serviced by our five largest non-depository servicers, on a combined basis. We routinely monitor the performance of our largest non-depository servicers. In March 2020, as the COVID-19 pandemic evolved rapidly, liquidity concerns primarily regarding non-depository financial institutions arose as market conditions changed and borrowers affected by COVID-19 were offered widespread forbearance, including forbearance on loans purchased and securitized by Freddie Mac. Single-family servicers must continue to advance mortgage interest payments for Freddie Mac loans for up to 120 days during the forbearance period which may increase liquidity pressures on certain of our counterparties. In response to these potential liquidity concerns, we have heightened our monitoring and review of the financial stability of our non-depository institutional counterparties. We also have exposure to the master servicers of our multifamily securitization transactions who bear responsibility to advance funds in the event of payment shortfalls. In the majority of our primary multifamily securitizations, we utilize one of three large financial depository institutions, except for small balance loan securitizations where we serve as master servicer. In instances where payment shortfalls occur, the master servicer is required to make advances as long as such advances have not been deemed non-recoverable. For multifamily loans purchased and held in our mortgage-related investments portfolio, the primary servicers are not required to advance funds in the event of payment shortfalls and therefore do not present significant counterparty credit risk. Credit Enhancement Providers We have counterparty credit risk relating to the potential insolvency of, or non-performance by, mortgage insurers that insure single-family loans we purchase or guarantee. We also have similar exposure to insurers and reinsurers through our ACIS and other insurance transactions where we purchase insurance policies as part of our CRT activities. In March 2019, we implemented a set of revised Private Mortgage Insurer Eligibility Requirements (PMIERs) with enhancements to the risk-based capital requirements for mortgage insurers. In addition, we revised master policies with mortgage insurers which provide contract certainty and improve our ability to collect claims for mortgage insurance obligations. These policies were approved by FHFA and became effective on March 1, 2020. We evaluate the expected recovery and collectability from mortgage insurers as part of the estimate of our allowance for credit losses. See Note 4 for additional information. As of March 31, 2020 , mortgage insurers provided coverage with maximum loss limits of $109.0 billion , for $427.5 billion of UPB, in connection with our single-family credit guarantee portfolio. These amounts are based on gross coverage without regard to netting of coverage that may exist to the extent an affected loan is covered under other types of insurance. Changes in our expectations related to recovery and collectability from our credit enhancement providers may affect our estimates of expected credit losses, perhaps significantly. The table below summarizes the concentration of mortgage insurer counterparties who provided 10% or more of our overall mortgage insurance coverage. On October 23, 2016, Genworth Financial, Inc. announced that it had entered into an agreement to be acquired by China Oceanwide Holdings Group Co., Ltd. Because Genworth Mortgage Insurance Corporation, a subsidiary of Genworth Financial, Inc., is an approved mortgage insurer, Freddie Mac evaluated the planned acquisition and approved China Oceanwide Holdings Group's control of Genworth Mortgage Insurance Corporation. In January 2020, Freddie Mac reapproved the acquisition. Regulatory and other approvals of the acquisition are still pending. Table 14.5 - Mortgage Insurer Concentration Mortgage Insurance Coverage (2) Mortgage Insurer Credit Rating (1) March 31, 2020 December 31, 2019 Arch Mortgage Insurance Company A- 22 % 22 % Radian Guaranty Inc. BBB+ 20 20 Mortgage Guaranty Insurance Corporation BBB+ 18 17 Genworth Mortgage Insurance Corporation BB+ 15 15 Essent Guaranty, Inc. BBB+ 15 15 Total 90 % 89 % (1) Ratings are for the corporate entity to which we have the greatest exposure. Latest rating available as of March 31, 2020. Represents the lower of S&P and Moody’s credit ratings stated in terms of the S&P equivalent. (2) Coverage amounts may include coverage provided by affiliates and subsidiaries of the counterparty. During both 1Q 2020 and 1Q 2019, we received proceeds of $0.1 billion from our mortgage insurance policies for recovery of losses on our single-family loans. We had outstanding receivables from mortgage insurers of $0.1 billion (excluding deferred payment obligations associated with unpaid claim amounts) as of both March 31, 2020 and December 31, 2019 . The balance of these receivables, net of associated reserves, was approximately $0.1 billion at both March 31, 2020 and December 31, 2019 . PMI Mortgage Insurance Co. and Triad Guaranty Insurance Corp. are both under the control of their state regulators and are in run-off. A substantial portion of their claims is recorded by us as deferred payment obligations. As of March 31, 2020 and December 31, 2019 , we had cumulative unpaid deferred payment obligations of $0.4 billion and $0.5 billion , respectively, from these insurers. We have reserved substantially all of these unpaid amounts as collectability is uncertain. It is not clear how the regulators of these companies will administer their respective deferred payment plans in the future, nor when or if those obligations will be paid. As part of our insurance/reinsurance CRT transactions, we regularly obtain insurance coverage from insurers and reinsurers. These transactions incorporate several features designed to increase the likelihood that we will recover on the claims we file with the insurers and reinsurers, including the following: n In each transaction, we require the individual insurers and reinsurers to post collateral to cover portions of their exposure, which helps to promote certainty and timeliness of claim payment and n While private mortgage insurance companies are required to be monoline (i.e., to participate solely in the mortgage insurance business, although the holding company may be a diversified insurer), many of our insurers and reinsurers in these transactions participate in multiple types of insurance business, which helps diversify their risk exposure. Other Investments Counterparties We are exposed to the non-performance of counterparties relating to other investments (including non-mortgage-related securities and cash equivalents) transactions, including those entered into on behalf of our securitization trusts. Our policies require that the counterparty be evaluated using our internal counterparty rating model prior to our entering into such transactions. We monitor the financial strength of our counterparties to these transactions and may use collateral maintenance requirements to manage our exposure to individual counterparties. The permitted term and dollar limits for each of these transactions are also based on the counterparty's financial strength. Our other investments (including non-mortgage-related securities and cash equivalents) counterparties are primarily major financial institutions, including other GSEs, Treasury, the Federal Reserve Bank of New York, GSD/FICC, highly-rated supranational institutions, depository and non-depository institutions, brokers and dealers, and government money market funds. As of March 31, 2020 and December 31, 2019 , including amounts related to our consolidated VIEs, the balance in our other investments was $123.5 billion and $103.6 billion , respectively. The balances consist primarily of cash, securities purchased under agreements to resell invested with counterparties, U.S. Treasury securities, cash deposited with the Federal Reserve Bank of New York, and secured lending activities. As of March 31, 2020 and December 31, 2019, $1.0 billion and $2.4 billion of our securities purchased under agreements to resell were used to provide financing to investors in Freddie Mac securities to increase liquidity and expand the investor base for those securities. These transactions differ from the securities purchased under agreements to resell that we use for liquidity purposes as the counterparties we face may not be major financial institutions and we are exposed to the counterparty risk of these institutions. Due to the economic downturn and market volatility caused by the COVID-19 pandemic, certain of our counterparties engaging in these securities purchased under agreements to resell defaulted under the terms of the governing legal agreements by failing to meet margin requirements. The transactions were terminated in accordance with the terms of the agreements, and we recognized the collateral at fair value, which was in excess of their outstanding obligation. We did not recognize a financial loss as a result of these defaults. |
Fair Value Disclosures
Fair Value Disclosures | 3 Months Ended |
Mar. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
FAIR VALUE DISCLOSURES | Fair Value Disclosures The accounting guidance for fair value measurements and disclosures defines fair value, establishes a framework for measuring fair value, and sets forth disclosure requirements regarding fair value measurements. This guidance applies whenever other accounting guidance requires or permits assets or liabilities to be measured at fair value. Fair value represents the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value measurement assumes that the transaction to sell the asset or transfer the liability takes place either in the principal market for the asset or liability, or, in the absence of a principal market, in the most advantageous market for the asset or liability. 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. Fair Value Measurements The accounting guidance for fair value measurements and disclosures establishes a three-level fair value hierarchy that prioritizes the inputs into the valuation techniques used to measure fair value. The levels of the fair value hierarchy are defined as follows in priority order: n Level 1 - inputs to the valuation techniques are based on quoted prices in active markets for identical assets or liabilities. n Level 2 - inputs to the valuation techniques are based on observable inputs other than quoted prices in active markets for identical assets or liabilities. n Level 3 - one or more inputs to the valuation technique are unobservable and significant to the fair value measurement. We use quoted market prices and valuation techniques that seek to maximize the use of observable inputs, where available, and minimize the use of unobservable inputs. Our inputs are based on the assumptions a market participant would use in valuing the asset or liability. Assets and liabilities are classified in their entirety within the fair value hierarchy based on the lowest level input that is significant to the fair value measurement. Assets and Liabilities Measured at Fair Value on a Recurring Basis The tables below present 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 15.1 - Assets and Liabilities Measured at Fair Value on a Recurring Basis March 31, 2020 (In millions) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $— $23,586 $650 $— $24,236 Non-agency and other — 1 1,101 — 1,102 Total available-for-sale securities, at fair value — 23,587 1,751 — 25,338 Trading, at fair value: Mortgage-related securities: Agency — 18,532 2,544 — 21,076 Non-agency — — 1 — 1 Total mortgage-related securities — 18,532 2,545 — 21,077 Non-mortgage-related securities 31,144 1,630 — — 32,774 Total trading securities, at fair value 31,144 20,162 2,545 — 53,851 Total investments in securities 31,144 43,749 4,296 — 79,189 Mortgage loans: Held-for-sale, at fair value — 13,518 — — 13,518 Derivative assets, net: Interest-rate swaps — 3,522 — — 3,522 Option-based derivatives 55 9,038 — — 9,093 Other — 1,142 63 — 1,205 Subtotal, before netting adjustments 55 13,702 63 — 13,820 Netting adjustments (1) — — — (11,005 ) (11,005 ) Total derivative assets, net 55 13,702 63 (11,005 ) 2,815 Other assets: Guarantee asset, at fair value — — 4,565 — 4,565 Non-derivative held-for-sale purchase commitments, at fair value — 243 — — 243 All other, at fair value — — 106 — 106 Total other assets — 243 4,671 — 4,914 Total assets carried at fair value on a recurring basis $31,199 $71,212 $9,030 ($11,005 ) $100,436 Liabilities: Debt securities of consolidated trusts held by third parties, at fair value $— $6 $199 $— $205 Other debt, at fair value — 2,858 151 — 3,009 Derivative liabilities, net: Interest-rate swaps — 9,018 — — 9,018 Option-based derivatives — 536 — — 536 Other — 1,998 24 — 2,022 Subtotal, before netting adjustments — 11,552 24 — 11,576 Netting adjustments (1) — — — (9,350 ) (9,350 ) Total derivative liabilities, net — 11,552 24 (9,350 ) 2,226 Other liabilities: Non-derivative held-for-sale purchase commitments, at fair value — 4 — — 4 All other, at fair value — — 1 — 1 Total other liabilities — 4 1 — 5 Total liabilities carried at fair value on a recurring basis $— $14,420 $375 ($9,350 ) $5,445 Referenced footnote is included after the next table. December 31, 2019 (In millions) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $— $22,927 $1,960 $— $24,887 Non-agency and other — 20 1,267 — 1,287 Total available-for-sale securities, at fair value — 22,947 3,227 — 26,174 Trading, at fair value: Mortgage-related securities: Agency — 19,772 2,709 — 22,481 Non-agency — — 1 — 1 Total mortgage-related securities — 19,772 2,710 — 22,482 Non-mortgage-related securities 25,108 1,947 — — 27,055 Total trading securities, at fair value 25,108 21,719 2,710 — 49,537 Total investment securities 25,108 44,666 5,937 — 75,711 Mortgage loans: Held-for-sale, at fair value — 15,035 — — 15,035 Derivative assets, net: Interest-rate swaps — 2,104 — — 2,104 Option-based derivatives — 4,198 — — 4,198 Other — 61 16 — 77 Subtotal, before netting adjustments — 6,363 16 — 6,379 Netting adjustments (1) — — — (5,535 ) (5,535 ) Total derivative assets, net — 6,363 16 (5,535 ) 844 Other assets: Guarantee asset, at fair value — — 4,426 — 4,426 Non-derivative held-for-sale purchase commitments, at fair value — 81 — — 81 All other, at fair value — — 120 — 120 Total other assets — 81 4,546 — 4,627 Total assets carried at fair value on a recurring basis $25,108 $66,145 $10,499 ($5,535 ) $96,217 Liabilities: Debt securities of consolidated trusts held by third parties, at fair value $— $6 $203 $— $209 Other debt, at fair value — 3,600 129 — 3,729 Derivative liabilities, net: Interest-rate swaps — 4,882 — — 4,882 Option-based derivatives — 130 — — 130 Other — 233 37 — 270 Subtotal, before netting adjustments — 5,245 37 — 5,282 Netting adjustments (1) — — — (4,910 ) (4,910 ) Total derivative liabilities, net — 5,245 37 (4,910 ) 372 Other liabilities: Non-derivative held-for-sale purchase commitments, at fair value — 7 — — 7 All other, at fair value — — 1 — 1 Total other liabilities — 7 1 — 8 Total liabilities carried at fair value on a recurring basis $— $8,858 $370 ($4,910 ) $4,318 (1) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable. Level 3 Fair Value Measurements The tables below present 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 tables also present gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our condensed consolidated statements of comprehensive income (loss) for Level 3 assets and liabilities. Table 15.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs 1Q 2020 Balance, Total Realized/Unrealized Gains (Losses) Purchases Issues Sales Settlements, Transfers (1) Transfers (1) Balance, Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2020 (3) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2020 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $1,960 $12 $38 $— $— ($208 ) ($57 ) $— ($1,095 ) $650 $— ($2 ) Non-agency and other 1,267 3 (126 ) — — — (43 ) — — 1,101 3 (100 ) Total available-for-sale mortgage-related securities 3,227 15 (88 ) — — (208 ) (100 ) — (1,095 ) 1,751 3 (102 ) Trading, at fair value: Mortgage-related securities: Agency 2,709 15 — 352 — (105 ) (31 ) — (396 ) 2,544 1 — Non-agency 1 — — — — — — — — 1 — — Total trading mortgage-related securities 2,710 15 — 352 — (105 ) (31 ) — (396 ) 2,545 1 — Other assets: Guarantee asset 4,426 99 — — 223 — (183 ) — — 4,565 99 — All other, at fair value 120 (7 ) — (1 ) 6 (8 ) (4 ) — — 106 (8 ) — Total other assets $4,546 $92 $— ($1 ) $229 ($8 ) ($187 ) $— $— $4,671 $91 $— Balance, Total Realized/Unrealized Gains (Losses) Purchases Issues Sales Settlements, Transfers (1) Transfers (1) Balance, Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2020 (3) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2020 Included in Included in Other Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 ($4 ) $— $— $— $— $— $— $— $199 ($4 ) $— Other debt, at fair value 129 (11 ) — — 1 — (1 ) 33 — 151 (11 ) — Net derivatives (2) 21 (57 ) — — 1 — (4 ) — — (39 ) (61 ) — All other, at fair value 1 — — — — — — — — 1 — — Referenced footnotes are included after the prior period table. 1Q 2019 Balance, Total Realized/Unrealized Gains (Losses) Purchases Issues Sales Settlements, Transfers (1) Transfers (1) Balance, Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2019 (3) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2019 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $4,135 ($18 ) $72 $52 $— ($486 ) ($98 ) $— ($58 ) $3,599 ($1 ) $56 Non-agency and other 1,640 4 50 — — — (61 ) — — $1,633 4 40 Total available-for-sale mortgage-related securities 5,775 (14 ) 122 52 — (486 ) (159 ) — (58 ) 5,232 3 96 Trading, at fair value: Mortgage-related securities: Agency 3,293 (59 ) — 143 — (115 ) (24 ) — (180 ) 3,058 (61 ) — Non-agency 1 — — — — — — — — 1 — — Total trading mortgage-related securities 3,294 (59 ) — 143 — (115 ) (24 ) — (180 ) 3,059 (61 ) — Other assets: Guarantee asset 3,633 35 — — 282 — (155 ) — — 3,795 35 — All other, at fair value 137 (34 ) — 52 9 (12 ) (2 ) — — 150 (33 ) — Total other assets $3,770 $1 $— $52 $291 ($12 ) ($157 ) $— $— $3,945 $2 $— Balance, Total Realized/Unrealized Gains (Losses) Purchases Issues Sales Settlements, Transfers (1) Transfers (1) Balance, Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2019 (3) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2019 Included in Included in Other Liabilities Debt securities of consolidated trusts held by third parties, at fair value $728 $2 $— $— $— $— $— $— $— $730 $2 $— Other debt, at fair value 134 — — — 80 — — — — 214 — — Net derivatives (2) 91 (38 ) — — — — (5 ) — — 48 (43 ) — All other, at fair value — (2 ) — 3 — — — — — 1 (2 ) — (1) Transfers out of Level 3 during 1Q 2020 and 1Q 2019 consisted primarily of certain mortgage-related securities due to an increased volume and level of activity in the market and availability of price quotes from dealers and third-party pricing services. Certain Freddie Mac securities are classified as Level 3 at issuance and generally are classified as Level 2 when they begin trading. Transfers into Level 3 during 1Q 2020 and 1Q 2019 consisted primarily of certain mortgage-related securities due to a decrease in market activity and the availability of relevant price quotes from dealers and third-party pricing services. (2) Amounts are the net of derivative assets and liabilities prior to counterparty netting, cash collateral netting, net trade/settle receivable or payable, and net derivative interest receivable or payable. (3) 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, 2020 and March 31, 2019, respectively. This amount includes any allowance for credit losses recorded on available-for-sale securities and amortization of basis adjustments. The tables below provide 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 15.3 - Quantitative Information about Recurring Level 3 Fair Value Measurements March 31, 2020 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average (2) Assets Available-for-sale, at fair value Mortgage-related securities Agency $494 Discounted cash flows OAS 93 - 93 bps 93 bps 156 Other Non-agency and other 912 Median of external sources External pricing sources $61.1 - $72.6 $66.9 189 Other Trading, at fair value Mortgage-related securities Agency 1,662 Single external source External pricing sources $0.0 - $8,530.9 $912.6 523 Discounted cash flows OAS (2,231) - 8,095 bps 944 bps 359 Other Guarantee asset, at fair value 4,304 Discounted cash flows OAS 17 - 186 bps 46 bps 261 Other Insignificant Level 3 assets (1) 170 Total level 3 assets $9,030 Liabilities Insignificant Level 3 liabilities (1) 375 Total level 3 liabilities $375 Referenced footnote is included after the next table. December 31, 2019 Level 3 Predominant Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average (2) Assets Available-for-sale, at fair value Mortgage-related securities Agency $1,960 Discounted cash flows OAS 30 - 261 bps 80 bps Non-agency and other 886 Median of external sources External pricing sources $71.9 - $78.2 $75.0 381 Other Trading, at fair value Mortgage-related securities Agency 1,948 Single external source External pricing sources $0.0 - $100.7 $36.6 761 Discounted cash flows OAS (1,201) - 8,095 bps 611 bps Guarantee asset, at fair value 4,141 Discounted cash flows OAS 17 - 186 bps 40 bps 285 Other Insignificant Level 3 assets (1) 137 Total level 3 assets $10,499 Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 Single external source External pricing sources $99.4 - $103.6 $101.4 Insignificant Level 3 liabilities (1) 167 Total level 3 liabilities $370 (1) Represents the aggregate amount of Level 3 assets or liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant. (2) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments. 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 of the fair values in the tables below were not obtained as of the 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 15.4 - Assets Measured at Fair Value on a Non-Recurring Basis March 31, 2020 December 31, 2019 (In millions) Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Assets measured at fair value on a non-recurring basis: Mortgage loans (1) $— $2,127 $6,080 $8,207 $— $22 $4,059 $4,081 (1) Includes loans that are classified as held-for-investment and have been measured for impairment based on the fair value of the underlying collateral and held-for-sale loans where the fair value is below cost. The tables below provide 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 15.5 - Quantitative Information About Non-Recurring Level 3 Fair Value Measurements March 31, 2020 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average Non-recurring fair value measurements Mortgage loans $6,080 Internal model Historical sales proceeds $3,000 - $765,000 $182,407 Internal model Housing sales index 53 - 419 bps 112 bps Median of external sources External pricing sources $54.0 - $100.7 $88.1 December 31, 2019 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average Non-recurring fair value measurements Mortgage loans $4,059 Internal model Historical sales proceeds $3,000 - $765,000 $186,234 Internal model Housing sales index 46 - 420 bps 112 bps Median of external sources External pricing sources $66.5 - $105.4 $95.0 Fair Value of Financial Instruments The tables below present 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, secured lending and other, and certain debt, the carrying value on our GAAP balance sheets approximates fair value, as these assets and liabilities are short-term in nature and have limited fair value volatility. Table 15.6 - Fair Value of Financial Instruments March 31, 2020 GAAP Measurement Category (1) GAAP Carrying Amount Fair Value (In millions) Level 1 Level 2 Level 3 Netting Adjustments (2) Total Financial Assets Cash and cash equivalents Amortized cost $24,324 $24,324 $— $— $— $24,324 Securities purchased under agreements to resell Amortized cost 45,968 — 60,273 — (14,305 ) 45,968 Investment securities: Available-for-sale, at fair value FV - OCI 25,338 — 23,587 1,751 — 25,338 Trading, at fair value FV - NI 53,851 31,144 20,162 2,545 — 53,851 Total investment securities 79,189 31,144 43,749 4,296 — 79,189 Mortgage loans: Loans held by consolidated trusts 1,963,630 — 1,796,060 242,753 — 2,038,813 Loans held by Freddie Mac 83,027 — 43,389 41,656 — 85,045 Total mortgage loans Various (3) 2,046,657 — 1,839,449 284,409 — 2,123,858 Derivative assets, net FV - NI 2,815 55 13,702 63 (11,005 ) 2,815 Guarantee asset FV - NI 4,565 — — 4,571 — 4,571 Non-derivative purchase commitments Various 243 — 244 — — 244 Secured lending and other Amortized cost 5,072 — 1,607 3,280 — 4,887 Total financial assets $2,208,833 $55,523 $1,959,024 $296,619 ($25,310 ) $2,285,856 Financial Liabilities Debt: Debt securities of consolidated trusts held by third parties $1,930,005 $— $2,006,288 $1,140 $— $2,007,428 Other debt 286,130 — 300,522 4,063 (14,305 ) 290,280 Total debt Various (4) 2,216,135 — 2,306,810 5,203 (14,305 ) 2,297,708 Derivative liabilities, net FV - NI 2,226 — 11,552 24 (9,350 ) 2,226 Guarantee obligation Amortized cost 4,313 — — 5,070 — 5,070 Non-derivative purchase commitments Various 22 — 15 30 — 45 Total financial liabilities $2,222,696 $— $2,318,377 $10,327 ($23,655 ) $2,305,049 (1) FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income. (2) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable. (3) As of March 31, 2020, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $2.0 trillion , $19.0 billion , and $13.5 billion , respectively. (4) As of March 31, 2020, the GAAP carrying amounts measured at amortized cost and FV - NI were $2.2 trillion and $3.2 billion , respectively. December 31, 2019 GAAP Measurement Category (1) GAAP Carrying Amount Fair Value (In millions) Level 1 Level 2 Level 3 Netting Adjustments (2) Total Financial Assets Cash and cash equivalents Amortized cost $5,189 $5,189 $— $— $— $5,189 Securities purchased under agreements to resell Amortized cost 56,271 — 66,114 — (9,843 ) 56,271 Investment securities: Available-for-sale, at fair value FV - OCI 26,174 — 22,947 3,227 — 26,174 Trading, at fair value FV - NI 49,537 25,108 21,719 2,710 — 49,537 Total investment securities 75,711 25,108 44,666 5,937 — 75,711 Mortgage loans: Loans held by consolidated trusts 1,940,523 — 1,732,434 244,500 — 1,976,934 Loans held by Freddie Mac 79,677 — 38,100 45,588 — 83,688 Total mortgage loans Various (3) 2,020,200 — 1,770,534 290,088 — 2,060,622 Derivative assets, net FV - NI 844 — 6,363 16 (5,535 ) 844 Guarantee asset FV - NI 4,426 — — 4,433 — 4,433 Non-derivative purchase commitments Various 81 — 90 72 — 162 Secured lending and other Amortized cost 4,186 — 1,874 2,131 — 4,005 Total financial assets $2,166,908 $30,297 $1,889,641 $302,677 ($15,378 ) $2,207,237 Financial Liabilities Debt: Debt securities of consolidated trusts held by third parties $1,898,355 $— $1,931,473 $1,277 $— $1,932,750 Other debt 271,330 — 282,431 3,619 (9,843 ) 276,207 Total debt Various (4) 2,169,685 — 2,213,904 4,896 (9,843 ) 2,208,957 Derivative liabilities, net FV - NI 372 — 5,245 37 (4,910 ) 372 Guarantee obligation Amortized cost 4,292 — — 4,527 — 4,527 Non-derivative purchase commitments Various 7 — 7 67 — 74 Total financial liabilities $2,174,356 $— $2,219,156 $9,527 ($14,753 ) $2,213,930 (1) FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income. (2) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable. (3) As of December 31, 2019, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $2.0 trillion , $20.3 billion , and $15.0 billion , respectively. (4) As of December 31, 2019, the GAAP carrying amounts measured at amortized cost and FV - NI were $2.2 trillion and $3.9 billion Fair Value Option The table below presents the fair value and UPB related to certain loans and long-term debt for which we have elected the fair value option. This table does not include interest-only securities related to debt securities of consolidated trusts and other debt held by third parties with a fair value of $99 million and $146 million and multifamily held-for-sale loan purchase commitments with a fair value of $239 million and $74 million , as of March 31, 2020 and December 31, 2019, respectively. Table 15.7 - Difference between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected March 31, 2020 December 31, 2019 (In millions) Multifamily Held-For-Sale Loans Other Debt - Long Term Debt Securities of Consolidated Trusts Held by Third Parties Multifamily Held-For-Sale Loans Other Debt - Long Term Debt Securities of Consolidated Trusts Held by Third Parties Fair value $13,518 $2,916 $199 $15,035 $3,589 $203 UPB 12,467 3,157 200 14,444 3,329 200 Difference $1,051 ($241 ) ($1 ) $591 $260 $3 Changes in Fair Value Under the Fair Value Option Election The table below presents the changes in fair value included in non-interest income (loss) in our condensed consolidated statements of comprehensive income (loss), related to items for which we have elected the fair value option. Table 15.8 - Changes in Fair Value Under the Fair Value Option Election 1Q 2020 1Q 2019 (In millions) Gains (Losses) Multifamily held-for-sale loans $638 $341 Multifamily held-for-sale loan purchase commitments 532 390 Other debt - long term 548 (2 ) Debt securities of consolidated trusts held by third parties 4 (2 ) Changes in fair value attributable to instrument-specific credit risk were not material for 1Q 2020 and 1Q 2019 for any assets or liabilities for which we elected the fair value option. |
Legal Contingencies
Legal Contingencies | 3 Months Ended |
Mar. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
LEGAL CONTINGENCIES | Legal Contingencies We are involved as a party 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. 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 and claims resolution are subject to many uncertainties and are not susceptible to accurate prediction. 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. 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 October 2013, defendants filed motions to dismiss the complaint. In October 2014, the District Court granted defendants' motions and dismissed the case in its entirety against all defendants, with prejudice. In November 2014, plaintiff filed a notice of appeal in the U.S. Court of Appeals for the Sixth Circuit. On July 20, 2016, the Court of Appeals reversed the District Court's dismissal and remanded the case to the District Court for further proceedings. On August 14, 2018, the District Court denied the plaintiff's motion for class certification. On January 23, 2019, the Court of Appeals denied plaintiff's petition for leave to appeal that decision. At present, it is not possible for us to predict the probable outcome of this lawsuit or any potential effect on our business, financial condition, liquidity, or results of operations. In addition, we are unable to reasonably estimate the possible loss or range of possible loss in the event of an adverse judgment in the foregoing matter due to the following factors, among others: pre-trial litigation is inherently uncertain; while the District Court denied plaintiff's motion for class certification, this denial may be appealed upon the entry of final judgment; and the District Court has not yet ruled upon motions for summary judgment. In particular, absent a final resolution of whether a class will be certified, the identification of a class if one is certified, and the identification of the alleged statement or statements that survive dispositive motions, we cannot reasonably estimate any possible loss or range of possible loss. LIBOR Lawsuit On March 14, 2013, Freddie Mac filed a lawsuit in the U.S. District Court for the Eastern District of Virginia against the British Bankers Association and the 16 U.S. Dollar LIBOR panel banks and a number of their affiliates. The case was subsequently transferred to the U.S. District Court for the Southern District of New York. The complaint alleges, among other things, that the defendants fraudulently and collusively depressed LIBOR, a benchmark interest rate indexed to trillions of dollars of financial products, and asserts claims for antitrust violations, breach of contract, tortious interference with contract, and fraud. Freddie Mac filed an amended complaint in July 2013, and a second amended complaint in October 2014. In August 2015, the District Court dismissed the portion of our claim related to antitrust violations and fraud and we filed a motion for reconsideration. On March 31, 2016, the District Court granted a portion of our motion, finding personal jurisdiction over certain defendants, and denied the portion of our motion with respect to statutes of limitation for our fraud claims. Subsequently, in a related case, the U.S. Court of Appeals for the Second Circuit reversed the District Court's dismissal of certain plaintiffs' antitrust claims and remanded the case to the District Court for consideration of whether, among other things, the plaintiffs are "efficient enforcers" of the antitrust laws. On December 20, 2016, after briefing and argument on the defendants' renewed motions to dismiss on personal jurisdiction and efficient enforcer grounds, the District Court denied defendants' motions in part and granted them in part. The District Court held that Freddie Mac is an efficient enforcer of the antitrust laws, but dismissed on personal jurisdiction grounds Freddie Mac's antitrust claims against all defendants except HSBC USA, N.A. Then, in an order issued February 2, 2017, the District Court effectively dismissed Freddie Mac's remaining antitrust claim against HSBC USA, N.A. At present, Freddie Mac's breach of contract actions against Bank of America, N.A., Barclays Bank, Citibank, N.A., Credit Suisse, Deutsche Bank, Royal Bank of Scotland, and UBS AG are its only claims remaining in the District Court. On February 23, 2018, the Second Circuit reversed the District Court's dismissal of certain plaintiffs' state law fraud and unjust enrichment claims on statutes of limitations grounds. While Freddie Mac was not a party to the appeal, this decision could have the effect of reinstating Freddie Mac's fraud claims against the above-named defendants. The Second Circuit also reversed certain aspects of the District Court's personal jurisdiction rulings and remanded with instructions to allow the named appellant to amend its complaint. The District Court subsequently granted in part Freddie Mac's motion for leave to amend its complaint, and Freddie Mac amended its complaint on April 16, 2019. Litigation Concerning the Purchase Agreement Since July 2013, a number of lawsuits have been filed against us concerning the August 2012 amendment to the Purchase Agreement, which created the net worth sweep dividend provisions of the senior preferred stock. The plaintiffs in the lawsuits allege that they are holders of common stock and/or junior preferred stock issued by Freddie Mac and Fannie Mae. (For purposes of this discussion, junior preferred stock refers to the various series of preferred stock of Freddie Mac and Fannie Mae other than the senior preferred stock issued to Treasury.) It is possible that similar lawsuits will be filed in the future. The lawsuits against us are described below. Litigation 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 case is the result of the consolidation of three putative class action lawsuits: Cacciapelle and Bareiss vs. Federal National Mortgage Association, Federal Home Loan Mortgage Corporation and FHFA , filed on July 29, 2013; American European Insurance Company vs. Federal National Mortgage Association, Federal Home Loan Mortgage Corporation and FHFA , filed on July 30, 2013; and Marneu Holdings, Co. vs. FHFA, Treasury, Federal National Mortgage Association and Federal Home Loan Mortgage Corporation , filed on September 18, 2013. (The Marneu case was also filed as a shareholder derivative lawsuit.) A consolidated amended complaint was filed in December 2013. In the consolidated amended complaint, plaintiffs alleged, among other items, that the August 2012 amendment to the Purchase Agreement breached Freddie Mac's and Fannie Mae's respective contracts with the holders of junior preferred stock and common stock and the covenant of good faith and fair dealing inherent in such contracts. Plaintiffs sought unspecified damages, equitable and injunctive relief, and costs and expenses, including attorney and expert fees. The Cacciapelle and American European Insurance Company lawsuits were filed purportedly on behalf of a class of purchasers of junior preferred stock issued by Freddie Mac or Fannie Mae who held stock prior to, and as of, August 17, 2012. The Marneu lawsuit was filed purportedly on behalf of a class of purchasers of junior preferred stock and purchasers of common stock issued by Freddie Mac or Fannie Mae over a not-yet-defined period of time. Arrowood Indemnity Company vs. Federal National Mortgage Association, Federal Home Loan Mortgage Corporation, FHFA, and Treasury. This case was filed on September 20, 2013. The allegations and demands made by plaintiffs in this case were generally similar to those made by the plaintiffs in the In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations case described above. Plaintiffs in the Arrowood lawsuit also requested that, if injunctive relief were not granted, the Arrowood plaintiffs be awarded damages against the defendants in an amount to be determined including, but not limited to, the aggregate par value of their junior preferred stock, the total of which they stated to be approximately $42 million . American European Insurance Company, Cacciapelle, and Miller vs. Treasury and FHFA. This case was filed as a shareholder derivative lawsuit, purportedly on behalf of Freddie Mac as a "nominal" defendant, on July 30, 2014. The complaint alleged that, through the August 2012 amendment to the Purchase Agreement, Treasury and FHFA breached their respective fiduciary duties to Freddie Mac, causing Freddie Mac to suffer damages. The plaintiffs asked that Freddie Mac be awarded compensatory damages and disgorgement, as well as attorneys' fees, costs, and other expenses. FHFA, joined by Freddie Mac and Fannie Mae, moved to dismiss the In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations case and the other related cases in January 2014. Treasury filed a motion to dismiss the same day. In September 2014, the District Court granted the motions and dismissed the plaintiffs' claims. All plaintiffs appealed that decision, and on February 21, 2017, the U.S. Court of Appeals for the District of Columbia Circuit affirmed in part and remanded in part the decision granting the motions to dismiss. The Court of Appeals affirmed dismissal of all claims except certain claims seeking monetary damages for breach of contract and breach of implied duty of good faith and fair dealing. In March 2017, certain institutional and class plaintiffs filed petitions for panel rehearing with respect to certain claims. On July 17, 2017, the Court of Appeals granted the petitions for rehearing and issued a modified decision, which permitted the institutional plaintiffs to pursue the breach of contract and breach of implied duty of good faith and fair dealing claims that had been remanded. The Court of Appeals also removed language related to the standard to be applied to the implied duty claims, leaving that issue for the District Court to determine on remand. On October 16, 2017, certain institutional and class plaintiffs filed petitions for a writ of certiorari in the U.S. Supreme Court challenging whether HERA's prohibition on injunctive relief against FHFA bars judicial review of the net worth sweep dividend provisions of the August 2012 amendment to the Purchase Agreement, as well as whether HERA bars shareholders from pursuing derivative litigation where they allege the conservator faces a conflict of interest. The Supreme Court denied the petitions on February 20, 2018. On November 1, 2017, certain institutional and class plaintiffs and plaintiffs in another case in which Freddie Mac was not originally a defendant, Fairholme Funds, Inc. v. FHFA, Treasury, and Federal National Mortgage Association , filed proposed amended complaints in the District Court. Each of the proposed amended complaints names Freddie Mac as a defendant for breach of contract and breach of the covenant of good faith and fair dealing claims as well as for new claims alleging breach of fiduciary duty and breach of Virginia corporate law. On January 10, 2018, FHFA, Freddie Mac, and Fannie Mae moved to dismiss the amended complaints. On September 28, 2018, the District Court dismissed all of the claims except those alleging breach of the implied covenant of good faith and fair dealing. Discovery is ongoing. Angel vs. The Federal Home Loan Mortgage Corporation et al. This case was filed pro se on May 21, 2018 against Freddie Mac, Fannie Mae, certain current and former directors of Freddie Mac and Fannie Mae, and FHFA as a nominal defendant. The original complaint alleges, among other things, breach of contract, breach of the implied covenant of good faith and fair dealing, and that defendants aided and abetted the government's "avoidance" of plaintiff's dividend rights. On March 6, 2019, the U.S. District Court for the District of Columbia granted the defendants' motion to dismiss the case. On March 18, 2019, Mr. Angel filed a motion seeking to alter or amend the judgment and for leave to file an amended complaint. On May 24, 2019, the District Court denied Mr. Angel's motion, and on June 19, 2019, Mr. Angel filed a notice of appeal to the U.S. Court of Appeals for the District of Columbia Circuit. On April 24, 2020, the DC Circuit affirmed the District Court's dismissal of the case. Litigation in the U.S. Court of Federal Claims Reid and Fisher vs. the United States of America and Federal Home Loan Mortgage Corporation. This case was filed as a derivative lawsuit, purportedly on behalf of Freddie Mac as a "nominal" defendant, 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. On March 8, 2018, the plaintiffs filed an amended complaint under seal, with a redacted copy filed on November 14, 2018. The United States filed a motion to dismiss on August 1, 2018 and an amended motion to dismiss on October 1, 2018. Fairholme Funds, Inc., et al. vs. the United States of America, Federal National Mortgage Association, and Federal Home Loan Mortgage Corporation. This case was originally filed on July 9, 2013 against the United States of America. On March 8, 2018, plaintiffs filed an amended complaint under seal. A redacted public version was filed on May 11, 2018 and adds Freddie Mac and Fannie Mae as nominal defendants. The amended complaint alleges, among other items, that the net worth sweep dividend provisions of the senior preferred stock constitute an unlawful taking or exaction of private property for public use without just compensation, and that by enacting the net worth sweep, the government breached the fiduciary duty it owed to Freddie Mac and Fannie Mae, and implied-in-fact contracts between the United States on the one hand and Freddie Mac and Fannie Mae on the other. The plaintiffs ask that plaintiffs, Freddie Mac, and Fannie Mae be awarded (1) just compensation for the government's alleged taking or exaction of their property, (2) damages for the government's breach of fiduciary duties, and (3) damages for the government's breach of the alleged implied-in-fact contracts. In addition, plaintiffs seek pre- and post-judgment interest, attorneys' fees, costs, and other expenses. The United States filed a motion to dismiss on August 1, 2018 and an amended motion to dismiss on October 1, 2018. On December 6, 2019, the Court dismissed the claims plaintiffs labeled as direct claims and denied defendant's motion to dismiss with respect to the claims plaintiffs labeled as derivative. Accordingly, derivative takings, exaction, breach of fiduciary duty, and breach of implied-in-fact contract claims remain. By order dated March 9, 2020, the Court granted unopposed motions by plaintiffs and defendant to certify the December 6 opinion for interlocutory review, modified its December 6 opinion to include the language necessary for an interlocutory appeal to the U.S. Court of Appeals for the Federal Circuit, and stayed further proceedings in the case pending the completion of the interlocutory appeal process. Perry Capital LLC vs. the United States of America, Federal National Mortgage Association, and Federal Home Loan Mortgage Corporation. This case was filed as a derivative lawsuit, purportedly on behalf of Freddie Mac and Fannie Mae as "nominal" defendants, on August 15, 2018. 