Cover
Cover - USD ($) $ in Billions | 12 Months Ended | ||
Dec. 31, 2021 | Jan. 31, 2022 | Jun. 30, 2021 | |
Document Information [Line Items] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2021 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Transition Report | false | ||
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 Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Emerging Growth Company | false | ||
Entity Small Business | false | ||
ICFR Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Public Float | $ 0.9 | ||
Entity Common Stock, Shares Outstanding | 650,059,553 | ||
Documents Incorporated by Reference | None | ||
Entity Central Index Key | 0001026214 | ||
Document Fiscal Year Focus | 2021 | ||
Document Fiscal Period Focus | FY | ||
Amendment Flag | false | ||
Voting Common Stock, no par value per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | Voting Common Stock, no par value per share | ||
Trading Symbol | FMCC | ||
Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCI | ||
5% Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 5% Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCKK | ||
Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCG | ||
5.1% Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 5.1% Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCH | ||
5.79% Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 5.79% Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCK | ||
Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCL | ||
Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCM | ||
Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCN | ||
5.81% Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 5.81% Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCO | ||
6% Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 6% Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCP | ||
Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | Variable Rate, Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCJ | ||
5.7% Non-Cumulative Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 5.7% Non-Cumulative Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCKP | ||
Variable Rate, Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | Variable Rate, Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCS | ||
6.42% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 6.42% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCCT | ||
5.9% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 5.9% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCKO | ||
5.57% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 5.57% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCKM | ||
5.66% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 5.66% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCKN | ||
6.02% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 6.02% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCKL | ||
6.55% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | 6.55% Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCKI | ||
Fixed-to-Floating Rate Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | |||
Document Information [Line Items] | |||
Title of 12(g) Security | Fixed-to-Floating Rate Non-Cumulative Perpetual Preferred Stock, par value $1.00 per share | ||
Trading Symbol | FMCKJ |
Audit Information
Audit Information | 12 Months Ended |
Dec. 31, 2021 | |
Audit Information [Abstract] | |
Auditor Name | PricewaterhouseCoopers LLP |
Auditor Firm ID | 238 |
Auditor Location | Washington, DC |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income (Loss) - USD ($) shares in Millions, $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Income Statement [Abstract] | |||
Interest income | $ 61,527 | $ 62,340 | $ 72,895 |
Interest expense | (43,947) | (49,569) | (61,047) |
Net interest income | 17,580 | 12,771 | 11,848 |
Non-interest income (loss) | |||
Guarantee income | 1,032 | 1,442 | 1,089 |
Investment gains (losses), net | 2,746 | 1,813 | 818 |
Other income (loss) | 593 | 633 | 323 |
Non-interest income (loss) | 4,371 | 3,888 | 2,230 |
Net revenues | 21,951 | 16,659 | 14,078 |
Benefit (provision) for credit losses | 1,041 | (1,452) | 746 |
Non-interest expense | |||
Salaries and employee benefits | (1,398) | (1,344) | (1,434) |
Other administrative expense | (1,253) | (1,191) | (1,130) |
Total administrative expense | (2,651) | (2,535) | (2,564) |
Credit enhancement expense | (1,518) | (1,058) | (749) |
Benefit for (decrease in) credit enhancement recoveries | (542) | 323 | 41 |
REO operations income (expense) | (12) | (149) | (229) |
Legislated 10 basis point fee expense | (2,342) | (1,836) | (1,617) |
Other expense | (728) | (723) | (657) |
Non-interest expense | (7,793) | (5,978) | (5,775) |
Income (loss) before income tax (expense) benefit | 15,199 | 9,229 | 9,049 |
Income tax (expense) benefit | (3,090) | (1,903) | (1,835) |
Net income (loss) | 12,109 | 7,326 | 7,214 |
Other comprehensive income (loss), net of taxes and reclassification adjustments | (489) | 205 | 573 |
Comprehensive income (loss) | 11,620 | 7,531 | 7,787 |
Net income (loss) | 12,109 | 7,326 | 7,214 |
Future increase in senior preferred stock liquidation preference | (11,620) | (7,291) | (7,787) |
Net income (loss) attributable to common stockholders - basic | 489 | 35 | (573) |
Net income (loss) attributable to common stockholders - diluted | $ 489 | $ 35 | $ (573) |
Net income (loss) per common share - basic | $ 0.15 | $ 0.01 | $ (0.18) |
Net income (loss) per common share - diluted | $ 0.15 | $ 0.01 | $ (0.18) |
Weighted average common shares outstanding - basic | 3,234 | 3,234 | 3,234 |
Weighted average common shares outstanding - diluted | 3,234 | 3,234 | 3,234 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Assets | ||
Cash and cash equivalents (includes $1,695 and $17,379 of restricted cash and cash equivalents) | $ 10,150 | $ 23,889 |
Securities purchased under agreements to resell | 71,203 | 105,003 |
Investment securities, at fair value | 53,015 | 59,825 |
Mortgage loans held-for-sale (includes $10,498 and $14,199 at fair value) | 19,778 | 33,652 |
Mortgage loans held-for-investment (net of allowance for credit losses of $4,947 and $5,732) | 2,828,331 | 2,350,236 |
Accrued interest receivable | 7,474 | 7,754 |
Deferred tax assets, net | 6,214 | 6,557 |
Other assets (includes $6,594 and $6,980 at fair value) | 29,421 | 40,499 |
Total assets | 3,025,586 | 2,627,415 |
Liabilities | ||
Accrued interest payable | 6,268 | 6,210 |
Debt (includes $2,478 and $2,592 at fair value) | 2,980,185 | 2,592,546 |
Other liabilities (includes $287 and $958 at fair value) | 11,100 | 12,246 |
Total liabilities | 2,997,553 | 2,611,002 |
Commitments and contingencies (Notes 5, 9, 18) | ||
Equity | ||
Senior preferred stock (liquidation preference of $97,959 and $86,539) | 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 650,059,553 shares and 650,059,292 shares outstanding | 0 | 0 |
Additional paid-in capital | 0 | 0 |
Retained earnings (accumulated deficit) | (54,993) | (67,102) |
AOCI, net of taxes, related to: | ||
Available-for-sale securities | 297 | 810 |
Other | (143) | (167) |
AOCI, net of taxes | 154 | 643 |
Treasury stock, at cost, 75,804,333 shares and 75,804,594 shares | (3,885) | (3,885) |
Total equity | 28,033 | 16,413 |
Total liabilities and equity | 3,025,586 | 2,627,415 |
Held by consolidated trusts | ||
Assets | ||
Cash and cash equivalents (includes $1,695 and $17,379 of restricted cash and cash equivalents) | 1,596 | 17,290 |
Securities purchased under agreements to resell | 34,000 | 38,487 |
Investment securities, at fair value | 420 | 591 |
Mortgage loans held-for-investment (net of allowance for credit losses of $4,947 and $5,732) | 2,784,626 | 2,273,347 |
Accrued interest receivable | 7,019 | 7,134 |
Other assets (includes $6,594 and $6,980 at fair value) | 11,265 | 20,480 |
Total assets | 2,838,926 | 2,357,329 |
Liabilities | ||
Accrued interest payable | 5,823 | 5,610 |
Debt (includes $2,478 and $2,592 at fair value) | 2,803,054 | 2,308,176 |
Total liabilities | $ 2,808,877 | $ 2,313,786 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Statement of Financial Position [Abstract] | ||
Restricted cash and cash equivalents | $ 1,695 | $ 17,379 |
Mortgages held-for-sale, fair value | 10,498 | 14,199 |
Mortgage loans held-for-investment, allowance for credit losses | 4,947 | 5,732 |
Other assets, fair value | 6,594 | 6,980 |
Debt, fair value | 2,478 | 2,592 |
Other liabilities, fair value | 287 | 958 |
Senior preferred stock, liquidation preference | $ 97,959 | $ 86,539 |
Common stock, par value (in usd per share) | $ 0 | $ 0 |
Common stock, authorized (in shares) | 4,000,000,000 | 4,000,000,000 |
Common stock, issued (in shares) | 725,863,886 | 725,863,886 |
Common stock, outstanding (in shares) | 650,059,553 | 650,059,292 |
Treasury stock (in shares) | 75,804,333 | 75,804,594 |
Assets: | ||
Mortgage loans held-for-investment | $ 2,828,331 | $ 2,350,236 |
Total assets | 3,025,586 | 2,627,415 |
Liabilities: | ||
Debt | 2,980,185 | 2,592,546 |
Total liabilities | 2,997,553 | 2,611,002 |
Held by consolidated trusts | ||
Statement of Financial Position [Abstract] | ||
Restricted cash and cash equivalents | 1,595 | 17,289 |
Debt, fair value | 1,094 | 205 |
Assets: | ||
Mortgage loans held-for-investment | 2,784,626 | 2,273,347 |
All other assets | 54,300 | 83,982 |
Total assets | 2,838,926 | 2,357,329 |
Liabilities: | ||
Debt | 2,803,054 | 2,308,176 |
All other liabilities | 5,823 | 5,610 |
Total liabilities | $ 2,808,877 | $ 2,313,786 |
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 (loss): | ||||||||
Net income (loss) | 7,214 | 7,214 | ||||||
Changes in net unrealized gains (losses) on available-for-sale securities, net of taxes | 668 | 668 | ||||||
Reclassification adjustment for gains on available-for-sale securities included in net income, net of taxes | (133) | (133) | ||||||
Other, net of taxes | 38 | 38 | ||||||
Comprehensive income (loss) | 7,787 | 7,214 | 573 | |||||
Senior preferred stock dividends paid | (3,142) | (3,142) | ||||||
Ending balance at Dec. 31, 2019 | 9,122 | $ 72,648 | $ 14,109 | $ 0 | 0 | (74,188) | 438 | (3,885) |
Ending balance (Cumulative effect from adoption of CECL) at Dec. 31, 2019 | (240) | (240) | ||||||
Ending balance, Shares at Dec. 31, 2019 | 1 | 464 | 650 | |||||
Comprehensive income (loss): | ||||||||
Net income (loss) | 7,326 | 7,326 | ||||||
Changes in net unrealized gains (losses) on available-for-sale securities, net of taxes | 502 | 502 | ||||||
Reclassification adjustment for gains on available-for-sale securities included in net income, net of taxes | (310) | (310) | ||||||
Other, net of taxes | 13 | 13 | ||||||
Comprehensive income (loss) | 7,531 | 7,326 | 205 | |||||
Ending balance at Dec. 31, 2020 | 16,413 | $ 72,648 | $ 14,109 | $ 0 | 0 | (67,102) | 643 | (3,885) |
Ending balance, Shares at Dec. 31, 2020 | 1 | 464 | 650 | |||||
Comprehensive income (loss): | ||||||||
Net income (loss) | 12,109 | 12,109 | ||||||
Changes in net unrealized gains (losses) on available-for-sale securities, net of taxes | (134) | (134) | ||||||
Reclassification adjustment for gains on available-for-sale securities included in net income, net of taxes | (379) | (379) | ||||||
Other, net of taxes | 24 | 24 | ||||||
Comprehensive income (loss) | 11,620 | 12,109 | (489) | |||||
Ending balance at Dec. 31, 2021 | $ 28,033 | $ 72,648 | $ 14,109 | $ 0 | $ 0 | $ (54,993) | $ 154 | $ (3,885) |
Ending balance, Shares at Dec. 31, 2021 | 1 | 464 | 650 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Cash flows from operating activities | |||
Net income (loss) | $ 12,109 | $ 7,326 | $ 7,214 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||
Amortization of cost basis adjustments | (1,922) | 214 | (466) |
(Benefit) provision for credit losses | (1,041) | 1,452 | (746) |
Investment (gains) losses, net | (4,312) | (3,390) | (1,100) |
(Benefit for) decrease in credit enhancement recoveries | 557 | (289) | (2) |
Hedge accounting earnings mismatch | 147 | (162) | (288) |
Deferred income tax expense (benefit) | 473 | (590) | 817 |
Purchases of mortgage loans acquired as held-for-sale | (59,270) | (69,908) | (65,516) |
Proceeds from sales of mortgage loans acquired as held-for-sale | 69,891 | 68,065 | 71,557 |
Proceeds from repayments of mortgage loans acquired as held-for-sale | 390 | 116 | 517 |
Payments to servicers for pre-foreclosure expense and servicer incentive fees | (340) | (232) | (282) |
Change in accrued interest receivable | 396 | (1,046) | (120) |
Change in interest payable | 57 | (238) | 177 |
Change in income taxes receivable | (586) | 845 | 712 |
Other, net | (196) | (1,256) | (277) |
Net cash provided by (used in) operating activities | 16,353 | 907 | 12,197 |
Cash flows from investing activities | |||
Purchases of investment securities | (124,710) | (159,202) | (111,136) |
Proceeds from sales of investment securities | 154,352 | 175,422 | 97,274 |
Proceeds from maturities and repayments of investment securities | 7,701 | 31,504 | 18,786 |
Purchases of mortgage loans acquired as held-for-investment | (542,222) | (695,645) | (228,628) |
Proceeds from sales of mortgage loans acquired as held-for-investment | 9,255 | 11,657 | 15,218 |
Proceeds from repayments of mortgage loans acquired as held-for-investment | 757,186 | 744,571 | 348,387 |
Advances under secured lending arrangements | (264,790) | (144,828) | (54,176) |
Repayments of secured lending arrangements | 501 | 1,515 | 1,275 |
Net proceeds from dispositions of real estate owned and other recoveries | 244 | 670 | 1,150 |
Net (increase) decrease in securities purchased under agreements to resell | 26,467 | (39,143) | (31,343) |
Derivative premiums and terminations, swap collateral, and exchange settlement payments, net | 1,070 | (9,185) | (8,163) |
Other, net | (804) | (691) | (492) |
Net cash provided by (used in) investing activities | 24,250 | (83,355) | 48,152 |
Cash flows from financing activities | |||
Net increase (decrease) in securities sold under agreements to repurchase | 7,333 | (9,843) | 3,856 |
Payment of cash dividends on senior preferred stock | 0 | 0 | (3,142) |
Other, net | (4) | (46) | (130) |
Net cash provided by (used in) financing activities | (54,342) | 101,148 | (62,433) |
Net (decrease) increase in cash and cash equivalents (includes restricted cash and cash equivalents) | (13,739) | 18,700 | (2,084) |
Cash and cash equivalents (includes restricted cash and cash equivalents) at the beginning of year | 23,889 | 5,189 | 7,273 |
Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period | 10,150 | 23,889 | 5,189 |
Cash paid for: | |||
Debt interest | 69,093 | 70,073 | 70,918 |
Income taxes | 3,204 | 1,690 | 306 |
Held by consolidated trusts | |||
Cash flows from financing activities | |||
Proceeds from issuance of debt | 825,632 | 811,707 | 264,373 |
Repayments of debt | (782,545) | (713,382) | (351,099) |
Cash and cash equivalents (includes restricted cash and cash equivalents) at the beginning of year | 17,290 | ||
Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period | 1,596 | 17,290 | |
Held by Freddie Mac | |||
Cash flows from financing activities | |||
Proceeds from issuance of debt | 23,153 | 465,260 | 554,812 |
Repayments of debt | $ (127,911) | $ (452,548) | $ (531,103) |
Consolidated Statements of Eq_2
Consolidated Statements of Equity (Parenthetical) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Statement of Stockholders' Equity [Abstract] | |||
Changes in net unrealized gains (losses) on available-for-sale securities, taxes | $ 36 | $ 133 | $ 177 |
Reclassification adjustment for gains on available-for-sale securities included in net income, taxes | 101 | 83 | 35 |
Other, taxes | $ 4 | $ 6 | $ 10 |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2021 | |
Accounting Policies [Abstract] | |
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | Summary of Significant Accounting Policies Freddie Mac is a GSE chartered by Congress in 1970, with a mission to provide liquidity, stability, and affordability to the U.S. housing market. We are regulated by FHFA, the SEC, HUD, and Treasury, and are currently operating under the conservatorship of FHFA. For more information on the roles of FHFA and Treasury, see Note 2 . Throughout our consolidated financial statements and related notes, we use certain acronyms and terms which are defined in the Gl o ssar y . Basis of Presentation The accompanying 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. During 2021, our chief operating decision maker began making decisions about allocating resources and assessing segment performance based on two reportable segments, Single-Family and Multifamily. See Note 15 for additional information on the change in our segment reporting presentation. Use of Estimates The preparation of our consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses, and disclosure of contingent assets and liabilities. Management has made significant estimates to report the allowance for credit losses on single-family mortgage loans. Actual results could be different from these estimates. Consolidation and Equity Method Accounting For each entity with which we are involved, we determine whether the entity should be consolidated in our financial statements. We consolidate entities in which we have a controlling financial interest. The method for determining whether a controlling financial interest exists varies depending on whether the entity is a VIE. For entities that are not VIEs, we hold a controlling financial interest in entities where we hold a majority of the voting rights or a majority of a limited partnership's kick-out rights through voting interests. We do not currently consolidate any entities which are not VIEs. We use the equity method to account for our interests in entities in which we do not have a controlling financial interest, but over which we have significant influence. Cash and Cash Equivalents Highly liquid investment securities that have an original maturity of three months or less are accounted for as cash equivalents. Original maturity means the original maturity to us when we acquire the investment, not the original maturity of the instrument itself. Cash collateral accepted from counterparties that we do not have the right to use for general corporate purposes is classified as restricted cash and cash equivalents on our consolidated balance sheets. Restricted cash and cash equivalents include cash remittances received from servicers of the underlying assets of our consolidated trusts which are deposited into a separate custodial account. We invest the cash held in the custodial account in short-term investments and are entitled to the interest income earned on these short-term investments, which is recorded as interest income on our consolidated statements of comprehensive income. Comprehensive Income Comprehensive income includes all changes in equity during a period, except those resulting from investments by, or distributions to, stockholders. We define comprehensive income as consisting of net income (loss) plus other comprehensive income (loss), which primarily consists of unrealized gains and losses on available-for-sale securities. Other Significant Accounting Policies The table below identifies our other significant accounting policies and the related note in which information about them can be found. Note Accounting Policy Note 3 Securitization Activities and Consolidation Note 4 Mortgage Loans Note 5 Guarantees and Other Off-Balance Sheet Credit Exposures Note 6 Allowance for Credit Losses Note 7 Investment Securities Note 8 Debt Note 9 Derivatives Note 10 Collateralized Agreements and Offsetting Arrangements Note 12 Stockholders' Equity Note 12 Earnings Per Share Note 14 Income Taxes Note 15 Segment Reporting Note 17 Fair Value Disclosures Recently Adopted Accounting Guidance Standard Description Date of Adoption Effect on Consolidated Financial Statements ASU 2020-06 , Debt-Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging-Contracts in Entity's Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity's Own Equity The amendments in this Update simplify an issuer's accounting for certain financial instruments with characteristics of liabilities and equity, primarily by eliminating many of the current separation models used to account for convertible debt and convertible preferred stock. January 1, 2021 The adoption of the amendments did not ASU 2020-08, Codification Improvements to Subtopic 310-20, Receivables-Nonrefundable Fees and Other Costs The amendments in this Update clarify the guidance for the reevaluation of whether a callable debt security's amortized cost basis exceeds the amount repayable by the issuer at the next call date. January 1, 2021 The adoption of the amendments did not have a material effect on our consolidated financial statements. Recently Issued Accounting Guidance, Not Yet Adopted Within Our Consolidated Financial Statements Standard Description Date of Planned Adoption Effect on Consolidated Financial Statements ASU 2021-04 , Earnings Per Share (Topic 260), Debt-Modifications and Extinguishments (Subtopic 470-50), Compensation-Stock Compensation (Topic 718), and Derivatives and Hedging-Contracts in Entity's Own Equity (Subtopic 815-40): Issuer's Accounting for Certain Modifications or Exchanges of Freestanding Equity-Classified Written Call Options The amendments in this Update require issuers to account for modifications or exchanges of freestanding equity-classified written call options based on the reason for the modification or exchange, to issue equity, to issue or modify debt, or for other reasons. January 1, 2022 The adoption of these amendments will not |
Conservatorship and Related Mat
Conservatorship and Related Matters | 12 Months Ended |
Dec. 31, 2021 | |