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 or an illegal exaction in violation of the Fifth Amendment, and that by enacting the net worth sweep, the government breached the fiduciary duty it owed to Freddie Mac and Fannie Mae, and implied-in-fact contracts between the United States on the one hand and Freddie Mac and Fannie Mae on the other. The plaintiff asks that it, Freddie Mac, and Fannie Mae be awarded just compensation for the government's alleged taking of its property or damages for the illegal exaction; damages for the government's breach of fiduciary duties; and damages for the government's breach of the alleged implied-in-fact contracts. The proceedings have been stayed pending the interlocutory appeals in the Fairholme Funds matter. At present, it is not possible for us to predict the probable outcome of the lawsuits discussed above in the U.S. District Courts and the U.S. Court of Federal Claims (including the outcome of any appeal) or any potential effect on our business, financial condition, liquidity, or results of operations. In addition, we are unable to reasonably estimate the possible loss or range of possible loss in the event of an adverse judgment in the foregoing matters due to a number of factors, including the inherent uncertainty of pre-trial litigation. In addition, with respect to the In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations case, the plaintiffs have not demanded a stated amount of damages they believe are due, and the Court has not certified a class. |
Regulatory Capital
Regulatory Capital | 3 Months Ended |
Mar. 31, 2020 | |
Mortgage Banking [Abstract] | |
REGULATORY CAPITAL | Regulatory Capital In October 2008, FHFA announced that it was suspending capital classification of us during conservatorship in light of the Purchase Agreement. FHFA continues to monitor our capital levels, but the existing statutory and FHFA regulatory capital requirements are not binding during conservatorship. We continue to provide quarterly submissions to FHFA on minimum capital. The table below summarizes our minimum capital requirements and deficits and net worth. Table 17.1 - Net Worth and Minimum Capital (In millions) March 31, 2020 December 31, 2019 GAAP net worth (deficit) $9,504 $9,122 Core capital (deficit) (1)(2) (64,031 ) (63,964 ) Less: Minimum capital requirement (1) 19,521 19,123 Minimum capital surplus (deficit) (1) ($83,552 ) ($83,087 ) (1) Core capital and minimum capital figures are estimates and represent amounts submitted to FHFA. FHFA is the authoritative source for our regulatory capital. (2) Core capital excludes certain components of GAAP total equity (i.e., AOCI and the liquidation preference of the senior preferred stock) as these items do not meet the statutory definition of core capital. |
Selected Financial Statement Li
Selected Financial Statement Line Items | 3 Months Ended |
Mar. 31, 2020 | |
Selected Financial Statement Data [Abstract] | |
Selected Financial Statement Line Items | Selected Financial Statement Line Items The table below presents the significant components of investment gains (losses), net on our condensed consolidated statements of comprehensive income (loss). Table 18.1 - Significant Components of Investment Gains (Losses), Net (In millions) 1Q 2020 1Q 2019 Investment gains (losses), net: Mortgage loans gains (losses) $1,172 $934 Investment securities gains (losses) 1,055 144 Debt gains (losses) 700 15 Derivative gains (losses) (3,762 ) (1,606 ) Investment gains (losses), net ($835 ) ($513 ) The table below presents the significant components of other assets and other liabilities on our condensed consolidated balance sheets. Table 18.2 - Significant Components of Other Assets and Other Liabilities (In millions) March 31, 2020 December 31, 2019 Other assets: Real estate owned, net $457 $555 Accounts and other receivables (1) 17,200 10,780 Guarantee asset 4,565 4,426 Secured lending and other 6,066 5,158 All other 3,273 1,880 Total other assets $31,561 $22,799 Other liabilities: Guarantee obligation $4,313 $4,292 All other 3,535 3,750 Total other liabilities $7,848 $8,042 (1) Primarily consists of servicer receivables and other non-interest receivables. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation | 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. Certain amounts in prior periods' condensed consolidated financial statements have been reclassified to conform to the current presentation. See Note 1 in our 2019 Annual Report for additional information on these reclassifications. 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. Beginning January 1, 2020, we elected to offset payables related to securities sold under agreements to repurchase against receivables related to securities purchased under agreements to resell, when such amounts meet the conditions for balance sheet offsetting under GAAP. Certain amounts in prior periods' condensed financial statements have been reclassified to conform to the current presentation. See Note 10 in this Form 10-Q for additional information. We evaluate the materiality of identified errors in the financial statements using both an income statement, or "rollover," and a balance sheet, or "iron curtain," approach, based on relevant quantitative and qualitative factors. The financial statements include certain adjustments to correct immaterial errors related to previously reported periods. |
Use of Estimates | Use of Estimates The preparation of financial statements requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues, expenses, gains, and losses during the reporting period. Management has made significant estimates in preparing the financial statements for establishing the allowance for credit losses and valuing financial instruments and other assets and liabilities. Actual results could be different from these estimates. |
Recently Adopted or Issued Accounting Guidance | Recently Issued Accounting Guidance Recently Adopted Accounting Guidance Standard Description Date of Adoption Effect on Condensed Consolidated Financial Statements ASU 2016-13 , Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments; ASU 2019-04 , Codification Improvements to Topic 326, Financial Instruments - Credit Losses; and ASU 2019-11, Codification Improvements to Topic 326, Financial Instruments - Credit Losses The amendments in these Updates replace the incurred loss impairment methodology with a methodology that reflects lifetime expected credit losses and requires consideration of a broader range of reasonable and supportable information to inform credit loss estimates. January 1, 2020 Due to the adoption of these Updates, we recognized a reduction to retained earnings of $0.2 billion through a cumulative-effect adjustment on January 1, 2020. See the CECL Transition Impacts section below for additional information on transition impacts. See Note 4 , Note 5 , Note 6 , and Note 7 for additional information on the changes in our significant accounting policies as a result of our adoption of CECL. ASU 2018-13 , Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement The amendments in this Update modify the disclosure requirements on fair value measurements in Topic 820, Fair Value Measurements, based on the concepts in the Concepts Statement, including the consideration of costs and benefits. Certain disclosure requirements were either removed, modified, or added. January 1, 2020 We added disclosure of the change in unrealized gains or losses included in other comprehensive income for recurring Level 3 fair value measurements held at the end of the reporting period. See Note 15 for additional information. ASU 2018-15 , Intangibles -Goodwill and Other - Internal-Use Software (Subtopic 350-40): Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement That Is a Service Contract The amendments in this Update align the requirements for capitalizing implementation costs incurred in a hosting arrangement that is a service contract with the requirements for capitalizing implementation costs incurred to develop or obtain internal-use software (and hosting arrangements that include an internal-use software license). January 1, 2020 The adoption of the amendments did not have a material effect on our consolidated financial statements or on our disclosures. ASU 2018-17 , Consolidation (Topic 810): Targeted Improvements to Related Party Guidance for Variable Interest Entities The amendments in this Update require that indirect interests held through related parties under common control be considered on a proportional basis when determining whether fees paid to decision makers or service providers are variable interests. These amendments align with the determination of whether a reporting entity within a related party group is the primary beneficiary of a VIE. January 1, 2020 The adoption of the amendments did not have a material effect on our consolidated financial statements or on our disclosures. ASU 2019-01 , Leases (Topic 842): Codification Improvements The amendments in this Update provide guidance for the: (1) lessor's fair value determination of the lease's underlying asset; (2) lessor's statement of cash flows presentation of cash received from sales-type and direct financing leases; and (3) removal of interim transition disclosure requirements related to changes in accounting principles. January 1, 2020 The adoption of the amendments did not have a material effect on our consolidated financial statements or on our disclosures. ASU 2020-04 , Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting The amendments in this Update provide temporary optional expedients and exceptions for applying GAAP to contract modifications and hedging relationships, subject to meeting certain criteria, that reference LIBOR or other interbank offered rates expected to be discontinued. January 1, 2020 The adoption of the amendments did not have a material effect on our consolidated financial statements or on our disclosures. Recently Issued Accounting Guidance, Not Yet Adopted Within Our Condensed Consolidated Financial Statements Standard Description Date of Planned Adoption Effect on Consolidated Financial Statements ASU 2019-12 , Income Taxes (Topic 740): Simplifying the Accounting for Income Taxes The amendments in this Update simplify the accounting for income taxes by removing certain exceptions for investments, intraperiod allocations, and interim calculations, and adds guidance to reduce the complexity of applying Topic 740. January 1, 2021 We do not expect that the adoption of these amendments will have a material effect on our consolidated financial statements. CECL Transition Impacts The table below provides details on the transition impacts of adopting CECL. Other balance sheet lines not presented were not affected by CECL. Table 1.1 CECL Transition Impacts (In millions) December 31, 2019 Transition Adjustments January 1, 2020 Assets Mortgage loans held-for-investment: Single-family $1,971,657 $199 $1,971,856 Multifamily 17,489 — 17,489 Less allowance for credit losses: Single-family (4,222 ) (668 ) (4,890 ) Multifamily (12 ) (24 ) (36 ) Mortgage loans held-for-investment, net 1,984,912 (493 ) 1,984,419 Deferred tax assets, net 5,918 64 5,982 Other assets 22,799 193 22,992 Total transition adjustments ($236 ) Liabilities and equity Other liabilities 8,042 4 8,046 Retained earnings (accumulated deficit) (74,188 ) (240 ) (74,428 ) Total transition adjustments ($236 ) |
Consolidation, Variable Interest Entity, Policy | Securitization Activities and Consolidation |
Mortgage Loans Policy | We own both single-family loans, which are secured by one- to four-unit residential properties, and multifamily loans, which are secured by properties with five or more residential rental units. Our single-family loans are predominantly first lien, fixed-rate loans secured by the borrower's primary residence. We do not typically acquire loans that have experienced more-than-insignificant deterioration in credit quality since origination as of our acquisition date, although we may acquire such loans in connection with performance under certain of our securitization activity or other mortgage-related guarantees. In addition, in April 2020, we announced that we would temporarily purchase certain single-family mortgage loans that have entered into forbearance as a result of borrower hardship caused by the COVID-19 pandemic and that these loans will be priced to mitigate the heightened risk of loss that they present. Upon acquisition, we classify a loan as either held-for-investment or held-for-sale based on our intent with respect to the loan. Loans that we have the ability and intent to hold for the foreseeable future, including loans held by consolidated trusts and loans we intend to securitize using an entity we will consolidate, are classified as held-for-investment. Loans that we intend to sell are classified as held-for-sale. Held-for-investment loans for which we have not elected the fair value option are reported on our condensed consolidated balance sheets at their amortized cost basis, net of the allowance for credit losses. The amortized cost basis is based on a loan’s outstanding UPB, net of deferred fees and other cost basis adjustments (including unamortized premiums and discounts, upfront fees, commitment-related derivative basis adjustments, fair value hedge accounting adjustments, and other pricing adjustments), excluding accrued interest receivable. Accrued interest receivable for both held-for-investment and held-for-sale loans is separately presented on our condensed consolidated balance sheets and excluded for the purposes of disclosure of the amortized cost basis of mortgage loans held-for-investment. Held-for-sale loans for which we have not elected the fair value option are reported at lower-of-cost-or-fair-value on our condensed consolidated balance sheets. Any excess of a held-for-sale loan's cost over its fair value is recognized as a valuation allowance in investment gains (losses), net on our condensed consolidated statements of comprehensive income (loss), with subsequent changes in this valuation allowance also being recorded in investment gains (losses), net. Premiums, discounts, and other cost basis adjustments (including lower-of-cost-or-fair-value adjustments) are deferred and not amortized. We elect the fair value option for certain multifamily loans that are originally classified as held-for-sale. Loans for which we have elected the fair value option are measured at fair value on a recurring basis, with subsequent gains or losses related to changes in fair value reported in investment gains (losses), net on our condensed consolidated statements of comprehensive income (loss). All fees, upfront costs, and other cost basis adjustments are recognized in earnings as incurred. Cash flows related to loans originally classified as held-for-investment are classified as either investing activities (e.g., principal repayments) or operating activities (e.g., interest payments received from borrowers included within net income (loss)). Cash flows related to loans originally classified as held-for-sale are classified as operating activities. |
Nonaccrual Loan Policy | We recognize interest income on an accrual basis except when we believe the collection of principal and interest in full is not reasonably assured, which generally occurs when a loan is three monthly payments or more past due, at which point we place the loan on non-accrual status unless the loan is well secured and in the process of collection based upon an individual loan assessment. A loan is considered past due if a full payment of principal and interest is not received within one month of its due date. We charge off outstanding accrued interest receivable through interest income when loans are placed on non-accrual status and recognize interest income on a cash basis while a loan is on non-accrual status. Cost basis adjustments on held-for-investment loans are amortized into interest income over the contractual life of the loan using the effective interest method. No amortization is recognized during periods in which a loan is on non-accrual status. A non-accrual loan is returned to accrual status when the collectability of principal and interest in full is reasonably assured. For single-family loans, we generally determine that collectability is reasonably assured when the loan returns to current payment status. For multifamily loans, the collectability of principal and interest is considered reasonably assured based on an analysis of the factors specific to the loan being assessed. Upon a loan's return to accrual status, all previously reversed interest income is recognized and amortization of any basis adjustments into interest income is resumed. |
Allowance for Credit Losses Policy | Upon adoption of CECL on January 1, 2020, we measure an allowance for credit losses on cash equivalents based on expected credit losses over the contractual term of the instrument. As of March 31, 2020, we did not recognize an allowance for credit losses on our cash equivalents due to their overall high credit quality and short-term nature. Allowance for Credit Losses On January 1, 2020, we adopted CECL. The objective of CECL is to recognize an allowance for credit losses that is deducted from or added to the amortized cost basis of the financial asset to present the net amount expected to be collected on the financial asset on the balance sheet. Under CECL, an allowance for credit losses is recognized before a loss event has been incurred, which results in earlier recognition of credit losses compared to the previous incurred loss methodology. Our allowance for credit losses on mortgage loans pertains to all single-family and multifamily loans classified as held-for-investment for which we have not elected the fair value option. We recognize changes in the allowance for credit losses by recording a provision for credit losses (or reversal of a provision for credit losses) on our condensed consolidated statements of comprehensive income (loss). We measure the allowance for credit losses on a collective basis when our loans share similar risk characteristics. We record charge-offs in the period in which a loan is deemed uncollectible. Proceeds received in excess of amounts previously written off are recorded as a decrease to REO operations expense on our condensed consolidated statements of comprehensive income (loss). We may incur expenses related to a mortgage loan subsequent to its original acquisition but prior to foreclosure (pre-foreclosure costs). These expenses are generally to protect or preserve our interest or legal right in or to the property prior to foreclosure, such as property taxes or homeowner's insurance premiums owed by the borrower. Many of these expenses are advanced by the servicer and are reimbursable from the borrower. If the borrower ultimately defaults, we reimburse the servicer for the advances it has made. Upon advance by the servicer, we recognize a receivable for the amounts due from the borrower and a payable for amounts due to the servicer. We recognize an allowance for credit losses for amounts that we do not ultimately expect to collect from the borrower (allowance for credit losses on pre-foreclosure costs). We estimate the allowance for credit losses for single-family loans on a pooled basis using a discounted cash flow model that evaluates a variety of factors to estimate the cash flows we expect to collect. If we determine that foreclosure on the underlying collateral is probable, we measure the allowance for credit losses for single-family loans based upon the fair value of the collateral, less costs to sell, adjusted for estimated proceeds from attached credit enhancements. The discounted cash flow model we use to estimate the single-family loan allowance for credit losses forecasts cash flows over the loan’s remaining contractual life, adjusted for expectations of prepayments and TDRs we reasonably expect will occur. We do not have a reasonable and supportable forecast period beyond which we revert to historical loss information. Cash flow estimates are discounted at the loan’s prepayment-adjusted effective interest rate. For adjustable-rate loans, forecasts are adjusted for projections in the underlying benchmark interest rate. For both fixed-rate and adjustable-rate loans, we forecast cash flows we expect to collect using our historical experience, such as historical default rates and severity of loss based on loan characteristics, adjusted for current and future economic forecasts, such as current and projected home price appreciation and interest rate forecasts, and estimated recoveries from loss mitigation activities, attached credit enhancements, and disposition of collateral, less estimated disposition costs. We also calculate allowance for credit losses for advances of pre-foreclosure costs based on the amounts we expect to collect using our historical experience such as historical default rates. Our adoption of CECL on January 1, 2020 did not result in significant changes to our accounting policies for credit enhancements. Upon adoption of CECL, we continue to consider expected recoveries from attached credit enhancements in measuring the allowance for credit losses, resulting in a reduction in the recognized provision for credit losses by the amount of the expected recoveries. We also continue to recognize expected recoveries from freestanding credit enhancements separately in other assets on our condensed consolidated balance sheets, with an offsetting reduction to credit enhancement (expense) benefit, net, at the same time that we recognize an allowance for credit losses on the covered loans, measured on the same basis as the allowance for credit losses on the covered loans. See Note 6 in our 2019 Annual Report for additional information on our significant accounting policies for credit enhancements. Adoption of CECL resulted in an increase of $0.3 billion in our expected recovery receivable balance as the amount of expected recoveries from freestanding credit enhancements increased in conjunction with the increase in expected losses on the covered mortgage loans. Upon adoption of CECL, we measure credit losses on our expected recovery receivables based on our estimate of current expected credit losses over the contractual term of the contract. For information about counterparty credit risk associated with mortgage insurers and other credit enhancement providers, see Note 14 . Allowance for Credit Losses On January 1, 2020, we adopted CECL, which changes the accounting for credit losses on available-for-sale debt securities from the other-than-temporary impairment methodology to a new methodology that uses an allowance for credit losses. We evaluate available-for-sale securities in an unrealized loss position as of the end of each quarter to determine whether the decline in value is from a credit loss or other factors. An unrealized loss exists when the fair value of an individual lot is less than its amortized cost basis. When qualitative factors indicate that a credit loss may exist, we compare the present value of cash flows expected to be collected from the security with the amortized cost basis of the security. We recognize an allowance for credit losses measured as the difference between the present value of expected cash flows and the amortized cost basis of the security, limited by the amount that the security’s fair value is less than its amortized cost basis. The present value of cash flows expected to be collected represents our best estimate of future contractual cash flows that we expect to collect, discounted at the security's implicit effective interest rate. If we intend to sell the security or we believe it is more likely than not we will be required to sell the security before recovery of its amortized cost basis, we charge-off any allowance for credit losses by writing down the security’s amortized basis to its fair value. Subsequently, increases in fair value are recognized through AOCI. However, if there are significant increases in the cash flows expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, we recognize those changes as a prospective adjustment to the yield of the security. |
Troubled Debt Restructuring | Troubled Debt Restructurings A modification to the contractual terms of a loan that results in granting a concession to a borrower experiencing financial difficulties is considered a TDR. A concession is deemed granted when, as a result of the restructuring, we do not expect to collect all amounts due, including interest accrued, at the original contractual interest rate. As appropriate, we also consider other qualitative factors in determining whether a concession is deemed granted, including whether the borrower's modified interest rate is consistent with that of a non-troubled borrower. We do not consider restructurings that result in an insignificant delay in payment to be a concession. We generally consider a delay in monthly amortizing payments of three months or less to be insignificant. A concession typically includes one or more of the following being granted to the borrower: n A trial period where the expected permanent modification will change our expectation of collecting all amounts due at the original contract rate; n A delay in payment that is more than insignificant; n A reduction in the contractual interest rate; n Interest forbearance for a period of time that is more than insignificant or forgiveness of accrued but uncollected interest amounts; n Principal forbearance that is more than insignificant; and n Discharge of the borrower's obligation in Chapter 7 bankruptcy. |
Loan Reclassifications Change, Policy | We reclassify loans from held-for-investment to held-for-sale when we no longer have both the intent and ability to hold the loan for the foreseeable future. Upon reclassification from held-for-investment to held-for-sale, we perform a collectability assessment. When we determine that a loan to be transferred has experienced more-than-insignificant deterioration in credit quality since origination, the excess of the loan’s amortized cost basis over its fair value is written off against the allowance for credit losses prior to the transfer. For all other loans, upon a transfer from held-for-investment to held-for-sale, we reverse the loan’s existing allowance for credit losses, if any, and establish a held-for-sale valuation allowance if the loan’s fair value is less than its amortized cost basis. We reclassify loans from held-for-sale to held-for-investment when we have both the intent and ability to hold the loan for the foreseeable future. Upon a loan reclassification from held-for-sale to held-for-investment, we reverse the loan’s held-for-sale valuation allowance, if any, and establish an allowance for credit losses as needed. |
Guarantees, Indemnifications and Warranties Policies | We generate revenue through our guarantee activities by agreeing to absorb the credit risk associated with certain financial instruments that are owned or held by third parties. In exchange for providing this guarantee, we receive an ongoing guarantee fee that is commensurate with the risks assumed and that will, over the long-term, provide us with cash flows that are expected to exceed the credit-related and administrative expenses of the underlying financial instruments. The profitability of our guarantee activities may vary and will be dependent on our guarantee fee and the actual credit performance of the underlying financial instruments that we have guaranteed. |
Allowance for Credit Losses on off-Balance Sheet Credit Exposure, Policy | Allowance for Credit Losses on Off-Balance Sheet Credit Exposures Upon adoption of CECL on January 1, 2020, we began recognizing an allowance for credit losses on off-balance sheet credit exposures for our guarantees that are not measured at fair value and other off-balance sheet arrangements based on expected credit losses over the contractual period in which we are exposed to credit risk via a present contractual obligation to extend credit, unless that obligation is unconditionally cancellable by us. We include this allowance for credit losses on off-balance sheet credit exposures within other liabilities on our condensed consolidated balance sheets, with changes recognized through benefit (provision) for credit losses on our condensed consolidated statements of comprehensive income (loss). |
Credit Enhancements | Credit enhancement (expense) benefit, net primarily relates to freestanding credit enhancements. We do not typically recognize separate expenses for attached credit enhancements, as attached credit enhancements are accounted for on a net basis with the underlying financial instruments. The expenses associated with debt with embedded credit enhancements are generally recorded in interest expense. |
Derivatives, Methods of Accounting, Hedging Derivatives | 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 (i.e., LIBOR), using LIBOR-based interest-rate swaps. If a hedge relationship qualifies for fair value hedge accounting, all changes in fair value of the derivative hedging instrument, including interest accruals, are recognized in the same condensed consolidated statements of comprehensive income (loss) line item used to present the earnings effect of the hedged item. Therefore, changes in the fair value of the hedged item, mortgage loans and debt, attributable to the risk being hedged are recognized in interest income - mortgage loans and interest expense, respectively, along with the changes in the fair value of the respective derivative hedging instruments. |
Repurchase and Resale Agreements Policy | Securities Purchased Under Agreements to Resell As an investor, we enter into arrangements to purchase securities under agreements to subsequently resell the identical or substantially the same securities to our counterparty. Our counterparties to these transactions are required to pledge the purchased securities as collateral for their obligation to repurchase those securities at a later date. While such transactions involve the legal transfer of securities, they are accounted for as secured financings because the transferor does not relinquish effective control over the securities transferred. These agreements may allow us to repledge all or a portion of the collateral pledged to us, and we may repledge such collateral periodically, although it is not typically our practice to repledge collateral that has been pledged to us. We consider the types of securities being pledged to us as collateral when determining how much we lend in transactions involving securities purchased under agreements to resell. Additionally, we regularly review the market values of these securities compared to amounts loaned in an effort to manage our exposure to losses, and our counterparties are typically required under contract to adjust the amount of collateral based on changes in the fair value of the collateral. As of March 31, 2020 and December 31, 2019, all of our securities purchased under agreements to resell were fully collateralized and we expect our counterparties to continue to replenish the collateral as necessary to meet the requirements of the contract. Therefore, as of March 31, 2020, we did not recognize an allowance for credit losses on our securities purchased under agreements to resell nor have we recognized any charge-offs of accrued interest receivable. We present accrued interest receivable separately on our condensed consolidated balance sheets. As of March 31, 2020 and December 31, 2019, we recognized accrued interest receivable for securities purchased under agreements to resell of $12 million and $18 million , respectively. During 1Q 2020, certain of our counterparties engaging in securities purchased under agreements to resell on Freddie Mac securities defaulted under the terms of the governing legal agreements by failing to meet margin requirements. The transactions were terminated in accordance with the terms of the agreements and we recognized the collateral at fair value, which was in excess of the outstanding balance of the counterparties' obligations. We did not recognize a financial loss as a result of these defaults. Securities Sold Under Agreements to Repurchase Securities sold under agreements to repurchase are effectively collateralized borrowings where we sell securities with an agreement to repurchase such securities at a future date. We are required to pledge the sold securities to the counterparties to these transactions as collateral for our repurchase obligation. Similar to the securities purchased under agreements to resell transactions, these transactions involve the legal transfer of securities. However, they are accounted for as secured financings because they require the identical or substantially the same securities to be subsequently repurchased. These agreements may allow our counterparties to repledge all or a portion of the collateral. Offsetting of Financial Assets and Liabilities At March 31, 2020 and December 31, 2019 , all amounts of cash collateral related to derivatives with master netting and collateral agreements were offset against derivative assets, net or derivative liabilities, net, as applicable. Beginning January 1, 2020, we elected to offset payables related to securities sold under agreements to repurchase against receivables related to securities purchased under agreements to resell when such amounts meet the conditions for balance sheet offsetting. Certain amounts in prior periods' condensed consolidated financial statements have been reclassified to conform to the current presentation. This change resulted in a reduction in debt of $9.8 billion and a corresponding reduction in securities purchased under agreements to resell on our consolidated balance sheets as of December 31, 2019 . |
Earnings Per Common Share | Earnings Per Share We have participating securities related to RSUs with dividend equivalent rights that receive dividends as declared on an equal basis with common shares but are not obligated to participate in undistributed net losses. These participating securities consist of vested RSUs that earn dividend equivalents at the same rate when and as declared on common stock. Consequently, in accordance with accounting guidance, we use the "two-class" method of computing earnings per common share. The "two-class" method is an earnings allocation formula that determines earnings per share for common stock and participating securities based on dividends declared and participation rights in undistributed earnings. Basic earnings per common share is computed as net income attributable to common stockholders divided by the weighted average common shares outstanding for the period. The weighted average common shares outstanding for the period includes the weighted average number of shares that are associated with the warrant for our common stock issued to Treasury pursuant to the Purchase Agreement. These shares are included since the warrant is unconditionally exercisable by the holder at a minimal cost. Diluted earnings per common share is computed as net income attributable to common stockholders divided by the weighted average common shares outstanding during the period adjusted for the dilutive effect of common equivalent shares outstanding. For periods with net income attributable to common stockholders, the calculation includes the effect of the weighted-average of RSUs. During periods in which a net loss attributable to common stockholders has been incurred, potential common equivalent shares outstanding are not included in the calculation because it would have an antidilutive effect. |