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 of Directors 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. Our current business objectives reflect direction we have received from the Conservator (including the Conservatorship Scorecards). At the direction of the Conservator, we have made changes to certain business practices that are designed to provide support for the mortgage market in a manner that serves our mission and other non-financial objectives but may not contribute to our profitability. Certain of these objectives are intended to help homeowners and the mortgage market and may help to mitigate future credit losses. Some of these initiatives affect our near- and long-term financial results. Given our mission and the important role the Administration and our Conservator have placed on Freddie Mac in addressing housing and mortgage market conditions, we may be required to take actions that could have a negative impact on our business, operating results, or financial condition. Under the Purchase Agreement, we cannot return capital to stockholders other than Treasury, the holder of our senior preferred stock. Our future is uncertain, and the conservatorship has no specified termination date. We do not know what changes may occur to our business model during or following conservatorship, including whether we will continue to exist. Our Conservator has not made us aware of any plans to make any significant changes that would affect our ability to continue as a going concern. Our future structure and role will be determined by the Administration, Congress, and FHFA. It is possible, and perhaps likely, that there will be significant changes to our business beyond the near term. Purchase Agreement and Warrant Overview On September 7, 2008, we, through FHFA, in its capacity as Conservator, entered into the Purchase Agreement with Treasury. The Purchase Agreement was subsequently amended and restated on September 26, 2008, and further amended on May 6, 2009, December 24, 2009, August 17, 2012, December 21, 2017, September 27, 2019, January 14, 2021, and September 14, 2021. The amount of available funding remaining under the Purchase Agreement was $140.2 billion as of December 31, 2021. This amount will be reduced by any future draws. The Purchase Agreement requires Treasury, upon the request of the Conservator, to provide funds to us after any quarter in which we have a negative net worth (that is, our total liabilities exceed our total assets, as reflected on our consolidated balance sheets). In addition, the Purchase Agreement requires Treasury, upon the request of the Conservator, to provide funds to us if the Conservator determines, at any time, that it will be mandated by law to appoint a receiver for us unless we receive these funds from Treasury. In exchange for Treasury's funding commitment, we issued to Treasury, as an aggregate initial commitment fee, one million shares of Variable Liquidation Preference Senior Preferred Stock (with an initial liquidation preference of $1 billion), which we refer to as the senior preferred stock, and a warrant to purchase, for a nominal price, shares of our common stock equal to 79.9% of the total number of shares of our common stock outstanding on a fully diluted basis at the time the warrant is exercised, which we refer to as the warrant. We received no cash proceeds or other consideration from Treasury for issuing the senior preferred stock or the warrant. The amount of any draw will be added to the aggregate liquidation preference of the senior preferred stock. Deficits in our net worth have made it necessary for us to make substantial draws on Treasury's funding commitment under the Purchase Agreement. Pursuant to the December 2017 Letter Agreement, the liquidation preference of the senior preferred stock increased by $3.0 billion on December 31, 2017. Pursuant to the September 2019 Letter Agreement and January 2021 Letter Agreement, increases in the Net Worth Amount, if any, during the immediately prior fiscal quarter have been, or will be, added to the liquidation preference of the senior preferred stock at the end of each fiscal quarter, from September 30, 2019 through the Capital Reserve End Date. As a result, the liquidation preference of the senior preferred stock increased from $95.0 billion on September 30, 2021 to $98.0 billion on December 31, 2021 based on the $2.9 billion increase in our Net Worth Amount during 3Q 2021 and will increase to $100.7 billion on March 31, 2022 based on the $2.7 billion increase in our Net Worth Amount during 4Q 2021. Under the Purchase Agreement, our ability to repay the liquidation preference of the senior preferred stock is limited, and we will not be able to do so for the foreseeable future, if at all. In addition to increases based on quarterly increases in our Net Worth Amount, as discussed above, the liquidation preference will increase if we receive additional draws under the Purchase Agreement or if any dividends or quarterly commitment fees payable under the Purchase Agreement are not paid in cash. 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 of Directors. Through December 31, 2012, the senior preferred stock accrued quarterly cumulative dividends at a rate of 10% per year. However, under the August 2012 amendment to the Purchase Agreement, the fixed dividend rate was replaced with a net worth sweep dividend beginning in the first quarter of 2013. We have had a net worth sweep dividend requirement to Treasury on the senior preferred stock since the first quarter of 2013, which was implemented pursuant to the August 2012 amendment to the Purchase Agreement. Our cash dividend requirement for each quarter from January 1, 2013 until the Capital Reserve End Date is 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. The term Net Worth Amount is defined as the total assets of Freddie Mac (excluding Treasury's commitment and any unfunded amounts thereof), less our total liabilities (excluding any obligation in respect of capital stock), in each case as reflected on our consolidated balance sheets prepared in accordance with GAAP. If the calculation of the dividend payment for a quarter does not exceed zero, then no dividend will accrue or be payable for that quarter. The applicable Capital Reserve Amount is currently the amount of adjusted total capital necessary to meet capital requirements and buffers set forth in the ERCF. This Capital Reserve Amount will remain in effect until the last day of the second consecutive fiscal quarter during which we have reached and maintained such level of capital (the Capital Reserve End Date). As a result, we will not be required to pay a dividend on the senior preferred stock to Treasury until we have built sufficient capital to meet the capital requirements and buffers set forth in the ERCF. If for any reason we were not to pay our dividend requirement on the senior preferred stock in full in any future period until the Capital Reserve End Date, the unpaid amount would be added to the liquidation preference and the applicable Capital Reserve Amount would thereafter be zero. After the Capital Reserve End Date, we will be subject to a new periodic cash dividend requirement. Our quarterly senior preferred stock dividend requirement will be an amount equal to the lesser of (1) 10% per annum on the then-current liquidation preference of the senior preferred stock and (2) a quarterly amount equal to the increase in the Net Worth Amount, if any, during the immediately prior fiscal quarter. If for any reason we were not to pay our dividend requirement on the senior preferred stock in full in any future period after the Capital Reserve End Date, the unpaid amount would be added to the liquidation preference and immediately following such failure and for all dividend periods thereafter until the dividend period following the date on which we shall have paid in cash full cumulative dividends, the dividend amount will be 12% per annum on the then-current liquidation preference of the senior preferred stock. The amounts payable for dividends on the senior preferred stock could be substantial and will have an adverse impact on our financial position and net worth. The senior preferred stock is senior in liquidation preference to our common stock and all other series of preferred stock. In addition to the issuance of the senior preferred stock and warrant, we are required under the Purchase Agreement to pay a quarterly commitment fee to Treasury. Under the Purchase Agreement, the fee was to be determined in an amount mutually agreed to by us and Treasury with reference to the market value of Treasury's funding commitment as then in effect. However, pursuant to the August 2012 amendment to the Purchase Agreement, as further amended by the January 2021 Letter Agreement, for each quarter commencing January 1, 2013, no periodic commitment fee under the Purchase Agreement will be set, accrue, or be payable. Pursuant to the January 2021 Letter Agreement, by the Capital Reserve End Date, we and Treasury, in consultation with the Chairman of the Federal Reserve, will mutually agree on a periodic commitment fee that we will pay for Treasury's remaining funding commitment with respect to the five-year period commencing on the first January 1 after the Capital Reserve End Date. The Purchase Agreement includes significant restrictions on our ability to manage our business, including limits on the amount of indebtedness we can incur, the size of our mortgage-related investments portfolio, our secondary market activities, and our single-family and multifamily loan acquisitions. The Purchase Agreement has an indefinite term and can terminate only in limited circumstances, which do not include the end of the conservatorship. The Purchase Agreement therefore could continue after the conservatorship ends. However, Treasury's consent is required for a termination of conservatorship other than in connection with receivership or under the limited circumstances specified in the Purchase Agreement involving maintenance of certain capital and resolution of currently pending material litigation related to our conservatorship and the Purchase Agreement. Treasury has the right to exercise the warrant, in whole or in part, at any time on or before September 7, 2028. Purchase Agreement Covenants The Purchase Agreement provides that, until the senior preferred stock is repaid or redeemed in full, we may not, without the prior written consent of Treasury: n Declare or pay any dividend (preferred or otherwise) or make any other distribution with respect to any Freddie Mac equity securities (other than with respect to the senior preferred stock or warrant); n Redeem, purchase, retire, or otherwise acquire any Freddie Mac equity securities (other than the senior preferred stock or warrant); n Sell or issue any Freddie Mac equity securities (other than the senior preferred stock, warrant, and common stock issuable upon exercise of the warrant and certain issuance(s) of common stock after the occurrence of both Treasury's exercise in full of its warrant to acquire 79.9% of our common stock and resolution of currently pending material litigation relating to our conservatorship and the Purchase Agreement); n Terminate the conservatorship (other than in connection with a receivership or under limited circumstances involving maintenance of certain capital levels and resolution of currently pending material litigation related to our conservatorship and the Purchase Agreement); n Sell, transfer, lease, or otherwise dispose of any assets, other than dispositions for fair market value: l To a limited life regulated entity (in the context of a receivership); l Of assets and properties in the ordinary course of business, consistent with past practice; l Of assets and properties having fair market value individually or in aggregate less than $250 million in one transaction or a series of related transactions; l In connection with our liquidation by a receiver; l Of cash or cash equivalents for cash or cash equivalents; or l To the extent necessary to comply with the covenant described below relating to the reduction of our mortgage-related investments portfolio; n Issue any subordinated debt; n Enter into a corporate reorganization, recapitalization, merger, acquisition, or similar event; or n Engage in transactions with affiliates unless the transaction is: l Pursuant to the Purchase Agreement, the senior preferred stock, or the warrant; l