Fair Value of Financial Instruments | The accounting guidance for fair value measurements and disclosures defines fair value, establishes a framework for measuring fair value, and sets forth disclosure requirements regarding fair value measurements. This guidance applies whenever other accounting guidance requires or permits assets or liabilities to be measured at fair value. Fair value represents the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value measurement assumes that the transaction to sell the asset or transfer the liability takes place either in the principal market for the asset or liability, or, in the absence of a principal market, in the most advantageous market for the asset or liability. 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. Fair Value Measurements The accounting guidance for fair value measurements and disclosures establishes a three-level fair value hierarchy that prioritizes the inputs into the valuation techniques used to measure fair value. The levels of the fair value hierarchy are defined as follows in priority order: n Level 1 - inputs to the valuation techniques are based on quoted prices in active markets for identical assets or liabilities. n Level 2 - inputs to the valuation techniques are based on observable inputs other than quoted prices in active markets for identical assets or liabilities. n Level 3 - one or more inputs to the valuation technique are unobservable and significant to the fair value measurement. We use quoted market prices and valuation techniques that seek to maximize the use of observable inputs, where available, and minimize the use of unobservable inputs. Our inputs are based on the assumptions a market participant would use in valuing the asset or liability. Assets and liabilities are classified in their entirety within the fair value hierarchy based on the lowest level input that is significant to the fair value measurement. |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Recently Adopted or Issued Accounting Guidance | Recently Issued Accounting Guidance Recently Adopted Accounting Guidance Standard Description Date of Adoption Effect on Condensed Consolidated Financial Statements ASU 2016-13 , Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments; ASU 2019-04 , Codification Improvements to Topic 326, Financial Instruments - Credit Losses; and ASU 2019-11, Codification Improvements to Topic 326, Financial Instruments - Credit Losses The amendments in these Updates replace the incurred loss impairment methodology with a methodology that reflects lifetime expected credit losses and requires consideration of a broader range of reasonable and supportable information to inform credit loss estimates. January 1, 2020 Due to the adoption of these Updates, we recognized a reduction to retained earnings of $0.2 billion through a cumulative-effect adjustment on January 1, 2020. See the CECL Transition Impacts section below for additional information on transition impacts. See Note 4 , Note 5 , Note 6 , and Note 7 for additional information on the changes in our significant accounting policies as a result of our adoption of CECL. ASU 2018-13 , Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement The amendments in this Update modify the disclosure requirements on fair value measurements in Topic 820, Fair Value Measurements, based on the concepts in the Concepts Statement, including the consideration of costs and benefits. Certain disclosure requirements were either removed, modified, or added. January 1, 2020 We added disclosure of the change in unrealized gains or losses included in other comprehensive income for recurring Level 3 fair value measurements held at the end of the reporting period. See Note 15 for additional information. ASU 2018-15 , Intangibles -Goodwill and Other - Internal-Use Software (Subtopic 350-40): Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement That Is a Service Contract The amendments in this Update align the requirements for capitalizing implementation costs incurred in a hosting arrangement that is a service contract with the requirements for capitalizing implementation costs incurred to develop or obtain internal-use software (and hosting arrangements that include an internal-use software license). January 1, 2020 The adoption of the amendments did not have a material effect on our consolidated financial statements or on our disclosures. ASU 2018-17 , Consolidation (Topic 810): Targeted Improvements to Related Party Guidance for Variable Interest Entities The amendments in this Update require that indirect interests held through related parties under common control be considered on a proportional basis when determining whether fees paid to decision makers or service providers are variable interests. These amendments align with the determination of whether a reporting entity within a related party group is the primary beneficiary of a VIE. January 1, 2020 The adoption of the amendments did not have a material effect on our consolidated financial statements or on our disclosures. ASU 2019-01 , Leases (Topic 842): Codification Improvements The amendments in this Update provide guidance for the: (1) lessor's fair value determination of the lease's underlying asset; (2) lessor's statement of cash flows presentation of cash received from sales-type and direct financing leases; and (3) removal of interim transition disclosure requirements related to changes in accounting principles. January 1, 2020 The adoption of the amendments did not have a material effect on our consolidated financial statements or on our disclosures. ASU 2020-04 , Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting The amendments in this Update provide temporary optional expedients and exceptions for applying GAAP to contract modifications and hedging relationships, subject to meeting certain criteria, that reference LIBOR or other interbank offered rates expected to be discontinued. January 1, 2020 The adoption of the amendments did not have a material effect on our consolidated financial statements or on our disclosures. Recently Issued Accounting Guidance, Not Yet Adopted Within Our Condensed Consolidated Financial Statements Standard Description Date of Planned Adoption Effect on Consolidated Financial Statements ASU 2019-12 , Income Taxes (Topic 740): Simplifying the Accounting for Income Taxes The amendments in this Update simplify the accounting for income taxes by removing certain exceptions for investments, intraperiod allocations, and interim calculations, and adds guidance to reduce the complexity of applying Topic 740. January 1, 2021 We do not expect that the adoption of these amendments will have a material effect on our consolidated financial statements. CECL Transition Impacts The table below provides details on the transition impacts of adopting CECL. Other balance sheet lines not presented were not affected by CECL. Table 1.1 CECL Transition Impacts (In millions) December 31, 2019 Transition Adjustments January 1, 2020 Assets Mortgage loans held-for-investment: Single-family $1,971,657 $199 $1,971,856 Multifamily 17,489 — 17,489 Less allowance for credit losses: Single-family (4,222 ) (668 ) (4,890 ) Multifamily (12 ) (24 ) (36 ) Mortgage loans held-for-investment, net 1,984,912 (493 ) 1,984,419 Deferred tax assets, net 5,918 64 5,982 Other assets 22,799 193 22,992 Total transition adjustments ($236 ) Liabilities and equity Other liabilities 8,042 4 8,046 Retained earnings (accumulated deficit) (74,188 ) (240 ) (74,428 ) Total transition adjustments ($236 ) |
Securitization Activities and_2
Securitization Activities and Consolidation (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Securitization Activities and Consolidation [Abstract] | |
Table - Schedule of Various Interest Entities | The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on our condensed consolidated balance sheets. Table 3.1 - Consolidated VIEs (In millions) As of March 31, 2020 As of December 31, 2019 Condensed Consolidated Balance Sheet Line Item Assets: Cash and cash equivalents (includes $17,855 and $869 of restricted cash and cash equivalents) $17,856 $870 Securities purchased under agreements to resell 13,510 23,137 Investment securities, at fair value 1,536 597 Mortgage loans held-for-investment, net 1,963,630 1,940,523 Accrued interest receivable 6,181 6,170 Other assets 14,332 9,824 Total assets of consolidated VIEs $2,017,045 $1,981,121 Liabilities: Accrued interest payable $5,551 $5,536 Debt 1,930,005 1,898,355 Other liabilities — 1 Total liabilities of consolidated VIEs $1,935,556 $1,903,892 Table 3.2 - Non-Consolidated VIEs (In millions) As of March 31, 2020 As of December 31, 2019 Assets and Liabilities Recorded on our Condensed Consolidated Balance Sheets (1) Assets: Investment securities, at fair value $35,660 $37,918 Accrued interest receivable 208 212 Derivative assets, net 8 14 Other assets 4,465 3,951 Liabilities: Derivative liabilities, net 109 108 Other liabilities 3,752 3,761 Maximum Exposure to Loss (2) 322,557 307,820 Total Assets of Non-Consolidated VIEs 342,265 335,562 (1) Includes our variable interests in REMICs and Strips, commingled Supers, K Certificates, SB Certificates, certain senior subordinate securitization structures, and other securitization products that we do not consolidate. (2) Includes amounts related to Fannie Mae securities backing non-consolidated Freddie Mac resecuritizations trusts. These amounts were previously included in text in prior periods. |
Mortgage Loans and Loan Loss _2
Mortgage Loans and Loan Loss Reserves (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Table - Mortgage Loans | The table below provides details of the loans on our condensed consolidated balance sheets. Table 4.1 - Mortgage Loans March 31, 2020 December 31, 2019 (In millions) Held by Freddie Mac Held by Total Held by Freddie Mac Held by Total Held-for-sale: Single-family $18,474 $— $18,474 $18,543 $— $18,543 Multifamily 15,929 — 15,929 18,954 — 18,954 Total UPB 34,403 — 34,403 37,497 — 37,497 Cost basis and fair value adjustments, net (1,901 ) — (1,901 ) (2,209 ) — (2,209 ) Total held-for-sale loans, net 32,502 — 32,502 35,288 — 35,288 Held-for-investment: Single-family 40,626 1,921,521 1,962,147 35,324 1,902,958 1,938,282 Multifamily 10,421 7,837 18,258 10,831 6,642 17,473 Total UPB 51,047 1,929,358 1,980,405 46,155 1,909,600 1,955,755 Cost basis adjustments 532 39,339 39,871 (183 ) 33,574 33,391 Allowance for credit losses (1,054 ) (5,067 ) (6,121 ) (1,583 ) (2,651 ) (4,234 ) Total held-for-investment loans, net 50,525 1,963,630 2,014,155 44,389 1,940,523 1,984,912 Total mortgage loans, net $83,027 $1,963,630 $2,046,657 $79,677 $1,940,523 $2,020,200 The table below provides details of the UPB of loans we purchased, reclassified from held-for-investment to held-for-sale, and sold during the periods presented. Table 4.2 - Loans Purchased, Reclassified from Held-for-Investment to Held-for-Sale, and Sold (In billions) 1Q 2020 1Q 2019 Single-family: Purchases Held-for-investment loans $137.7 $69.7 Reclassified from held-for-investment to held-for-sale (1) 2.6 4.1 Sale of held-for-sale loans (2) 2.2 2.1 Multifamily: Purchases Held-for-investment loans 1.2 1.0 Held-for-sale loans 8.2 11.6 Reclassified from held-for-investment to held-for-sale (1) — 0.5 Sale of held-for-sale loans (3) 10.7 14.7 (1) We reclassify loans from held-for-investment to held-for-sale when we no longer have both the intent and ability to hold the loans for the foreseeable future. For additional information regarding the fair value of our loans classified as held-for-sale, see Note 15 . (2) Our sales of single-family loans reflect the sale of seasoned single-family mortgage loans. (3) Our sales of multifamily loans occur primarily through the issuance of multifamily K Certificates and SB Certificates. See Note 3 |
Table - Amortized Cost Basis of Held-for-Investment Loans on Nonaccrual | 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 period presented. Table 4.3 - Loan Reclassifications 1Q 2020 (In millions) Unpaid Principal Balance Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed Single-family reclassifications from: Held-for-investment to held-for-sale (1) $2,637 $214 $— Held-for-sale to held-for-Investment 1 — — Multifamily reclassifications from: Held-for-investment to held-for-sale 32 — — Held-for-sale to held-for-Investment 482 (1 ) — (1) Prior to reclassification from held-for-investment to held-for-sale, we charged-off $79 million against the allowance for credit losses during 1Q 2020. The table below presents the amortized cost basis of non-accrual loans at the beginning and end of the periods presented, including the interest income recognized for the periods presented that is related to the loans on non-accrual status at end of the periods. Table 4.4 - Amortized Cost Basis of Held-for-Investment Loans on Non-accrual Non-accrual Amortized Cost Basis Interest Income Recognized (In millions) January 1, 2020 March 31, 2020 1Q 2020 Single-family: 20- and 30-year or more, amortizing fixed-rate $5,598 $5,494 $4 15-year amortizing fixed-rate 242 241 — Adjustable-rate 91 83 — Alt-A, interest-only, and option ARM 439 389 2 Total single-family 6,370 6,207 6 Total multifamily 13 13 — Total single-family and multifamily $6,383 $6,220 $6 The table below presents our allowance for loan losses and our recorded investment in loans held-for-investment by impairment evaluation methodology. Table 4.12 - Net Investment in Loans December 31, 2019 (In millions) Single-family Multifamily Total Recorded investment: Collectively evaluated $1,936,208 $17,408 $1,953,616 Individually evaluated 35,449 81 35,530 Total recorded investment 1,971,657 17,489 1,989,146 Ending balance of the allowance for loan losses: Collectively evaluated (1,350 ) (12 ) (1,362 ) Individually evaluated (2,872 ) — (2,872 ) Total ending balance of the allowance (4,222 ) (12 ) (4,234 ) Net investment in loans $1,967,435 $17,477 $1,984,912 |
Table - Detail of Allowance for Credit Losses | The table below provides the amount of accrued interest receivable presented on our condensed consolidated balance sheets and the amount of accrued interest receivable related to loans on non-accrual status at end of the periods that is written off through reversal of interest income on our condensed consolidated statements of comprehensive income (loss) by portfolio. Table 4.5 - Accrued Interest Receivable and Related Charge-offs March 31, 2020 1Q 2020 (In millions) Accrued Interest Receivable Accrued Interest Receivable Related Charge-offs Single-family loans $6,320 ($29 ) Multifamily loans 118 — The table below summarizes changes in our allowance for credit losses for single-family and multifamily loans held-for-investment and related single-family advances of pre-foreclosure costs. Provision (benefit) for credit losses shifted to a provision in 1Q 2020 from a benefit in 1Q 2019 as we incorporated our forecasts of higher expected credit losses as a result of the COVID-19 pandemic, resulting in an increase of more than 20% in the allowance for credit losses related to our single-family guarantee portfolio in 1Q 2020. The increase in the allowance from higher expected credit losses related to the pandemic was partially offset by a benefit from higher estimated prepayments as a result of the significant decline in interest rates during 1Q 2020. In addition, charge-offs decreased in 1Q 2020 due to a lower volume of transfers of single-family loans from held-for-investment to held-for-sale. The decline in economic activity caused by the COVID-19 pandemic, and the corresponding government response, is unprecedented, and as a result, our estimate of expected credit losses is subject to significant uncertainty. Table 4.6 - Details of the Allowance for Credit Losses (In millions) 1Q 2020 1Q 2019 Single-family: Beginning balance (1) $5,184 $6,130 Provision (benefit) for credit losses 1,164 (137 ) Charge-offs (162 ) (604 ) Recoveries collected 88 106 Other 24 41 Single-family ending balance 6,298 5,536 Multifamily ending balance 77 10 Total ending balance $6,375 $5,546 (1) Includes transition adjustments recognized upon the adoption of CECL on January 1, 2020. See Note 1 for more information on transition adjustments. |
Table - Recorded Investment of Held-For-Investment Mortgage Loans, by LTV Ratio and Credit Quality Indicator | The tables below present the amortized cost basis of single-family held-for-investment loans by current LTV ratios. Our current LTV ratios are estimates based on available data through the end of each respective period presented. For reporting purposes: n Loans within the Alt-A category continue to be presented in that category following modification, even though the borrower may have provided full documentation of assets and income to complete the modification and n Loans within the option ARM category continue to be presented in that category following modification, even though the modified loan no longer provides for optional payment provisions. Table 4.7 - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratios and Vintage March 31, 2020 Year of Origination Total (In millions) 2020 2019 2018 2017 2016 Prior Current LTV Ratio: 20- and 30-year or more, amortizing fixed-rate ≤ 80 $45,990 $229,800 $125,462 $176,050 $222,411 $637,471 $1,437,184 > 80 to 100 24,835 148,243 55,970 21,881 5,091 11,220 267,240 > 100 (1) 142 432 104 159 150 2,389 3,376 Total 20- and 30-year or more, amortizing fixed-rate 70,967 378,475 181,536 198,090 227,652 651,080 1,707,800 15-year amortizing fixed-rate ≤ 80 8,951 38,981 17,996 27,553 37,962 108,636 240,079 > 80 to 100 1,466 4,493 478 85 33 64 6,619 > 100 (1) 11 17 5 13 10 19 75 Total 15-year amortizing fixed-rate 10,428 43,491 18,479 27,651 38,005 108,719 246,773 Adjustable-rate ≤ 80 217 2,462 2,143 5,450 3,618 19,424 33,314 > 80 to 100 53 529 295 246 31 43 1,197 > 100 (1) — 1 — — — 4 5 Total Adjustable-rate 270 2,992 2,438 5,696 3,649 19,471 34,516 Alt-A, Interest-only, and option ARM ≤ 80 — — — — — 12,032 12,032 > 80 to 100 — — — — — 727 727 > 100 (1) — — — — — 138 138 Total Alt-A, Interest-only, and option ARM — — — — — 12,897 12,897 Total single-family loans $81,665 $424,958 $202,453 $231,437 $269,306 $792,167 $2,001,986 Referenced footnotes are included after the next table. December 31, 2019 Current LTV Ratio Total (In millions) ≤ 80 > 80 to 100 > 100 (1) 20- and 30-year or more, amortizing fixed-rate $1,405,562 $267,752 $3,954 $1,677,268 15-year amortizing fixed-rate 236,837 6,797 89 243,723 Adjustable-rate 35,478 1,425 6 36,909 Alt-A, interest-only, and option ARM 12,668 901 188 13,757 Total single-family loans $1,690,545 $276,875 $4,237 $1,971,657 (1) The serious delinquency rate for the single-family held-for-investment mortgage loans with current LTV ratios in excess of 100% was 4.03% and 4.51% as of March 31, 2020 and December 31, 2019, respectively. Multifamily The table below presents the amortized cost basis of our multifamily held-for-investment loans, 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 current financial strength and debt service capacity of the borrower; n "Special mention" has administrative issues that may affect future repayment prospects but does not have current credit weaknesses; 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. Table 4.8 - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator by Vintage March 31, 2020 December 31, 2019 Year of Origination Total Total (In millions) 2020 2019 2018 2017 2016 Prior Revolving Loans Category: Pass $1,110 $8,516 $1,361 $941 $687 $3,327 $ 2,060 $18,002 $17,227 Special mention — 37 29 20 — 92 — 178 141 Substandard — 2 19 8 5 76 — 110 121 Doubtful — — — — — — — — — Total $1,110 $8,555 $1,409 $969 $692 $3,495 $2,060 $18,290 $17,489 |
Table - TDR Activity | The table below presents the volume of single-family and multifamily loans that were newly classified as TDRs, based on the original product category of the loan before the loan was classified as a TDR. Loans classified as a TDR in one period may be subject to further action (such as a modification or remodification) in a subsequent period. In such cases, the subsequent action would not be reflected in the table below since the loan would already have been classified as a TDR. Table 4.10 - TDR Activity 1Q 2020 1Q 2019 (Dollars in millions) Number of Post-TDR Number of Post-TDR Single-family: (1) 20- and 30-year or more, amortizing fixed-rate 6,432 $1,127 7,459 $1,200 15-year amortizing fixed-rate 729 72 946 92 Adjustable-rate 97 17 157 25 Alt-A, interest-only, and option ARM 166 24 329 53 Total single-family 7,424 1,240 8,891 1,370 Multifamily — — — — (1) The pre-TDR amortized cost basis for single-family loans initially classified as TDR during 1Q 2020 and 1Q 2019 was $1.2 billion and $1.4 billion , respectively. |
Table - Payment Defaults of Completed TDR Modifications | The table below presents the volume of our TDR modifications that experienced payment defaults (i.e., loans that became two months delinquent or completed a loss event) during the applicable periods and had completed a modification during the year preceding the payment default. The table presents loans based on their original product category before modification and includes loans that were reclassified from held-for-investment to held-for-sale after TDR modifications. Table 4.11 - Payment Defaults of Completed TDR Modifications 1Q 2020 1Q 2019 (Dollars in millions) Number of Loans Post-TDR Amortized Cost Basis Number of Loans Post-TDR Amortized Cost Basis Single-family: 20- and 30-year or more, amortizing fixed-rate 2,504 $427 3,856 $409 15-year amortizing fixed-rate 119 14 125 7 Adjustable-rate 29 4 34 3 Alt-A, interest-only, and option ARM 164 32 310 44 Total single-family 2,816 477 4,325 463 Multifamily — — — — |
Table - Delinquency Rates | The table below summarizes the delinquency rates of loans within our single-family credit guarantee and multifamily mortgage portfolios. Table 4.14 - Delinquency Rates (Dollars in millions) December 31, 2019 Single-family: Non-credit-enhanced portfolio Serious delinquency rate 0.70 % Total number of seriously delinquent loans 42,485 Credit-enhanced portfolio: (1) Primary mortgage insurance: Serious delinquency rate 0.79 % Total number of seriously delinquent loans 15,261 Other credit protection: (2) Serious delinquency rate 0.40 % Total number of seriously delinquent loans 18,143 Total single-family: Serious delinquency rate 0.63 % Total number of seriously delinquent loans 70,162 Multifamily: (3) Non-credit-enhanced portfolio: Delinquency rate — % UPB of delinquent loans $2 Credit-enhanced portfolio: Delinquency rate 0.09 % UPB of delinquent loans $244 Total multifamily: Delinquency rate 0.08 % UPB of delinquent loans $246 (1) The credit-enhanced categories are not mutually exclusive, as a single loan may be covered by both primary mortgage insurance and other credit protection. (2) Consists of single-family loans covered by financial arrangements (other than primary mortgage insurance) that are designed to reduce our credit risk exposure. See Note 6 for additional information on our credit enhancements. (3) |
Table - Payment Status of Mortgage Loans | Past Due Status The tables below present the amortized cost basis of our single-family and multifamily loans, held-for-investment, by payment status. Table 4.9 - Amortized Cost Basis of Held -for-Investment Loans by Payment Status March 31, 2020 (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 Non-accrual With No Allowance (2) Single-family: 20- and 30-year or more, amortizing fixed-rate $1,682,763 $16,596 $3,190 $5,251 $1,707,800 $— $370 15-year amortizing fixed-rate 245,198 1,172 165 238 246,773 — 5 Adjustable-rate 34,133 260 41 82 34,516 — 3 Alt-A, interest-only, and option ARM 11,877 501 144 375 12,897 — 86 Total single-family 1,973,971 18,529 3,540 5,946 2,001,986 — 464 Total multifamily 18,290 — — — 18,290 — 13 Total single-family and multifamily $1,992,261 $18,529 $3,540 $5,946 $2,020,276 $— $477 December 31, 2019 (In millions) Current One Two Three Months or (1) Total Non-accrual Single-family: 20- and 30-year or more, amortizing fixed-rate $1,653,113 $15,481 $3,326 $5,348 $1,677,268 $5,822 15-year amortizing fixed-rate 242,177 1,131 175 240 243,723 252 Adjustable-rate 36,537 238 45 89 36,909 104 Alt-A, interest-only, and option ARM 12,690 489 161 417 13,757 205 Total single-family 1,944,517 17,339 3,707 6,094 1,971,657 6,383 Total multifamily 17,489 — — — 17,489 13 Total single-family and multifamily $1,962,006 $17,339 $3,707 $6,094 $1,989,146 $6,396 (1) Includes $1.7 billion and $1.8 billion of single-family loans that were in the process of foreclosure as of March 31, 2020 and December 31, 2019 , respectively. (2) Loans with no allowance 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. FHFA requires us to purchase loans out of consolidated trusts if they are delinquent for 120 days, and we have the option to purchase sooner under certain circumstances (e.g., imminent default and seller breaches of representations and warranties). Our practice generally has been to purchase loans from consolidated trusts when the loans have been delinquent for 120 days |
Table - Individually Impaired Loans | The table below presents the UPB, recorded investment, related allowance for loan losses, average recorded investment, and interest income recognized for individually impaired loans. Table 4.13 - Individually Impaired Loans December 31, 2019 1Q 2019 (In millions) UPB Recorded Investment Associated Allowance Average Recorded Investment Interest Income Recognized Interest Income Recognized On Cash Basis (3) Single-family: With no allowance recorded: (1) 20- and 30-year or more, amortizing fixed-rate $2,431 $1,927 N/A $2,686 $73 $4 15-year amortizing fixed-rate 21 20 N/A 21 — — Adjustable-rate 169 169 N/A 224 3 — Alt-A, interest-only, and option ARM 847 727 N/A 981 18 1 Total with no allowance recorded 3,468 2,843 N/A 3,912 94 5 With an allowance recorded: (2) 20- and 30-year or more, amortizing fixed-rate 28,824 28,667 ($2,416 ) 35,338 484 57 15-year amortizing fixed-rate 616 625 (13 ) 686 6 1 Adjustable-rate 131 130 (7 ) 147 1 1 Alt-A, interest-only, and option ARM 3,315 3,184 (436 ) 4,325 62 7 Total with an allowance recorded 32,886 32,606 (2,872 ) 40,496 553 66 Combined single-family: 20- and 30-year or more, amortizing fixed-rate 31,255 30,594 (2,416 ) 38,024 557 61 15-year amortizing fixed-rate 637 645 (13 ) 707 6 1 Adjustable-rate 300 299 (7 ) 371 4 1 Alt-A, interest-only, and option ARM 4,162 3,911 (436 ) 5,306 80 8 Total single-family 36,354 35,449 (2,872 ) 44,408 647 71 Multifamily: With no allowance recorded (1) 86 81 N/A 66 1 — With an allowance recorded — — — 16 — — Total multifamily 86 81 — 82 1 — Total single-family and multifamily $36,440 $35,530 ($2,872 ) $44,490 $648 $71 (1) Individually impaired loans with no allowance primarily represent those loans for which the collateral value is sufficiently in excess of the loan balance to result in recovery of the entire recorded investment if the property were foreclosed upon or otherwise subject to disposition. (2) Consists primarily of loans classified as TDRs. (3) Consists of income recognized during the period related to loans on non-accrual status. |
Guarantees and Other Off-Bala_2
Guarantees and Other Off-Balance Sheet Credit Exposures (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Guarantees [Abstract] | |
Table - Financial Guarantees | The table below shows our maximum exposure, recognized liability, and maximum remaining term of our guarantees to non-consolidated VIEs and other third parties. This table does not include certain of our unrecognized guarantees, such as guarantees to consolidated VIEs or to resecuritization trusts that do not expose us to incremental credit risk. The maximum exposure disclosed in the table is not 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, including possible recoveries under credit enhancements. See Note 6 for additional information on our credit enhancements. Table 5.1 - Financial Guarantees March 31, 2020 December 31, 2019 ( Dollars in millions , terms in years ) Maximum (1) Recognized (2) Maximum Maximum (1) Recognized (2) Maximum Single-family: Securitization activity guarantees $27,696 $379 39 $26,818 $361 40 Other mortgage-related guarantees 7,943 183 30 7,492 182 30 Total single-family $35,639 $562 $34,310 $543 Multifamily: Securitization activity guarantees $254,459 $3,310 39 $252,167 $3,333 39 Other mortgage-related guarantees 10,427 440 34 9,989 416 34 Total multifamily $264,886 $3,750 $262,156 $3,749 Other guarantees measured at fair value 31,599 659 30 24,965 253 30 Fannie Mae securities backing Freddie Mac resecuritization products 39,549 — 30 27,408 — 30 (1) The maximum exposure represents the contractual amounts that could be lost if counterparties or borrowers defaulted, without consideration of possible recoveries under credit enhancements. For other guarantees measured at fair value, this amount represents the notional value if it relates to our market value guarantees or guarantees of third-party derivative instruments or the UPB if it relates to a guarantee of a mortgage-related asset. For certain of our other guarantees measured at fair value, our exposure may be unlimited and, as a result, the notional value is included. We generally reduce our exposure to these guarantees with unlimited exposure through separate contracts with third parties. (2) For securitization activity guarantees and other mortgage-related guarantees, this amount represents the guarantee obligation on our condensed consolidated balance sheets and excludes our allowance for credit losses on off-balance sheet credit exposures. For other guarantees measured at fair value, this amount represents the fair value of the contract. The table below shows the payment status of the mortgage loans underlying our guarantees that are not measured at fair value. Table 5.2 – UPB of Loans Underlying Our Guarantees by Payment Status March 31, 2020 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure Total Single-family $35,362 $1,985 $660 $861 $38,868 Multifamily 304,903 9 12 254 305,178 Total $340,265 $1,994 $672 $1,115 $344,046 |
Credit Enhancements (Tables)
Credit Enhancements (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Credit Enhancements [Abstract] | |
Table - Components of Credit Enhancements, Net | The table below presents the components of credit enhancement (expense) benefit, net. Table 6.1 - Components of Credit Enhancement (Expense) Benefit, Net (In millions) 1Q 2020 1Q 2019 Premiums, amortization, and transaction costs ($231 ) ($162 ) Expected recoveries 467 4 Credit enhancement (expense) benefit, net $236 ($158 ) |
Table- Single-Family Credit Enhancements | The table below presents the total current and protected UPB and maximum amounts of potential loss recovery related to our single-family credit enhancements. Table 6.2 - Single-Family Credit Enhancements March 31, 2020 December 31, 2019 (In millions) Credit Enhancement Accounting Treatment Total Current and Protected UPB (1) Maximum Coverage Total Current and Protected UPB (1) Maximum Coverage Primary mortgage insurance Attached $427,467 $109,003 $421,870 $107,690 STACR: (2) Trust notes Freestanding 395,689 12,802 288,323 9,739 Debt notes Debt 510,742 14,532 536,036 15,373 Insurance/reinsurance (3) Freestanding 907,873 10,442 863,149 10,157 Subordination: Non-consolidated VIEs (4) Attached 26,479 4,708 25,443 4,545 Consolidated VIEs (5) Debt 17,884 792 19,498 854 Lender risk-sharing Freestanding 29,222 5,923 24,078 5,657 Other Primarily attached 879 874 1,056 1,051 Total single-family credit enhancements $159,076 $155,066 (1) Underlying loans may be covered by more than one form of credit enhancement. (2) Total current and protected UPB represents the UPB of the assets included in the reference pool. Maximum coverage amount represents the outstanding balance held by third parties. (3) As of March 31, 2020 and December 31, 2019, substantially all of our counterparties posted sufficient collateral on our ACIS transactions to meet the minimum collateral requirements of the ACIS program. Minimum collateral requirements are assessed on each deal based on a combination of factors, including counterparty credit risk of the reinsurer, as well as the structure and risk profile of the transaction. Other insurance/reinsurance transactions have similar collateral requirements. (4) Total current and protected UPB includes the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities, and the UPB of guarantor advances made to the holders of the guaranteed securities. Maximum coverage represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties. (5) Total current and protected UPB represents the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities. Maximum coverage amount represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties. |
Table - Multifamily Credit Enhancements | The table below presents the total current and protected UPB and maximum amounts of potential loss recovery related to our multifamily credit enhancements. Table 6.3 - Multifamily Credit Enhancements March 31, 2020 December 31, 2019 (In millions) Credit Enhancement Accounting Treatment Total Current and Protected UPB (1) Maximum Coverage Total Current and Protected UPB (1) Maximum Coverage Subordination: Non-consolidated VIEs (2) Attached $253,565 $40,527 $251,008 $40,262 Consolidated VIEs (3) Debt 1,800 200 1,800 200 Lender risk-sharing (4) Freestanding 2,295 380 2,529 381 Insurance/reinsurance (5) Freestanding 2,764 127 2,769 127 SCR debt notes (6) Debt 2,431 122 2,470 123 Other (4) Attached 454 454 467 467 Total multifamily credit enhancements $41,810 $41,560 (1) Underlying loans may be covered by more than one form of credit enhancement. (2) Total current and protected UPB includes the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities, and the UPB of guarantor advances made to the holders of the guaranteed securities. Maximum coverage represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties. (3) Total current and protected UPB represents the UPB of the guaranteed securities, which represents the UPB of the assets included in the trust net of the protection provided by the subordinated securities. Maximum coverage amount represents the outstanding UPB of the securities that are subordinate to Freddie Mac guaranteed securities and held by third parties. (4) Maximum coverage represents the remaining amount of loss recovery that is available subject to the terms of counterparty agreements. (5) As of March 31, 2020 and December 31, 2019, the counterparties to our insurance/reinsurance transactions have complied with the minimum collateral requirements. Minimum collateral requirements are assessed on each deal based on a combination of factors, including counterparty credit risk of the reinsurer, as well as the structure and risk profile of the transaction. (6) Total current and protected UPB represents the UPB of the assets included in the reference pool. Maximum coverage amount represents the outstanding balance of the SCR notes held by third parties. |
Investment Securities (Tables)
Investment Securities (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Table - Investment Securities | The table below summarizes the fair values of our investments in debt securities by classification. Table 7.1 - Investment Securities (In millions) March 31, 2020 December 31, 2019 Trading securities $53,851 $49,537 Available-for-sale securities 25,338 26,174 Total fair value of investment securities $79,189 $75,711 |
Table - Trading Securities | The table below presents the estimated 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 7.2 - Trading Securities (In millions) March 31, 2020 December 31, 2019 Mortgage-related securities: Agency $21,076 $22,481 Non-agency 1 1 Total mortgage-related securities 21,077 22,482 Non-mortgage-related securities 32,774 27,055 Total fair value of trading securities $53,851 $49,537 |
Table - Available-For-Sale Securities | The tables below provide details of the securities classified as available-for-sale on our condensed consolidated balance sheets. Table 7.3 - Available-for-Sale Securities March 31, 2020 Amortized Basis Allowance for Credit Losses Gross Gross Fair Accrued Interest Receivable (In millions) Available-for-sale securities: Agency $23,054 $— $1,209 ($27 ) $24,236 $62 Non-agency and other 949 — 154 (1 ) 1,102 2 Total available-for-sale securities $24,003 $— $1,363 ($28 ) $25,338 $64 December 31, 2019 Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value (In millions) Other-Than-Temporary Impairment (1) Temporary Impairment (2) Available-for-sale securities: Agency $24,390 $571 $— ($74 ) $24,887 Non-agency and other 1,004 283 — — 1,287 Total available-for-sale securities $25,394 $854 $— ($74 ) $26,174 (1) Represents the gross unrealized losses for securities for which we have previously recognized other-than-temporary impairment in earnings. (2) Represents the gross unrealized losses for securities for which we have not previously recognized other-than-temporary impairment in earnings. |
Table - Available-For-Sale Securities in a Gross Unrealized Loss Position | The tables below present 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 7.4 - Available-for-Sale Securities in a Gross Unrealized Loss Position March 31, 2020 Less than 12 Months 12 Months or Greater (In millions) Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Available-for-sale securities: Agency $1,190 ($10 ) $893 ($17 ) Non-agency and other 60 (1 ) — — Total available-for-sale securities in a gross unrealized loss position $1,250 ($11 ) $893 ($17 ) December 31, 2019 Less than 12 Months 12 Months or Greater (In millions) Fair Gross Unrealized Losses Fair Gross Unrealized Losses Available-for-sale securities: Agency $5,778 ($27 ) $2,934 ($47 ) Non-agency and other 1 — — — Total available-for-sale securities in a gross unrealized loss position $5,779 ($27 ) $2,934 ($47 ) |
Table - Gross Realized Gains and Gross Realized Losses on Sales of Available-For-Sale Securities | The table below summarizes the gross realized gains and gross realized losses from the sale of available-for-sale securities. Table 7.5 - Gross Realized Gains and Gross Realized Losses from Sales of Available-for-Sale Securities (In millions) 1Q 2020 1Q 2019 Gross realized gains $33 $63 Gross realized losses (23 ) (29 ) Net realized gains (losses) $10 $34 |
Debt (Tables)
Debt (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Debt Disclosure [Abstract] | |
Table - Total Debt | The table below summarizes the balances of total debt per our condensed consolidated balance sheets and the interest expense per our condensed consolidated statements of comprehensive income (loss). Table 8.1 - Total Debt Balance, Net Interest Expense (In millions) March 31, 2020 December 31, 2019 1Q 2020 1Q 2019 Debt securities of consolidated trusts held by third parties $1,930,005 $1,898,355 $13,447 $13,981 Other debt: Short-term debt 97,995 101,034 430 436 Long-term debt 188,135 170,296 930 1,416 Total other debt 286,130 271,330 1,360 1,852 Total debt $2,216,135 $2,169,685 $14,807 $15,833 |