Upon arm's length terms; or l A transaction undertaken in the ordinary course or pursuant to a contractual obligation or customary employment arrangement in existence on the date of the Purchase Agreement. In addition, the Purchase Agreement requires us to comply with the ERCF as published in December 2020, disregarding any subsequent amendment or other modification to that rule. The Purchase Agreement also required us to reduce the UPB of the mortgage assets in our mortgage-related investments portfolio to a limit of $250 billion at December 31, 2018. The Purchase Agreement cap on our mortgage-related investments portfolio will be lowered to $225 billion on December 31, 2022. Since January 2021, the calculation of mortgage assets subject to the Purchase Agreement cap also includes 10% of the notional value of interest-only securities. Under the Purchase Agreement, we also may not, without the prior written consent of Treasury, incur indebtedness that would result in the par value of our aggregate indebtedness exceeding 120% of the amount of mortgage assets we are permitted to own on December 31 of the immediately preceding calendar year. Our debt cap under the Purchase Agreement is currently $300 billion and will decrease to $270 billion on January 1, 2023 as a result of the decrease in the mortgage assets limit under the Purchase Agreement to $225 billion on December 31, 2022. The mortgage asset and indebtedness limitations are determined without giving effect to the changes to the accounting guidance for transfers of financial assets and consolidation of VIEs, under which we consolidated certain VIEs in our consolidated financial statements as of January 1, 2010. In addition, the Purchase Agreement provides that we may not enter into any new compensation arrangements or increase amounts or benefits payable under existing compensation arrangements of any named executive officer or other executive officer (as such terms are defined by SEC rules) without the consent of the Director of FHFA, in consultation with the Secretary of the Treasury. The Purchase Agreement also provides that, on an annual basis, we are required to deliver a risk management plan to Treasury setting out our strategy for reducing our enterprise-wide risk profile and the actions we will take to reduce the financial and operational risk associated with each of our reportable business segments. The Purchase Agreement also restricts our secondary market activities and single-family and multifamily loan acquisitions: n Secondary Market Activities - We cannot vary the pricing or any other term of the acquisition of a single-family loan based on the size, charter type, or volume of business of the seller of the loan and are required to: l Offer to purchase loans for cash consideration and operate this cash window with non-discriminatory pricing; l Beginning on January 1, 2022, limit the volume purchased through the cash window to $1.5 billion per lender during any period comprising four calendar quarters; and l Comply with directives, regulations, restrictions, or other requirements prescribed by FHFA related to equitable secondary market access by community lenders. n Multifamily New Business Activity - We are required to cap multifamily loan purchases at $80 billion in any 52-week period, subject to annual adjustment by FHFA based on changes in the Consumer Price Index. At least 50% of our multifamily loan purchases in any calendar year must be, at the time of acquisition, classified as mission-driven pursuant to FHFA guidelines. n Single-Family Loan Acquisitions - We are required to limit our acquisition of certain single-family mortgage loans. l A maximum of 6% of purchase money mortgages and 3% of refinance mortgages over the preceding 52-week period can have two or more of the following characteristics at origination: combined LTV ratio greater than 90%; DTI ratio greater than 45%; and FICO or equivalent credit score less than 680. l We are required to limit acquisitions of single-family mortgage loans secured by either second homes or investment properties to 7% of the single-family mortgage loan acquisitions over the preceding 52-week period. l Subject to such exceptions as FHFA may prescribe to permit us to acquire single-family mortgage loans that are currently eligible for acquisition, we are required to implement by July 1, 2021 a program reasonably designed to ensure that each single-family mortgage is: – A qualified mortgage; – Expressly exempt from the CFPB’s ability-to-repay requirements; – Secured by an investment property, subject to the related Purchase Agreement restriction described below, which has been suspended; – A refinancing with streamlined underwriting for high LTV ratios; – A loan with temporary underwriting flexibilities due to exigent circumstances, as determined in consultation with FHFA; or – Secured by manufactured housing. In September 2021, the Purchase Agreement requirements related to the $1.5 billion limit on our cash window volumes and requirements related to our multifamily loan purchase activity, acquisitions of single-family loans with certain LTV, DTI, and credit score characteristics at origination, and acquisitions of single-family loans secured by second homes or investment properties were suspended. Each such suspension shall terminate on the later of September 14, 2022 and six months after Treasury notifies us. Warrant Covenants The warrant we issued to Treasury includes, among others, the following covenants: n Our SEC filings under the Exchange Act will comply in all material respects as to form with the Exchange Act and the rules and regulations thereunder; n Without the prior written consent of Treasury, we may not permit any of our significant subsidiaries to issue capital stock or equity securities, or securities convertible into or exchangeable for such securities, or any stock appreciation rights or other profit participation rights to any person other than Freddie Mac or its wholly-owned subsidiaries; n We may not take any action that will result in an increase in the par value of our common stock; n Unless waived or consented to in writing by Treasury, we may not take any action to avoid the observance or performance of the terms of the warrant and we must take all actions necessary or appropriate to protect Treasury's rights against impairment or dilution; and n We must provide Treasury with prior notice of specified actions relating to our common stock, such as setting a record date for a dividend payment, granting subscription or purchase rights, authorizing a recapitalization, reclassification, merger or similar transaction, commencing a liquidation of the company, or any other action that would trigger an adjustment in the exercise price or number or amount of shares subject to the warrant. Termination Provisions The Purchase Agreement provides that the Treasury's funding commitment will terminate under any of the following circumstances: n The completion of our liquidation and fulfillment of Treasury's obligations under its funding commitment at that time; n The payment in full of, or reasonable provision for, all of our liabilities (whether or not contingent, including mortgage guarantee obligations); and n The funding by Treasury of the maximum amount of the commitment under the Purchase Agreement. In addition, Treasury may terminate its funding commitment and declare the Purchase Agreement null and void if a court vacates, modifies, amends, conditions, enjoins, stays, or otherwise affects the appointment of the Conservator or otherwise curtails the Conservator's powers. Treasury may not terminate its funding commitment under the Purchase Agreement solely by reason of our being in conservatorship, receivership or other insolvency proceeding, or due to our financial condition or any adverse change in our financial condition. Waivers and Amendments The Purchase Agreement provides that most provisions of the agreement may be waived or amended by mutual written agreement of the parties; however, no waiver or amendment of the agreement is permitted that would decrease Treasury's aggregate funding commitment or add conditions to Treasury's funding commitment if the waiver or amendment would adversely affect in any material respect the holders of our debt securities or mortgage guarantee obligations. Third-Party Enforcement Rights In the event of our default on payments with respect to our debt securities or mortgage guarantee obligations, if Treasury fails to perform its obligations under its funding commitment and if we and/or the Conservator are not diligently pursuing remedies in respect of that failure, the holders of these debt securities or mortgage guarantee obligations may file a claim in the United States Court of Federal Claims for relief requiring Treasury to fund to us the lesser of: n The amount necessary to cure the payment defaults on our debt securities and mortgage guarantee obligations and n The lesser of: l The deficiency amount and l The maximum amount of the commitment less the aggregate amount of funding previously provided under the commitment. Any payment that Treasury makes under those circumstances will be treated for all purposes as a draw under the Purchase Agreement that will increase the liquidation preference of the senior preferred stock. Impact of Conservatorship and Related Developments on the Mortgage-Related Investments Portfolio In February 2019, FHFA directed us to maintain the 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 for purposes of the FHFA cap during 1Q 2020 as instructed by FHFA in November 2019. The size of this portfolio for purposes of the FHFA and Purchase Agreement caps was $123.5 billion at December 31, 2021, including $12.5 billion representing 10% of the notional amount of the interest-only securities we held as of December 31, 2021. Our ability to acquire and sell mortgage assets continues to be significantly constrained by limitations imposed by the Purchase Agreement and FHFA. With respect to the composition of our mortgage-related investments portfolio, FHFA has instructed us to: (1) reduce the amount of agency MBS we hold to no more than $50 billion by June 30, 2021 and no more than $20 billion by June 30, 2022, with all dollar caps to be based on UPB; and (2) reduce the UPB of our existing portfolio of collateralized mortgage obligations (CMOs), which are also sometimes referred to as REMICs, to zero by June 30, 2021. We will have a holding period limit to sell any new CMO tranches created but not sold at issuance. CMOs do not include tranches initially retained from reperforming loans senior subordinate securitization structures. Government Support for Our Business We receive substantial support from Treasury and are dependent upon its continued support in order 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, 2021, our assets exceeded our liabilities under GAAP. As a result, FHFA will not submit a draw request from Treasury on our behalf. Based on our Net Worth Amount at December 31, 2021 and the applicable Capital Reserve Amount, we will not have a dividend requirement to Treasury in March 2022. Since conservatorship began through December 31, 2021, we have paid cash dividends of $119.7 billion to Treasury at the direction of the Conservator. See Note 8 and Note 12 for more information on the conservatorship and the Purchase Agreement. Related Parties as a Result of Conservatorship