Table - Debt Securities of Consolidated Trusts Held by Third Parties | The table below summarizes the debt securities of consolidated trusts held by third parties based on underlying loan product type. Table 8.2 - Debt Securities of Consolidated Trusts Held by Third Parties March 31, 2020 December 31, 2019 (Dollars in millions) Contractual Maturity UPB Carrying Amount (1) Weighted Average Coupon (2) Contractual Maturity UPB Carrying Amount (1) Weighted Average Coupon (2) Single-family: 30-year or more, fixed-rate 2020 - 2057 $1,546,487 $1,584,748 3.59 % 2020 - 2057 $1,516,550 $1,554,095 3.63 % 20-year fixed-rate 2020 - 2040 72,200 73,870 3.32 2020 - 2040 70,901 72,558 3.37 15-year fixed-rate 2020 - 2035 226,582 230,206 2.85 2020 - 2035 225,501 229,133 2.87 Adjustable-rate 2020 - 2050 27,902 28,424 3.21 2020 - 2050 30,183 30,756 3.25 Interest-only 2026 - 2041 3,946 4,003 4.34 2026 - 2041 4,244 4,307 4.55 FHA/VA 2020 - 2050 662 677 4.54 2020 - 2049 633 647 4.68 Total single-family 1,877,779 1,921,928 1,848,012 1,891,496 Multifamily 2021-2050 7,992 8,077 3.10 2021 - 2049 6,790 6,859 3.29 Total debt of consolidated trusts held by third parties $1,885,771 $1,930,005 $1,854,802 $1,898,355 (1) Includes $205 million and $209 million at March 31, 2020 and December 31, 2019, respectively, of debt securities of consolidated trusts that represents the fair value of debt with the fair value option elected. (2) The effective interest rate for debt securities of consolidated trusts held by third parties was 2.78% and 2.79% as of March 31, 2020 and December 31, 2019, respectively. |
Table - Other Debt | The table below summarizes the balances and effective interest rates for other debt. Table 8.3 - Total Other Debt March 31, 2020 December 31, 2019 (Dollars in millions) Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Other short-term debt: Discount notes and Reference Bills $57,822 $57,685 1.33 % $60,830 $60,629 1.67 % Medium-term notes 40,313 40,310 2.07 40,407 40,405 2.31 Securities sold under agreements to repurchase (3) 14,305 14,305 0.16 9,843 9,843 1.46 Total other short-term debt 112,440 112,300 1.45 111,080 110,877 1.89 Other long-term debt: Original maturities on or before December 31, 2020 32,507 32,505 1.81 45,133 45,127 1.76 2021 45,202 45,198 1.23 30,069 30,072 1.89 2022 25,236 25,219 1.94 23,185 23,166 2.20 2023 17,680 17,661 1.98 13,413 13,393 2.22 2024 22,975 22,938 2.13 26,966 26,924 2.22 Thereafter 31,564 29,270 3.49 17,615 15,294 5.13 STACR and SCR debt (4) 14,654 14,271 5.66 15,496 15,652 5.64 Hedging-related basis adjustments N/A 1,073 N/A 668 Total other long-term debt 189,818 188,135 2.30 171,877 170,296 2.61 Total other debt (5) $302,258 $300,435 $282,957 $281,173 (1) Represents par value, net of associated discounts or premiums and issuance cost. Includes $3.0 billion and $3.7 billion at March 31, 2020 and December 31, 2019, respectively, of other long-term debt that represents the fair value of debt with the fair value option elected. (2) Based on carrying amount. (3) Beginning January 1, 2020, we elected to 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. (4) Contractual maturities of these debts 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. (5) Carrying amount for other debt includes callable debt of $84.8 billion and $95.1 billion at March 31, 2020 and December 31, 2019, respectively. |
Derivatives (Tables)
Derivatives (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Table - 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 9.1 - Derivative Assets and Liabilities at Fair Value March 31, 2020 December 31, 2019 Notional or Contractual Amount Derivatives at Fair Value Notional or Contractual Amount Derivatives at Fair Value (In millions) Assets Liabilities Assets Liabilities Not designated as hedges Interest-rate swaps: Receive-fixed $267,283 $3,166 ($3 ) $230,926 $1,990 ($6 ) Pay-fixed 329,418 — (8,104 ) 251,392 10 (4,162 ) Basis (floating to floating) 5,924 3 — 5,924 — — Total interest-rate swaps 602,625 3,169 (8,107 ) 488,242 2,000 (4,168 ) Option-based: Call swaptions Purchased 81,025 7,586 — 75,325 2,717 — Written 5,275 — (492 ) 3,375 — (42 ) Put swaptions Purchased (1) 82,265 637 — 67,155 835 — Written 8,100 — (44 ) 7,275 — (88 ) Options on futures 206,250 55 — — — — Other option-based derivatives (2) 10,301 815 — 10,334 646 — Total option-based 393,216 9,093 (536 ) 163,464 4,198 (130 ) Futures 117,881 — — 210,305 — — Commitments 189,656 1,142 (1,898 ) 93,960 61 (126 ) CRT-related derivatives 16,360 62 (106 ) 12,362 15 (116 ) Other 7,851 1 (18 ) 5,984 1 (28 ) Total derivatives not designated as hedges 1,327,589 13,467 (10,665 ) 974,317 6,275 (4,568 ) Designated as fair value hedges Interest-rate swaps: Receive-fixed 92,089 353 (2 ) 104,459 104 (75 ) Pay-fixed 45,013 — (909 ) 87,907 — (639 ) Total derivatives designated as fair value hedges 137,102 353 (911 ) 192,366 104 (714 ) Derivative interest and other receivable (payable) (3) 1,192 (829 ) 887 (724 ) Netting adjustments (4) (12,197 ) 10,179 (6,422 ) 5,634 Total derivative portfolio, net $1,464,691 $2,815 ($2,226 ) $1,166,683 $844 ($372 ) (1) Includes swaptions on credit indices with a notional or contractual amount of $5.6 billion and $11.4 billion at March 31, 2020 and December 31, 2019 , respectively, and a fair value of $116.0 million and $3.0 million at March 31, 2020 and December 31, 2019 , respectively. (2) Primarily consists of purchased interest-rate caps and floors. (3) Includes other derivative receivables and payables. (4) Represents counterparty netting and cash collateral netting. |
Table - Gains and Losses on Derivatives | The table below presents the gains and losses on derivatives, including the accrual of periodic cash settlements, while not designated in qualifying hedge relationships and reported on our condensed consolidated statements of comprehensive income (loss) as investment gain (losses), net. Table 9.2 - Gains and Losses on Derivatives (In millions) 1Q 2020 1Q 2019 Not designated as hedges Interest-rate swaps: Receive-fixed $13,895 $1,837 Pay-fixed (18,741 ) (2,888 ) Basis (floating to floating) (17 ) 4 Total interest-rate swaps (4,863 ) (1,047 ) Option-based: Call swaptions Purchased 4,907 454 Written (430 ) (56 ) Put swaptions Purchased (527 ) (626 ) Written 110 16 Options on futures (7 ) — Other option-based derivatives (1) 169 25 Total option-based 4,222 (187 ) Other: Futures (2,328 ) (242 ) Commitments (726 ) (96 ) CRT-related derivatives 78 (1 ) Other 31 21 Total other (2,945 ) (318 ) Accrual of periodic cash settlements: Receive-fixed interest-rate swaps 235 (51 ) Pay-fixed interest-rate swaps (472 ) (36 ) Other (2) 61 33 Total accrual of periodic cash settlements (176 ) (54 ) Total ($3,762 ) ($1,606 ) (1) Primarily consists of purchased interest-rate caps and floors. (2) Includes interest on variation margin on cleared interest-rate swaps. |
Table - Gains and Losses on Fair Value Hedge | The table below presents the effects of fair value hedge accounting by condensed consolidated statements of comprehensive income (loss) line, 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 9.3 - Gains and Losses on Fair Value Hedges 1Q 2020 1Q 2019 (In millions) Interest Income - Mortgage Loans Interest Expense Interest Income - Mortgage Loans Interest Expense Total amounts of income and expense line items presented in our condensed consolidated statements of comprehensive income in which the effects of fair value hedges are recorded: $16,632 ($14,807 ) $17,946 ($15,833 ) Interest contracts on mortgage loans held-for-investment: Gain (loss) on fair value hedging relationships: Hedged items 4,893 — 1,542 — Derivatives designated as hedging instruments (5,080 ) — (1,243 ) — Interest accruals on hedging instruments (63 ) — 38 — Discontinued hedge-related basis adjustments amortization (253 ) — 28 — Interest contracts on debt: Gain (loss) on fair value hedging relationships: Hedged items — (505 ) — (505 ) Derivatives designated as hedging instruments — 554 — 546 Interest accruals on hedging instruments — 100 — (125 ) Discontinued hedge-related basis adjustments amortization — 20 — 9 |
Cumulative Basis Adjustment on Fair Value Hedge [Table Text Block] | The tables below present the hedged item cumulative basis adjustments due to qualifying fair value hedging and the related hedged item carrying amounts by their respective balance sheet line item. Table 9.4 - Cumulative Basis Adjustments Due to Fair Value Hedging March 31, 2020 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount Closed Portfolio Under the Last-of-Layer Method (In millions) Total Under the Last-of-Layer Method Discontinued - Hedge Related Total Amount by Amortized Cost Basis Designated Amount by UPB Mortgage loans held-for-investment $410,074 $7,526 $989 $6,537 $183,244 $19,503 Debt (113,669 ) (1,073 ) — (89 ) — — December 31, 2019 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount Closed Portfolio Under the Last-of-Layer Method (In millions) Total Under the Last-of-Layer Method Discontinued - Hedge Related Total Amount by Amortized Cost Basis Designated Amount by UPB Mortgage loans held-for-investment $470,889 $2,886 ($943 ) $3,829 $273,346 $22,747 Debt (122,746 ) (668 ) — (93 ) — — |
Collateral and Offsetting of _2
Collateral and Offsetting of Assets and Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Offsetting [Abstract] | |
Table - Offsetting of Financial Assets and Liabilities | The tables below display 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 10.1 - Offsetting and Collateral Information of Financial Assets and Liabilities March 31, 2020 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $13,294 ($7,919 ) ($4,422 ) $953 ($873 ) $80 Cleared and exchange-traded derivatives 513 — 144 657 — 657 Commitments 1,142 — — 1,142 — 1,142 Other 63 — — 63 — 63 Total derivatives 15,012 (7,919 ) (4,278 ) 2,815 (873 ) 1,942 Securities purchased under agreements to resell 60,273 (14,305 ) — 45,968 (45,968 ) — Total $75,285 ($22,224 ) ($4,278 ) $48,783 ($46,841 ) $1,942 Liabilities: Derivatives: OTC derivatives ($10,383 ) $7,919 $2,260 ($204 ) $— ($204 ) Cleared and exchange-traded derivatives — — — — — — Commitments (1,898 ) — — (1,898 ) — (1,898 ) Other (124 ) — — (124 ) — (124 ) Total derivatives (12,405 ) 7,919 2,260 (2,226 ) — (2,226 ) Securities sold under agreements to repurchase (14,305 ) 14,305 — — — — Total ($26,710 ) $22,224 $2,260 ($2,226 ) $— ($2,226 ) Referenced footnotes are included after the next table. December 31, 2019 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $7,045 ($4,465 ) ($2,075 ) $505 ($485 ) $20 Cleared and exchange-traded derivatives 144 (5 ) 123 262 — 262 Commitments 61 — — 61 — 61 Other 16 — — 16 — 16 Total derivatives 7,266 (4,470 ) (1,952 ) 844 (485 ) 359 Securities purchased under agreements to resell 66,114 (9,843 ) — 56,271 (56,271 ) — Total $73,380 ($14,313 ) ($1,952 ) $57,115 ($56,756 ) $359 Liabilities: Derivatives: OTC derivatives ($5,731 ) $4,465 $1,164 ($102 ) $— ($102 ) Cleared and exchange-traded derivatives (5 ) 5 — — — — Commitments (126 ) — — (126 ) — (126 ) Other (144 ) — — (144 ) — (144 ) Total derivatives (6,006 ) 4,470 1,164 (372 ) — (372 ) Securities sold under agreements to repurchase (9,843 ) 9,843 — — — — Total ($15,849 ) $14,313 $1,164 ($372 ) $— ($372 ) (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 cleared and exchange-traded derivatives, does not include non-cash collateral posted by us as initial margin with an aggregate fair value of $4.4 billion and $3.5 billion as of March 31, 2020 and December 31, 2019 , respectively. For commitments and securities purchased under agreements to resell, does not include cash and non-cash collateral deposited totaling $1.2 billion and $0.6 billion , respectively, as of March 31, 2020, and $0.2 billion and $0.3 billion , respectively, as of December 31, 2019. |
Table - Offsetting of Financial Assets and Liabilities | The tables below display 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 10.1 - Offsetting and Collateral Information of Financial Assets and Liabilities March 31, 2020 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $13,294 ($7,919 ) ($4,422 ) $953 ($873 ) $80 Cleared and exchange-traded derivatives 513 — 144 657 — 657 Commitments 1,142 — — 1,142 — 1,142 Other 63 — — 63 — 63 Total derivatives 15,012 (7,919 ) (4,278 ) 2,815 (873 ) 1,942 Securities purchased under agreements to resell 60,273 (14,305 ) — 45,968 (45,968 ) — Total $75,285 ($22,224 ) ($4,278 ) $48,783 ($46,841 ) $1,942 Liabilities: Derivatives: OTC derivatives ($10,383 ) $7,919 $2,260 ($204 ) $— ($204 ) Cleared and exchange-traded derivatives — — — — — — Commitments (1,898 ) — — (1,898 ) — (1,898 ) Other (124 ) — — (124 ) — (124 ) Total derivatives (12,405 ) 7,919 2,260 (2,226 ) — (2,226 ) Securities sold under agreements to repurchase (14,305 ) 14,305 — — — — Total ($26,710 ) $22,224 $2,260 ($2,226 ) $— ($2,226 ) Referenced footnotes are included after the next table. December 31, 2019 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $7,045 ($4,465 ) ($2,075 ) $505 ($485 ) $20 Cleared and exchange-traded derivatives 144 (5 ) 123 262 — 262 Commitments 61 — — 61 — 61 Other 16 — — 16 — 16 Total derivatives 7,266 (4,470 ) (1,952 ) 844 (485 ) 359 Securities purchased under agreements to resell 66,114 (9,843 ) — 56,271 (56,271 ) — Total $73,380 ($14,313 ) ($1,952 ) $57,115 ($56,756 ) $359 Liabilities: Derivatives: OTC derivatives ($5,731 ) $4,465 $1,164 ($102 ) $— ($102 ) Cleared and exchange-traded derivatives (5 ) 5 — — — — Commitments (126 ) — — (126 ) — (126 ) Other (144 ) — — (144 ) — (144 ) Total derivatives (6,006 ) 4,470 1,164 (372 ) — (372 ) Securities sold under agreements to repurchase (9,843 ) 9,843 — — — — Total ($15,849 ) $14,313 $1,164 ($372 ) $— ($372 ) (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 cleared and exchange-traded derivatives, does not include non-cash collateral posted by us as initial margin with an aggregate fair value of $4.4 billion and $3.5 billion as of March 31, 2020 and December 31, 2019 , respectively. For commitments and securities purchased under agreements to resell, does not include cash and non-cash collateral deposited totaling $1.2 billion and $0.6 billion , respectively, as of March 31, 2020, and $0.2 billion and $0.3 billion , respectively, as of December 31, 2019. |
Table - Collateral in the Form of Securities Pledged | The tables below summarize the fair value of the securities pledged as collateral by us for derivatives and collateralized borrowing transactions, including securities that the secured party may repledge. Table 10.2 - Collateral in the Form of Securities Pledged March 31, 2020 (In millions) Derivatives Securities Sold Under Agreements to Repurchase Other (2) Total Debt securities of consolidated trusts (1) $977 $— $220 $1,197 Available-for-sale securities — — 7 7 Trading securities 3,435 13,912 371 17,718 Total securities pledged $4,412 $13,912 $598 $18,922 December 31, 2019 (In millions) Derivatives Securities Sold Under Agreements to Repurchase Other (2) Total Debt securities of consolidated trusts (1) $562 $— $280 $842 Trading securities 2,894 9,346 49 12,289 Total securities pledged $3,456 $9,346 $329 $13,131 (1) Represents debt securities of consolidated trusts held by us in our Capital Markets segment mortgage investments portfolio which are recorded as a reduction to debt securities of consolidated trusts held by third parties on our condensed consolidated balance sheets. (2) Includes other collateralized borrowings and collateral related to transactions with certain clearinghouses. |
Table - Underlying Collateral Pledged | The table below summarizes the underlying collateral pledged and the remaining contractual maturity of our gross obligations under securities sold under agreements to repurchase. Table 10.3 - Underlying Collateral Pledged March 31, 2020 (In millions) Overnight and Continuous 30 Days or Less After 30 Days Through 90 Days Greater Than 90 Days Total U.S. Treasury securities and other $4,957 $8,955 $— $— $13,912 |
Stockholders' Equity and Earn_2
Stockholders' Equity and Earnings per Share (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Stockholders' Equity Note [Abstract] | |
Table - Changes in AOCI by Component, Net of Tax | The tables below present changes in AOCI after the effects of our federal statutory tax rate of 21% Table 11.1 - Changes in AOCI by Component, Net of Taxes 1Q 2020 (In millions) AOCI Related to Available- For-Sale Securities AOCI Related to Cash Flow Hedge Relationships AOCI Related to Defined Benefit Plans Total Beginning balance $618 ($244 ) $64 $438 Other comprehensive income before reclassifications 446 — 2 448 Amounts reclassified from accumulated other comprehensive income (8 ) 13 (4 ) 1 Changes in AOCI by component 438 13 (2 ) 449 Ending balance $1,056 ($231 ) $62 $887 1Q 2019 (In millions) AOCI Related to Available- For-Sale Securities AOCI Related to Cash Flow Hedge Relationships AOCI Related to Defined Benefit Plans Total Beginning balance $83 ($315 ) $97 ($135 ) Other comprehensive income before reclassifications 273 — (2 ) 271 Amounts reclassified from accumulated other comprehensive income (27 ) 18 (4 ) (13 ) Changes in AOCI by component 246 18 (6 ) 258 Ending balance $329 ($297 ) $91 $123 |
Table - Reclassifications from AOCI to Net Income | The table below presents reclassifications from AOCI to net income, including the affected line items in our condensed consolidated statements of comprehensive income (loss). Table 11.2 - Reclassifications from AOCI to Net Income (In millions) 1Q 2020 1Q 2019 AOCI related to available-for-sale securities Affected line items on the consolidated statements of comprehensive income: Investment gains (losses), net $10 $34 Income tax (expense) benefit (2 ) (7 ) Net of tax 8 27 AOCI related to cash flow hedge relationships Affected line items on the consolidated statements of comprehensive income: Interest expense (16 ) (23 ) Income tax (expense) benefit 3 5 Net of tax (13 ) (18 ) AOCI related to defined benefit plans Affected line items on the consolidated statements of comprehensive income: Salaries and employee benefits 5 5 Income tax (expense) benefit (1 ) (1 ) Net of tax 4 4 Total reclassifications in the period net of tax ($1 ) $13 |
Table - Senior Preferred Stock | The table below provides a summary of our senior preferred stock outstanding at March 31, 2020 . Table 11.3 - Senior Preferred Stock ( In millions , except initial liquidation preference price per share) Shares Authorized Shares Outstanding Total Par Value Initial Liquidation Preference Price per Share Total Liquidation Preference Non-draw Adjustment Dates: September 8, 2008 1.00 1.00 $1.00 $1,000 $1,000 December 31, 2017 — — — N/A 3,000 September 30, 2019 — — — N/A 1,826 December 31, 2019 — — — N/A 1,848 March 31, 2020 — — — N/A 2,448 Total non-draw adjustments 1.00 1.00 1.00 10,122 Draw Dates: November 24, 2008 — — — N/A 13,800 March 31, 2009 — — — N/A 30,800 June 30, 2009 — — — N/A 6,100 June 30, 2010 — — — N/A 10,600 September 30, 2010 — — — N/A 1,800 December 30, 2010 — — — N/A 100 March 31, 2011 — — — N/A 500 September 30, 2011 — — — N/A 1,479 December 30, 2011 — — — N/A 5,992 March 30, 2012 — — — N/A 146 June 29, 2012 — — — N/A 19 March 30, 2018 — — — N/A 312 Total draw adjustments — — — 71,648 Total senior preferred stock 1.00 1.00 $1.00 $81,770 |
Segment Reporting (Tables)
Segment Reporting (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Segment Reporting [Abstract] | |
Table - Segment Earnings | The table below presents Segment Earnings by segment. Table 13.1 - Segment Earnings (In millions) 1Q 2020 1Q 2019 Segment Earnings (Loss), net of taxes: Single-family Guarantee $588 $740 Multifamily (238 ) 330 Capital Markets (177 ) 337 All Other — — Total Segment Earnings (Loss), net of taxes 173 1,407 Net income (loss) $173 $1,407 Comprehensive income (loss) of segments: Single-family Guarantee $586 $736 Multifamily (174 ) 395 Capital Markets 210 534 All Other — — Comprehensive income (loss) of segments 622 1,665 Comprehensive income (loss) $622 $1,665 |
Table - Segment Earnings and Reconciliation to GAAP Condensed Consolidated Statements of Comprehensive Income | The tables below present detailed reconciliations between our GAAP condensed consolidated statements of comprehensive income (loss) and Segment Earnings for our reportable segments and All Other. Table 13.2 - Segment Earnings and Reconciliations to GAAP Condensed Consolidated Statements of Comprehensive Income (Loss) 1Q 2020 Single-family Guarantee Multifamily Capital Markets All Other Total Segment Earnings (Loss) Reclassifications Total per Consolidated Statements of Comprehensive Income (In millions) Net interest income $— $269 $509 $— $778 $2,007 $2,785 Guarantee fee income 2,093 413 — — 2,506 (2,129 ) 377 Investment gains (losses), net 437 (851 ) (427 ) — (841 ) 6 (835 ) Other income (loss) 15 37 (201 ) — (149 ) 244 95 Benefit (provision) for credit losses (1,222 ) (67 ) — — (1,289 ) 56 (1,233 ) Administrative expense (372 ) (120 ) (95 ) — (587 ) — (587 ) Credit enhancement (expense) benefit, net 28 24 — — 52 184 236 REO operations expense (87 ) — — — (87 ) 2 (85 ) Other expense (151 ) (5 ) (9 ) — (165 ) (370 ) (535 ) Income tax (expense) benefit (153 ) 62 46 — (45 ) — (45 ) Net income (loss) 588 (238 ) (177 ) — 173 — 173 Changes in unrealized gains (losses) related to available-for-sale securities — 64 374 — 438 — 438 Changes in unrealized gains (losses) related to cash flow hedge relationships — — 13 — 13 — 13 Changes in defined benefit plans (2 ) — — — (2 ) — (2 ) Total other comprehensive income (loss), net of taxes (2 ) 64 387 — 449 — 449 Comprehensive income (loss) $586 ($174 ) $210 $— $622 $— $622 1Q 2019 Single-family Guarantee Multifamily Capital Markets All Other Total Segment Earnings (Loss) Reclassifications Total per Consolidated Statements of Comprehensive Income (In millions) Net interest income $— $247 $758 $— $1,005 $2,148 $3,153 Guarantee fee income 1,635 287 — — 1,922 (1,632 ) 290 Investment gains (losses), net 6 (26 ) (36 ) — (56 ) (457 ) (513 ) Other income (loss) 112 29 (206 ) — (65 ) 48 (17 ) Benefit (provision) for credit losses 71 (1 ) — — 70 65 135 Administrative expense (374 ) (112 ) (92 ) — (578 ) — (578 ) Credit enhancement (expense) benefit, net (316 ) (4 ) — — (320 ) 162 (158 ) REO operations expense (38 ) — — — (38 ) 5 (33 ) Other expense (168 ) (6 ) (1 ) — (175 ) (339 ) (514 ) Income tax (expense) benefit (188 ) (84 ) (86 ) — (358 ) — (358 ) Net income (loss) 740 330 337 — 1,407 — 1,407 Changes in unrealized gains (losses) related to available-for-sale securities — 66 180 — 246 — 246 Changes in unrealized gains (losses) related to cash flow hedge relationships — — 18 — 18 — 18 Changes in defined benefit plans (4 ) (1 ) (1 ) — (6 ) — (6 ) Total other comprehensive income (loss), net of taxes (4 ) 65 197 — 258 — 258 Comprehensive income (loss) $736 $395 $534 $— $1,665 $— $1,665 |
Concentration of Credit and O_2
Concentration of Credit and Other Risks (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Risks and Uncertainties [Abstract] | |
Table - Concentration of Credit Risk | The table below summarizes the concentration by loan portfolio and geographic area of the approximately $2.0 trillion UPB of our single-family credit guarantee portfolio as of both March 31, 2020 and December 31, 2019. See Note 4 and Note 7 for more information about credit risk associated with loans and mortgage-related securities that we hold or guarantee. Table 14.1 - Concentration of Credit Risk of Our Single-Family Credit Guarantee Portfolio March 31, 2020 December 31, 2019 Percent of Credit Losses Percentage of Portfolio Serious Delinquency Rate Percentage of Portfolio Serious Delinquency Rate 1Q 2020 1Q 2019 Core single-family loan portfolio 86 % 0.26 % 85 % 0.26 % 21 % 12 % Legacy and relief refinance single-family loan portfolio 14 1.79 15 1.84 79 88 Total 100 % 0.60 100 % 0.63 100 % 100 % Region (1) West 30 % 0.35 30 % 0.36 8 % 15 % Northeast 24 0.83 24 0.87 36 37 North Central 16 0.59 16 0.61 29 16 Southeast 16 0.70 16 0.73 18 25 Southwest 14 0.52 14 0.54 9 7 Total 100 % 0.60 100 % 0.63 100 % 100 % State (2) Illinois 4 % 0.82 4 % 0.85 16 % 10 % New York 5 1.13 5 1.21 9 12 Florida 6 0.71 6 0.77 9 18 New Jersey 3 1.01 3 1.08 8 10 Maryland 3 0.82 3 0.88 5 4 All other 79 0.52 79 0.54 53 46 Total 100 % 0.60 100 % 0.63 100 % 100 % (1) 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). (2) States presented based on those with the highest percentage of credit losses during 1Q 2020. Table 14.3 - Seller Concentration Single-family Sellers (1) 1Q 2020 1Q 2019 JPMorgan Chase Bank, N.A. 12 % 16 % United Shore Financial Services, LLC 10 10 Other top 10 sellers 33 31 Top 10 single-family sellers 55 % 57 % Multifamily Sellers (1) 1Q 2020 1Q 2019 CBRE Capital Markets, Inc. 17 % 15 % Berkadia Commercial Mortgage LLC 14 13 Other top 10 sellers 47 49 Top 10 multifamily sellers 78 % 77 % (1) Sellers presented based on those with the highest percentage of purchase volume during 1Q 2020. Servicers Significant portions of our single-family and multifamily loans are serviced by several large servicers. The tables below summarize the concentration of single-family and multifamily servicers who serviced 10% or more of our single-family credit guarantee portfolio and multifamily mortgage portfolio as of March 31, 2020 or December 31, 2019. Table 14.4 - Servicer Concentration Single-family Servicers (1) March 31, 2020 (2) December 31, 2019 (2) Wells Fargo Bank, N.A. 15 % 15 % JPMorgan Chase Bank, N.A. 10 10 Other top 10 servicers 32 32 Top 10 single-family servicers 57 % 57 % Multifamily Servicers (1) March 31, 2020 December 31, 2019 CBRE Capital Markets, Inc. 17 % 17 % Berkadia Commercial Mortgage LLC 13 13 Other top 10 servicers 46 46 Top 10 multifamily servicers 76 % 76 % (1) Servicers presented based on those with the highest percentage of servicing volume as of March 31, 2020. (2) The table below summarizes the concentration of mortgage insurer counterparties who provided 10% or more of our overall mortgage insurance coverage. On October 23, 2016, Genworth Financial, Inc. announced that it had entered into an agreement to be acquired by China Oceanwide Holdings Group Co., Ltd. Because Genworth Mortgage Insurance Corporation, a subsidiary of Genworth Financial, Inc., is an approved mortgage insurer, Freddie Mac evaluated the planned acquisition and approved China Oceanwide Holdings Group's control of Genworth Mortgage Insurance Corporation. In January 2020, Freddie Mac reapproved the acquisition. Regulatory and other approvals of the acquisition are still pending. Table 14.5 - Mortgage Insurer Concentration Mortgage Insurance Coverage (2) Mortgage Insurer Credit Rating (1) March 31, 2020 December 31, 2019 Arch Mortgage Insurance Company A- 22 % 22 % Radian Guaranty Inc. BBB+ 20 20 Mortgage Guaranty Insurance Corporation BBB+ 18 17 Genworth Mortgage Insurance Corporation BB+ 15 15 Essent Guaranty, Inc. BBB+ 15 15 Total 90 % 89 % (1) Ratings are for the corporate entity to which we have the greatest exposure. Latest rating available as of March 31, 2020. Represents the lower of S&P and Moody’s credit ratings stated in terms of the S&P equivalent. (2) Coverage amounts may include coverage provided by affiliates and subsidiaries of the counterparty. |
Table - Certain Higher Risk Categories In Our Single Family Credit Guarantee Portfolio | Presented below is a summary of the serious delinquency rates of certain higher-risk categories (based on characteristics of the loan at origination) of loans in our single-family credit guarantee portfolio. The table includes a presentation of each higher-risk category in isolation. A single loan may fall within more than one category (for example, an interest-only loan may also have an original LTV ratio greater than 90%). Loans with a combination of these attributes will have an even higher risk of delinquency than those with an individual attribute. Table 14.2 - Certain Higher Risk Categories in Our Single-Family Credit Guarantee Portfolio Percentage of Portfolio (1) Serious Delinquency Rate (1) (Percentage of portfolio based on UPB) March 31, 2020 December 31, 2019 March 31, 2020 December 31, 2019 Interest-only 1 % 1 % 2.68 % 2.72 % Alt-A 1 1 3.64 3.75 Original LTV ratio greater than 90% (2) 18 18 0.93 0.96 Lower credit scores at origination (less than 620) 2 2 4.43 4.52 (1) Excludes loans underlying certain other securitization products for which data was not available. (2) |
Fair Value Disclosures (Tables)
Fair Value Disclosures (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Table - Assets and Liabilities Measured at Fair Value on a Recurring Basis | The tables below present 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 15.1 - Assets and Liabilities Measured at Fair Value on a Recurring Basis March 31, 2020 (In millions) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $— $23,586 $650 $— $24,236 Non-agency and other — 1 1,101 — 1,102 Total available-for-sale securities, at fair value — 23,587 1,751 — 25,338 Trading, at fair value: Mortgage-related securities: Agency — 18,532 2,544 — 21,076 Non-agency — — 1 — 1 Total mortgage-related securities — 18,532 2,545 — 21,077 Non-mortgage-related securities 31,144 1,630 — — 32,774 Total trading securities, at fair value 31,144 20,162 2,545 — 53,851 Total investments in securities 31,144 43,749 4,296 — 79,189 Mortgage loans: Held-for-sale, at fair value — 13,518 — — 13,518 Derivative assets, net: Interest-rate swaps — 3,522 — — 3,522 Option-based derivatives 55 9,038 — — 9,093 Other — 1,142 63 — 1,205 Subtotal, before netting adjustments 55 13,702 63 — 13,820 Netting adjustments (1) — — — (11,005 ) (11,005 ) Total derivative assets, net 55 13,702 63 (11,005 ) 2,815 Other assets: Guarantee asset, at fair value — — 4,565 — 4,565 Non-derivative held-for-sale purchase commitments, at fair value — 243 — — 243 All other, at fair value — — 106 — 106 Total other assets — 243 4,671 — 4,914 Total assets carried at fair value on a recurring basis $31,199 $71,212 $9,030 ($11,005 ) $100,436 Liabilities: Debt securities of consolidated trusts held by third parties, at fair value $— $6 $199 $— $205 Other debt, at fair value — 2,858 151 — 3,009 Derivative liabilities, net: Interest-rate swaps — 9,018 — — 9,018 Option-based derivatives — 536 — — 536 Other — 1,998 24 — 2,022 Subtotal, before netting adjustments — 11,552 24 — 11,576 Netting adjustments (1) — — — (9,350 ) (9,350 ) Total derivative liabilities, net — 11,552 24 (9,350 ) 2,226 Other liabilities: Non-derivative held-for-sale purchase commitments, at fair value — 4 — — 4 All other, at fair value — — 1 — 1 Total other liabilities — 4 1 — 5 Total liabilities carried at fair value on a recurring basis $— $14,420 $375 ($9,350 ) $5,445 Referenced footnote is included after the next table. December 31, 2019 (In millions) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $— $22,927 $1,960 $— $24,887 Non-agency and other — 20 1,267 — 1,287 Total available-for-sale securities, at fair value — 22,947 3,227 — 26,174 Trading, at fair value: Mortgage-related securities: Agency — 19,772 2,709 — 22,481 Non-agency — — 1 — 1 Total mortgage-related securities — 19,772 2,710 — 22,482 Non-mortgage-related securities 25,108 1,947 — — 27,055 Total trading securities, at fair value 25,108 21,719 2,710 — 49,537 Total investment securities 25,108 44,666 5,937 — 75,711 Mortgage loans: Held-for-sale, at fair value — 15,035 — — 15,035 Derivative assets, net: Interest-rate swaps — 2,104 — — 2,104 Option-based derivatives — 4,198 — — 4,198 Other — 61 16 — 77 Subtotal, before netting adjustments — 6,363 16 — 6,379 Netting adjustments (1) — — — (5,535 ) (5,535 ) Total derivative assets, net — 6,363 16 (5,535 ) 844 Other assets: Guarantee asset, at fair value — — 4,426 — 4,426 Non-derivative held-for-sale purchase commitments, at fair value — 81 — — 81 All other, at fair value — — 120 — 120 Total other assets — 81 4,546 — 4,627 Total assets carried at fair value on a recurring basis $25,108 $66,145 $10,499 ($5,535 ) $96,217 Liabilities: Debt securities of consolidated trusts held by third parties, at fair value $— $6 $203 $— $209 Other debt, at fair value — 3,600 129 — 3,729 Derivative liabilities, net: Interest-rate swaps — 4,882 — — 4,882 Option-based derivatives — 130 — — 130 Other — 233 37 — 270 Subtotal, before netting adjustments — 5,245 37 — 5,282 Netting adjustments (1) — — — (4,910 ) (4,910 ) Total derivative liabilities, net — 5,245 37 (4,910 ) 372 Other liabilities: Non-derivative held-for-sale purchase commitments, at fair value — 7 — — 7 All other, at fair value — — 1 — 1 Total other liabilities — 7 1 — 8 Total liabilities carried at fair value on a recurring basis $— $8,858 $370 ($4,910 ) $4,318 (1) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable. |
Table - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs | The tables below present 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 tables also present gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our condensed consolidated statements of comprehensive income (loss) for Level 3 assets and liabilities. Table 15.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs 1Q 2020 Balance, Total Realized/Unrealized Gains (Losses) Purchases Issues Sales Settlements, Transfers (1) Transfers (1) Balance, Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2020 (3) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2020 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $1,960 $12 $38 $— $— ($208 ) ($57 ) $— ($1,095 ) $650 $— ($2 ) Non-agency and other 1,267 3 (126 ) — — — (43 ) — — 1,101 3 (100 ) Total available-for-sale mortgage-related securities 3,227 15 (88 ) — — (208 ) (100 ) — (1,095 ) 1,751 3 (102 ) Trading, at fair value: Mortgage-related securities: Agency 2,709 15 — 352 — (105 ) (31 ) — (396 ) 2,544 1 — Non-agency 1 — — — — — — — — 1 — — Total trading mortgage-related securities 2,710 15 — 352 — (105 ) (31 ) — (396 ) 2,545 1 — Other assets: Guarantee asset 4,426 99 — — 223 — (183 ) — — 4,565 99 — All other, at fair value 120 (7 ) — (1 ) 6 (8 ) (4 ) — — 106 (8 ) — Total other assets $4,546 $92 $— ($1 ) $229 ($8 ) ($187 ) $— $— $4,671 $91 $— Balance, Total Realized/Unrealized Gains (Losses) Purchases Issues Sales Settlements, Transfers (1) Transfers (1) Balance, Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2020 (3) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2020 Included in Included in Other Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 ($4 ) $— $— $— $— $— $— $— $199 ($4 ) $— Other debt, at fair value 129 (11 ) — — 1 — (1 ) 33 — 151 (11 ) — Net derivatives (2) 21 (57 ) — — 1 — (4 ) — — (39 ) (61 ) — All other, at fair value 1 — — — — — — — — 1 — — Referenced footnotes are included after the prior period table. 1Q 2019 Balance, Total Realized/Unrealized Gains (Losses) Purchases Issues Sales Settlements, Transfers (1) Transfers (1) Balance, Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2019 (3) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2019 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $4,135 ($18 ) $72 $52 $— ($486 ) ($98 ) $— ($58 ) $3,599 ($1 ) $56 Non-agency and other 1,640 4 50 — — — (61 ) — — $1,633 4 40 Total available-for-sale mortgage-related securities 5,775 (14 ) 122 52 — (486 ) (159 ) — (58 ) 5,232 3 96 Trading, at fair value: Mortgage-related securities: Agency 3,293 (59 ) — 143 — (115 ) (24 ) — (180 ) 3,058 (61 ) — Non-agency 1 — — — — — — — — 1 — — Total trading mortgage-related securities 3,294 (59 ) — 143 — (115 ) (24 ) — (180 ) 3,059 (61 ) — Other assets: Guarantee asset 3,633 35 — — 282 — (155 ) — — 3,795 35 — All other, at fair value 137 (34 ) — 52 9 (12 ) (2 ) — — 150 (33 ) — Total other assets $3,770 $1 $— $52 $291 ($12 ) ($157 ) $— $— $3,945 $2 $— Balance, Total Realized/Unrealized Gains (Losses) Purchases Issues Sales Settlements, Transfers (1) Transfers (1) Balance, Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2019 (3) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2019 Included in Included in Other Liabilities Debt securities of consolidated trusts held by third parties, at fair value $728 $2 $— $— $— $— $— $— $— $730 $2 $— Other debt, at fair value 134 — — — 80 — — — — 214 — — Net derivatives (2) 91 (38 ) — — — — (5 ) — — 48 (43 ) — All other, at fair value — (2 ) — 3 — — — — — 1 (2 ) — (1) Transfers out of Level 3 during 1Q 2020 and 1Q 2019 consisted primarily of certain mortgage-related securities due to an increased volume and level of activity in the market and availability of price quotes from dealers and third-party pricing services. Certain Freddie Mac securities are classified as Level 3 at issuance and generally are classified as Level 2 when they begin trading. Transfers into Level 3 during 1Q 2020 and 1Q 2019 consisted primarily of certain mortgage-related securities due to a decrease in market activity and the availability of relevant price quotes from dealers and third-party pricing services. (2) Amounts are the net of derivative assets and liabilities prior to counterparty netting, cash collateral netting, net trade/settle receivable or payable, and net derivative interest receivable or payable. (3) 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, 2020 and March 31, 2019, respectively. This amount includes any allowance for credit losses recorded on available-for-sale securities and amortization of basis adjustments. |
Table - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs | The tables below present 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 tables also present gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our condensed consolidated statements of comprehensive income (loss) for Level 3 assets and liabilities. Table 15.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs 1Q 2020 Balance, Total Realized/Unrealized Gains (Losses) Purchases Issues Sales Settlements, Transfers (1) Transfers (1) Balance, Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2020 (3) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2020 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $1,960 $12 $38 $— $— ($208 ) ($57 ) $— ($1,095 ) $650 $— ($2 ) Non-agency and other 1,267 3 (126 ) — — — (43 ) — — 1,101 3 (100 ) Total available-for-sale mortgage-related securities 3,227 15 (88 ) — — (208 ) (100 ) — (1,095 ) 1,751 3 (102 ) Trading, at fair value: Mortgage-related securities: Agency 2,709 15 — 352 — (105 ) (31 ) — (396 ) 2,544 1 — Non-agency 1 — — — — — — — — 1 — — Total trading mortgage-related securities 2,710 15 — 352 — (105 ) (31 ) — (396 ) 2,545 1 — Other assets: Guarantee asset 4,426 99 — — 223 — (183 ) — — 4,565 99 — All other, at fair value 120 (7 ) — (1 ) 6 (8 ) (4 ) — — 106 (8 ) — Total other assets $4,546 $92 $— ($1 ) $229 ($8 ) ($187 ) $— $— $4,671 $91 $— Balance, Total Realized/Unrealized Gains (Losses) Purchases Issues Sales Settlements, Transfers (1) Transfers (1) Balance, Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2020 (3) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2020 Included in Included in Other Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 ($4 ) $— $— $— $— $— $— $— $199 ($4 ) $— Other debt, at fair value 129 (11 ) — — 1 — (1 ) 33 — 151 (11 ) — Net derivatives (2) 21 (57 ) — — 1 — (4 ) — — (39 ) (61 ) — All other, at fair value 1 — — — — — — — — 1 — — Referenced footnotes are included after the prior period table. 1Q 2019 Balance, Total Realized/Unrealized Gains (Losses) Purchases Issues Sales Settlements, Transfers (1) Transfers (1) Balance, Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2019 (3) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2019 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale, at fair value: Mortgage-related securities: Agency $4,135 ($18 ) $72 $52 $— ($486 ) ($98 ) $— ($58 ) $3,599 ($1 ) $56 Non-agency and other 1,640 4 50 — — — (61 ) — — $1,633 4 40 Total available-for-sale mortgage-related securities 5,775 (14 ) 122 52 — (486 ) (159 ) — (58 ) 5,232 3 96 Trading, at fair value: Mortgage-related securities: Agency 3,293 (59 ) — 143 — (115 ) (24 ) — (180 ) 3,058 (61 ) — Non-agency 1 — — — — — — — — 1 — — Total trading mortgage-related securities 3,294 (59 ) — 143 — (115 ) (24 ) — (180 ) 3,059 (61 ) — Other assets: Guarantee asset 3,633 35 — — 282 — (155 ) — — 3,795 35 — All other, at fair value 137 (34 ) — 52 9 (12 ) (2 ) — — 150 (33 ) — Total other assets $3,770 $1 $— $52 $291 ($12 ) ($157 ) $— $— $3,945 $2 $— Balance, Total Realized/Unrealized Gains (Losses) Purchases Issues Sales Settlements, Transfers (1) Transfers (1) Balance, Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2019 (3) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2019 Included in Included in Other Liabilities Debt securities of consolidated trusts held by third parties, at fair value $728 $2 $— $— $— $— $— $— $— $730 $2 $— Other debt, at fair value 134 — — — 80 — — — — 214 — — Net derivatives (2) 91 (38 ) — — — — (5 ) — — 48 (43 ) — All other, at fair value — (2 ) — 3 — — — — — 1 (2 ) — (1) Transfers out of Level 3 during 1Q 2020 and 1Q 2019 consisted primarily of certain mortgage-related securities due to an increased volume and level of activity in the market and availability of price quotes from dealers and third-party pricing services. Certain Freddie Mac securities are classified as Level 3 at issuance and generally are classified as Level 2 when they begin trading. Transfers into Level 3 during 1Q 2020 and 1Q 2019 consisted primarily of certain mortgage-related securities due to a decrease in market activity and the availability of relevant price quotes from dealers and third-party pricing services. (2) Amounts are the net of derivative assets and liabilities prior to counterparty netting, cash collateral netting, net trade/settle receivable or payable, and net derivative interest receivable or payable. (3) 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, 2020 and March 31, 2019, respectively. This amount includes any allowance for credit losses recorded on available-for-sale securities and amortization of basis adjustments. |
Table - Quantitative Information about Recurring Level 3 Fair Value Measurements | The tables below provide 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 15.3 - Quantitative Information about Recurring Level 3 Fair Value Measurements March 31, 2020 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average (2) Assets Available-for-sale, at fair value Mortgage-related securities Agency $494 Discounted cash flows OAS 93 - 93 bps 93 bps 156 Other Non-agency and other 912 Median of external sources External pricing sources $61.1 - $72.6 $66.9 189 Other Trading, at fair value Mortgage-related securities Agency 1,662 Single external source External pricing sources $0.0 - $8,530.9 $912.6 523 Discounted cash flows OAS (2,231) - 8,095 bps 944 bps 359 Other Guarantee asset, at fair value 4,304 Discounted cash flows OAS 17 - 186 bps 46 bps 261 Other Insignificant Level 3 assets (1) 170 Total level 3 assets $9,030 Liabilities Insignificant Level 3 liabilities (1) 375 Total level 3 liabilities $375 Referenced footnote is included after the next table. December 31, 2019 Level 3 Predominant Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average (2) Assets Available-for-sale, at fair value Mortgage-related securities Agency $1,960 Discounted cash flows OAS 30 - 261 bps 80 bps Non-agency and other 886 Median of external sources External pricing sources $71.9 - $78.2 $75.0 381 Other Trading, at fair value Mortgage-related securities Agency 1,948 Single external source External pricing sources $0.0 - $100.7 $36.6 761 Discounted cash flows OAS (1,201) - 8,095 bps 611 bps Guarantee asset, at fair value 4,141 Discounted cash flows OAS 17 - 186 bps 40 bps 285 Other Insignificant Level 3 assets (1) 137 Total level 3 assets $10,499 Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 Single external source External pricing sources $99.4 - $103.6 $101.4 Insignificant Level 3 liabilities (1) 167 Total level 3 liabilities $370 (1) Represents the aggregate amount of Level 3 assets or liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant. (2) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments. |
Table - Assets Measured at Fair Value on a Nonrecurring Basis | The table below presents assets measured on our condensed consolidated balance sheets at fair value on a non-recurring basis. Table 15.4 - Assets Measured at Fair Value on a Non-Recurring Basis March 31, 2020 December 31, 2019 (In millions) Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Assets measured at fair value on a non-recurring basis: Mortgage loans (1) $— $2,127 $6,080 $8,207 $— $22 $4,059 $4,081 (1) Includes loans that are classified as held-for-investment and have been measured for impairment based on the fair value of the underlying collateral and held-for-sale loans where the fair value is below cost. |
Table - Fair Value Assets Measured on Nonrecurring Basis Valuation Techniques | The tables below provide 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 15.5 - Quantitative Information About Non-Recurring Level 3 Fair Value Measurements March 31, 2020 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average Non-recurring fair value measurements Mortgage loans $6,080 Internal model Historical sales proceeds $3,000 - $765,000 $182,407 Internal model Housing sales index 53 - 419 bps 112 bps Median of external sources External pricing sources $54.0 - $100.7 $88.1 December 31, 2019 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average Non-recurring fair value measurements Mortgage loans $4,059 Internal model Historical sales proceeds $3,000 - $765,000 $186,234 Internal model Housing sales index 46 - 420 bps 112 bps Median of external sources External pricing sources $66.5 - $105.4 $95.0 |
Table - Fair Value of Financial Instruments | The tables below present 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, secured lending and other, and certain debt, the carrying value on our GAAP balance sheets approximates fair value, as these assets and liabilities are short-term in nature and have limited fair value volatility. Table 15.6 - Fair Value of Financial Instruments March 31, 2020 GAAP Measurement Category (1) GAAP Carrying Amount Fair Value (In millions) Level 1 Level 2 Level 3 Netting Adjustments (2) Total Financial Assets Cash and cash equivalents Amortized cost $24,324 $24,324 $— $— $— $24,324 Securities purchased under agreements to resell Amortized cost 45,968 — 60,273 — (14,305 ) 45,968 Investment securities: Available-for-sale, at fair value FV - OCI 25,338 — 23,587 1,751 — 25,338 Trading, at fair value FV - NI 53,851 31,144 20,162 2,545 — 53,851 Total investment securities 79,189 31,144 43,749 4,296 — 79,189 Mortgage loans: Loans held by consolidated trusts 1,963,630 — 1,796,060 242,753 — 2,038,813 Loans held by Freddie Mac 83,027 — 43,389 41,656 — 85,045 Total mortgage loans Various (3) 2,046,657 — 1,839,449 284,409 — 2,123,858 Derivative assets, net FV - NI 2,815 55 13,702 63 (11,005 ) 2,815 Guarantee asset FV - NI 4,565 — — 4,571 — 4,571 Non-derivative purchase commitments Various 243 — 244 — — 244 Secured lending and other Amortized cost 5,072 — 1,607 3,280 — 4,887 Total financial assets $2,208,833 $55,523 $1,959,024 $296,619 ($25,310 ) $2,285,856 Financial Liabilities Debt: Debt securities of consolidated trusts held by third parties $1,930,005 $— $2,006,288 $1,140 $— $2,007,428 Other debt 286,130 — 300,522 4,063 (14,305 ) 290,280 Total debt Various (4) 2,216,135 — 2,306,810 5,203 (14,305 ) 2,297,708 Derivative liabilities, net FV - NI 2,226 — 11,552 24 (9,350 ) 2,226 Guarantee obligation Amortized cost 4,313 — — 5,070 — 5,070 Non-derivative purchase commitments Various 22 — 15 30 — 45 Total financial liabilities $2,222,696 $— $2,318,377 $10,327 ($23,655 ) $2,305,049 (1) FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income. (2) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable. (3) As of March 31, 2020, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $2.0 trillion , $19.0 billion , and $13.5 billion , respectively. (4) As of March 31, 2020, the GAAP carrying amounts measured at amortized cost and FV - NI were $2.2 trillion and $3.2 billion , respectively. December 31, 2019 GAAP Measurement Category (1) GAAP Carrying Amount Fair Value (In millions) Level 1 Level 2 Level 3 Netting Adjustments (2) Total Financial Assets Cash and cash equivalents Amortized cost $5,189 $5,189 $— $— $— $5,189 Securities purchased under agreements to resell Amortized cost 56,271 — 66,114 — (9,843 ) 56,271 Investment securities: Available-for-sale, at fair value FV - OCI 26,174 — 22,947 3,227 — 26,174 Trading, at fair value FV - NI 49,537 25,108 21,719 2,710 — 49,537 Total investment securities 75,711 25,108 44,666 5,937 — 75,711 Mortgage loans: Loans held by consolidated trusts 1,940,523 — 1,732,434 244,500 — 1,976,934 Loans held by Freddie Mac 79,677 — 38,100 45,588 — 83,688 Total mortgage loans Various (3) 2,020,200 — 1,770,534 290,088 — 2,060,622 Derivative assets, net FV - NI 844 — 6,363 16 (5,535 ) 844 Guarantee asset FV - NI 4,426 — — 4,433 — 4,433 Non-derivative purchase commitments Various 81 — 90 72 — 162 Secured lending and other Amortized cost 4,186 — 1,874 2,131 — 4,005 Total financial assets $2,166,908 $30,297 $1,889,641 $302,677 ($15,378 ) $2,207,237 Financial Liabilities Debt: Debt securities of consolidated trusts held by third parties $1,898,355 $— $1,931,473 $1,277 $— $1,932,750 Other debt 271,330 — 282,431 3,619 (9,843 ) 276,207 Total debt Various (4) 2,169,685 — 2,213,904 4,896 (9,843 ) 2,208,957 Derivative liabilities, net FV - NI 372 — 5,245 37 (4,910 ) 372 Guarantee obligation Amortized cost 4,292 — — 4,527 — 4,527 Non-derivative purchase commitments Various 7 — 7 67 — 74 Total financial liabilities $2,174,356 $— $2,219,156 $9,527 ($14,753 ) $2,213,930 (1) FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income. (2) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable. (3) As of December 31, 2019, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $2.0 trillion , $20.3 billion , and $15.0 billion , respectively. (4) As of December 31, 2019, the GAAP carrying amounts measured at amortized cost and FV - NI were $2.2 trillion and $3.9 billion |
Table - Difference between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected | The table below presents the fair value and UPB related to certain loans and long-term debt for which we have elected the fair value option. This table does not include interest-only securities related to debt securities of consolidated trusts and other debt held by third parties with a fair value of $99 million and $146 million and multifamily held-for-sale loan purchase commitments with a fair value of $239 million and $74 million , as of March 31, 2020 and December 31, 2019, respectively. Table 15.7 - Difference between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected March 31, 2020 December 31, 2019 (In millions) Multifamily Held-For-Sale Loans Other Debt - Long Term Debt Securities of Consolidated Trusts Held by Third Parties Multifamily Held-For-Sale Loans Other Debt - Long Term Debt Securities of Consolidated Trusts Held by Third Parties Fair value $13,518 $2,916 $199 $15,035 $3,589 $203 UPB 12,467 3,157 200 14,444 3,329 200 Difference $1,051 ($241 ) ($1 ) $591 $260 $3 The table below presents the changes in fair value included in non-interest income (loss) in our condensed consolidated statements of comprehensive income (loss), related to items for which we have elected the fair value option. Table 15.8 - Changes in Fair Value Under the Fair Value Option Election 1Q 2020 1Q 2019 (In millions) Gains (Losses) Multifamily held-for-sale loans $638 $341 Multifamily held-for-sale loan purchase commitments 532 390 Other debt - long term 548 (2 ) Debt securities of consolidated trusts held by third parties 4 (2 ) |
Regulatory Capital (Tables)
Regulatory Capital (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Mortgage Banking [Abstract] | |
Table - Net Worth and Minimum Capital | We continue to provide quarterly submissions to FHFA on minimum capital. The table below summarizes our minimum capital requirements and deficits and net worth. Table 17.1 - Net Worth and Minimum Capital (In millions) March 31, 2020 December 31, 2019 GAAP net worth (deficit) $9,504 $9,122 Core capital (deficit) (1)(2) (64,031 ) (63,964 ) Less: Minimum capital requirement (1) 19,521 19,123 Minimum capital surplus (deficit) (1) ($83,552 ) ($83,087 ) (1) Core capital and minimum capital figures are estimates and represent amounts submitted to FHFA. FHFA is the authoritative source for our regulatory capital. (2) Core capital excludes certain components of GAAP total equity (i.e., AOCI and the liquidation preference of the senior preferred stock) as these items do not meet the statutory definition of core capital. |
Selected Financial Statement _2
Selected Financial Statement Line Items (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Selected Financial Statement Data [Abstract] | |
Table - Components of Investment Gains (Losses) | The table below presents the significant components of investment gains (losses), net on our condensed consolidated statements of comprehensive income (loss). Table 18.1 - Significant Components of Investment Gains (Losses), Net (In millions) 1Q 2020 1Q 2019 Investment gains (losses), net: Mortgage loans gains (losses) $1,172 $934 Investment securities gains (losses) 1,055 144 Debt gains (losses) 700 15 Derivative gains (losses) (3,762 ) (1,606 ) Investment gains (losses), net ($835 ) ($513 ) |
Table - Significant Components of Other Assets and Other Liabilities | The table below presents the significant components of other assets and other liabilities on our condensed consolidated balance sheets. Table 18.2 - Significant Components of Other Assets and Other Liabilities (In millions) March 31, 2020 December 31, 2019 Other assets: Real estate owned, net $457 $555 Accounts and other receivables (1) 17,200 10,780 Guarantee asset 4,565 4,426 Secured lending and other 6,066 5,158 All other 3,273 1,880 Total other assets $31,561 $22,799 Other liabilities: Guarantee obligation $4,313 $4,292 All other 3,535 3,750 Total other liabilities $7,848 $8,042 (1) Primarily consists of servicer receivables and other non-interest receivables. |
Summary of Significant Accoun_4
Summary of Significant Accounting Policies (Details) $ in Millions | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Accounting Standards Update 2016-13 | |
Change in Accounting Estimate [Line Items] | |
Cumulative effect of change in accounting principle | $ 240 |
CECL Transition Impact (Details
CECL Transition Impact (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Jan. 01, 2020 | Dec. 31, 2019 |
Assets [Abstract] | |||
Mortgage loans held-for-investment | $ 2,014,155 | $ 1,984,419 | $ 1,984,912 |
Deferred tax assets, net (Note 12) | 4,600 | 5,982 | 5,918 |
Other assets | 31,561 | 22,992 | 22,799 |
Liabilities [Abstract] | |||
Other Liabilities | 7,848 | 8,046 | 8,042 |
Stockholders' Equity Attributable to Parent [Abstract] | |||
Retained Earnings (Accumulated Deficit) | $ (74,255) | (74,428) | (74,188) |
Accounting Standards Update 2016-13 | |||
Assets [Abstract] | |||
Mortgage loans held-for-investment | (493) | ||
Deferred tax assets, net (Note 12) | 64 | ||
Other assets | 193 | ||
Total transition adjustments | (236) | ||
Liabilities [Abstract] | |||
Other Liabilities | 4 | ||
Total transition adjustments | (236) | ||
Stockholders' Equity Attributable to Parent [Abstract] | |||
Retained Earnings (Accumulated Deficit) | (240) | ||
Single-family | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Financing Receivable, Allowance for Credit Loss | (4,890) | (4,222) | |
Assets [Abstract] | |||
UPB of mortgage loans - HFI | 1,971,856 | 1,971,657 | |
Mortgage loans held-for-investment | 1,967,435 | ||
Single-family | Accounting Standards Update 2016-13 | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Financing Receivable, Allowance for Credit Loss | (668) | ||
Assets [Abstract] | |||
UPB of mortgage loans - HFI | 199 | ||
Multifamily | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Financing Receivable, Allowance for Credit Loss | (36) | (12) | |
Assets [Abstract] | |||
UPB of mortgage loans - HFI | 17,489 | 17,489 | |
Mortgage loans held-for-investment | $ 17,477 | ||
Multifamily | Accounting Standards Update 2016-13 | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Financing Receivable, Allowance for Credit Loss | (24) | ||
Assets [Abstract] | |||
UPB of mortgage loans - HFI | $ 0 |
Conservatorship and Related M_2
Conservatorship and Related Matters (Details) - USD ($) | 3 Months Ended | 66 Months Ended | |||
Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Mar. 31, 2020 | Jun. 30, 2020 | |
Related Party Transaction [Line Items] | |||||
Applicable capital reserve amount from July 1, 2019 and thereafter | $ 20,000,000,000 | $ 20,000,000,000 | |||
Applicable capital reserve amount if we don't pay the full dividend requirement | $ 0 | ||||
Preference liquidation maximum increase | 17,000,000,000 | 17,000,000,000 | |||
Senior preferred stock, at redemption value | 81,770,000,000 | 79,322,000,000 | 81,770,000,000 | ||
Net worth increase | 400,000,000 | 2,400,000,000 | |||
Maximum limit of the UPB of mortgage-related investments portfolio | 225,000,000,000 | 225,000,000,000 | |||
UPB of mortgage-related investments portfolio | 215,500,000,000 | 215,500,000,000 | |||
Ten percent of notional amount of IO securities | 4,300,000,000 | 4,300,000,000 | |||
Increase in liquidation preference | 0 | $ 0 | |||
Funding available under Purchase Agreement | 140,200,000,000 | 140,200,000,000 | |||
CSS | |||||
Related Party Transaction [Line Items] | |||||
Payments to Acquire Equity Method Investments | 29,000,000 | 598,000,000 | |||
Equity Method Investments | $ 36,000,000 | $ 35,000,000 | $ 36,000,000 | ||
Subsequent Event [Member] | |||||
Related Party Transaction [Line Items] | |||||
Senior preferred stock, at redemption value | $ 82,200,000,000 |
Securitization Activities and_3
Securitization Activities and Consolidation - Consolidated VIEs (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Jan. 01, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 |
Variable Interest Entity, Consolidated, Carrying Amount, Assets [Abstract] | |||||
Cash and cash equivalents | $ 24,324 | $ 5,189 | $ 6,239 | $ 7,273 | |
Restricted cash and cash equivalents | 17,920 | 991 | |||
Securities purchased under agreement to resell | 45,968 | 56,271 | |||
Investments in securities, at fair value | 79,189 | 75,711 | |||
Mortgage loans held-for-investment | 2,014,155 | $ 1,984,419 | 1,984,912 | ||
Accrued interest receivable (Notes 3, 4, 7, 10) | 6,841 | 6,848 | |||
Other assets | 31,561 | 22,992 | 22,799 | ||
Total assets | 2,241,984 | 2,193,780 | |||
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities [Abstract] | |||||
Accrued interest payable | 6,271 | 6,559 | |||
Debt | 2,216,135 | 2,169,685 | |||
Other Liabilities | 7,848 | $ 8,046 | 8,042 | ||
Total liabilities | 2,232,480 | 2,184,658 | |||
Held by consolidated trusts | |||||
Variable Interest Entity, Consolidated, Carrying Amount, Assets [Abstract] | |||||
Cash and cash equivalents | 17,856 | 870 | |||
Restricted cash and cash equivalents | 17,855 | 869 | |||
Securities purchased under agreement to resell | 13,510 | 23,137 | |||
Investments in securities, at fair value | 1,536 | 597 | |||
Mortgage loans held-for-investment | 1,963,630 | 1,940,523 | |||
Accrued interest receivable (Notes 3, 4, 7, 10) | 6,181 | 6,170 | |||
Other assets | 14,332 | 9,824 | |||
Total assets | 2,017,045 | 1,981,121 | |||
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities [Abstract] | |||||
Accrued interest payable | 5,551 | 5,536 | |||
Debt | 1,930,005 | 1,898,355 | |||
Other Liabilities | 0 | 1 | |||
Total liabilities | $ 1,935,556 | $ 1,903,892 |
Securitization Activities and_4
Securitization Activities and Consolidation - Non-Consolidated VIEs (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Jan. 01, 2020 | Dec. 31, 2019 |
Assets [Abstract] | |||
Investments in securities, at fair value | $ 79,189 | $ 75,711 | |
Accrued interest receivable | 6,841 | 6,848 | |
Derivative Assets, net | 2,815 | 844 | |
Other Assets | 31,561 | $ 22,992 | 22,799 |
Liabilities [Abstract] | |||
Derivative Liabilities, net | 2,226 | 372 | |
Other Liabilities | 7,848 | $ 8,046 | 8,042 |
Variable Interest Entity, Not Primary Beneficiary [Member] | |||
Assets [Abstract] | |||
Investments in securities, at fair value | 35,660 | 37,918 | |
Accrued interest receivable | 208 | 212 | |
Derivative Assets, net | 8 | 14 | |
Other Assets | 4,465 | 3,951 | |
Liabilities [Abstract] | |||
Derivative Liabilities, net | 109 | 108 | |
Other Liabilities | 3,752 | 3,761 | |
Maximum Exposure to Loss | 322,557 | 307,820 | |
Total Assets of Non-Consolidated VIEs | $ 342,265 | $ 335,562 |
Mortgage Loans and Loan Loss _3
Mortgage Loans and Loan Loss Reserves (Details) $ in Millions | 3 Months Ended | |
Mar. 31, 2020USD ($)numberofloans | Mar. 31, 2019USD ($)numberofloans | |
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
Noncash acquisition, mortgage loans held-for-investment acquired in exchange for issuance of debt securities of consolidated trusts | $ 73,200 | $ 37,000 |
Transfers from advances to lenders to loans HFI | 15,100 | 6,100 |
Credit to advances to lender cash path | $ 500 | $ 400 |
Single-family | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
Number of Loans, Modifications, Subsequent Default | numberofloans | 2,816 | 4,325 |
Post-TDR Amortized Cost Basis, Modifications, Subsequent Default | $ 477 | $ 463 |
Interest rate reduction and term extension types, percentage of completed modifications | 14.00% | 8.00% |
Principal forebearance and interest rate reductions and term extension types, percentage of completed modifications | 19.00% | 23.00% |
Average term extension, number of months of completed modifications | 187 months | 164 months |
Average interest rate reduction, percentage of completed modifications | 0.30% | 0.10% |
Multifamily | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
Number of Loans, Modifications, Subsequent Default | numberofloans | 0 | 0 |
Post-TDR Amortized Cost Basis, Modifications, Subsequent Default | $ 0 | $ 0 |
Other loss mitigation activities | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
Number of Loans, Modifications, Subsequent Default | numberofloans | 1,026 | 1,464 |
Post-TDR Amortized Cost Basis, Modifications, Subsequent Default | $ 100 | $ 200 |
Mortgage Loans and Loan Loss _4
Mortgage Loans and Loan Loss Reserves - Mortgage Loans (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Jan. 01, 2020 | Dec. 31, 2019 |
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
UPB of mortgage loans - HFS | $ 34,403 | $ 37,497 | |
Cost basis and fair value adjustments, net HFS | (1,901) | (2,209) | |
Total held-for-sale loans, net | 32,502 | 35,288 | |
UPB of mortgage loans - HFI | 1,980,405 | 1,955,755 | |
Cost basis adjustment HFI | 39,871 | 33,391 | |
Allowance for loan losses on mortgage loans held-for-investment | (6,121) | (4,234) | |
Total held-for-investment mortgage loans, net | 2,014,155 | $ 1,984,419 | 1,984,912 |
Total mortgage loans, net | 2,046,657 | 2,020,200 | |
Single-family | |||
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
UPB of mortgage loans - HFS | 18,474 | 18,543 | |
UPB of mortgage loans - HFI | 1,962,147 | 1,938,282 | |
Allowance for loan losses on mortgage loans held-for-investment | (4,222) | ||
Total held-for-investment mortgage loans, net | 1,967,435 | ||
Multifamily | |||
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
UPB of mortgage loans - HFS | 15,929 | 18,954 | |
UPB of mortgage loans - HFI | 18,258 | 17,473 | |
Allowance for loan losses on mortgage loans held-for-investment | (12) | ||
Total held-for-investment mortgage loans, net | 17,477 | ||
Held by Freddie Mac | |||
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
UPB of mortgage loans - HFS | 34,403 | 37,497 | |
Cost basis and fair value adjustments, net HFS | (1,901) | (2,209) | |
Total held-for-sale loans, net | 32,502 | 35,288 | |
UPB of mortgage loans - HFI | 51,047 | 46,155 | |
Cost basis adjustment HFI | 532 | (183) | |
Allowance for loan losses on mortgage loans held-for-investment | (1,054) | (1,583) | |
Total held-for-investment mortgage loans, net | 50,525 | 44,389 | |
Total mortgage loans, net | 83,027 | 79,677 | |
Held by Freddie Mac | Single-family | |||
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
UPB of mortgage loans - HFS | 18,474 | 18,543 | |
UPB of mortgage loans - HFI | 40,626 | 35,324 | |
Held by Freddie Mac | Multifamily | |||
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
UPB of mortgage loans - HFS | 15,929 | 18,954 | |
UPB of mortgage loans - HFI | 10,421 | 10,831 | |
Held by consolidated trusts | |||
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
UPB of mortgage loans - HFS | 0 | 0 | |
Cost basis and fair value adjustments, net HFS | 0 | 0 | |
Total held-for-sale loans, net | 0 | 0 | |
UPB of mortgage loans - HFI | 1,929,358 | 1,909,600 | |
Cost basis adjustment HFI | 39,339 | 33,574 | |
Allowance for loan losses on mortgage loans held-for-investment | (5,067) | (2,651) | |
Total held-for-investment mortgage loans, net | 1,963,630 | 1,940,523 | |
Total mortgage loans, net | 1,963,630 | 1,940,523 | |
Held by consolidated trusts | Single-family | |||
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
UPB of mortgage loans - HFS | 0 | 0 | |
UPB of mortgage loans - HFI | 1,921,521 | 1,902,958 | |
Held by consolidated trusts | Multifamily | |||
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
UPB of mortgage loans - HFS | 0 | 0 | |
UPB of mortgage loans - HFI | $ 7,837 | $ 6,642 |
Mortgage Loans and Loan Loss _5
Mortgage Loans and Loan Loss Reserves - Loans Purchased, Reclassified from Held-for-Investment to Held-for-Sale and Sold (Details) - USD ($) $ in Billions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Single-family | Held-for-Investment | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Financing Receivable, Purchase | $ 137.7 | $ 69.7 |
Financing Receivable, Reclassification to Held-for-sale | 2.6 | 4.1 |
Single-family | Held-for-Sale | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Financing Receivable, Sale | 2.2 | 2.1 |
Multifamily | Held-for-Investment | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Financing Receivable, Purchase | 1.2 | 1 |
Financing Receivable, Reclassification to Held-for-sale | 0 | 0.5 |
Multifamily | Held-for-Sale | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Financing Receivable, Purchase | 8.2 | 11.6 |
Financing Receivable, Sale | $ 10.7 | $ 14.7 |
Mortgage Loans and Loan Loss _6
Mortgage Loans and Loan Loss Reserves Mortgage Loans and Loan Loss Reserves - Loan Reclassifications (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Financing Receivable, Allowance for Credit Loss, Writeoff | $ 79,000 | |
Single Family | Held-for-Investment | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Financing Receivable, Reclassification to Held-for-sale | 2,600,000 | $ 4,100,000 |
Mortgage Loans Unpaid Principal Balance Reclassified from HFS to HFI | 2,637,000 | |
Allowance for Credit Losses Reversed or Established | 214,000 | |
Valuation Allowance Established or Reversed | 0 | |
Single Family | Held-for-Sale | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Mortgage Loans Unpaid Principal Balance Reclassified from HFS to HFI | 1,000 | |
Allowance for Credit Losses Reversed or Established | 0 | |
Valuation Allowance Established or Reversed | 0 | |
Multifamily | Held-for-Investment | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Financing Receivable, Reclassification to Held-for-sale | 0 | $ 500,000 |
Mortgage Loans Unpaid Principal Balance Reclassified from HFI to HFS | 32,000 | |
Allowance for Credit Losses Reversed or Established | 0 | |
Valuation Allowance Established or Reversed | 0 | |
Multifamily | Held-for-Sale | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Mortgage Loans Unpaid Principal Balance Reclassified from HFS to HFI | 482,000 | |
Allowance for Credit Losses Reversed or Established | (1,000) | |
Valuation Allowance Established or Reversed | $ 0 |
Mortgage Loans and Loan Loss _7
Mortgage Loans and Loan Loss Reserves - Amortized Cost Basis of Held-for-Investment Loans on Nonaccrual (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Jan. 01, 2020 | |
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Financing Receivable, Nonaccrual, Amortized Cost Basis | $ 6,220 | $ 6,383 |
Financing Receivable, Nonaccrual, Interest Income | 6 | |
Single Family | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Financing Receivable, Nonaccrual, Amortized Cost Basis | 6,207 | 6,370 |
Financing Receivable, Nonaccrual, Interest Income | 6 | |
Multifamily | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Financing Receivable, Nonaccrual, Amortized Cost Basis | 13 | 13 |
Financing Receivable, Nonaccrual, Interest Income | 0 | |
Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Financing Receivable, Nonaccrual, Amortized Cost Basis | 5,494 | 5,598 |
Financing Receivable, Nonaccrual, Interest Income | 4 | |
Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Financing Receivable, Nonaccrual, Amortized Cost Basis | 241 | 242 |
Financing Receivable, Nonaccrual, Interest Income | 0 | |
Single-family Adjustable-rate | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Financing Receivable, Nonaccrual, Amortized Cost Basis | 83 | 91 |
Financing Receivable, Nonaccrual, Interest Income | 0 | |
Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Financing Receivable, Nonaccrual, Amortized Cost Basis | 389 | $ 439 |
Financing Receivable, Nonaccrual, Interest Income | $ 2 |
Mortgage Loans and Loan Loss _8
Mortgage Loans and Loan Loss Reserves Mortgage Loans and Loan Loss Reserves - Accrued Interest Receivable and Related Charge-Offs (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | |
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Interest Receivable | $ 6,841,000,000 | $ 6,848,000,000 |
Accrued Interest Receivable Related Charge-Offs | 0 | |
Single Family | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Interest Receivable | 6,320,000,000 | |
Accrued Interest Receivable Related Charge-Offs | (29,000,000) | |
Multifamily | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Interest Receivable | 118,000,000 | |
Accrued Interest Receivable Related Charge-Offs | $ 0 |
Mortgage Loans and Loan Loss _9
Mortgage Loans and Loan Loss Reserves - Detail of Allowance for Credit Losses (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Allowance for loan losses | ||
Allowance for Loan and Lease Losses [Roll Forward] | ||
Ending balance | $ 6,375 | $ 5,546 |
Single-family | ||
Allowance for Loan and Lease Losses [Roll Forward] | ||
Beginning balance | 4,222 | |
Single-family | Allowance for loan losses | ||
Allowance for Loan and Lease Losses [Roll Forward] | ||
Beginning balance | 5,184 | 6,130 |
Provision (benefit) for credit losses | 1,164 | (137) |
Charge-offs | (162) | (604) |
Recoveries collected | 88 | 106 |
Other | 24 | 41 |
Ending balance | 6,298 | 5,536 |
Multifamily | ||
Allowance for Loan and Lease Losses [Roll Forward] | ||
Beginning balance | 12 | |
Multifamily | Allowance for loan losses | ||
Allowance for Loan and Lease Losses [Roll Forward] | ||
Ending balance | $ 77 | $ 10 |
Mortgage Loans and Loan Loss_10
Mortgage Loans and Loan Loss Reserves - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratios and Vintage (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable 1 | $ 2,020,276 | $ 1,989,146 |
Single-Family serious delinquency rate | 0.60% | 0.63% |
Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | $ 70,967 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 378,475 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 181,536 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 198,090 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 227,652 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 651,080 | |
Financing Receivable 1 | 1,707,800 | $ 1,677,268 |
Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 10,428 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 43,491 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 18,479 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 27,651 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 38,005 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 108,719 | |
Financing Receivable 1 | 246,773 | 243,723 |
Single-family Adjustable-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 270 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 2,992 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 2,438 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 5,696 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 3,649 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 19,471 | |
Financing Receivable 1 | 34,516 | 36,909 |
Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 0 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 12,897 | |
Financing Receivable 1 | 12,897 | 13,757 |
Single Family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 81,665 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 424,958 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 202,453 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 231,437 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 269,306 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 792,167 | |
Financing Receivable 1 | 2,001,986 | $ 1,971,657 |
Single-Family serious delinquency rate | 0.63% | |
Less Than Or Equal To 80 Estimated Current LTV Ratio | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 45,990 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 229,800 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 125,462 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 176,050 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 222,411 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 637,471 | |
Financing Receivable 1 | 1,437,184 | $ 1,405,562 |
Less Than Or Equal To 80 Estimated Current LTV Ratio | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 8,951 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 38,981 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 17,996 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 27,553 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 37,962 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 108,636 | |
Financing Receivable 1 | 240,079 | 236,837 |
Less Than Or Equal To 80 Estimated Current LTV Ratio | Single-family Adjustable-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 217 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 2,462 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 2,143 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 5,450 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 3,618 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 19,424 | |
Financing Receivable 1 | 33,314 | 35,478 |
Less Than Or Equal To 80 Estimated Current LTV Ratio | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 0 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 12,032 | |
Financing Receivable 1 | 12,032 | 12,668 |
Less Than Or Equal To 80 Estimated Current LTV Ratio | Single Family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable 1 | 1,690,545 | |
Greater Than 80 Through 100 Estimated Current LTV Ratio | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 24,835 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 148,243 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 55,970 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 21,881 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 5,091 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 11,220 | |
Financing Receivable 1 | 267,240 | 267,752 |
Greater Than 80 Through 100 Estimated Current LTV Ratio | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 1,466 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 4,493 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 478 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 85 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 33 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 64 | |
Financing Receivable 1 | 6,619 | 6,797 |
Greater Than 80 Through 100 Estimated Current LTV Ratio | Single-family Adjustable-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 53 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 529 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 295 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 246 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 31 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 43 | |
Financing Receivable 1 | 1,197 | 1,425 |
Greater Than 80 Through 100 Estimated Current LTV Ratio | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 0 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 727 | |
Financing Receivable 1 | 727 | 901 |
Greater Than 80 Through 100 Estimated Current LTV Ratio | Single Family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable 1 | 276,875 | |
Greater Than 100 Loan To Value Ratio [Member] | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 142 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 432 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 104 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 159 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 150 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 2,389 | |
Financing Receivable 1 | 3,376 | 3,954 |
Greater Than 100 Loan To Value Ratio [Member] | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 11 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 17 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 5 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 13 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 10 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 19 | |
Financing Receivable 1 | 75 | 89 |
Greater Than 100 Loan To Value Ratio [Member] | Single-family Adjustable-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 0 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 1 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 4 | |
Financing Receivable 1 | 5 | 6 |
Greater Than 100 Loan To Value Ratio [Member] | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 0 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 138 | |
Financing Receivable 1 | $ 138 | 188 |
Greater Than 100 Loan To Value Ratio [Member] | Single Family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable 1 | $ 4,237 | |
Single-Family serious delinquency rate | 4.03% | 4.51% |
Mortgage Loans and Loan Loss_11
Mortgage Loans and Loan Loss Reserves - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator by Vintage (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Amortized Cost Basis of held-for-investment loans | $ 2,020,276 | $ 1,989,146 |
Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 1,110 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 8,555 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 1,409 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 969 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 692 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 3,495 | |
Financing Receivable, Revolving Loans Converted to Term Loans | 2,060 | |
Amortized Cost Basis of held-for-investment loans | 18,290 | 17,489 |
Pass | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 1,110 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 8,516 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 1,361 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 941 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 687 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 3,327 | |
Financing Receivable, Revolving Loans Converted to Term Loans | 2,060 | |
Amortized Cost Basis of held-for-investment loans | 18,002 | 17,227 |
Special Mention | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 0 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 37 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 29 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 20 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 92 | |
Financing Receivable, Revolving Loans Converted to Term Loans | 0 | |
Amortized Cost Basis of held-for-investment loans | 178 | 141 |