As a result of our issuance to Treasury of the warrant to purchase shares of our common stock equal to 79.9% of the total number of shares of our common stock outstanding, on a fully diluted basis, we are deemed a related party to the U.S. government. During the years ended December 31, 2021, 2020, and 2019, no transactions outside of normal business activities have occurred between us and the U.S. government (or any of its related parties), except for the following: n The transactions with Treasury discussed above in Purchase Agreement and Warrant and Government Support for Our Business ; n The transactions entered into whereby we and Fannie Mae, in conjunction with Treasury, provided assistance to state and local HFAs. Treasury will reimburse Freddie Mac for initial guarantee losses on these transactions; n The transactions discussed in Note 4 and Note 12 ; n The allocation or transfer of 4.2 basis points of each dollar of new business purchases to certain housing funds as required under the GSE Act; and n The legislated 10 basis point fee on single-family loans that is remitted to Treasury as required by law. In addition, we are deemed a related party with Fannie Mae as both we and Fannie Mae have the same relationships with FHFA and Treasury. All transactions between us and Fannie Mae have occurred in the normal course of business in conservatorship. In October 2013, FHFA announced the formation of CSS. CSS is a limited liability company equally-owned by Freddie Mac and Fannie Mae, and CSS is also deemed a related party. In connection with the formation of CSS, we entered into a limited liability company (LLC) agreement with Fannie Mae. Additionally, we and Fannie Mae 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 2019. In June 2019, we entered into an agreement with Fannie Mae regarding the commingling of certain of our mortgage securities and related indemnification obligations. During the year ended December 31, 2021, we contributed $76 million of capital to CSS, and we have contributed $734 million since the fourth quarter of 2014. The carrying value of our investment in CSS was $8 million and $16 million as of December 31, 2021 and December 31, 2020, respectively, and was included in other assets on our consolidated balance sheets. In January 2020, FHFA directed Freddie Mac and Fannie Mae to amend the LLC agreement for CSS to change the structure of the Board of Managers (CSS Board). The revised LLC agreement also removed the requirement that any CSS Board decision must be approved by at least one of the CSS Board members appointed by Freddie Mac and one appointed by Fannie Mae. These amendments reduce Freddie Mac’s and Fannie Mae’s ability to control CSS Board decisions, even after conservatorship, including decisions about strategy, business operations, and funding. Under the revised CSS LLC agreement, the CSS Board will continue to include two Freddie Mac and two Fannie Mae representatives, and it will also include two additional members: the Chief Executive Officer of CSS and an independent, non-Executive Chair. During conservatorship, the CSS Board Chair shall be designated by FHFA, and all CSS Board decisions will require the affirmative vote of the Board Chair. During conservatorship, FHFA also may appoint up to three additional independent members to the CSS Board, who along with the Board Chair and the Chief Executive Officer of CSS may continue to serve on the CSS Board after conservatorship. FHFA appointed a CSS Board member to serve as Chair in January 2020, and FHFA subsequently appointed three additional CSS Board members, one in June 2020 and two in January 2021. In October 2021, FHFA announced that it had named a new interim CSS Board Chair and that the independent members FHFA previously appointed had left the CSS Board. If FHFA were to appoint three additional independent members to the CSS Board, the CSS Board members we and Fannie Mae appoint could be outvoted by non-GSE designated Board members on any matter during conservatorship and on a number of significant matters, including approval of the annual budget and strategic plan for CSS, if either we or Fannie Mae exits from conservatorship. Certain material post-conservatorship decisions, however, would require approval of at least one Board member designated by us and one designated by Fannie Mae, including those decisions involving a material change in CSS’s functionality, such as the addition of a new business line or reduction in CSS’s support of the UMBS, capital contributions beyond those necessary to support CSS’s ordinary business operations, appointment or removal of the Chief Executive Officer of CSS, and admission of new members. |
Securitization Activities and C
Securitization Activities and Consolidation | 12 Months Ended |
Dec. 31, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
SECURITIZATION ACTIVITIES AND CONSOLIDATION | Securitization Activities and Consolidation Our primary business activities in our Single-Family 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. See Note 5 for additional information on our guarantee activities. We also use trusts that are VIEs in certain credit risk transfer products. We consolidate VIEs when we have a controlling financial interest in the VIE and are therefore considered the primary beneficiary of the VIE. We are the primary beneficiary of a VIE when we have both the power to direct the activities of the VIE that most significantly impact its economic performance and exposure to losses or benefits of the VIE that could potentially be significant to the VIE. We evaluate whether we are the primary beneficiary of VIEs in which we have interests at both inception and on an ongoing basis, and the primary beneficiary determination may change over time as our interest in the VIE changes. We do not believe the maximum exposure to loss from our involvement with VIEs for which we are not the primary beneficiary discussed 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. Certain of our interest-rate risk-related guarantees to VIEs for which we are not the primary beneficiary may create exposure to loss that is unlimited. We account for these interest-rate risk-related guarantees at fair value as discussed further in Note 5 and generally reduce our exposure to these guarantees with unlimited interest rate exposure through separate derivative contracts with third parties. See Note 9 for additional information on derivatives. Securitization Activities Single-Family Level 1 Securitization Products Level 1 Securitization Products consist of UMBS, 55-day MBS, and PCs, which are all pass-through debt securities that represent undivided beneficial interests in a pool of loans held by a securitization trust. All Level 1 Securitization Products are backed only by mortgage loans we have acquired. We serve as both administrator and guarantor for these trusts. As administrator, we have the right to establish servicing terms and direct loss mitigation activities for the loans held by these trusts. As guarantor, we guarantee the payment of principal and interest on these securities in exchange for a guarantee fee, and we have the right to purchase delinquent loans from the trust to help improve the economic performance of the trust. We absorb all credit losses of these trusts through our guarantee of the principal and interest payments. The economic performance of these trusts is most significantly affected by the performance of the underlying loans. Our rights as administrator and guarantor provide us with the power to direct the activities that most significantly affect the performance of the underlying loans. We also have the obligation to absorb losses of these trusts that could potentially be significant through our guarantee of principal and interest payments. Accordingly, we concluded that we are the primary beneficiary of and therefore consolidate these trusts. Loans held by these trusts are recognized on our consolidated balance sheets as mortgage loans held-for-investment. The corresponding securities held by third parties are recognized on our consolidated balance sheets as debt. We extinguish the outstanding debt securities of the related consolidated trust and recognize gains or losses on debt extinguishment for the difference between the consideration paid and the debt carrying value when we purchase these securities as investments in our mortgage-related investments portfolio. Sales of these securities that were previously held as investments in our mortgage-related investments portfolio are accounted for as debt issuances. We no longer issue securities with a 45-day payment delay. As a result, we are offering an optional exchange program for security holders to exchange certain existing fixed-rate Gold PCs and Giant PCs for corresponding UMBS and other applicable 55-day payment delay Freddie Mac securities. We make a one-time payment to exchanging security holders for the value of the 10 additional days of payment delay based on float compensation rates we calculate. When existing PCs are exchanged for UMBS or 55-day MBS under our exchange program, we account for the exchange as a debt modification, as the terms of the securities are not substantially different and the exchange does not result in a change in the creditor. The float compensation we pay in conjunction with the exchange is deferred as a basis adjustment to the debt and amortized into interest expense over the remaining life of the debt. See Note 4 and Note 8 for additional information on loans and debt securities of consolidated trusts. At December 31, 2021 and December 31, 2020, we were the primary beneficiary of, and therefore consolidated, Level 1 securitization trusts with assets totaling $2.7 trillion and $2.3 trillion, respectively. During 2021 and 2020, we issued approximately $1.2 trillion and $1.1 trillion, respectively, of Level 1 Securitization Products. Our exposure for guarantees to consolidated securitization trusts is generally equal to the UPB of the loans recorded on our consolidated balance sheets. Resecuritization Products We create resecuritization products primarily by using Level 1 Securitization Products, our previously issued resecuritization products, or similar TBA-eligible products issued and guaranteed by Fannie Mae as the underlying collateral. In a typical resecuritization transaction, previously issued Level 1 Securitization Products or resecuritization products are transferred to a resecuritization trust that issues beneficial interests in the underlying collateral. We establish parameters that define eligibility standards for assets that may be used as collateral for each of our resecuritization programs. Resecuritization products can then be created based on the parameters that we have established. Similar to our Level 1 Securitization Products, we guarantee the full payment of principal and interest to the investors in our resecuritization products. The main types of resecuritization products we create are single-class resecuritization products (Supers, Giant MBS, and Giant PCs) and multiclass resecuritization products (REMICs and Strips). n Single-class resecuritization products - These securities are direct pass-throughs of the cash flows of the underlying collateral, which may be previously issued Level 1 Securitization Products, single-class resecuritization products, or similar TBA-eligible products issued and guaranteed by Fannie Mae. We do not consolidate these securities as their resecuritization does not result in any new or incremental risk to the holders of the securities issued by the resecuritization trust and because we are not exposed to any incremental rights to receive benefits or obligations to absorb losses that could be significant to the resecuritization trust. We account for purchases of single-class resecuritization products that we issue that are substantially the same as the underlying collateral as debt extinguishment of a pro-rata portion of the underlying Level 1 Securitization Product. We account for purchases of single-class resecuritization products that we issue that are not considered substantially the same as the underlying collateral as investments in debt securities. Single-class resecuritization products that we issue that are backed entirely by Freddie Mac collateral are considered substantially the same as the underlying collateral, while commingled single-class resecuritization products that we issue are not considered substantially the same as the underlying collateral. n Multiclass resecuritization products - These securities are multiclass resecuritizations of the cash flows of the underlying collateral, which may be previously issued Level 1 Securitization Products, single-class resecuritization products, multiclass resecuritization products, or similar TBA-eligible products issued and guaranteed by Fannie Mae. The activity that most significantly impacts the economic performance of our multiclass resecuritization trusts is typically the initial design and structuring of the trust. Substantially all multiclass resecuritization trusts are created as part of customer-driven transactions in which an investor or dealer participates in the decisions made during the design and establishment of the trust. As a result, we do not have the unilateral ability to direct the activities of our multiclass resecuritization trusts that most significantly impact the economic performance of those trusts. In addition, unless we retain a portion of the issued multiclass resecuritization products, we do not have the right to receive benefits or the obligation to absorb losses that could potentially be significant to the trusts because we have already provided a guarantee on the underlying assets. As a result, we have concluded that we are not the primary beneficiary of our multiclass resecuritization trusts and, therefore, do not consolidate those trusts. When we purchase a multiclass resecuritization product as an investment in our mortgage-related investments portfolio, we generally record the security as an investment in debt securities rather than extinguishment of debt since we are generally investing in the debt securities of a nonconsolidated entity. We do not consolidate multiclass resecuritization trusts in which we hold variable interests, as we are not deemed to be the primary beneficiary of the trusts, unless we have the unilateral ability to liquidate the trust. Similarly, sales of multiclass resecuritization products previously held as investments in our mortgage-related investments portfolio are accounted for as sales of investments in debt securities. See Note 7 for additional information on accounting for investments in debt securities. With the exception of commingled securities, our investments in and guarantees of securities issued by resecuritization trusts do not create any incremental exposure to loss because we already guarantee the underlying collateral. As a result, we do not receive any incremental guarantee fees in exchange for our guarantee, and, accordingly, we do not recognize any additional guarantee assets, guarantee obligations or reserves for guarantee losses related to resecuritization trusts. In a typical multiclass resecuritization, we receive a one-time transaction fee which represents compensation for both the structuring and creation of the securities and for our ongoing administrative responsibilities to service the securities. We recognize the portion of the transaction fee related to creation of the securities immediately in earnings. We defer the portion of the fee related to ongoing administrative responsibilities and amortize it over the life of the associated trust. When we issue commingled resecuritization products, our guarantee of the Fannie Mae securities used as collateral creates incremental exposure to loss because our guarantee covers timely payment of principal and interest on such products from underlying Fannie Mae securities. If Fannie Mae were to fail to make a payment on a Fannie Mae security that we resecuritized, we would be responsible for making the payment. However, we view the likelihood of being required to perform on our guarantee of Fannie Mae securities as remote due to Fannie Mae’s status as a GSE and the funding commitment available to it through its senior preferred stock purchase agreement with Treasury, and we do not charge an incremental guarantee fee to commingle Fannie Mae collateral in resecuritization transactions. The UPB of Fannie Mae securities underlying commingled Freddie Mac resecuritization trusts for which we are not the primary beneficiary totaled $110.8 billion and $85.3 billion as of December 31, 2021 and December 31, 2020, respectively. See Note 5 for additional information on our guarantee of Fannie Mae securities. Other Securitization Products We do not consolidate our Single-Family senior subordinate securitization structures backed by seasoned loans because we do not have the ability to direct the loss mitigation activities of the underlying loans, which is the most significant activity affecting the economic performance of the VIE. When we sell loans in this type of transaction, we derecognize the transferred loans and account for our guarantee to the nonconsolidated VIE. We account for our investments in the beneficial interests issued by the nonconsolidated VIE, if any, as investments in debt securities. During 2021 and 2020, we issued approximately $4.0 billion and $7.0 billion, respectively, of guaranteed securities in these securitization structures. The maximum exposure to loss for our Single-Family senior subordinate securitization structures for which we are not the primary beneficiary totaled $26.5 billion and $28.1 billion at December 31, 2021 and December 31, 2020, respectively, and represents the UPB of the beneficial interests that we have guaranteed. The total assets of these nonconsolidated VIEs totaled $32.3 billion and $33.7 billion at December 31, 2021 and December 31, 2020, respectively. We are the primary beneficiary of and, therefore, consolidate the trusts used to issue other types of our Single-Family other securitization products when we have the ability to direct the activities that most significantly affect the economic performance of the trusts and we have the obligation to absorb credit losses through our guarantee of some or all of the issued securities. As a result, we consolidated trusts used to issue these products with underlying assets totaling $6.1 billion and $11.2 billion at December 31, 2021 and December 31, 2020, respectively. We do not consolidate the trusts used to issue other types of our Single-Family other securitization products that do not meet these conditions. The maximum exposure to loss for these Single-Family securitizations for which we are not the primary beneficiary totaled $1.5 billion and $1.7 billion at December 31, 2021 and December 31, 2020, respectively. The total assets of these nonconsolidated VIEs, excluding certain nonfinancial assets held by the VIEs, totaled $1.3 billion and $1.8 billion at December 31, 2021 and December 31, 2020, respectively. Multifamily K Certificates In a K Certificate transaction, we sell multifamily loans to a non-Freddie Mac trust that issues senior, mezzanine, and subordinate securities, and simultaneously purchase and place the senior securities into a Freddie Mac trust that issues guaranteed K Certificates. In these transactions, we guarantee the senior securities issued by the non-Freddie Mac trust but do not issue or guarantee the mezzanine or subordinate securities. We receive a guarantee fee in exchange for our guarantee. In certain of our K Certificate securitizations, we may also serve as master servicer. However, in contrast to most single-family transactions, the rights to direct loss mitigation activities of the underlying loans and to purchase delinquent loans from the securitization trust are generally held by the investor in the most subordinate remaining securities issued by the non-Freddie Mac trust, and therefore we do not have any power to direct those activities unless we are the investor in the most subordinate remaining securities. We do not typically invest in the subordinate securities issued in our K Certificate transactions. The economic performance of our K Certificate trusts is most significantly affected by the performance of the underlying loans. We do not consolidate our K Certificate securitization trusts that have subordination because we do not have the ability to direct the loss mitigation activities of the underlying loans, which is the most significant activity affecting the economic performance of the VIE. When we sell loans in a K Certificate transaction, we derecognize the transferred loans and account for our guarantee to the nonconsolidated VIE. We account for our investments in the beneficial interests issued by the trusts used in our K Certificate transactions as investments in debt securities. During 2021 and 2020, we issued approximately $58.9 billion and $55.6 billion, respectively, of K Certificates. The maximum exposure to loss for our K Certificate securitizations for which we are not the primary beneficiary totaled $281.9 billion and $253.0 billion at December 31, 2021 and December 31, 2020, respectively, and primarily represents the UPB of the beneficial interests that we have guaranteed. The total assets of these nonconsolidated VIEs totaled $321.1 billion and $291.3 billion at December 31, 2021 and December 31, 2020, respectively. SB Certificates In a SB Certificate transaction, we securitize multifamily small balance loans using a non-Freddie Mac SB Certificate trust that issues senior classes of securities that we guarantee, as well as subordinated classes of securities that we do not guarantee. Similar to our K Certificate transactions, we are not the primary beneficiary of and, therefore, do not consolidate our SB Certificate trusts, as we do not have the ability to direct loss mitigation activities of the underlying loans, which is the most significant activity affecting the economic performance of the VIE. In a typical SB Certificate transaction, we sell loans to a SB Certificate trust, derecognize the transferred loans and account for our guarantee to the nonconsolidated SB Certificate trust. We account for our investments in the beneficial interests issued by nonconsolidated SB Certificate trusts as investments in debt securities. During 2021 and 2020, we issued approximately $4.5 billion and $4.4 billion, respectively, of SB Certificates. The maximum exposure to loss for our SB Certificate securitizations for which we are not the primary beneficiary totaled $22.4 billion and $21.5 billion at December 31, 2021 and December 31, 2020, respectively, and primarily represents the UPB of the beneficial interests that we have guaranteed. The total assets of these