Substandard | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 0 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 2 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 19 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 8 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 5 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 76 | |
Financing Receivable, Revolving Loans Converted to Term Loans | 0 | |
Amortized Cost Basis of held-for-investment loans | 110 | 121 |
Doubtful | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated in Current Fiscal Year | 0 | |
Financing Receivable, Originated in Fiscal Year before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Two Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Three Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Four Years before Latest Fiscal Year | 0 | |
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 0 | |
Financing Receivable, Revolving Loans Converted to Term Loans | 0 | |
Amortized Cost Basis of held-for-investment loans | $ 0 | $ 0 |
Mortgage Loans and Loan Loss_12
Mortgage Loans and Loan Loss Reserves - Amortized Cost Basis of Held-for-Investment Loans by Payment Status (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Financing Receivable, Past Due [Line Items] | ||
Current | $ 1,992,261 | $ 1,962,006 |
Total amortized cost basis | 2,020,276 | 1,989,146 |
Non-Accrual | 6,396 | |
Non-Accrual with no allowance | 477 | |
Mortgage Loans in Process of Foreclosure, Amount | 1,700 | 1,800 |
Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Current | 1,682,763 | 1,653,113 |
Total amortized cost basis | 1,707,800 | 1,677,268 |
Non-Accrual | 5,822 | |
Non-Accrual with no allowance | 370 | |
Three months or more past due and accruing | 0 | |
Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Current | 245,198 | 242,177 |
Total amortized cost basis | 246,773 | 243,723 |
Non-Accrual | 252 | |
Non-Accrual with no allowance | 5 | |
Three months or more past due and accruing | 0 | |
Single-family Adjustable-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Current | 34,133 | 36,537 |
Total amortized cost basis | 34,516 | 36,909 |
Non-Accrual | 104 | |
Non-Accrual with no allowance | 3 | |
Three months or more past due and accruing | 0 | |
Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Past Due [Line Items] | ||
Current | 11,877 | 12,690 |
Total amortized cost basis | 12,897 | 13,757 |
Non-Accrual | 205 | |
Non-Accrual with no allowance | 86 | |
Three months or more past due and accruing | 0 | |
Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Current | 1,973,971 | 1,944,517 |
Total amortized cost basis | 2,001,986 | 1,971,657 |
Non-Accrual | 6,383 | |
Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Current | 18,290 | 17,489 |
Total amortized cost basis | 18,290 | 17,489 |
Non-Accrual | 13 | |
Non-Accrual with no allowance | 13 | |
Three months or more past due and accruing | 0 | |
One month past due | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 18,529 | 17,339 |
One month past due | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 16,596 | 15,481 |
One month past due | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 1,172 | 1,131 |
One month past due | Single-family Adjustable-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 260 | 238 |
One month past due | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 501 | 489 |
One month past due | Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 18,529 | 17,339 |
One month past due | Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 0 | 0 |
Two months past due | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 3,540 | 3,707 |
Two months past due | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 3,190 | 3,326 |
Two months past due | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 165 | 175 |
Two months past due | Single-family Adjustable-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 41 | 45 |
Two months past due | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 144 | 161 |
Two months past due | Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 3,540 | 3,707 |
Two months past due | Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 0 | 0 |
Three months or more past due or in foreclosure | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 5,946 | 6,094 |
Three months or more past due and accruing | 0 | |
Three months or more past due or in foreclosure | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 5,251 | 5,348 |
Three months or more past due or in foreclosure | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 238 | 240 |
Three months or more past due or in foreclosure | Single-family Adjustable-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 82 | 89 |
Three months or more past due or in foreclosure | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 375 | 417 |
Three months or more past due or in foreclosure | Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | 5,946 | 6,094 |
Non-Accrual with no allowance | 464 | |
Three months or more past due and accruing | 0 | |
Three months or more past due or in foreclosure | Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Past Due | $ 0 | $ 0 |
Mortgage Loans and Loan Loss_13
Mortgage Loans and Loan Loss Reserves - TDR Activity (Details) $ in Millions | 3 Months Ended | |
Mar. 31, 2020USD ($)numberofloans | Mar. 31, 2019USD ($)numberofloans | |
Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Number of Loans | numberofloans | 6,432 | 7,459 |
Post TDR Amortized Cost Basis | $ 1,127 | $ 1,200 |
Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Number of Loans | numberofloans | 729 | 946 |
Post TDR Amortized Cost Basis | $ 72 | $ 92 |
Single-family Adjustable-rate | ||
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Number of Loans | numberofloans | 97 | 157 |
Post TDR Amortized Cost Basis | $ 17 | $ 25 |
Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Number of Loans | numberofloans | 166 | 329 |
Post TDR Amortized Cost Basis | $ 24 | $ 53 |
Single-family | ||
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Number of Loans | numberofloans | 7,424 | 8,891 |
Post TDR Amortized Cost Basis | $ 1,240 | $ 1,370 |
Pre-TDR Amortized Cost Basis | $ 1,200 | $ 1,400 |
Multifamily | ||
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Number of Loans | numberofloans | 0 | 0 |
Post TDR Amortized Cost Basis | $ 0 | $ 0 |
Mortgage Loans and Loan Loss_14
Mortgage Loans and Loan Loss Reserves - Payment Defaults of Completed TDR Modifications (Details) $ in Millions | 3 Months Ended | |
Mar. 31, 2020USD ($)numberofloans | Mar. 31, 2019USD ($)numberofloans | |
Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Modifications and Other Loss Mitigation Activities | ||
Number of Loans, Modifications, Subsequent Default | numberofloans | 2,504 | 3,856 |
Post-TDR Amortized Cost Basis, Modifications, Subsequent Default | $ | $ 427 | $ 409 |
Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Modifications and Other Loss Mitigation Activities | ||
Number of Loans, Modifications, Subsequent Default | numberofloans | 119 | 125 |
Post-TDR Amortized Cost Basis, Modifications, Subsequent Default | $ | $ 14 | $ 7 |
Single-family Adjustable-rate | ||
Financing Receivable, Modifications and Other Loss Mitigation Activities | ||
Number of Loans, Modifications, Subsequent Default | numberofloans | 29 | 34 |
Post-TDR Amortized Cost Basis, Modifications, Subsequent Default | $ | $ 4 | $ 3 |
Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Modifications and Other Loss Mitigation Activities | ||
Number of Loans, Modifications, Subsequent Default | numberofloans | 164 | 310 |
Post-TDR Amortized Cost Basis, Modifications, Subsequent Default | $ | $ 32 | $ 44 |
Single-family | ||
Financing Receivable, Modifications and Other Loss Mitigation Activities | ||
Number of Loans, Modifications, Subsequent Default | numberofloans | 2,816 | 4,325 |
Post-TDR Amortized Cost Basis, Modifications, Subsequent Default | $ | $ 477 | $ 463 |
Multifamily | ||
Financing Receivable, Modifications and Other Loss Mitigation Activities | ||
Number of Loans, Modifications, Subsequent Default | numberofloans | 0 | 0 |
Post-TDR Amortized Cost Basis, Modifications, Subsequent Default | $ | $ 0 | $ 0 |
Mortgage Loans and Loan Loss_15
Mortgage Loans and Loan Loss Reserves - Net Investment in Loans (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Jan. 01, 2020 | Dec. 31, 2019 |
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Recorded investment, collectively evaluated | $ 1,953,616 | ||
Recorded investment, individually evaluated | 35,530 | ||
Total amortized cost basis | $ 2,020,276 | 1,989,146 | |
Allowance for loan losses, collectively evaluated | (1,362) | ||
Allowance for loan losses, individually evaluated | (2,872) | ||
Total ending balance of the allowance | (6,121) | (4,234) | |
Total held-for-investment mortgage loans, net | 2,014,155 | $ 1,984,419 | 1,984,912 |
Single-family | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Recorded investment, collectively evaluated | 1,936,208 | ||
Recorded investment, individually evaluated | 35,449 | ||
Total amortized cost basis | 2,001,986 | 1,971,657 | |
Allowance for loan losses, collectively evaluated | (1,350) | ||
Allowance for loan losses, individually evaluated | (2,872) | ||
Total ending balance of the allowance | (4,222) | ||
Total held-for-investment mortgage loans, net | 1,967,435 | ||
Multifamily | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Recorded investment, collectively evaluated | 17,408 | ||
Recorded investment, individually evaluated | 81 | ||
Total amortized cost basis | $ 18,290 | 17,489 | |
Allowance for loan losses, collectively evaluated | (12) | ||
Allowance for loan losses, individually evaluated | 0 | ||
Total ending balance of the allowance | (12) | ||
Total held-for-investment mortgage loans, net | $ 17,477 |
Mortgage Loans and Loan Loss_16
Mortgage Loans and Loan Loss Reserves - Individually Impaired Loans (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2019 | Dec. 31, 2019 | |
With specific allowance recorded [Abstract] | ||
Impaired Financing Receivable, Related Allowance | $ (2,872) | |
Individually Impaired Mortgage Loans [Abstract] | ||
Impaired Financing Receivable, Unpaid Principal Balance | 36,440 | |
Impaired Financing Receivable, Recorded Investment | 35,530 | |
Average Recorded Investment | $ 44,490 | |
Interest Income Recognized | 648 | |
Interest Income Recognized On Cash Basis | 71 | |
Single-family 20 and 30-year or more, amortizing fixed-rate | ||
With no specific allowance recorded [Abstract] | ||
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance | 2,431 | |
Impaired Financing Receivable, with No Related Allowance, Recorded Investment | 1,927 | |
Average Recorded Investment | 2,686 | |
Interest Income Recognized | 73 | |
Interest Income Recognized On Cash Basis | 4 | |
With specific allowance recorded [Abstract] | ||
Impaired Financing Receivable, with Related Allowance, Unpaid Principal Balance | 28,824 | |
Impaired Financing Receivable, with Related Allowance, Recorded Investment | 28,667 | |
Impaired Financing Receivable, Related Allowance | (2,416) | |
Average Recorded Investment | 35,338 | |
Interest Income Recognized | 484 | |
Interest Income Recognized On Cash Basis | 57 | |
Individually Impaired Mortgage Loans [Abstract] | ||
Impaired Financing Receivable, Unpaid Principal Balance | 31,255 | |
Impaired Financing Receivable, Recorded Investment | 30,594 | |
Average Recorded Investment | 38,024 | |
Interest Income Recognized | 557 | |
Interest Income Recognized On Cash Basis | 61 | |
Single-family 15-year amortizing fixed-rate | ||
With no specific allowance recorded [Abstract] | ||
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance | 21 | |
Impaired Financing Receivable, with No Related Allowance, Recorded Investment | 20 | |
Average Recorded Investment | 21 | |
Interest Income Recognized | 0 | |
Interest Income Recognized On Cash Basis | 0 | |
With specific allowance recorded [Abstract] | ||
Impaired Financing Receivable, with Related Allowance, Unpaid Principal Balance | 616 | |
Impaired Financing Receivable, with Related Allowance, Recorded Investment | 625 | |
Impaired Financing Receivable, Related Allowance | (13) | |
Average Recorded Investment | 686 | |
Interest Income Recognized | 6 | |
Interest Income Recognized On Cash Basis | 1 | |
Individually Impaired Mortgage Loans [Abstract] | ||
Impaired Financing Receivable, Unpaid Principal Balance | 637 | |
Impaired Financing Receivable, Recorded Investment | 645 | |
Average Recorded Investment | 707 | |
Interest Income Recognized | 6 | |
Interest Income Recognized On Cash Basis | 1 | |
Single-family Adjustable-rate | ||
With no specific allowance recorded [Abstract] | ||
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance | 169 | |
Impaired Financing Receivable, with No Related Allowance, Recorded Investment | 169 | |
Average Recorded Investment | 224 | |
Interest Income Recognized | 3 | |
Interest Income Recognized On Cash Basis | 0 | |
With specific allowance recorded [Abstract] | ||
Impaired Financing Receivable, with Related Allowance, Unpaid Principal Balance | 131 | |
Impaired Financing Receivable, with Related Allowance, Recorded Investment | 130 | |
Impaired Financing Receivable, Related Allowance | (7) | |
Average Recorded Investment | 147 | |
Interest Income Recognized | 1 | |
Interest Income Recognized On Cash Basis | 1 | |
Individually Impaired Mortgage Loans [Abstract] | ||
Impaired Financing Receivable, Unpaid Principal Balance | 300 | |
Impaired Financing Receivable, Recorded Investment | 299 | |
Average Recorded Investment | 371 | |
Interest Income Recognized | 4 | |
Interest Income Recognized On Cash Basis | 1 | |
Single-family Alt-A, interest-only, and option ARM | ||
With no specific allowance recorded [Abstract] | ||
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance | 847 | |
Impaired Financing Receivable, with No Related Allowance, Recorded Investment | 727 | |
Average Recorded Investment | 981 | |
Interest Income Recognized | 18 | |
Interest Income Recognized On Cash Basis | 1 | |
With specific allowance recorded [Abstract] | ||
Impaired Financing Receivable, with Related Allowance, Unpaid Principal Balance | 3,315 | |
Impaired Financing Receivable, with Related Allowance, Recorded Investment | 3,184 | |
Impaired Financing Receivable, Related Allowance | (436) | |
Average Recorded Investment | 4,325 | |
Interest Income Recognized | 62 | |
Interest Income Recognized On Cash Basis | 7 | |
Individually Impaired Mortgage Loans [Abstract] | ||
Impaired Financing Receivable, Unpaid Principal Balance | 4,162 | |
Impaired Financing Receivable, Recorded Investment | 3,911 | |
Average Recorded Investment | 5,306 | |
Interest Income Recognized | 80 | |
Interest Income Recognized On Cash Basis | 8 | |
Single-family | ||
With no specific allowance recorded [Abstract] | ||
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance | 3,468 | |
Impaired Financing Receivable, with No Related Allowance, Recorded Investment | 2,843 | |
Average Recorded Investment | 3,912 | |
Interest Income Recognized | 94 | |
Interest Income Recognized On Cash Basis | 5 | |
With specific allowance recorded [Abstract] | ||
Impaired Financing Receivable, with Related Allowance, Unpaid Principal Balance | 32,886 | |
Impaired Financing Receivable, with Related Allowance, Recorded Investment | 32,606 | |
Impaired Financing Receivable, Related Allowance | (2,872) | |
Average Recorded Investment | 40,496 | |
Interest Income Recognized | 553 | |
Interest Income Recognized On Cash Basis | 66 | |
Individually Impaired Mortgage Loans [Abstract] | ||
Impaired Financing Receivable, Unpaid Principal Balance | 36,354 | |
Impaired Financing Receivable, Recorded Investment | 35,449 | |
Average Recorded Investment | 44,408 | |
Interest Income Recognized | 647 | |
Interest Income Recognized On Cash Basis | 71 | |
Multifamily | ||
With no specific allowance recorded [Abstract] | ||
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance | 86 | |
Impaired Financing Receivable, with No Related Allowance, Recorded Investment | 81 | |
Average Recorded Investment | 66 | |
Interest Income Recognized | 1 | |
With specific allowance recorded [Abstract] | ||
Impaired Financing Receivable, with Related Allowance, Unpaid Principal Balance | 0 | |
Impaired Financing Receivable, with Related Allowance, Recorded Investment | 0 | |
Impaired Financing Receivable, Related Allowance | 0 | |
Average Recorded Investment | 16 | |
Interest Income Recognized | 0 | |
Interest Income Recognized On Cash Basis | 0 | |
Individually Impaired Mortgage Loans [Abstract] | ||
Impaired Financing Receivable, Unpaid Principal Balance | 86 | |
Impaired Financing Receivable, Recorded Investment | $ 81 | |
Average Recorded Investment | 82 | |
Interest Income Recognized | 1 | |
Interest Income Recognized On Cash Basis | $ 0 |
Mortgage Loans and Loan Loss_17
Mortgage Loans and Loan Loss Reserves - Delinquency Rates (Details) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019USD ($)numberofloans |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Serious delinquency rate | 0.60% | 0.63% |
Single-family | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Serious delinquency rate | 0.63% | |
Total number of seriously delinquent loans | 70,162 | |
Single-family | Non-credit-enhanced portfolio | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Serious delinquency rate | 0.70% | |
Total number of seriously delinquent loans | 42,485 | |
Single-family | Credit-enhanced portfolio | Primary mortgage insurance | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Serious delinquency rate | 0.79% | |
Total number of seriously delinquent loans | 15,261 | |
Single-family | Credit-enhanced portfolio | Other credit protection | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Serious delinquency rate | 0.40% | |
Total number of seriously delinquent loans | 18,143 | |
Multifamily | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Delinquency Rate | 0.08% | |
UPB of delinquent loans | $ | $ 246 | |
Multifamily | Non-credit-enhanced portfolio | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Delinquency Rate | 0.00% | |
UPB of delinquent loans | $ | $ 2 | |
Multifamily | Credit-enhanced portfolio | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Delinquency Rate | 0.09% | |
UPB of delinquent loans | $ | $ 244 |
Guarantees and Other Off-Bala_3
Guarantees and Other Off-Balance Sheet Credit Exposures (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Guarantor Obligations [Line Items] | ||
Notional Of off-Balance Sheet Credit Exposure | $ 20,300 | $ 17,100 |
Off-Balance Sheet, Credit Loss, Liability | $ 108 | $ 51 |
Financial Guarantees (Details)
Financial Guarantees (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | Jan. 01, 2020 | |
Guarantor Obligations [Line Items] | |||
Recognized Liability | $ 4,313 | $ 4,292 | |
Payment Guarantee | |||
Guarantor Obligations [Line Items] | |||
Maximum Exposure | 31,599 | 24,965 | |
Recognized Liability | $ 659 | $ 253 | |
Maximum Remaining Term | 30 years | 30 years | |
Fannie Mae securities backing Freddie Mac resecuritization trust | |||
Guarantor Obligations [Line Items] | |||
Maximum Exposure | $ 39,549 | $ 27,408 | |
Recognized Liability | $ 0 | $ 0 | |
Maximum Remaining Term | 30 years | 30 years | |
Single-family | |||
Guarantor Obligations [Line Items] | |||
Maximum Exposure | $ 35,639 | $ 34,310 | |
Recognized Liability | 562 | 543 | |
Reserve for guarantee losses | 4,222 | $ 4,890 | |
Single-family | Securitization activity guarantees | |||
Guarantor Obligations [Line Items] | |||
Maximum Exposure | 27,696 | 26,818 | |
Recognized Liability | $ 379 | $ 361 | |
Maximum Remaining Term | 39 years | 40 years | |
Single-family | Other mortgage-related guarantees | |||
Guarantor Obligations [Line Items] | |||
Maximum Exposure | $ 7,943 | $ 7,492 | |
Recognized Liability | $ 183 | $ 182 | |
Maximum Remaining Term | 30 years | 30 years | |
Multifamily | |||
Guarantor Obligations [Line Items] | |||
Maximum Exposure | $ 264,886 | $ 262,156 | |
Recognized Liability | 3,750 | 3,749 | |
Reserve for guarantee losses | 12 | $ 36 | |
Multifamily | Securitization activity guarantees | |||
Guarantor Obligations [Line Items] | |||
Maximum Exposure | 254,459 | 252,167 | |
Recognized Liability | $ 3,310 | $ 3,333 | |
Maximum Remaining Term | 39 years | 39 years | |
Multifamily | Other mortgage-related guarantees | |||
Guarantor Obligations [Line Items] | |||
Maximum Exposure | $ 10,427 | $ 9,989 | |
Recognized Liability | $ 440 | $ 416 | |
Maximum Remaining Term | 34 years | 34 years |
UPB of Unconsolidated Loans by
UPB of Unconsolidated Loans by Payment Status (Details) $ in Millions | Mar. 31, 2020USD ($) |
Guarantor Obligations [Line Items] | |
UPB of Unconsolidated loans current | $ 340,265 |
UPB of Unconsolidated loans 30 to 59 days past due | 1,994 |
UPB of Unconsolidated loans 60 to 89 days past due | 672 |
UPB of Unconsolidated loans equal to or greater than 90 days past due | 1,115 |
Total UPB of Unconsolidated loans by payment status | 344,046 |
Single Family | |
Guarantor Obligations [Line Items] | |
UPB of Unconsolidated loans current | 35,362 |
UPB of Unconsolidated loans 30 to 59 days past due | 1,985 |
UPB of Unconsolidated loans 60 to 89 days past due | 660 |
UPB of Unconsolidated loans equal to or greater than 90 days past due | 861 |
Total UPB of Unconsolidated loans by payment status | 38,868 |
Multifamily | |
Guarantor Obligations [Line Items] | |
UPB of Unconsolidated loans current | 304,903 |
UPB of Unconsolidated loans 30 to 59 days past due | 9 |
UPB of Unconsolidated loans 60 to 89 days past due | 12 |
UPB of Unconsolidated loans equal to or greater than 90 days past due | 254 |
Total UPB of Unconsolidated loans by payment status | $ 305,178 |
Credit Enhancements Credit Enha
Credit Enhancements Credit Enhancements (Details) $ in Billions | Jan. 01, 2020USD ($) |
Credit Enhancements [Abstract] | |
Credit Enhancement Recovery Receivables | $ 0.3 |
Credit Enhancements - Component
Credit Enhancements - Components of Credit Enhancements, Net (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Credit Enhancement [Line Items] | ||
Premiums, amortization, and transaction costs | $ (231) | $ (162) |
Recoveries | 467 | 4 |
Credit enhancement expense | $ 236 | $ (158) |
Credit Enhancements - Single Fa
Credit Enhancements - Single Family Credit Enhancements (Details) - SF Mortgage Loan Credit Enhancements - Single-family - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Credit Enhancement [Line Items] | ||
Maximum coverage | $ 159,076 | $ 155,066 |
Primary mortgage insurance | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 427,467 | 421,870 |
Maximum coverage | 109,003 | 107,690 |
STACR Trust | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 395,689 | 288,323 |
Maximum coverage | 12,802 | 9,739 |
STACR Debt | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 510,742 | 536,036 |
Maximum coverage | 14,532 | 15,373 |
Insurance/reinsurance | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 907,873 | 863,149 |
Maximum coverage | 10,442 | 10,157 |
Non-consolidated VIE subordination | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 26,479 | 25,443 |
Maximum coverage | 4,708 | 4,545 |
Consolidated VIE subordination | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 17,884 | 19,498 |
Maximum coverage | 792 | 854 |
Lender-Risk Sharing | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 29,222 | 24,078 |
Maximum coverage | 5,923 | 5,657 |
Other | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 879 | 1,056 |
Maximum coverage | $ 874 | $ 1,051 |
Credit Enhancements -Multifamil
Credit Enhancements -Multifamily Credit Enhancements (Details) - MF Mortgage Loans Credit Enhancements - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Credit Enhancement [Line Items] | ||
Maximum coverage | $ 41,810 | $ 41,560 |
Multifamily | Non-consolidated VIE subordination | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 253,565 | 251,008 |
Maximum coverage | 40,527 | 40,262 |
Multifamily | Consolidated VIE subordination | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 1,800 | 1,800 |
Maximum coverage | 200 | 200 |
Multifamily | Lender-Risk Sharing | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 2,295 | 2,529 |
Maximum coverage | 380 | 381 |
Multifamily | Insurance/reinsurance | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 2,764 | 2,769 |
Maximum coverage | 127 | 127 |
Multifamily | SCR debt notes | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 2,431 | 2,470 |
Maximum coverage | 122 | 123 |
Multifamily | Other | ||
Credit Enhancement [Line Items] | ||
Total current and protected UPB | 454 | 467 |
Maximum coverage | $ 454 | $ 467 |
Investment Securities (Details)
Investment Securities (Details) | 3 Months Ended | ||
Mar. 31, 2020USD ($)numberofsecurities | Mar. 31, 2019USD ($) | Dec. 31, 2019USD ($) | |
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Held-to-maturity | $ 0 | $ 0 | |
Accrued Interest Receivable Related Charge-Offs | 0 | ||
Net unrealized gains (losses) on trading securities held at balance sheets date | 723,000,000 | $ 97,000,000 | |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value | 20,700,000,000 | ||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Fair Value | $ 4,200,000,000 | ||
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | numberofsecurities | 99 | ||
Investment Securities Acquired and PC Debt Issued via Non-Cash Transaction | $ 3,500,000,000 | ||
Collateral recognized as assets due to counterparty default | $ 200,000,000 |
Investment Securities - Investm
Investment Securities - Investment Securities (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Investments, Debt and Equity Securities [Abstract] | ||
Trading securities | $ 53,851 | $ 49,537 |
Available-for-sale, at fair value | 25,338 | 26,174 |
Total fair value of investments in securities | $ 79,189 | $ 75,711 |
Investment Securities - Trading
Investment Securities - Trading Securities (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Trading Securities [Line Items] | ||
Trading, at fair value | $ 53,851 | $ 49,537 |
Mortage-related securities | ||
Trading Securities [Line Items] | ||
Trading, at fair value | 21,077 | 22,482 |
Agency | ||
Trading Securities [Line Items] | ||
Trading, at fair value | 21,076 | 22,481 |
Non-agency | ||
Trading Securities [Line Items] | ||
Trading, at fair value | 1 | 1 |
Non-mortgage-related securities | ||
Trading Securities [Line Items] | ||
Trading, at fair value | $ 32,774 | $ 27,055 |
Investment Securities - Availab
Investment Securities - Available-For-Sale Securities (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 24,003 | $ 25,394 |
Gross Unrealized Gains | 1,363 | 854 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | |
Gross Unrealized Losses | (28) | |
Debt Securities, Available-for-sale | 25,338 | 26,174 |
Accrued Interest Receivable | 64 | |
Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | 23,054 | 24,390 |
Gross Unrealized Gains | 1,209 | 571 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | |
Gross Unrealized Losses | (27) | |
Debt Securities, Available-for-sale | 24,236 | 24,887 |
Accrued Interest Receivable | 62 | |
Non-agency and other | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | 949 | 1,004 |
Gross Unrealized Gains | 154 | 283 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | |
Gross Unrealized Losses | (1) | |
Debt Securities, Available-for-sale | 1,102 | 1,287 |
Accrued Interest Receivable | $ 2 | |
Other-than-temporary impairment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Losses | 0 | |
Other-than-temporary impairment | Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Losses | 0 | |
Other-than-temporary impairment | Non-agency and other | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Losses | 0 | |
Temporary impairment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Losses | (74) | |
Temporary impairment | Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Losses | (74) | |
Temporary impairment | Non-agency and other | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Losses | $ 0 |
Investment Securities - Avail_2
Investment Securities - Available-For-Sale Securities in a Gross Unrealized Loss Position (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months Fair Value | $ 1,250 | $ 5,779 |
Less than 12 Months Gross Unrealized Losses | (11) | (27) |
12 Months or Greater Fair Value | 893 | 2,934 |
12 Months or Greater Gross Unrealized Losses | (17) | (47) |
Agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months Fair Value | 1,190 | 5,778 |
Less than 12 Months Gross Unrealized Losses | (10) | (27) |
12 Months or Greater Fair Value | 893 | 2,934 |
12 Months or Greater Gross Unrealized Losses | (17) | (47) |
Non-agency and other | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months Fair Value | 60 | 1 |
Less than 12 Months Gross Unrealized Losses | (1) | 0 |
12 Months or Greater Fair Value | 0 | 0 |
12 Months or Greater Gross Unrealized Losses | $ 0 | $ 0 |
Investment Securities - Gross R
Investment Securities - Gross Realized Gains and Gross Realized Losses on Sales of Available-For-Sale Securities (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | ||
Debt Securities, Available-for-sale, Realized Gain | $ 33 | $ 63 |
Gross realized losses | (23) | (29) |
Debt Securities, Available-for-sale, Realized Loss, Excluding Other-than-temporary Impairment | $ 10 | $ 34 |
Debt Text (Details)
Debt Text (Details) $ in Billions | Mar. 31, 2020USD ($) |
Debt Instrument [Line Items] | |
Debt cap under Purchase Agreement for the current year | $ 300 |
Debt Cap Aggregate indebtedness | $ 288.2 |
Debt - Total Debt (Details)
Debt - Total Debt (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Debt Net [Abstract] | |||
Total Debt | $ 2,216,135 | $ 2,169,685 | |
Interest Expense [Abstract] | |||
Interest Expense, Total | 14,807 | $ 15,833 | |
Held by consolidated trusts | |||
Debt Net [Abstract] | |||
Total Debt | 1,930,005 | 1,898,355 | |
Interest Expense [Abstract] | |||
Interest Expense, Total | 13,447 | 13,981 | |
Held by Freddie Mac | |||
Debt Net [Abstract] | |||
Short-term Debt Balance Net | 97,995 | 101,034 | |
Long-term Debt Balance, Net | 188,135 | 170,296 | |
Total Debt | 286,130 | $ 271,330 | |
Interest Expense [Abstract] | |||
Interest Expense, Short-term Borrowings | 430 | 436 | |
Interest Expense, Long-term Debt | 930 | 1,416 | |
Interest Expense, Total | $ 1,360 | $ 1,852 |
Debt - Debt Securities of Conso
Debt - Debt Securities of Consolidated Trusts Held by Third Parties (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Debt Instrument [Line Items] | ||
Debt | $ 2,216,135 | $ 2,169,685 |
Debt instrument recorded at fair value | 3,214 | 3,938 |
Held by Freddie Mac | ||
Debt Instrument [Line Items] | ||
UPB | 1,885,771 | 1,854,802 |
Debt | $ 1,930,005 | $ 1,898,355 |
Effective rate for debt securities of consolidated trusts held by third parties | 2.78% | 2.79% |
Debt instrument recorded at fair value | $ 205 | $ 209 |
Held by Freddie Mac | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | 1,877,779 | 1,848,012 |
Debt | 1,921,928 | 1,891,496 |
Held by Freddie Mac | Multifamily | ||
Debt Instrument [Line Items] | ||
UPB | 7,992 | 6,790 |
Debt | $ 8,077 | $ 6,859 |
Weighted Average Coupon | 3.10% | 3.29% |
Held by Freddie Mac | Single-family 30-year or more, fixed-rate | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 1,546,487 | $ 1,516,550 |
Debt | $ 1,584,748 | $ 1,554,095 |
Weighted Average Coupon | 3.59% | 3.63% |
Held by Freddie Mac | Single-family 20-year fixed-rate | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 72,200 | $ 70,901 |
Debt | $ 73,870 | $ 72,558 |
Weighted Average Coupon | 3.32% | 3.37% |
Held by Freddie Mac | Single-family 15-year fixed-rate | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 226,582 | $ 225,501 |
Debt | $ 230,206 | $ 229,133 |
Weighted Average Coupon | 2.85% | 2.87% |
Held by Freddie Mac | Single-family Adjustable-rate | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 27,902 | $ 30,183 |
Debt | $ 28,424 | $ 30,756 |
Weighted Average Coupon | 3.21% | 3.25% |
Held by Freddie Mac | Single-family Interest-only | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 3,946 | $ 4,244 |
Debt | $ 4,003 | $ 4,307 |
Weighted Average Coupon | 4.34% | 4.55% |
Held by Freddie Mac | FHA/VA | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 662 | $ 633 |
Debt | $ 677 | $ 647 |
Weighted Average Coupon | 4.54% | 4.68% |
Debt - Other Debt (Details)
Debt - Other Debt (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Long-term Debt [Abstract] | ||
Debt instrument recorded at fair value | $ 3,214 | $ 3,938 |
Held by Freddie Mac | ||
Short-term Debt [Abstract] | ||
Other short-term debt par value | 112,440 | 111,080 |
Other short-term debt carrying amount | $ 112,300 | $ 110,877 |
Other short-term debt weighted average effective rate | 1.45% | 1.89% |
Long-term Debt [Abstract] | ||
Other long-term debt par value | $ 189,818 | $ 171,877 |
Other long-term debt carrying amount | $ 188,135 | $ 170,296 |
Other long-term debt weighted average effective rate | 2.30% | 2.61% |
Total par value | $ 302,258 | $ 282,957 |
Total other debt | 300,435 | 281,173 |
Debt instrument recorded at fair value | 3,000 | 3,700 |
Balance Net Of Callable Other Long Term Debt | 84,800 | 95,100 |
Held by Freddie Mac | Other long-term debt | Other long-term debt - 2020 | ||
Long-term Debt [Abstract] | ||
Other long-term debt par value | 32,507 | 45,133 |
Other long-term debt carrying amount | $ 32,505 | $ 45,127 |
Other long-term debt weighted average effective rate | 1.81% | 1.76% |
Held by Freddie Mac | Other long-term debt | Other long-term debt - 2021 | ||
Long-term Debt [Abstract] | ||
Other long-term debt par value | $ 45,202 | $ 30,069 |
Other long-term debt carrying amount | $ 45,198 | $ 30,072 |
Other long-term debt weighted average effective rate | 1.23% | 1.89% |
Held by Freddie Mac | Other long-term debt | Other long-term debt - 2022 | ||
Long-term Debt [Abstract] | ||
Other long-term debt par value | $ 25,236 | $ 23,185 |
Other long-term debt carrying amount | $ 25,219 | $ 23,166 |
Other long-term debt weighted average effective rate | 1.94% | 2.20% |
Held by Freddie Mac | Other long-term debt | Other long-term debt - 2023 | ||
Long-term Debt [Abstract] | ||
Other long-term debt par value | $ 17,680 | $ 13,413 |
Other long-term debt carrying amount | $ 17,661 | $ 13,393 |
Other long-term debt weighted average effective rate | 1.98% | 2.22% |
Held by Freddie Mac | Other long-term debt | Other long-term debt - 2024 | ||
Long-term Debt [Abstract] | ||
Other long-term debt par value | $ 22,975 | $ 26,966 |
Other long-term debt carrying amount | $ 22,938 | $ 26,924 |
Other long-term debt weighted average effective rate | 2.13% | 2.22% |
Held by Freddie Mac | Other long-term debt | Other long-term debt - Thereafter | ||
Long-term Debt [Abstract] | ||
Other long-term debt par value | $ 31,564 | $ 17,615 |
Other long-term debt carrying amount | $ 29,270 | $ 15,294 |
Other long-term debt weighted average effective rate | 3.49% | 5.13% |
Held by Freddie Mac | STACR and SCR debt | ||
Long-term Debt [Abstract] | ||
Other long-term debt par value | $ 14,654 | $ 15,496 |
Other long-term debt carrying amount | $ 14,271 | $ 15,652 |
Other long-term debt weighted average effective rate | 5.66% | 5.64% |
Held by Freddie Mac | Hedging-Related Basis Adjustments | ||
Long-term Debt [Abstract] | ||
Other long-term debt carrying amount | $ 1,073 | $ 668 |
Held by Freddie Mac | Discount notes and Reference Bills | ||
Short-term Debt [Abstract] | ||
Other short-term debt par value | 57,822 | 60,830 |
Other short-term debt carrying amount | $ 57,685 | $ 60,629 |
Other short-term debt weighted average effective rate | 1.33% | 1.67% |
Held by Freddie Mac | Medium-term notes | ||
Short-term Debt [Abstract] | ||
Other short-term debt par value | $ 40,313 | $ 40,407 |
Other short-term debt carrying amount | $ 40,310 | $ 40,405 |
Other short-term debt weighted average effective rate | 2.07% | 2.31% |
Held by Freddie Mac | Securities Sold under Agreements to Repurchase | ||
Short-term Debt [Abstract] | ||
Other short-term debt par value | $ 14,305 | $ 9,843 |
Other short-term debt carrying amount | $ 14,305 | $ 9,843 |
Other short-term debt weighted average effective rate | 0.16% | 1.46% |
Derivatives (Details)
Derivatives (Details) | 3 Months Ended |
Mar. 31, 2020category | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Number of Derivative Categories | 3 |
Derivatives - Derivative Assets
Derivatives - Derivative Assets and Liabilities at Fair Value (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Notional or contractual amount | $ 1,464,691 | $ 1,166,683 |
Derivative interest receivable and other | 1,192 | 887 |
Netting adjustments to derivative assets | (12,197) | (6,422) |
Derivative Assets, net | 2,815 | 844 |
Derivative interest payable and other | (829) | (724) |
Netting adjustments to derivative liabilities | 10,179 | 5,634 |
Derivative liabilities, net | (2,226) | (372) |
Commitments | ||
Derivative [Line Items] | ||
Derivative assets at fair value | 1,142 | 61 |
Other | ||
Derivative [Line Items] | ||
Derivative Assets, net | 63 | 16 |
Derivative liabilities, net | (124) | (144) |
Not Designated as Hedging Instrument, Economic Hedge | ||
Derivative [Line Items] | ||
Notional or contractual amount | 1,327,589 | 974,317 |
Derivative assets at fair value | 13,467 | 6,275 |
Derivative liabilities at fair value | (10,665) | (4,568) |
Not Designated as Hedging Instrument, Economic Hedge | CDX swaption | ||
Derivative [Line Items] | ||
Notional or contractual amount | 5,600 | 11,400 |
Derivative assets at fair value | 116 | 3 |
Not Designated as Hedging Instrument, Economic Hedge | Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional or contractual amount | 602,625 | 488,242 |
Derivative assets at fair value | 3,169 | 2,000 |
Derivative liabilities at fair value | (8,107) | (4,168) |
Not Designated as Hedging Instrument, Economic Hedge | Receive-fixed | ||
Derivative [Line Items] | ||
Notional or contractual amount | 267,283 | 230,926 |
Derivative assets at fair value | 3,166 | 1,990 |
Derivative liabilities at fair value | (3) | (6) |
Not Designated as Hedging Instrument, Economic Hedge | Pay-fixed | ||
Derivative [Line Items] | ||
Notional or contractual amount | 329,418 | 251,392 |
Derivative assets at fair value | 0 | 10 |
Derivative liabilities at fair value | (8,104) | (4,162) |
Not Designated as Hedging Instrument, Economic Hedge | Basis (floating to floating) | ||
Derivative [Line Items] | ||
Notional or contractual amount | 5,924 | 5,924 |
Derivative assets at fair value | 3 | 0 |
Derivative liabilities at fair value | 0 | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Option-based | ||
Derivative [Line Items] | ||
Notional or contractual amount | 393,216 | 163,464 |
Derivative assets at fair value | 9,093 | 4,198 |
Derivative liabilities at fair value | (536) | (130) |
Not Designated as Hedging Instrument, Economic Hedge | Call swaptions | Purchased | ||
Derivative [Line Items] | ||
Notional or contractual amount | 81,025 | 75,325 |
Derivative assets at fair value | 7,586 | 2,717 |
Derivative liabilities at fair value | 0 | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Call swaptions | Written | ||
Derivative [Line Items] | ||
Notional or contractual amount | 5,275 | 3,375 |
Derivative assets at fair value | 0 | 0 |
Derivative liabilities at fair value | (492) | (42) |
Not Designated as Hedging Instrument, Economic Hedge | Put swaptions | Purchased | ||
Derivative [Line Items] | ||
Notional or contractual amount | 82,265 | 67,155 |
Derivative assets at fair value | 637 | 835 |
Derivative liabilities at fair value | 0 | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Put swaptions | Written | ||
Derivative [Line Items] | ||
Notional or contractual amount | 8,100 | 7,275 |