nonconsolidated VIEs totaled $24.9 billion and $23.9 billion at December 31, 2021 and December 31, 2020, respectively. WI K-Deal Certificates In a WI K-Deal Certificate transaction, we forward sell a K Certificate security that will be issued in the future to a WI K-Deal trust at a fixed price, thereby reducing our exposure to future changes in interest rates and K Certificate benchmark spreads. The WI K-Deal trust simultaneously issues guaranteed securities (WI Certificates). The economic performance of our WI K-Deal trusts is most significantly affected by the performance of the underlying assets. We manage the underlying assets of the trust prior to the delivery of the K Certificate and determine which K Certificate will be delivered into the trust. Therefore, we have the power to direct the activities that are most significant to the WI K-Deal trust. We also initially have economic exposure to the variability of the trust through our guarantee of the issued WI Certificates. As a result, we are the primary beneficiary of and, therefore, initially consolidate the trusts used to issue WI Certificates. We began issuing WI K-Deal Certificates in 2021 and issued approximately $2.0 billion of WI Certificates and initially consolidated the trusts. Upon delivering the K Certificate into the trust, we no longer have a variable interest and therefore deconsolidate the WI K-Deal trust. As of December 31, 2021, we continued to consolidate WI K-Deal trusts with underlying assets totaling $0.9 billion. Other Securitization Products We are the primary beneficiary of and, therefore, consolidate the trusts used to issue certain of our other securitization products because we have the ability to direct the activities that most significantly affect the economic performance of the trusts and we have the obligation to absorb credit losses through our guarantee of some or all of the issued securities. As a result, we consolidated trusts used in these other securitization products with underlying assets totaling $19.3 billion and $14.3 billion at December 31, 2021 and December 31, 2020, respectively. During 2021 and 2020, we issued approximately $7.0 billion and $6.0 billion, respectively, of other securitization products that we consolidated. We do not consolidate the trusts used to issue our other securitization products when we do not meet the above conditions. For those products, we account for our guarantee to the nonconsolidated VIE. During 2021 and 2020, we issued approximately $2.4 billion and $3.1 billion of these securities, respectively. The maximum exposure to loss for our other securitization products for which we are not the primary beneficiary totaled $14.8 billion and $14.9 billion at December 31, 2021 and December 31, 2020, respectively, and primarily represents the UPB of the beneficial interests that we have guaranteed. The total assets of these nonconsolidated VIEs totaled $16.7 billion and $16.9 billion at December 31, 2021 and December 31, 2020, respectively. CRT Activities Consolidated VIEs We consolidated the VIEs for which we are the primary beneficiary as discussed above. Our exposure on debt securities of consolidated trusts represents our liability to third parties that hold beneficial interests in our consolidated trusts. When we consolidate a VIE, we recognize the assets and liabilities of the VIE on our consolidated balance sheets and account for those assets and liabilities based on the applicable GAAP for each specific type of asset or liability. Assets and liabilities that we transfer to a VIE at, after or shortly before the date we become the primary beneficiary of the VIE are initially measured at the same amounts that they would have been measured if they had not been transferred, and no gain or loss is recognized on these transfers. For all other VIEs that we consolidate, we recognize the assets and liabilities of the VIE at fair value, and we recognize a gain or loss for the difference between: n The sum of the fair value of the consideration paid, the fair value of any noncontrolling interests, and the reported amount of any previously held interests and n The net fair value of the assets and liabilities recognized. Guarantees to consolidated VIEs are eliminated in consolidation and are therefore not separately recognized on our consolidated balance sheets. The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on our consolidated balance sheets. Table 3.1 - Consolidated VIEs (In millions) December 31, 2021 December 31, 2020 Consolidated Balance Sheet Line Item Assets: Cash and cash equivalents (includes $1,595 and $17,289 of restricted cash and cash equivalents) $1,596 $17,290 Securities purchased under agreements to resell 34,000 38,487 Investment securities, at fair value 420 591 Mortgage loans held-for-investment, net 2,784,626 2,273,347 Accrued interest receivable, net 7,019 7,134 Other assets 11,265 20,480 Total assets of consolidated VIEs $2,838,926 $2,357,329 Liabilities: Accrued interest payable $5,823 $5,610 Debt 2,803,054 2,308,176 Total liabilities of consolidated VIEs $2,808,877 $2,313,786 Nonconsolidated VIEs The following table presents the carrying amounts and classification of the assets and liabilities recorded on our consolidated balance sheets related to VIEs for which we are not the primary beneficiary and with which we were involved in the design and creation and have a significant continuing involvement. Our involvement with such VIEs primarily consists of investments in debt securities issued by resecuritization trusts and guarantees of senior securities issued by certain Multifamily securitization trusts. Table 3.2 - Nonconsolidated VIEs (In millions) December 31, 2021 December 31, 2020 Assets and Liabilities Recorded on our Consolidated Balance Sheets (1) Assets: Investment securities, at fair value $16,506 $28,459 Accrued interest receivable, net 220 239 Other assets (2) 5,589 5,614 Liabilities: Debt 67 — Other liabilities (3) 5,172 4,562 (1) Includes our variable interests in REMICs and Strips, K Certificates, SB Certificates, certain senior subordinate securitization structures, and other securitization products that we do not consolidate. (2) Primarily includes guarantee assets. |
Mortgage Loans
Mortgage Loans | 12 Months Ended |
Dec. 31, 2021 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
MORTGAGE LOANS | Mortgage Loans On January 1, 2020, we adopted CECL, which changed certain of our significant accounting policies for mortgage loans held-for-investment, as discussed further in the sections below. The table below provides details of the loans on our consolidated balance sheets. Table 4.1 - Mortgage Loans December 31, 2021 December 31, 2020 (In millions) Single-Family Multifamily Total Single-Family Multifamily Total Held-for-sale UPB $5,446 $14,871 $20,317 $10,702 $23,789 $34,491 Cost basis and fair value adjustments, net (813) 274 (539) (1,637) 798 (839) Total held-for-sale loans, net 4,633 15,145 19,778 9,065 24,587 33,652 Held-for-investment UPB 2,742,851 26,657 2,769,508 2,271,576 21,923 2,293,499 Cost basis adjustments 63,684 86 63,770 62,415 54 62,469 Allowance for credit losses (4,913) (34) (4,947) (5,628) (104) (5,732) Total held-for-investment loans, net 2,801,622 26,709 2,828,331 2,328,363 21,873 2,350,236 Total mortgage loans, net $2,806,255 $41,854 $2,848,109 $2,337,428 $46,460 $2,383,888 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 certain of our securitization activities or other mortgage-related guarantees. Upon acquisition, we classify a loan as either held-for-investment or held-for-sale. 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 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, fees we receive or pay when we acquire loans, commitment-related derivative basis adjustments, hedge accounting-related basis 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 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 determined on an individual loan basis on our 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 consolidated statements of comprehensive income, 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 consolidated statements of comprehensive income. 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)) on our consolidated statements of cash flows. Cash flows related to loans originally classified as held-for-sale are classified as operating activities on our consolidated statements of cash flows. Table 4.2 - Loans Purchased, Reclassified from Held-for-Investment to Held-for-Sale, and Sold Year Ended December 31, (In billions) 2021 2020 2019 Single-Family Purchases: Held-for-investment loans $1,215.3 $1,085.9 $451.2 Reclassified from held-for-investment to held-for-sale (1) 1.6 4.6 13.6 Sale of held-for-sale loans (2) 5.5 9.0 13.1 Multifamily Purchases: Held-for-investment loans 9.4 9.6 9.5 Held-for-sale loans 59.1 69.7 65.3 Reclassified from held-for-investment to held-for-sale (1) 2.6 2.7 1.9 Sale of held-for-sale loans (3) 70.4 66.7 71.3 (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 17 . (2) Our sales of single-family loans reflect the sale of single-family seasoned loans. (3) Our sales of multifamily loans occur primarily through the issuance of Multifamily K Certificates and SB Certificates. See Note 3 for more information on our K Certificates and SB Certificates. Reclassifications We reclassify loans from held-for-investment to held-for-sale depending on our 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 reclassified 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 reclassification. If the write-off amount exceeds the existing allowance for credit losses amount, an additional provision for credit losses is recognized. Any remaining allowance for credit losses after the write-off is reversed through benefit (provision) for credit losses. 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 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. Prior to adoption of CECL, when we reclassified a loan from held-for-investment to held-for-sale, we wrote off the entire difference between the loan's amortized cost basis and its fair value if the loan had a history of credit-related issues. If the write-off amount exceeded the existing allowance for credit losses amount, an additional provision for credit losses was recorded. Any declines in loan fair value after the date of reclassification were recognized as a valuation allowance, with an offset recorded to investment gains (losses), net. The table below presents the allowance for credit losses or valuation allowance that was reversed or established due to loan reclassifications between held-for-investment and held-for-sale during the periods presented. Table 4.3 - Loan Reclassifications 2021 2020 (In millions) UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed Single-Family reclassifications from: Held-for-investment to held-for-sale (1) $1,642 $66 $— $4,628 $300 $— Held-for-sale to held-for-investment (2) 266 18 — 1,721 147 34 Multifamily reclassifications from: Held-for-investment to held-for-sale 2,602 7 — 2,703 9 (6) Held-for-sale to held-for-investment 76 — — 775 (1) 4 (1) Prior to reclassification from held-for-investment to held-for-sale, we charged off $57 million against the allowance for credit losses during 2021 compared to $264 million during 2020. (2) Allowance for credit losses reversed upon reclassifications from held-for-sale to held-for-investment for loans that were previously charged off and the present values of expected future cash flows were in excess of the amortized cost basis upon reclassification. 