Derivative assets at fair value | 0 | 0 |
Derivative liabilities at fair value | (44) | (88) |
Not Designated as Hedging Instrument, Economic Hedge | Options on futures | ||
Derivative [Line Items] | ||
Notional or contractual amount | 206,250 | 0 |
Derivative assets at fair value | 55 | 0 |
Derivative liabilities at fair value | 0 | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Other option-based derivatives | ||
Derivative [Line Items] | ||
Notional or contractual amount | 10,301 | 10,334 |
Derivative assets at fair value | 815 | 646 |
Derivative liabilities at fair value | 0 | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Futures | ||
Derivative [Line Items] | ||
Notional or contractual amount | 117,881 | 210,305 |
Derivative assets at fair value | 0 | 0 |
Derivative liabilities at fair value | 0 | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Commitments | ||
Derivative [Line Items] | ||
Notional or contractual amount | 189,656 | 93,960 |
Derivative assets at fair value | 1,142 | 61 |
Derivative liabilities at fair value | (1,898) | (126) |
Not Designated as Hedging Instrument, Economic Hedge | Credit risk transfer | ||
Derivative [Line Items] | ||
Notional or contractual amount | 16,360 | 12,362 |
Derivative assets at fair value | 62 | 15 |
Derivative liabilities at fair value | (106) | (116) |
Not Designated as Hedging Instrument, Economic Hedge | Other | ||
Derivative [Line Items] | ||
Notional or contractual amount | 7,851 | 5,984 |
Derivative assets at fair value | 1 | 1 |
Derivative liabilities at fair value | (18) | (28) |
Designated as Hedging Instrument | Fair Value Hedging | ||
Derivative [Line Items] | ||
Notional or contractual amount | 137,102 | 192,366 |
Derivative assets at fair value | 353 | 104 |
Derivative liabilities at fair value | (911) | (714) |
Designated as Hedging Instrument | Fair Value Hedging | Receive-fixed | ||
Derivative [Line Items] | ||
Notional or contractual amount | 92,089 | 104,459 |
Derivative assets at fair value | 353 | 104 |
Derivative liabilities at fair value | (2) | (75) |
Designated as Hedging Instrument | Fair Value Hedging | Pay-fixed | ||
Derivative [Line Items] | ||
Notional or contractual amount | 45,013 | 87,907 |
Derivative assets at fair value | 0 | 0 |
Derivative liabilities at fair value | $ (909) | $ (639) |
Derivatives - Derivative Gains
Derivatives - Derivative Gains and Losses (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | $ (3,762) | $ (1,606) |
Accrual of periodic settlements | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | (176) | (54) |
Accrual of periodic settlements | Receive-fixed | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | 235 | (51) |
Accrual of periodic settlements | Pay-fixed | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | (472) | (36) |
Accrual of periodic settlements | Other | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | 61 | 33 |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Interest Rate Swaps | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | (4,863) | (1,047) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Receive-fixed | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | 13,895 | 1,837 |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Pay-fixed | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | (18,741) | (2,888) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Basis (floating to floating) | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | (17) | 4 |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Option-based | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | 4,222 | (187) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Call swaptions | Purchased | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | 4,907 | 454 |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Call swaptions | Written | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | (430) | (56) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Put swaptions | Purchased | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | (527) | (626) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Put swaptions | Written | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | 110 | 16 |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Options on futures | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | (7) | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Other option-based derivatives | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | 169 | 25 |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Other Derivatives | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | (2,945) | (318) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Futures | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | (2,328) | (242) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Commitments | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | (726) | (96) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Credit derivatives | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | 78 | (1) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Other | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Derivative gains (losses) | $ 31 | $ 21 |
Derivatives Derivatives - Gains
Derivatives Derivatives - Gains and Losses on Fair Value Hedge (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Interest Income - Mortgage Loans | $ 16,632 | $ 17,946 |
Interest Expense | (14,807) | (15,833) |
Interest rate risk on held-for-investment mortgage loans | Interest income | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (5,080) | (1,243) |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 4,893 | 1,542 |
Interest accrual on fair value hedging derivatives for held-for-investment loans | (63) | 38 |
Discontinued hedge related basis adjustment amortization | (253) | 28 |
Interest rate risk on debt | Interest expense | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 554 | 546 |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (505) | (505) |
Interest accrual on fair value hedging derivatives for debt | 100 | (125) |
Discontinued hedge related basis adjustment amortization | $ 20 | $ 9 |
Derivatives Derivatives - Cumul
Derivatives Derivatives - Cumulative Basis Adjustment due to Fair Value Hedges (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Carrying amount mortgage loans held-for-investment hedged asset | $ 410,074 | $ 470,889 |
Carrying amount debt hedged liability | (113,669) | (122,746) |
Total basis adjustment cumulative amount for hedged asset | 7,526 | 2,886 |
Total basis adjustment cumulative amount for hedged liability | (1,073) | (668) |
Hedged Asset, Fair Value Hedge, Last-of-Layer, Cumulative Increase (Decrease) | 989 | (943) |
Basis adjustment amount for hedged asset - discontinued hedge | 6,537 | 3,829 |
Basis adjustment amount for hedged liability - discontinued hedge | (89) | (93) |
Total Amount by Amortized Cost Basis Under the Last-of-Layer Method | 183,244 | 273,346 |
Designated Amount by UPB | $ 19,503 | $ 22,747 |
Collateral and Offsetting of _3
Collateral and Offsetting of Assets and Liabilities (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | |
Offsetting Assets [Line Items] | ||
Maximum loss after applying netting agreements and collateral | $ 1,942 | $ 359 |
Securities Purchased Under Agreements To Resell Accrued Interest Receivable | 12 | 18 |
Reduction In Debt | 9,800 | |
Secured lending but not yet paid | 100 | |
Commitments | ||
Offsetting Assets [Line Items] | ||
Total exposure on our commitments | 1,142 | 61 |
OTC derivatives | ||
Offsetting Assets [Line Items] | ||
Maximum loss after applying netting agreements and collateral | 80 | 20 |
Cash pledged to us as collateral that was invested as part of our liquidity and contingency operating portfolio | 6,400 | 2,600 |
Federal Funds Sold and Securities Borrowed or Purchased under Agreements to Resell | ||
Offsetting Assets [Line Items] | ||
Securities Held as Collateral, at Fair Value | 53,300 | 52,400 |
Securities purchased under agreements to resell not executed with clearinghouse | ||
Offsetting Assets [Line Items] | ||
Securities Held as Collateral, at Fair Value | $ 1,000 | $ 2,400 |
Collateral and Offsetting of _4
Collateral and Offsetting of Assets and Liabilities - Offsetting of Financial Assets (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Derivative Assets: | ||
Gross Amount Recognized | $ 15,012 | $ 7,266 |
Counterparty netting | (7,919) | (4,470) |
Cash Collateral netting | (4,278) | (1,952) |
Derivative Assets, net | 2,815 | 844 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (873) | (485) |
Net Amount | 1,942 | 359 |
Securities purchased under agreements to resell: | ||
Gross Amount Recognized | 60,273 | 66,114 |
Counterparty netting | (14,305) | (9,843) |
Net Amount Presented in the Consolidated Balance Sheets | 45,968 | 56,271 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (45,968) | (56,271) |
Net Amount | 0 | 0 |
Total: | ||
Gross Amount Recognized | 75,285 | 73,380 |
Counterparty netting | (22,224) | (14,313) |
Cash collateral netting | (4,278) | (1,952) |
Net Amount Presented in the Consolidated Balance Sheets | 48,783 | 57,115 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (46,841) | (56,756) |
Net Amount | 1,942 | 359 |
Other | ||
Derivative Assets: | ||
Gross Amount Recognized | 63 | 16 |
Counterparty netting | 0 | 0 |
Cash Collateral netting | 0 | 0 |
Derivative Assets, net | 63 | 16 |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 63 | 16 |
OTC derivatives | ||
Derivative Assets: | ||
Gross Amount Recognized | 13,294 | 7,045 |
Counterparty netting | (7,919) | (4,465) |
Cash Collateral netting | (4,422) | (2,075) |
Derivative Assets, net | 953 | 505 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (873) | (485) |
Net Amount | 80 | 20 |
Federal Funds Sold and Securities Borrowed or Purchased under Agreements to Resell | ||
Securities purchased under agreements to resell: | ||
Cash Collateral Netting | 0 | 0 |
Commitments | ||
Derivative Assets: | ||
Gross Amount Recognized | 1,142 | 61 |
Counterparty netting | 0 | 0 |
Cash Collateral netting | 0 | 0 |
Derivative Assets, net | 1,142 | 61 |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 1,142 | 61 |
Cleared and exchange-traded derivatives | ||
Derivative Assets: | ||
Gross Amount Recognized | 513 | 144 |
Counterparty netting | 0 | (5) |
Cash Collateral netting | 144 | 123 |
Derivative Assets, net | 657 | 262 |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | $ 657 | $ 262 |
Collateral and Offsetting of _5
Collateral and Offsetting of Assets and Liabilities - Offsetting of Financial Liabilities (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Derivative Liabilities: | ||
Gross Amount Recognized | $ (12,405) | $ (6,006) |
Counterparty netting | 7,919 | 4,470 |
Cash collateral netting | 2,260 | 1,164 |
Derivative liabilities, net | (2,226) | (372) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | (2,226) | (372) |
Securities Sold under Agreements to Repurchase [Abstract] | ||
Gross Amount Recognized | (14,305) | (9,843) |
Counterparty netting | 14,305 | 9,843 |
Net Amount Presented in the Consolidated Balance Sheets | 0 | 0 |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 0 | 0 |
Offsetting Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned [Abstract] | ||
Gross Amount Recognized | (26,710) | (15,849) |
Counterparty netting | 22,224 | 14,313 |
Cash collateral netting | 2,260 | 1,164 |
Net Amount Presented in the Consolidated Balance Sheets | (2,226) | (372) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | (2,226) | (372) |
Other | ||
Derivative Liabilities: | ||
Gross Amount Recognized | (124) | (144) |
Counterparty netting | 0 | 0 |
Cash collateral netting | 0 | 0 |
Derivative liabilities, net | (124) | (144) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | (124) | (144) |
OTC derivatives | ||
Derivative Liabilities: | ||
Gross Amount Recognized | (10,383) | (5,731) |
Counterparty netting | 7,919 | 4,465 |
Cash collateral netting | 2,260 | 1,164 |
Derivative liabilities, net | (204) | (102) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | (204) | (102) |
Cleared and exchange-traded derivatives | ||
Derivative Liabilities: | ||
Gross Amount Recognized | 0 | (5) |
Counterparty netting | 0 | 5 |
Cash collateral netting | 0 | 0 |
Derivative liabilities, net | 0 | 0 |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 0 | 0 |
Offsetting Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned [Abstract] | ||
Aggregate fair value of securities posted | 4,400 | 3,500 |
Commitments | ||
Derivative Liabilities: | ||
Gross Amount Recognized | (1,898) | (126) |
Counterparty netting | 0 | 0 |
Cash collateral netting | 0 | 0 |
Derivative liabilities, net | (1,898) | (126) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | (1,898) | (126) |
Cash collateral posted | ||
Offsetting Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned [Abstract] | ||
Aggregate fair value of securities posted | 1,200 | 200 |
Non cash collateral posted | ||
Offsetting Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned [Abstract] | ||
Aggregate fair value of securities posted | 600 | 300 |
Securities Sold under Agreements to Repurchase | ||
Offsetting Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned [Abstract] | ||
Cash collateral netting | $ 0 | $ 0 |
Collateral and Offsetting of _6
Collateral and Offsetting of Assets and Liabilities - Collateral in the Form of Securities Pledged (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | $ 18,922 | $ 13,131 |
Derivatives | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 4,412 | 3,456 |
Securities Sold under Agreements to Repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 13,912 | 9,346 |
Other | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 598 | 329 |
Debt securities of consolidated trusts | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 1,197 | 842 |
Debt securities of consolidated trusts | Derivatives | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 977 | 562 |
Debt securities of consolidated trusts | Securities Sold under Agreements to Repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 0 | 0 |
Debt securities of consolidated trusts | Other | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 220 | 280 |
Available-for-sale securities | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 7 | |
Available-for-sale securities | Derivatives | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 0 | |
Available-for-sale securities | Securities Sold under Agreements to Repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 0 | |
Available-for-sale securities | Other | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 7 | |
Trading securities | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 17,718 | 12,289 |
Trading securities | Derivatives | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 3,435 | 2,894 |
Trading securities | Securities Sold under Agreements to Repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 13,912 | 9,346 |
Trading securities | Other | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | $ 371 | $ 49 |
Collateral and Offsetting of _7
Collateral and Offsetting of Assets and Liabilities - Underlying Collateral Pledged (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | $ 18,922 | $ 13,131 |
Securities Sold under Agreements to Repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 13,912 | $ 9,346 |
Securities Sold under Agreements to Repurchase | Overnight and continuous | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 4,957 | |
Securities Sold under Agreements to Repurchase | 30 days or less | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 8,955 | |
Securities Sold under Agreements to Repurchase | After 30 days through 90 days | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 0 | |
Securities Sold under Agreements to Repurchase | Greater than 90 days | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | $ 0 |
Stockholders' Equity and Earn_3
Stockholders' Equity and Earnings per Share (Details) - USD ($) shares in Billions | 3 Months Ended | ||||
Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Jun. 30, 2020 | Dec. 31, 2018 | |
Stockholders Equity Text [Line Items] | |||||
Federal statutory tax rate | 21.00% | 21.00% | |||
Cash flow hedge relationships | $ (231,000,000) | $ (244,000,000) | $ (300,000,000) | ||
Applicable capital reserve amount prior to July 1, 2019 | 3,000,000,000 | ||||
Applicable capital reserve amount from July 1, 2019 and thereafter | 20,000,000,000 | ||||
GAAP net worth (deficit) | 9,504,000,000 | 9,122,000,000 | 4,665,000,000 | $ 4,477,000,000 | |
Cash dividends paid on senior preferred stock | 0 | $ 1,477,000,000 | |||
Expected draw request from Treasury | 0 | ||||
Dividend Requirement Amount Under Purchase Agreement | 0 | ||||
Aggregate Payment of Dividend to Treasury Under Purchase Agreement | 119,700,000,000 | ||||
Senior preferred stock, at redemption value | 81,770,000,000 | 79,322,000,000 | |||
Preference liquidation maximum increase | 17,000,000,000 | ||||
Net worth increase | 400,000,000 | $ 2,400,000,000 | |||
Stock options outstanding | 0 | ||||
Common dividends declared | 0 | ||||
Common shares or non-cumulative preferred stock repurchased | 0 | ||||
Common shares or non-cumulative preferred stock issued | 0 | ||||
Dividends declared on preferred stock | 0 | ||||
Dividends paid on preferred stock | $ 0 | ||||
Subsequent Event [Member] | |||||
Stockholders Equity Text [Line Items] | |||||
Senior preferred stock, at redemption value | $ 82,200,000,000 |
Stockholders' Equity and Earn_4
Stockholders' Equity and Earnings per Share - Changes in AOCI by Component, Net of Tax (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | $ 9,122 | $ 4,477 |
Total other comprehensive income (loss), net of taxes and reclassification adjustments | 449 | 258 |
Ending balance | 9,504 | 4,665 |
Total | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | 438 | (135) |
Other comprehensive income (loss) before reclassifications | 448 | 271 |
Amounts reclassified from accumulated other comprehensive income | 1 | (13) |
Total other comprehensive income (loss), net of taxes and reclassification adjustments | 449 | 258 |
Ending balance | 887 | 123 |
AOCI related to available-for-sale securities | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | 618 | 83 |
Other comprehensive income (loss) before reclassifications | 446 | 273 |
Amounts reclassified from accumulated other comprehensive income | (8) | (27) |
Total other comprehensive income (loss), net of taxes and reclassification adjustments | 438 | 246 |
Ending balance | 1,056 | 329 |
AOCI related to cash flow hedge relationships | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | (244) | (315) |
Other comprehensive income (loss) before reclassifications | 0 | 0 |
Amounts reclassified from accumulated other comprehensive income | 13 | 18 |
Total other comprehensive income (loss), net of taxes and reclassification adjustments | 13 | 18 |
Ending balance | (231) | (297) |
AOCI related to defined benefit plans | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | 64 | 97 |
Other comprehensive income (loss) before reclassifications | 2 | (2) |
Amounts reclassified from accumulated other comprehensive income | (4) | (4) |
Total other comprehensive income (loss), net of taxes and reclassification adjustments | (2) | (6) |
Ending balance | $ 62 | $ 91 |
Stockholders' Equity and Earn_5
Stockholders' Equity and Earnings per Share - Reclassifications from AOCI to Net Income (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Reclassification Adjustment Out Of Accumulated Other Comprehensive Income [Line Items] | ||
Investment securities gains (losses) | $ (835) | $ (513) |
Interest expense | (14,807) | (15,833) |
Salaries and employee benefits | (341) | (322) |
Income before income tax (expense) benefit | 218 | 1,765 |
Income tax (expense) benefit | (45) | (358) |
Net income (loss) | 173 | 1,407 |
Held by Freddie Mac | ||
Reclassification Adjustment Out Of Accumulated Other Comprehensive Income [Line Items] | ||
Interest expense | (1,360) | (1,852) |
Total reclassifications in the period | ||
Reclassification Adjustment Out Of Accumulated Other Comprehensive Income [Line Items] | ||
Net income (loss) | (1) | 13 |
AOCI related to available-for-sale securities | Total reclassifications in the period | ||
Reclassification Adjustment Out Of Accumulated Other Comprehensive Income [Line Items] | ||
Investment securities gains (losses) | 10 | 34 |
Income tax (expense) benefit | (2) | (7) |
Net income (loss) | 8 | 27 |
AOCI related to cash flow hedge relationships | Total reclassifications in the period | ||
Reclassification Adjustment Out Of Accumulated Other Comprehensive Income [Line Items] | ||
Income tax (expense) benefit | 3 | 5 |
Net income (loss) | (13) | (18) |
AOCI related to cash flow hedge relationships | Total reclassifications in the period | Held by Freddie Mac | ||
Reclassification Adjustment Out Of Accumulated Other Comprehensive Income [Line Items] | ||
Interest expense | (16) | (23) |
AOCI related to defined benefit plans | Total reclassifications in the period | ||
Reclassification Adjustment Out Of Accumulated Other Comprehensive Income [Line Items] | ||
Salaries and employee benefits | 5 | 5 |
Income tax (expense) benefit | (1) | (1) |
Net income (loss) | $ 4 | $ 4 |
Stockholders' Equity and Earn_6
Stockholders' Equity and Earnings per Share - Senior Preferred Stock (Details) - USD ($) $ / shares in Units, shares in Thousands | Mar. 30, 2018 | Jun. 29, 2012 | Mar. 30, 2012 | Dec. 30, 2011 | Sep. 30, 2011 | Mar. 31, 2011 | Dec. 30, 2010 | Sep. 30, 2010 | Jun. 30, 2010 | Jun. 30, 2009 | Mar. 31, 2009 | Nov. 24, 2008 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Dec. 31, 2017 | Sep. 08, 2008 |
Class of Stock [Line Items] | |||||||||||||||||
Non draw adjustment | $ 10,122,000,000 | ||||||||||||||||
Aggregate liquidation preference on senior preferred stock | $ 81,770,000,000 | $ 79,322,000,000 | |||||||||||||||
Senior Preferred Stock | |||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||
Shares Authorized | 1,000 | ||||||||||||||||
Shares Outstanding | 1,000 | ||||||||||||||||
Total Par Value | $ 1,000,000 | ||||||||||||||||
Initial Liquidation Preference Of Senior Preferred Stock | $ 1,000,000,000 | ||||||||||||||||
Initial Liquidation Preference Price Per Share | $ 1,000 | ||||||||||||||||
Increase in Senior Preferred Stock | $ 3,000,000,000 | ||||||||||||||||
Increase in liquidation preference due to net worth increase | $ 2,448,000,000 | $ 1,848,000,000 | $ 1,826,000,000 | ||||||||||||||
Increase in liquidation preference | $ 312,000,000 | $ 19,000,000 | $ 146,000,000 | $ 5,992,000,000 | $ 1,479,000,000 | $ 500,000,000 | $ 100,000,000 | $ 1,800,000,000 | $ 10,600,000,000 | $ 6,100,000,000 | $ 30,800,000,000 | $ 13,800,000,000 | 71,648,000,000 | ||||
Aggregate liquidation preference on senior preferred stock | $ 81,770,000,000 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) | 3 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | Jan. 01, 2020 | Dec. 31, 2019 | |
Income Tax Disclosure [Abstract] | ||||
Income Tax Expense (Benefit) | $ 45,000,000 | $ 358,000,000 | ||
Effective Tax Rate | 20.60% | 20.30% | ||
Federal statutory tax rate | 21.00% | 21.00% | ||
Deferred Tax Assets, Net | $ 4,600,000,000 | $ 5,982,000,000 | $ 5,918,000,000 | |
Deferred Tax Assets, Valuation Allowance | 37,000,000 | |||
Unrecognized Tax Benefits | $ 0 |
Segment Reporting (Details)
Segment Reporting (Details) | 3 Months Ended |
Mar. 31, 2020 | |
Segment Reporting Information [Line Items] | |
Number of reportable segments | 3 |
Segment Reporting - Segment Ear
Segment Reporting - Segment Earnings (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Segment Reporting Information [Line Items] | ||
Net income (loss) | $ 173 | $ 1,407 |
Comprehensive income (loss) | 622 | 1,665 |
All Other | ||
Segment Reporting Information [Line Items] | ||
Net income (loss) | 0 | 0 |
Comprehensive income (loss) | 0 | 0 |
Single-family Guarantee | Operating segments | ||
Segment Reporting Information [Line Items] | ||
Net income (loss) | 588 | 740 |
Comprehensive income (loss) | 586 | 736 |
Multifamily | Operating segments | ||
Segment Reporting Information [Line Items] | ||
Net income (loss) | (238) | 330 |
Comprehensive income (loss) | (174) | 395 |
Capital Markets | Operating segments | ||
Segment Reporting Information [Line Items] | ||
Net income (loss) | (177) | 337 |
Comprehensive income (loss) | 210 | 534 |
Operating segments and All Other | ||
Segment Reporting Information [Line Items] | ||
Net income (loss) | 173 | 1,407 |
Comprehensive income (loss) | $ 622 | $ 1,665 |
Segment Reporting - Segment E_2
Segment Reporting - Segment Earnings and Reconciliation to GAAP Condensed Consolidated Statements of Comprehensive Income (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | ||
Net interest Income | $ 2,785 | $ 3,153 |
Non-interest income (loss) | ||
Guarantee fee income | 377 | 290 |
Investment securities gains (losses) | (835) | (513) |
Other income (loss) | 95 | (17) |
Benefit (provision) for credit losses | (1,233) | 135 |
Non-interest expense | ||
Administrative expense | (587) | (578) |
Credit enhancement expense | 236 | (158) |
REO operations (expense) income | (85) | (33) |
Other non interest (expense) income | (535) | (514) |
Income tax (expense) benefit | (45) | (358) |
Net income (loss) | 173 | 1,407 |
Changes in unrealized gains (losses) related to available-for-sale securities | 438 | 246 |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 13 | 18 |
Changes in defined benefit plans | (2) | (6) |
Total other comprehensive income (loss), net of taxes | 449 | 258 |
Comprehensive income (loss) | 622 | 1,665 |
All Other | ||
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | ||
Net interest Income | 0 | 0 |
Non-interest income (loss) | ||
Guarantee fee income | 0 | 0 |
Investment securities gains (losses) | 0 | 0 |
Other income (loss) | 0 | 0 |
Benefit (provision) for credit losses | 0 | 0 |
Non-interest expense | ||
Administrative expense | 0 | 0 |
Credit enhancement expense | 0 | 0 |
REO operations (expense) income | 0 | 0 |
Other non interest (expense) income | 0 | 0 |
Income tax (expense) benefit | 0 | 0 |
Net income (loss) | 0 | 0 |
Changes in unrealized gains (losses) related to available-for-sale securities | 0 | 0 |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 0 | 0 |
Changes in defined benefit plans | 0 | 0 |
Total other comprehensive income (loss), net of taxes | 0 | 0 |
Comprehensive income (loss) | 0 | 0 |
Reclassifications | ||
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | ||
Net interest Income | 2,007 | 2,148 |
Non-interest income (loss) | ||
Guarantee fee income | (2,129) | (1,632) |
Investment securities gains (losses) | 6 | (457) |
Other income (loss) | 244 | 48 |
Benefit (provision) for credit losses | 56 | 65 |
Non-interest expense | ||
Administrative expense | 0 | 0 |
Credit enhancement expense | 184 | 162 |
REO operations (expense) income | 2 | 5 |
Other non interest (expense) income | (370) | (339) |
Income tax (expense) benefit | 0 | 0 |
Net income (loss) | 0 | 0 |
Changes in unrealized gains (losses) related to available-for-sale securities | 0 | 0 |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 0 | 0 |
Changes in defined benefit plans | 0 | 0 |
Total other comprehensive income (loss), net of taxes | 0 | 0 |
Comprehensive income (loss) | 0 | 0 |
Single-family Guarantee | Operating segments | ||
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | ||
Net interest Income | 0 | 0 |
Non-interest income (loss) | ||
Guarantee fee income | 2,093 | 1,635 |
Investment securities gains (losses) | 437 | 6 |
Other income (loss) | 15 | 112 |
Benefit (provision) for credit losses | (1,222) | 71 |
Non-interest expense | ||
Administrative expense | (372) | (374) |
Credit enhancement expense | 28 | (316) |
REO operations (expense) income | (87) | (38) |
Other non interest (expense) income | (151) | (168) |
Income tax (expense) benefit | (153) | (188) |
Net income (loss) | 588 | 740 |
Changes in unrealized gains (losses) related to available-for-sale securities | 0 | 0 |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 0 | 0 |
Changes in defined benefit plans | (2) | (4) |
Total other comprehensive income (loss), net of taxes | (2) | (4) |
Comprehensive income (loss) | 586 | 736 |
Multifamily | Operating segments | ||
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | ||
Net interest Income | 269 | 247 |
Non-interest income (loss) | ||
Guarantee fee income | 413 | 287 |
Investment securities gains (losses) | (851) | (26) |
Other income (loss) | 37 | 29 |
Benefit (provision) for credit losses | (67) | (1) |
Non-interest expense | ||
Administrative expense | (120) | (112) |
Credit enhancement expense | 24 | (4) |
REO operations (expense) income | 0 | 0 |
Other non interest (expense) income | (5) | (6) |
Income tax (expense) benefit | 62 | (84) |
Net income (loss) | (238) | 330 |
Changes in unrealized gains (losses) related to available-for-sale securities | 64 | 66 |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 0 | 0 |
Changes in defined benefit plans | 0 | (1) |
Total other comprehensive income (loss), net of taxes | 64 | 65 |
Comprehensive income (loss) | (174) | 395 |
Capital Markets | Operating segments | ||
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | ||
Net interest Income | 509 | 758 |
Non-interest income (loss) | ||
Guarantee fee income | 0 | 0 |
Investment securities gains (losses) | (427) | (36) |
Other income (loss) | (201) | (206) |
Benefit (provision) for credit losses | 0 | 0 |
Non-interest expense | ||
Administrative expense | (95) | (92) |
Credit enhancement expense | 0 | 0 |
REO operations (expense) income | 0 | 0 |
Other non interest (expense) income | (9) | (1) |
Income tax (expense) benefit | 46 | (86) |
Net income (loss) | (177) | 337 |
Changes in unrealized gains (losses) related to available-for-sale securities | 374 | 180 |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 13 | 18 |
Changes in defined benefit plans | 0 | (1) |
Total other comprehensive income (loss), net of taxes | 387 | 197 |
Comprehensive income (loss) | 210 | 534 |
Operating segments and All Other | ||
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | ||
Net interest Income | 778 | 1,005 |
Non-interest income (loss) | ||
Guarantee fee income | 2,506 | 1,922 |
Investment securities gains (losses) | (841) | (56) |
Other income (loss) | (149) | (65) |
Benefit (provision) for credit losses | (1,289) | 70 |
Non-interest expense | ||
Administrative expense | (587) | (578) |
Credit enhancement expense | 52 | (320) |
REO operations (expense) income | (87) | (38) |
Other non interest (expense) income | (165) | (175) |
Income tax (expense) benefit | (45) | (358) |
Net income (loss) | 173 | 1,407 |
Changes in unrealized gains (losses) related to available-for-sale securities | 438 | 246 |
Changes in unrealized gains (losses) related to cash flow hedge relationships | 13 | 18 |
Changes in defined benefit plans | (2) | (6) |
Total other comprehensive income (loss), net of taxes | 449 | 258 |
Comprehensive income (loss) | $ 622 | $ 1,665 |
Concentration of Credit and O_3
Concentration of Credit and Other Risks (Details) - USD ($) $ in Billions | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Concentration Risk [Line Items] | |||
Unpaid principal balance related to single-family credit guarantee portfolio | $ 2,000 | $ 2,000 | |
Securities purchased under agreements to resell used to provide financing to investors | $ 1 | $ 2.4 | |
Single-family UPB | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 100.00% | 100.00% | |
Top five non-depository seller | Single-family loan purchase volume | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 27.00% | 26.00% | |
Five largest non-depository servicers | Single-family UPB | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 18.00% | 18.00% | |
Mortgage Insurers | |||
Concentration Risk [Line Items] | |||
Unpaid principal balance of single family credit guarantee portfolio With mortgage insurance coverage | $ 427.5 | ||
Credit protection coverage from mortgage insurers for single family credit guarantee portfolio | 109 | ||
Cash proceeds received from mortgage insurers | 0.1 | $ 0.1 | |
Receivables outstanding from mortgage Insurers | 0.1 | $ 0.1 | |
Receivables outstanding, net of reserves, from mortgage insurers | 0.1 | 0.1 | |
Amount of cumulative unpaid deferred payment obligation | 0.4 | 0.5 | |
Cash And Other Investment Counterparties | |||
Concentration Risk [Line Items] | |||
Cash and other non-mortgage investments | $ 123.5 | $ 103.6 |
Concentration of Credit and O_4
Concentration of Credit and Other Risks - Concentration of Credit Risk - Single-Family Credit Guarantee Portfolio (Details) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Concentration Risk [Line Items] | |||
Serious delinquency rate | 0.60% | 0.63% | |
West | |||
Concentration Risk [Line Items] | |||
Serious delinquency rate | 0.35% | 0.36% | |
Northeast | |||
Concentration Risk [Line Items] | |||
Serious delinquency rate | 0.83% | 0.87% | |
North Central | |||
Concentration Risk [Line Items] | |||
Serious delinquency rate | 0.59% | 0.61% | |
Southeast | |||
Concentration Risk [Line Items] | |||
Serious delinquency rate | 0.70% | 0.73% | |
Southwest | |||
Concentration Risk [Line Items] | |||
Serious delinquency rate | 0.52% | 0.54% | |
ILLINOIS | |||
Concentration Risk [Line Items] | |||
Serious delinquency rate | 0.82% | 0.85% | |
NEW YORK | |||
Concentration Risk [Line Items] | |||
Serious delinquency rate | 1.13% | 1.21% | |
FLORIDA | |||
Concentration Risk [Line Items] | |||
Serious delinquency rate | 0.71% | 0.77% | |
NEW JERSEY | |||
Concentration Risk [Line Items] | |||
Serious delinquency rate | 1.01% | 1.08% | |
MARYLAND | |||
Concentration Risk [Line Items] | |||
Serious delinquency rate | 0.82% | 0.88% | |
All Other | |||
Concentration Risk [Line Items] | |||
Serious delinquency rate | 0.52% | 0.54% | |
Core single-family loan portfolio | |||
Concentration Risk [Line Items] | |||
Serious delinquency rate | 0.26% | 0.26% | |
Legacy and relief refinance single-family loan portfolio | |||
Concentration Risk [Line Items] | |||
Serious delinquency rate | 1.79% | 1.84% | |
Single-family UPB | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 100.00% | 100.00% | |
Single-family UPB | West | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 30.00% | 30.00% | |
Single-family UPB | Northeast | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 24.00% | 24.00% | |
Single-family UPB | North Central | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 16.00% | 16.00% | |
Single-family UPB | Southeast | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 16.00% | 16.00% | |
Single-family UPB | Southwest | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 14.00% | 14.00% | |
Single-family UPB | ILLINOIS | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 4.00% | 4.00% | |
Single-family UPB | NEW YORK | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 5.00% | 5.00% | |
Single-family UPB | FLORIDA | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 6.00% | 6.00% | |
Single-family UPB | NEW JERSEY | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 3.00% | 3.00% | |
Single-family UPB | MARYLAND | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 3.00% | 3.00% | |
Single-family UPB | All Other | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 79.00% | 79.00% | |
Single-family UPB | Core single-family loan portfolio | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 86.00% | 85.00% | |
Single-family UPB | Legacy and relief refinance single-family loan portfolio | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 14.00% | 15.00% | |
Single-family Credit Losses | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 100.00% | 100.00% | |
Single-family Credit Losses | West | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 8.00% | 15.00% | |
Single-family Credit Losses | Northeast | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 36.00% | 37.00% | |
Single-family Credit Losses | North Central | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 29.00% | 16.00% | |
Single-family Credit Losses | Southeast | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 18.00% | 25.00% | |
Single-family Credit Losses | Southwest | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 9.00% | 7.00% | |
Single-family Credit Losses | ILLINOIS | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 16.00% | 10.00% | |
Single-family Credit Losses | NEW YORK | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 9.00% | 12.00% | |
Single-family Credit Losses | FLORIDA | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 9.00% | 18.00% | |
Single-family Credit Losses | NEW JERSEY | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 8.00% | 10.00% | |
Single-family Credit Losses | MARYLAND | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 5.00% | 4.00% | |
Single-family Credit Losses | All Other | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 53.00% | 46.00% | |
Single-family Credit Losses | Core single-family loan portfolio | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 21.00% | 12.00% | |
Single-family Credit Losses | Legacy and relief refinance single-family loan portfolio | |||
Concentration Risk [Line Items] | |||
Concentration risk percentage | 79.00% | 88.00% |
Concentration of Credit and O_5
Concentration of Credit and Other Risks - Certain Higher-Risk Categories in the Single-Family Credit Guarantee Portfolio (Details) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Concentration Risk [Line Items] | ||
Serious delinquency rate | 0.60% | 0.63% |
Interest-only | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 2.68% | 2.72% |
Alt-A | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 3.64% | 3.75% |
Original LTV ratio greater than 90% | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 0.93% | 0.96% |
Lower credit scores at origination (less than 620) | ||
Concentration Risk [Line Items] | ||
Serious delinquency rate | 4.43% | 4.52% |
Single-family UPB | ||
Concentration Risk [Line Items] | ||
Percentage of Portfolio | 100.00% | 100.00% |
Single-family UPB | Interest-only | ||
Concentration Risk [Line Items] | ||
Percentage of Portfolio | 1.00% | 1.00% |
Single-family UPB | Alt-A | ||
Concentration Risk [Line Items] | ||
Percentage of Portfolio | 1.00% | 1.00% |
Single-family UPB | Original LTV ratio greater than 90% | ||
Concentration Risk [Line Items] | ||
Percentage of Portfolio | 18.00% | 18.00% |
Single-family UPB | Lower credit scores at origination (less than 620) | ||
Concentration Risk [Line Items] | ||
Percentage of Portfolio | 2.00% | 2.00% |
Concentration of Credit and O_6
Concentration of Credit and Other Risks - Seller Concentration (Details) | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Top ten Single-family sellers | Single-family loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 55.00% | 57.00% |
JPMorgan Chase Bank, National Association | Single-family loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 12.00% | 16.00% |
United Shore Financial Services, LLC | Single-family loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 10.00% | 10.00% |
Other top 10 sellers | Single-family loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 33.00% | 31.00% |
Top ten multifamily sellers | Multifamily loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 78.00% | 77.00% |
CBRE Capital Markets, Inc. | Multifamily loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 17.00% | 15.00% |
Berkadia Commercial Mortgage LLC | Multifamily loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 14.00% | 13.00% |
Other top 10 sellers | Multifamily loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 47.00% | 49.00% |
Concentration of Credit and O_7
Concentration of Credit and Other Risks - Servicer Concentration (Details) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Single-family loan serviced | Top ten Single-family servicers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 57.00% | 57.00% |
Single-family loan serviced | Wells Fargo Bank, N.A. | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 15.00% | 15.00% |
Single-family loan serviced | JPMorgan Chase Bank. N.A. | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 10.00% | 10.00% |
Single-family loan serviced | Other top 10 sellers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 32.00% | 32.00% |
Multifamily loan serviced | Top ten multifamily servicers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 76.00% | 76.00% |
Multifamily loan serviced | CBRE Capital Markets, Inc | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 17.00% | 17.00% |
Multifamily loan serviced | Berkadia Commercial Mortgage LLC | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 13.00% | 13.00% |
Multifamily loan serviced | Other top 10 servicers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 46.00% | 46.00% |
Concentration of Credit and O_8
Concentration of Credit and Other Risks - Mortgage Insurer Concentration (Details) - Mortgage insurance coverage | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Arch Mortgage Insurance Company | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 22.00% | 22.00% |
Radian Guaranty Inc. | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 20.00% | 20.00% |
Mortgage Guaranty Insurance Corporation | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 18.00% | 17.00% |
Genworth Mortgage Insurance Corporation | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 15.00% | 15.00% |
Essent Guaranty, Inc. | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 15.00% | 15.00% |
Total | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 90.00% | 89.00% |
Fair Value Disclosures - Assets
Fair Value Disclosures - Assets and Liabilities Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | $ 25,338 | $ 26,174 |
Mortgage Loans [Abstract] | ||
Mortgage loans, held for sale, at fair value | 13,518 | 15,035 |
Derivative Assets Net [Abstract] | ||
Derivative Assets, net | 2,815 | 844 |
Other Assets [Abstract] | ||
Total Other Assets | 4,914 | 4,627 |
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 3,214 | 3,938 |
Derivative Liabilities Net [Abstract] | ||
Derivative Liabilities | 2,226 | 372 |
Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 3,000 | 3,700 |
Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 205 | 209 |
Other | ||
Derivative Assets Net [Abstract] | ||
Derivative Assets, net | 63 | 16 |
Derivative Liabilities Net [Abstract] | ||
Derivative Liabilities | 124 | 144 |
Agency | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 24,236 | 24,887 |
Non-agency and other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 1,102 | 1,287 |
Fair Value, Measurements, Recurring | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 25,338 | 26,174 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 53,851 | 49,537 |
Total investments in securities | 79,189 | 75,711 |
Mortgage Loans [Abstract] | ||
Mortgage loans, held for sale, at fair value | 13,518 | 15,035 |
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 13,820 | 6,379 |
Netting Adjustment | (11,005) | (5,535) |
Derivative Assets, net | 2,815 | 844 |
Other Assets [Abstract] | ||
Guarantee Assets | 4,565 | 4,426 |
Non-derivative held-for-sale purchase commitments, at fair value | 243 | 81 |
All Other Assets Fair Value Disclosure | 106 | 120 |
Total Other Assets | 4,914 | 4,627 |
Total Assets at Fair value | 100,436 | 96,217 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 11,576 | 5,282 |
Netting Adjustment | (9,350) | (4,910) |
Derivative Liabilities | 2,226 | 372 |
Other Liabilities [Abstract] | ||
Non Derivative HFS Purchase Commitment Liabilities | 4 | 7 |
Other Liabilities, Fair Value Disclosure | 1 | 1 |
All Other Liabilities Fair Value Disclosure | 5 | 8 |
Total liabilities carried at fair value on a recurring basis | 5,445 | 4,318 |
Fair Value, Measurements, Recurring | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 3,009 | 3,729 |
Fair Value, Measurements, Recurring | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 205 | 209 |
Fair Value, Measurements, Recurring | Interest-rate swaps | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 3,522 | 2,104 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 9,018 | 4,882 |
Fair Value, Measurements, Recurring | Option-based derivatives | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 9,093 | 4,198 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 536 | 130 |
Fair Value, Measurements, Recurring | Other | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 1,205 | 77 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 2,022 | 270 |
Fair Value, Measurements, Recurring | Mortage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 21,077 | 22,482 |
Fair Value, Measurements, Recurring | Agency | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 24,236 | 24,887 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 21,076 | 22,481 |
Fair Value, Measurements, Recurring | Non-agency and other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 1,102 | 1,287 |
Fair Value, Measurements, Recurring | Non-agency | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 1 | 1 |
Fair Value, Measurements, Recurring | Non-mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 32,774 | 27,055 |
Fair Value, Measurements, Recurring | Level 1 | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 0 | 0 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 31,144 | 25,108 |
Total investments in securities | 31,144 | 25,108 |
Mortgage Loans [Abstract] | ||
Mortgage loans, held for sale, at fair value | 0 | 0 |
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 55 | 0 |
Derivative Assets, net | 55 | 0 |
Other Assets [Abstract] | ||
Guarantee Assets | 0 | 0 |
Non-derivative held-for-sale purchase commitments, at fair value | 0 | 0 |
All Other Assets Fair Value Disclosure | 0 | 0 |
Total Other Assets | 0 | 0 |
Total Assets at Fair value | 31,199 | 25,108 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 0 | 0 |
Derivative Liabilities | 0 | 0 |
Other Liabilities [Abstract] | ||
Non Derivative HFS Purchase Commitment Liabilities | 0 | 0 |
Other Liabilities, Fair Value Disclosure | 0 | 0 |
All Other Liabilities Fair Value Disclosure | 0 | 0 |
Total liabilities carried at fair value on a recurring basis | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Interest-rate swaps | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 0 | 0 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Option-based derivatives | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 55 | 0 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Other | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 0 | 0 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Mortage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Agency | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 0 | 0 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Non-agency and other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Non-agency | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Non-mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 31,144 | 25,108 |
Fair Value, Measurements, Recurring | Level 2 | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 23,587 | 22,947 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 20,162 | 21,719 |
Total investments in securities | 43,749 | 44,666 |
Mortgage Loans [Abstract] | ||
Mortgage loans, held for sale, at fair value | 13,518 | 15,035 |
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 13,702 | 6,363 |
Derivative Assets, net | 13,702 | 6,363 |
Other Assets [Abstract] | ||
Guarantee Assets | 0 | 0 |
Non-derivative held-for-sale purchase commitments, at fair value | 243 | 81 |
All Other Assets Fair Value Disclosure | 0 | 0 |
Total Other Assets | 243 | 81 |
Total Assets at Fair value | 71,212 | 66,145 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 11,552 | 5,245 |
Derivative Liabilities | 11,552 | 5,245 |
Other Liabilities [Abstract] | ||
Non Derivative HFS Purchase Commitment Liabilities | 4 | 7 |
Other Liabilities, Fair Value Disclosure | 0 | 0 |
All Other Liabilities Fair Value Disclosure | 4 | 7 |
Total liabilities carried at fair value on a recurring basis | 14,420 | 8,858 |
Fair Value, Measurements, Recurring | Level 2 | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 2,858 | 3,600 |
Fair Value, Measurements, Recurring | Level 2 | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 6 | 6 |
Fair Value, Measurements, Recurring | Level 2 | Interest-rate swaps | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 3,522 | 2,104 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 9,018 | 4,882 |
Fair Value, Measurements, Recurring | Level 2 | Option-based derivatives | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 9,038 | 4,198 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 536 | 130 |
Fair Value, Measurements, Recurring | Level 2 | Other | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 1,142 | 61 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 1,998 | 233 |
Fair Value, Measurements, Recurring | Level 2 | Mortage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 18,532 | 19,772 |
Fair Value, Measurements, Recurring | Level 2 | Agency | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 23,586 | 22,927 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 18,532 | 19,772 |
Fair Value, Measurements, Recurring | Level 2 | Non-agency and other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 1 | 20 |
Fair Value, Measurements, Recurring | Level 2 | Non-agency | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 0 | 0 |
Fair Value, Measurements, Recurring | Level 2 | Non-mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 1,630 | 1,947 |
Fair Value, Measurements, Recurring | Level 3 | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 1,751 | 3,227 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 2,545 | 2,710 |
Total investments in securities | 4,296 | 5,937 |
Mortgage Loans [Abstract] | ||
Mortgage loans, held for sale, at fair value | 0 | 0 |
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 63 | 16 |
Derivative Assets, net | 63 | 16 |
Other Assets [Abstract] | ||
Guarantee Assets | 4,565 | 4,426 |
Non-derivative held-for-sale purchase commitments, at fair value | 0 | 0 |
All Other Assets Fair Value Disclosure | 106 | 120 |
Total Other Assets | 4,671 | 4,546 |
Total Assets at Fair value | 9,030 | 10,499 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 24 | 37 |
Derivative Liabilities | 24 | 37 |
Other Liabilities [Abstract] | ||
Non Derivative HFS Purchase Commitment Liabilities | 0 | 0 |
Other Liabilities, Fair Value Disclosure | 1 | 1 |
All Other Liabilities Fair Value Disclosure | 1 | 1 |
Total liabilities carried at fair value on a recurring basis | 375 | 370 |
Fair Value, Measurements, Recurring | Level 3 | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 151 | 129 |
Fair Value, Measurements, Recurring | Level 3 | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 199 | 203 |
Fair Value, Measurements, Recurring | Level 3 | Interest-rate swaps | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 0 | 0 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 3 | Option-based derivatives | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 0 | 0 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 3 | Other | ||
Derivative Assets Net [Abstract] | ||
Derivative assets at fair value | 63 | 16 |
Derivative Liabilities Net [Abstract] | ||
Derivative liabilities at fair value | 24 | 37 |
Fair Value, Measurements, Recurring | Level 3 | Mortage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 2,545 | 2,710 |
Fair Value, Measurements, Recurring | Level 3 | Agency | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 650 | 1,960 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 2,544 | 2,709 |
Fair Value, Measurements, Recurring | Level 3 | Non-agency and other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 1,101 | 1,267 |
Fair Value, Measurements, Recurring | Level 3 | Non-agency | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 1 | 1 |
Fair Value, Measurements, Recurring | Level 3 | Non-mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | $ 0 | $ 0 |
Fair Value Disclosures - Fair V
Fair Value Disclosures - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Debt | Held by Freddie Mac | ||
Liabilities: | ||
Begining Balance | $ 129 | $ 134 |
Included in Earnings | (11) | 0 |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 0 | 0 |
Issues | 1 | 80 |
Sales | 0 | 0 |
Settlements, Net | (1) | 0 |
Transfers into Level 3 | 33 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 151 | 214 |
Unrealized Gains (Losses) Still Held - Liabilities | (11) | 0 |
Unrealized Gains (Losses) Still Held, Liabilities, OCI | 0 | 0 |
Debt | Held by consolidated trusts | ||
Liabilities: | ||
Begining Balance | 203 | 728 |
Included in Earnings | (4) | 2 |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 0 | 0 |
Issues | 0 | 0 |
Sales | 0 | 0 |
Settlements, Net | 0 | 0 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 199 | 730 |
Unrealized Gains (Losses) Still Held - Liabilities | (4) | 2 |
Unrealized Gains (Losses) Still Held, Liabilities, OCI | 0 | 0 |
Net Derivatives | ||
Net Derivative Liability | ||
Beginning Balance | 21 | 91 |
Included in Earnings | (57) | (38) |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 0 | 0 |
Issues | 1 | 0 |
Sales | 0 | 0 |
Settlements, Net | (4) | (5) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | (39) | 48 |
Unrealized (Gains) Losses Still Held - Net Derivative Liability | (61) | (43) |
Fair Value, Net Derivative Asset (Liability), Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | 0 | 0 |
All Other Liabilities | ||
Liabilities: | ||
Begining Balance | 1 | 0 |
Included in Earnings | 0 | (2) |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 0 | 3 |
Issues | 0 | 0 |
Sales | 0 | 0 |
Settlements, Net | 0 | 0 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 1 | 1 |
Unrealized Gains (Losses) Still Held - Liabilities | 0 | (2) |
Unrealized Gains (Losses) Still Held, Liabilities, OCI | 0 | 0 |
Available-for-sale securities | ||
Assets: | ||
Beginning Balance | 3,227 | 5,775 |
Included in Earnings | 15 | (14) |
Included in Other Comprehensive Income | (88) | 122 |
Purchases | 0 | 52 |
Issues | 0 | 0 |
Sales | (208) | (486) |
Settlements, net | (100) | (159) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | (1,095) | (58) |
Ending Balance | 1,751 | 5,232 |
Unrealized Gains (Losses) Still Held - Assets | 3 | 3 |
Unrealized Gains (Losses) Still Held, Assets, OCI | (102) | 96 |
Available-for-sale securities | Agency | ||
Assets: | ||
Beginning Balance | 1,960 | 4,135 |
Included in Earnings | 12 | (18) |
Included in Other Comprehensive Income | 38 | 72 |
Purchases | 0 | 52 |
Issues | 0 | 0 |
Sales | (208) | (486) |
Settlements, net | (57) | (98) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | (1,095) | (58) |
Ending Balance | 650 | 3,599 |
Unrealized Gains (Losses) Still Held - Assets | 0 | (1) |
Unrealized Gains (Losses) Still Held, Assets, OCI | (2) | 56 |
Available-for-sale securities | Non-agency and other | ||
Assets: | ||
Beginning Balance | 1,267 | 1,640 |
Included in Earnings | 3 | 4 |
Included in Other Comprehensive Income | (126) | 50 |
Purchases | 0 | 0 |
Issues | 0 | 0 |
Sales | 0 | 0 |
Settlements, net | (43) | (61) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 1,101 | 1,633 |
Unrealized Gains (Losses) Still Held - Assets | 3 | 4 |
Unrealized Gains (Losses) Still Held, Assets, OCI | (100) | 40 |
Trading securities | ||
Assets: | ||
Beginning Balance | 2,710 | 3,294 |
Included in Earnings | 15 | (59) |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 352 | 143 |
Issues | 0 | 0 |
Sales | (105) | (115) |
Settlements, net | (31) | (24) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | (396) | (180) |
Ending Balance | 2,545 | 3,059 |
Unrealized Gains (Losses) Still Held - Assets | 1 | (61) |
Unrealized Gains (Losses) Still Held, Assets, OCI | 0 | 0 |
Trading securities | Agency | ||
Assets: | ||
Beginning Balance | 2,709 | 3,293 |
Included in Earnings | 15 | (59) |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 352 | 143 |
Issues | 0 | 0 |
Sales | (105) | (115) |
Settlements, net | (31) | (24) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | (396) | (180) |
Ending Balance | 2,544 | 3,058 |
Unrealized Gains (Losses) Still Held - Assets | 1 | (61) |
Unrealized Gains (Losses) Still Held, Assets, OCI | 0 | 0 |
Trading securities | Non-agency | ||
Assets: | ||
Beginning Balance | 1 | 1 |
Included in Earnings | 0 | 0 |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 0 | 0 |
Issues | 0 | 0 |
Sales | 0 | 0 |
Settlements, net | 0 | 0 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 1 | 1 |
Unrealized Gains (Losses) Still Held - Assets | 0 | 0 |
Unrealized Gains (Losses) Still Held, Assets, OCI | 0 | 0 |
Other Asset | ||
Assets: | ||
Beginning Balance | 4,546 | 3,770 |
Included in Earnings | 92 | 1 |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | (1) | 52 |
Issues | 229 | 291 |
Sales | (8) | (12) |
Settlements, net | (187) | (157) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 4,671 | 3,945 |
Unrealized Gains (Losses) Still Held - Assets | 91 | 2 |
Unrealized Gains (Losses) Still Held, Assets, OCI | 0 | 0 |
All Other, at fair value | ||
Assets: | ||
Beginning Balance | 120 | 137 |
Included in Earnings | (7) | (34) |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | (1) | 52 |
Issues | 6 | 9 |
Sales | (8) | (12) |
Settlements, net | (4) | (2) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 106 | 150 |
Unrealized Gains (Losses) Still Held - Assets | (8) | (33) |
Unrealized Gains (Losses) Still Held, Assets, OCI | 0 | 0 |
Guarantee Asset | ||
Assets: | ||
Beginning Balance | 4,426 | 3,633 |
Included in Earnings | 99 | 35 |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 0 | 0 |
Issues | 223 | 282 |
Sales | 0 | 0 |
Settlements, net | (183) | (155) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 4,565 | 3,795 |
Unrealized Gains (Losses) Still Held - Assets | 99 | 35 |
Unrealized Gains (Losses) Still Held, Assets, OCI | $ 0 | $ 0 |
Fair Value Disclosures - Quanti
Fair Value Disclosures - Quantitative Information about Recurring Level 3 Fair Value Measurements (Details) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020USD ($) | Dec. 31, 2019USD ($) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | $ 25,338 | $ 26,174 |
Liabilities [Abstract] | ||
Debt instrument recorded at fair value | 3,214 | 3,938 |
Held by consolidated trusts | ||
Liabilities [Abstract] | ||
Debt instrument recorded at fair value | 205 | 209 |
Agency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 24,236 | 24,887 |
Non-agency and other | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 1,102 | 1,287 |
Fair Value, Measurements, Recurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 25,338 | 26,174 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 53,851 | 49,537 |
Other assets: | ||
Guarantee Assets Fair Value Disclosure | 4,565 | 4,426 |
Total Assets carried at fair value on a recurring basis | 100,436 | 96,217 |
Liabilities [Abstract] | ||
Total liabilities carried at fair value on a recurring basis | 5,445 | 4,318 |
Fair Value, Measurements, Recurring | Held by consolidated trusts | ||
Liabilities [Abstract] | ||
Debt instrument recorded at fair value | 205 | 209 |
Fair Value, Measurements, Recurring | Mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 21,077 | 22,482 |
Fair Value, Measurements, Recurring | Agency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 24,236 | 24,887 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 21,076 | 22,481 |
Fair Value, Measurements, Recurring | Non-agency and other | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 1,102 | 1,287 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 1,751 | 3,227 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 2,545 | 2,710 |
Other assets: | ||
Guarantee Assets Fair Value Disclosure | 4,565 | 4,426 |
Insignificant level3 assets | 170 | 137 |
Total Assets carried at fair value on a recurring basis | 9,030 | 10,499 |
Liabilities [Abstract] | ||
Insignificant level3 liabilities | 375 | 167 |
Total liabilities carried at fair value on a recurring basis | 375 | 370 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Discounted Cash Flows | ||
Other assets: | ||
Guarantee Assets Fair Value Disclosure | 4,304 | 4,141 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Other | ||
Other assets: | ||
Guarantee Assets Fair Value Disclosure | 261 | 285 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Held by consolidated trusts | ||
Liabilities [Abstract] | ||
Debt instrument recorded at fair value | 199 | 203 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Held by consolidated trusts | Single External Source | ||
Liabilities [Abstract] | ||
Debt instrument recorded at fair value | 203 | |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 2,545 | 2,710 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Agency | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 650 | 1,960 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 2,544 | 2,709 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Agency | Single External Source | ||
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 1,662 | 1,948 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Agency | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 494 | 1,960 |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 523 | 761 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Agency | Other | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 156 | |
Trading, at Fair Value: | ||
Trading Securities, Fair Value Disclosure | 359 | |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Non-agency and other | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 1,101 | 1,267 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Non-agency and other | Median of external sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | 912 | 886 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Non-agency and other | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | $ 381 | |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Non-agency and other | Other | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Available-for-sale, at fair value | $ 189 | |
Fair Value, Measurements, Recurring | Debt | Fair Value, Inputs, Level 3 | Held by consolidated trusts | Weighted Average | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 101.4 | |
Fair Value, Measurements, Recurring | Debt | Fair Value, Inputs, Level 3 | Held by consolidated trusts | Minimum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 99.4 | |
Fair Value, Measurements, Recurring | Debt | Fair Value, Inputs, Level 3 | Held by consolidated trusts | Maximum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 103.6 | |
Fair Value, Measurements, Recurring | Available-for-sale securities | Fair Value, Inputs, Level 3 | Agency | Weighted Average | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 0.93% | 0.80% |
Fair Value, Measurements, Recurring | Available-for-sale securities | Fair Value, Inputs, Level 3 | Agency | Minimum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 0.93% | 0.30% |
Fair Value, Measurements, Recurring | Available-for-sale securities | Fair Value, Inputs, Level 3 | Agency | Maximum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 0.93% | 2.61% |
Fair Value, Measurements, Recurring | Available-for-sale securities | Fair Value, Inputs, Level 3 | Non-agency and other | Weighted Average | Median of external sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 66.9 | 75 |
Fair Value, Measurements, Recurring | Available-for-sale securities | Fair Value, Inputs, Level 3 | Non-agency and other | Weighted Average | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | ||
Fair Value, Measurements, Recurring | Available-for-sale securities | Fair Value, Inputs, Level 3 | Non-agency and other | Minimum | Median of external sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 61.1 | 71.9 |
Fair Value, Measurements, Recurring | Available-for-sale securities | Fair Value, Inputs, Level 3 | Non-agency and other | Maximum | Median of external sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 72.6 | 78.2 |
Fair Value, Measurements, Recurring | Trading securities | Fair Value, Inputs, Level 3 | Agency | Weighted Average | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 912.6 | 36.6 |
Fair Value, Measurements, Recurring | Trading securities | Fair Value, Inputs, Level 3 | Agency | Weighted Average | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 9.44% | 6.11% |
Fair Value, Measurements, Recurring | Trading securities | Fair Value, Inputs, Level 3 | Agency | Minimum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 0 | 0 |
Fair Value, Measurements, Recurring | Trading securities | Fair Value, Inputs, Level 3 | Agency | Minimum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | (22.31%) | (12.01%) |
Fair Value, Measurements, Recurring | Trading securities | Fair Value, Inputs, Level 3 | Agency | Maximum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 8,530.9 | 100.7 |
Fair Value, Measurements, Recurring | Trading securities | Fair Value, Inputs, Level 3 | Agency | Maximum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 80.95% | 80.95% |
Fair Value, Measurements, Recurring | Guarantee Asset | Fair Value, Inputs, Level 3 | Weighted Average | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 0.46% | 0.40% |
Fair Value, Measurements, Recurring | Guarantee Asset | Fair Value, Inputs, Level 3 | Minimum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 0.17% | 0.17% |
Fair Value, Measurements, Recurring | Guarantee Asset | Fair Value, Inputs, Level 3 | Maximum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 1.86% | 1.86% |
Fair Value Disclosures - Asse_2
Fair Value Disclosures - Assets Measured at Fair Value on a Non-Recurring Basis (Details) - Fair Value, Measurements, Nonrecurring - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage loans | $ 8,207 | $ 4,081 |
Level 1 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage loans | 0 | 0 |
Level 2 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage loans | 2,127 | 22 |
Level 3 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage loans | $ 6,080 | $ 4,059 |
Fair Value Disclosures - Fair_2
Fair Value Disclosures - Fair Value Assets Measured on Nonrecurring Basis Valuation Techniques (Details) - Fair Value, Measurements, Nonrecurring | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020USD ($) | Dec. 31, 2019USD ($) | |
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage Loans Fair Value Disclosure | $ 8,207,000,000 | $ 4,081,000,000 |
Level 3 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage Loans Fair Value Disclosure | 6,080,000,000 | 4,059,000,000 |
Level 3 | Mortgage loans | Minimum | Internal model | ||
Assets, Fair Value Disclosure [Abstract] | ||
Fair Value Inputs Historical Sale Proceeds | $ 3,000 | $ 3,000 |
Housing Sales Index | 0.53% | 0.46% |
Level 3 | Mortgage loans | Minimum | Median of external sources | ||
Assets, Fair Value Disclosure [Abstract] | ||
External Pricing Source(s) | 54 | 66.5 |
Level 3 | Mortgage loans | Maximum | Internal model | ||
Assets, Fair Value Disclosure [Abstract] | ||
Fair Value Inputs Historical Sale Proceeds | $ 765,000 | $ 765,000 |
Housing Sales Index | 4.19% | 4.20% |
Level 3 | Mortgage loans | Maximum | Median of external sources | ||
Assets, Fair Value Disclosure [Abstract] | ||
External Pricing Source(s) | 100.7 | 105.4 |
Level 3 | Mortgage loans | Weighted Average | Internal model | ||
Assets, Fair Value Disclosure [Abstract] | ||
Fair Value Inputs Historical Sale Proceeds | $ 182,407 | $ 186,234 |
Housing Sales Index | 1.12% | 1.12% |
Level 3 | Mortgage loans | Weighted Average | Median of external sources | ||
Assets, Fair Value Disclosure [Abstract] | ||
External Pricing Source(s) | 88.1 | 95 |
Fair Value Disclosures - Fair_3
Fair Value Disclosures - Fair Value of Financial Instruments (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Jan. 01, 2020 | Dec. 31, 2019 |
Financial Assets | |||
Securities purchased under agreement to resell | $ 45,968 | $ 56,271 | |
Counterparty netting | (14,305) | (9,843) | |
Investments in Securities [Abstract] | |||
Available-for-sale, at fair value | 25,338 | 26,174 | |
Mortgage Loans [Abstract] | |||
Derivative Assets, net | 2,815 | 844 | |
Other Assets | 4,914 | 4,627 | |
Secured Lending and Other | 6,066 | 5,158 | |
Financial Liabilities | |||
Debt, net | 3,214 | 3,938 | |
Counterparty netting | (14,305) | (9,843) | |
Derivative Liabilities, net | 2,226 | 372 | |
Other Liabilities | 7,848 | $ 8,046 | 8,042 |
Held by Freddie Mac | |||
Financial Liabilities | |||
Debt, net | 3,000 | 3,700 | |
Held by consolidated trusts | |||
Financial Assets | |||
Securities purchased under agreement to resell | 13,510 | 23,137 | |
Financial Liabilities | |||
Debt, net | 205 | 209 | |
Other Liabilities | 0 | 1 | |
GAAP Carrying Amount | |||
Financial Assets | |||
Cash and Cash Equivalents | 24,324 | 5,189 | |
Securities purchased under agreement to resell | 45,968 | 56,271 | |
Investments in Securities [Abstract] | |||
Available-for-sale, at fair value | 25,338 | 26,174 | |
Trading, at fair value | 53,851 | 49,537 | |
Total investments in securities | 79,189 | 75,711 | |
Mortgage Loans [Abstract] | |||
Mortgage loans | 2,046,657 | 2,020,200 | |
Derivative Assets, net | 2,815 | 844 | |
Guarantee Assets | 4,565 | 4,426 | |
Non Derivative Purchase Commitments Assets | 243 | 81 | |
Secured Lending and Other | 5,072 | 4,186 | |
Total Assets at Fair value | 2,208,833 | 2,166,908 | |
Financial Liabilities | |||
Debt, net | 2,216,135 | 2,169,685 | |
Derivative Liabilities, net | 2,226 | 372 | |
Guarantee obligation | 4,313 | 4,292 | |
Non Derivative HFS Purchase Commitment Liabilities | 22 | 7 | |
Total Financial Liabilities | 2,222,696 | 2,174,356 | |
GAAP Carrying Amount | Held by Freddie Mac | |||
Mortgage Loans [Abstract] | |||
Mortgage loans | 83,027 | 79,677 | |
Financial Liabilities | |||
Debt, net | 286,130 | 271,330 | |
GAAP Carrying Amount | Held by consolidated trusts | |||
Mortgage Loans [Abstract] | |||
Mortgage loans | 1,963,630 | 1,940,523 | |
Financial Liabilities | |||
Debt, net | 1,930,005 | 1,898,355 | |
GAAP Carrying Amount | AmortizedCost | |||
Mortgage Loans [Abstract] | |||
Mortgage loans | 2,000,000 | 2,000,000 | |
Financial Liabilities | |||
Debt, net | 2,200,000 | 2,200,000 | |
GAAP Carrying Amount | LowerOfCostOrFairValue | |||
Mortgage Loans [Abstract] | |||
Mortgage loans | 19,000 | 20,300 | |
GAAP Carrying Amount | FV - NI | |||
Mortgage Loans [Abstract] | |||
Mortgage loans | 13,500 | 15,000 | |
Financial Liabilities | |||
Debt, net | 3,200 | 3,900 | |
Fair Value | |||
Financial Assets | |||
Cash and Cash Equivalents | 24,324 | 5,189 | |
Securities purchased under agreement to resell | 45,968 | 56,271 | |
Counterparty netting | (14,305) | (9,843) | |
Investments in Securities [Abstract] | |||
Available-for-sale, at fair value | 25,338 | 26,174 | |
Trading, at fair value | 53,851 | 49,537 | |
Total investments in securities | 79,189 | 75,711 | |
Mortgage Loans [Abstract] | |||
Mortgage loans | 2,123,858 | 2,060,622 | |
Derivative Assets, net | 2,815 | 844 | |
Netting Adjustment | (11,005) | (5,535) | |
Guarantee Assets | 4,571 | 4,433 | |
Non Derivative Purchase Commitments Assets | 244 | 162 | |
Secured Lending and Other | 4,887 | 4,005 | |
Total Asset Netting Adjustment | (25,310) | (15,378) | |
Total Assets at Fair value | 2,285,856 | 2,207,237 | |
Financial Liabilities | |||
Debt, net | 2,297,708 | 2,208,957 | |
Counterparty netting | (14,305) | (9,843) | |
Derivative Liabilities, net | 2,226 | 372 | |
Netting Adjustment | (9,350) | (4,910) | |
Guarantee obligation | 5,070 | 4,527 | |
Non Derivative HFS Purchase Commitment Liabilities | 45 | 74 | |
Total Liability Netting Adjustment | (23,655) | (14,753) | |
Total Financial Liabilities | 2,305,049 | 2,213,930 | |
Fair Value | Held by Freddie Mac | |||
Mortgage Loans [Abstract] | |||
Mortgage loans | 85,045 | 83,688 | |
Financial Liabilities | |||
Debt, net | 290,280 | 276,207 | |
Fair Value | Held by consolidated trusts | |||
Mortgage Loans [Abstract] | |||
Mortgage loans | 2,038,813 | 1,976,934 | |
Financial Liabilities | |||
Debt, net | 2,007,428 | 1,932,750 | |
Fair Value | Level 1 | |||
Financial Assets | |||
Cash and Cash Equivalents | 24,324 | 5,189 | |
Securities purchased under agreement to resell | 0 | 0 | |
Investments in Securities [Abstract] | |||
Available-for-sale, at fair value | 0 | 0 | |
Trading, at fair value | 31,144 | 25,108 | |
Total investments in securities | 31,144 | 25,108 | |
Mortgage Loans [Abstract] | |||
Mortgage loans | 0 | 0 | |
Derivative assets at fair value | 55 | 0 | |
Guarantee Assets | 0 | 0 | |
Non Derivative Purchase Commitments Assets | 0 | 0 | |
Secured Lending and Other | 0 | 0 | |
Total Assets at Fair value | 55,523 | 30,297 | |
Financial Liabilities | |||
Debt, net | 0 | 0 | |
Derivative liabilities at fair value | 0 | 0 | |
Guarantee obligation | 0 | 0 | |
Non Derivative HFS Purchase Commitment Liabilities | 0 | 0 | |
Total Financial Liabilities | 0 | 0 | |
Fair Value | Level 1 | Held by Freddie Mac | |||
Mortgage Loans [Abstract] | |||
Mortgage loans | 0 | 0 | |
Financial Liabilities | |||
Debt, net | 0 | 0 | |
Fair Value | Level 1 | Held by consolidated trusts | |||
Mortgage Loans [Abstract] | |||
Mortgage loans | 0 | 0 | |
Financial Liabilities | |||
Debt, net | 0 | 0 | |
Fair Value | Level 2 | |||
Financial Assets | |||
Cash and Cash Equivalents | 0 | 0 | |
Securities purchased under agreement to resell | 60,273 | 66,114 | |
Investments in Securities [Abstract] | |||
Available-for-sale, at fair value | 23,587 | 22,947 | |
Trading, at fair value | 20,162 | 21,719 | |
Total investments in securities | 43,749 | 44,666 | |
Mortgage Loans [Abstract] | |||
Mortgage loans | 1,839,449 | 1,770,534 | |
Derivative assets at fair value | 13,702 | 6,363 | |
Guarantee Assets | 0 | 0 | |
Non Derivative Purchase Commitments Assets | 244 | 90 | |
Secured Lending and Other | 1,607 | 1,874 | |
Total Assets at Fair value | 1,959,024 | 1,889,641 | |
Financial Liabilities | |||
Debt, net | 2,306,810 | 2,213,904 | |
Derivative liabilities at fair value | 11,552 | 5,245 | |
Guarantee obligation | 0 | 0 | |
Non Derivative HFS Purchase Commitment Liabilities | 15 | 7 | |
Total Financial Liabilities | 2,318,377 | 2,219,156 | |
Fair Value | Level 2 | Held by Freddie Mac | |||
Mortgage Loans [Abstract] | |||
Mortgage loans | 43,389 | 38,100 | |
Financial Liabilities | |||
Debt, net | 300,522 | 282,431 | |
Fair Value | Level 2 | Held by consolidated trusts | |||
Mortgage Loans [Abstract] | |||
Mortgage loans | 1,796,060 | 1,732,434 | |
Financial Liabilities | |||
Debt, net | 2,006,288 | 1,931,473 | |
Fair Value | Level 3 | |||
Financial Assets | |||
Cash and Cash Equivalents | 0 | 0 | |
Securities purchased under agreement to resell | 0 | 0 | |
Investments in Securities [Abstract] | |||
Available-for-sale, at fair value | 1,751 | 3,227 | |
Trading, at fair value | 2,545 | 2,710 | |
Total investments in securities | 4,296 | 5,937 | |
Mortgage Loans [Abstract] | |||
Mortgage loans | 284,409 | 290,088 | |
Derivative assets at fair value | 63 | 16 | |
Guarantee Assets | 4,571 | 4,433 | |
Non Derivative Purchase Commitments Assets | 0 | 72 | |
Secured Lending and Other | 3,280 | 2,131 | |
Total Assets at Fair value | 296,619 | 302,677 | |
Financial Liabilities | |||
Debt, net | 5,203 | 4,896 | |
Derivative liabilities at fair value | 24 | 37 | |
Guarantee obligation | 5,070 | 4,527 | |
Non Derivative HFS Purchase Commitment Liabilities | 30 | 67 | |
Total Financial Liabilities | 10,327 | 9,527 | |
Fair Value | Level 3 | Held by Freddie Mac | |||
Mortgage Loans [Abstract] | |||
Mortgage loans | 41,656 | 45,588 | |
Financial Liabilities | |||
Debt, net | 4,063 | 3,619 | |
Fair Value | Level 3 | Held by consolidated trusts | |||
Mortgage Loans [Abstract] | |||
Mortgage loans | 242,753 | 244,500 | |
Financial Liabilities | |||
Debt, net | $ 1,140 | $ 1,277 |
Fair Value Disclosures - Differ
Fair Value Disclosures - Difference between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Loans Held For Sale, Fair Value | $ 13,518 | $ 15,035 |
Loans Held For Sale, Unpaid Principal Balance, With Fair Value Option Elected | 12,467 | 14,444 |
Fair Value, Option, Aggregate Differences, Loans and Long-term Receivables | 1,051 | 591 |
NonDerivativeHFSPurchaseCommitmentnet | 239 | 74 |
Held by Freddie Mac | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-Term Debt, Fair Value | 2,916 | 3,589 |
Long-Term Debt, Unpaid Principal Balance, with Fair Value Option Elected | 3,157 | 3,329 |
Fair Value, Option, Aggregate Differences, Long-term Debt Instruments | (241) | 260 |
Held by consolidated trusts | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-Term Debt, Fair Value | 199 | 203 |
Long-Term Debt, Unpaid Principal Balance, with Fair Value Option Elected | 200 | 200 |
Fair Value, Option, Aggregate Differences, Long-term Debt Instruments | (1) | 3 |
Interest-Only | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-Term Debt, Fair Value | $ 99 | $ 146 |
Fair Value Disclosures Fair Val
Fair Value Disclosures Fair Value Disclosures - Changes in Fair Value under the FVO option (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Loans Receivable | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ 638 | $ 341 |
HFS loan purchase commitments | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 532 | 390 |
Long-term Debt | Held by Freddie Mac | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 548 | (2) |
Long-term Debt | Held by consolidated trusts | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ 4 | $ (2) |
Legal Contingencies (Details)
Legal Contingencies (Details) $ in Millions | Mar. 14, 2013numberofdefendants | Sep. 20, 2013USD ($) |
LIBOR Lawsuit | ||
Loss Contingencies [Line Items] | ||
Number of defendants | numberofdefendants | 16 | |
Arrowood lawsuit | Arrowood Indemnity Company | ||
Loss Contingencies [Line Items] | ||
Preferred Stock, Value, Outstanding | $ | $ 42 |
Regulatory Capital Regulatory C
Regulatory Capital Regulatory Capital - Net Worth and Minimum Capital (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 |
Net Worth and Minimum Capital [Abstract] | ||||
GAAP net worth (deficit) | $ 9,504 | $ 9,122 | $ 4,665 | $ 4,477 |
Core capital (deficit) | (64,031) | (63,964) | ||
Minimum capital requirement | 19,521 | 19,123 | ||
Minimum capital surplus (deficit) | $ (83,552) | $ (83,087) |
Selected Financial Statement _3
Selected Financial Statement Line Items - Significant Components of Other Assets and Other Liabilities (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Jan. 01, 2020 | Dec. 31, 2019 |
Other assets: | |||
Real estate owned, net | $ 457 | $ 555 | |
Accounts and other receivables | 17,200 | 10,780 | |
Guarantee asset | 4,565 | 4,426 | |
Secured lending and other | 6,066 | 5,158 | |
All other | 3,273 | 1,880 | |
Total other assets | 31,561 | $ 22,992 | 22,799 |
Other liabilities: | |||
Guarantee obligation | 4,313 | 4,292 | |
All other | 3,535 | 3,750 | |
Total other liabilities | $ 7,848 | $ 8,046 | $ 8,042 |
Selected Financial Statement _4
Selected Financial Statement Line Items Selected Financial Statement Line Items - Components of Investment Gains (Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Selected Financial Statement Data [Abstract] | ||
Mortgage loans gains (losses) | $ 1,172 | $ 934 |
Investment securities gain loss | 1,055 | 144 |
Debt gain (loss) | 700 | 15 |
Derivative gains (losses) | (3,762) | (1,606) |
Gain (Loss) on Investments | $ (835) | $ (513) |