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. For loans in active forbearance plans that were current prior to receiving forbearance, we continue to accrue interest income while the loan is in forbearance and is three or more monthly payments past due when we believe the available evidence indicates that collectability of principal and interest is reasonably assured based on management judgment, taking into consideration additional factors, the most important of which is current LTV ratio. When we accrue interest on loans that are three or more monthly payments past due, we measure an allowance for expected credit losses on unpaid accrued interest receivable balances such that the balance sheet reflects the net amount of interest we expect to collect. See Note 6 for additional information on the allowance for credit losses on accrued interest receivable and Note 13 for additional information on interest income on mortgage loans. The table below presents the amortized cost basis of non-accrual loans as of the beginning and the end of the periods presented, including the interest income recognized for the period that is related to the loans on non-accrual status as of the period end. Table 4.4 - Amortized Cost Basis of Held-for-Investment Loans on Non-accrual Non-accrual Amortized Cost Basis Interest Income Recognized (1) (In millions) January 1, 2021 December 31, 2021 Year Ended Single-Family: 20- and 30-year or more, amortizing fixed-rate $12,151 $17,013 $197 15-year amortizing fixed-rate 696 844 7 Adjustable-rate 193 233 1 Alt-A, interest-only, and option ARM 637 560 7 Total Single-Family 13,677 18,650 212 Total Multifamily — — — Total Single-Family and Multifamily $13,677 $18,650 $212 Non-accrual Amortized Cost Basis Interest Income Recognized (1) (In millions) January 1, 2020 December 31, 2020 Year Ended Single-Family: 20- and 30-year or more, amortizing fixed-rate $5,598 $12,151 $235 15-year amortizing fixed-rate 242 696 10 Adjustable-rate 91 193 3 Alt-A, interest-only, and option ARM 439 637 10 Total Single-Family 6,370 13,677 258 Total Multifamily 13 — — Total Single-Family and Multifamily $6,383 $13,677 $258 (1) Represents the amount of payments received during the period, including those received while the loans were on accrual status, for the held-for-investment loans on non-accrual status as of period end. The table below provides the amount of accrued interest receivable, net presented on our consolidated balance sheets and the amount of accrued interest receivable related to loans on non-accrual status at the end of the periods that is charged off. Table 4.5 - Accrued Interest Receivable, Net and Related Charge-offs Accrued Interest Receivable, Net Accrued Interest Receivable Related Charge-offs (In millions) December 31, 2021 December 31, 2020 Year Ended Year Ended Single-Family loans $7,065 $7,292 ($742) ($333) Multifamily loans 125 139 — — Credit Quality Single-Family The current LTV ratio is one key factor we consider when estimating our allowance for credit losses for single-family loans. As current LTV ratios increase, the borrower's equity in the home decreases, which may negatively affect the borrower's ability to refinance (outside of our relief refinance programs) or to sell the property for an amount at or above the balance of the outstanding loan. The tables below present the amortized cost basis of single-family held-for-investment loans by current LTV ratio. Our current LTV ratios are estimates based on available data through the end of each period presented. For reporting purposes: n 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 4.6 - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratio and Vintage December 31, 2021 Year of Origination Total (In millions) 2021 2020 2019 2018 2017 Prior Current LTV Ratio: 20- and 30-year or more, amortizing fixed-rate ≤ 60 $260,244 $397,680 $77,812 $39,143 $61,434 $405,467 $1,241,780 > 60 to 80 467,193 334,560 60,570 18,914 12,715 17,354 911,306 > 80 to 90 124,074 28,944 2,034 482 208 818 156,560 > 90 to 100 66,851 1,083 126 45 29 309 68,443 > 100 75 2 4 8 18 328 435 Total 20- and 30-year or more, amortizing fixed-rate 918,437 762,269 140,546 58,592 74,404 424,276 2,378,524 15-year amortizing fixed-rate ≤ 60 93,732 111,899 17,335 7,161 13,602 78,001 321,730 > 60 to 80 52,521 18,834 1,136 137 54 36 72,718 > 80 to 90 3,785 168 6 2 2 3 3,966 > 90 to 100 598 2 1 1 1 2 605 > 100 4 — — 1 1 3 9 Total 15-year amortizing fixed-rate 150,640 130,903 18,478 7,302 13,660 78,045 399,028 Adjustable-rate ≤ 60 2,054 1,554 727 543 1,657 10,011 16,546 > 60 to 80 2,435 535 209 90 190 151 3,610 > 80 to 90 417 16 6 3 4 2 448 > 90 to 100 116 — — — — 1 117 > 100 1 — — — — — 1 Total Adjustable-rate 5,023 2,105 942 636 1,851 10,165 20,722 Alt-A, Interest-only, and option ARM ≤ 60 — — — — — 7,506 7,506 > 60 to 80 — — — — — 644 644 > 80 to 90 — — — — — 64 64 > 90 to 100 — — — — — 29 29 > 100 — — — — — 18 18 Total Alt-A, Interest-only, and option ARM — — — — — 8,261 8,261 Total Single-Family loans $1,074,100 $895,277 $159,966 $66,530 $89,915 $520,747 $2,806,535 Total for all loan product types by Current LTV ratio: ≤ 60 $356,030 $511,133 $95,874 $46,847 $76,693 $500,985 $1,587,562 > 60 to 80 522,149 353,929 61,915 19,141 12,959 18,185 988,278 > 80 to 90 128,276 29,128 2,046 487 214 887 161,038 > 90 to 100 67,565 1,085 127 46 30 341 69,194 > 100 80 2 4 9 19 349 463 Total Single-Family loans $1,074,100 $895,277 $159,966 $66,530 $89,915 $520,747 $2,806,535 December 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 ≤ 60 $203,333 $52,820 $33,139 $64,834 $115,978 $431,406 $901,510 > 60 to 80 437,107 141,094 64,236 59,110 40,614 44,636 786,797 > 80 to 100 206,457 53,926 8,822 2,117 654 3,983 275,959 > 100 202 7 25 64 61 948 1,307 Total 20- and 30-year or more, amortizing fixed-rate 847,099 247,847 106,222 126,125 157,307 480,973 1,965,573 15-year amortizing fixed-rate ≤ 60 78,269 17,753 9,914 19,650 29,916 83,842 239,344 > 60 to 80 67,904 12,169 2,195 961 215 135 83,579 > 80 to 100 8,553 400 17 12 9 17 9,008 > 100 21 — 3 5 3 7 39 Total 15-year amortizing fixed-rate 154,747 30,322 12,129 20,628 30,143 84,001 331,970 Adjustable-rate ≤ 60 1,427 850 731 2,429 2,042 12,993 20,472 > 60 to 80 1,403 877 537 1,061 329 528 4,735 > 80 to 100 232 125 34 29 2 8 430 > 100 — — — — — 1 1 Total adjustable-rate 3,062 1,852 1,302 3,519 2,373 13,530 25,638 Alt-A, Interest-only, and option ARM ≤ 60 — — — — — 8,620 8,620 > 60 to 80 — — — — — 1,818 1,818 > 80 to 100 — — — — — 314 314 > 100 — — — — — 58 58 Total Alt-A, interest-only, and option ARM — — — — — 10,810 10,810 Total Single-Family loans $1,004,908 $280,021 $119,653 $150,272 $189,823 $589,314 $2,333,991 Total for all loan product types by Current LTV ratio: ≤ 60 $283,029 $71,423 $43,784 $86,913 $147,936 $536,861 $1,169,946 > 60 to 80 506,414 154,140 66,968 61,132 41,158 47,117 876,929 > 80 to 100 215,242 54,451 8,873 2,158 665 4,322 285,711 > 100 223 7 28 69 64 1,014 1,405 Total Single-Family loans $1,004,908 $280,021 $119,653 $150,272 $189,823 $589,314 $2,333,991 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 borrower's current financial strength and debt service capacity; n "Special mention" has administrative issues that may affect future repayment prospects but does not have current credit weaknesses. In addition, this category generally includes loans in forbearance; n "Substandard" has a weakness that jeopardizes the timely full repayment; and n "Doubtful" has a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions. Table 4.7 - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator and Vintage December 31, 2021 Year of Origination Total (In millions) 2021 2020 2019 2018 2017 Prior Revolving Loans Category: Pass $6,955 $7,116 $5,273 $979 $610 $2,795 $2,275 $26,003 Special mention — 40 372 — 3 42 — 457 Substandard — 62 171 4 2 44 — 283 Doubtful — — — — — — — — Total $6,955 $7,218 $5,816 $983 $615 $2,881 $2,275 $26,743 December 31, 2020 Year of Origination Total (In millions) 2020 2019 2018 2017 2016 Prior Revolving Loans Category: Pass $7,486 $6,491 $1,075 $722 $590 $2,715 $2,024 $21,103 Special mention — 524 115 — 8 108 — 755 Substandard — — 6 41 — 72 — 119 Doubtful — — — — — — — — Total $7,486 $7,015 $1,196 $763 $598 $2,895 $2,024 $21,977 Past Due Status The table below presents the amortized cost basis of our single-family and multifamily held-for-investment loans, by payment status. Pursuant to FHFA guidance and the CARES Act, we have offered mortgage relief options for borrowers affected by the COVID-19 pandemic. Among other things, we have offered forbearance to single-family and multifamily borrowers experiencing a financial hardship, either directly or indirectly, related to the COVID-19 pandemic. We report single-family loans in forbearance as past due during the forbearance period to the extent that payments are past due based on the loan's original contractual terms, irrespective of the forbearance plan, based on the information reported to us by our servicers. We report multifamily loans in forbearance as current as long as the borrower is in compliance with the forbearance agreement, including the agreed upon repayment plan, even if payments are past due based on the loan's original contractual terms. Table 4.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status December 31, 2021 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure (1) Total Three Months or More Past Due and Accruing Interest Non-accrual With No Allowance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate $2,338,076 $14,833 $3,214 $22,401 $2,378,524 $5,784 $857 15-year amortizing fixed-rate 396,030 1,550 230 1,218 399,028 392 13 Adjustable-rate 20,302 105 31 284 20,722 54 8 Alt-A, interest-only, and option ARM 7,450 175 58 578 8,261 41 94 Total Single-Family 2,761,858 16,663 3,533 24,481 2,806,535 6,271 972 Total Multifamily (3) 26,743 — — — 26,743 — — Total Single-Family and Multifamily $2,788,601 $16,663 $3,533 $24,481 $2,833,278 $6,271 $972 Referenced footnotes are included after the prior period table. December 31, 2020 (In millions) Current One Month Past Due Two Months Past Due Three Months or (1) Total Three Months or More Past Due and Accruing Interest Non-accrual With No Allowance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate $1,891,981 $15,798 $5,941 $51,853 $1,965,573 $40,162 $648 15-year amortizing fixed-rate 326,651 1,439 429 3,451 331,970 2,723 11 Adjustable-rate 24,483 192 79 884 25,638 690 5 Alt-A, interest-only, and option ARM 9,227 292 130 1,161 10,810 538 115 Total Single-Family 2,252,342 17,721 6,579 57,349 2,333,991 44,113 779 Total Multifamily (3) 21,977 — — — 21,977 — — Total Single-Family and Multifamily $2,274,319 $17,721 $6,579 $57,349 $2,355,968 $44,113 $779 (1) Includes $0.7 billion and $1.0 billion of loans that were in the process of foreclosure as of December 31, 2021 and December 31, 2020, respectively. (2) Loans with no allowance for loan losses primarily represent those loans that were previously charged-off and therefore the collateral value is sufficiently in excess of the amortized cost to result in recovery of the entire amortized cost basis if the property were foreclosed upon or otherwise subject to disposition. We exclude the amounts of allowance for credit losses on accrued interest receivable and advances of pre-foreclosure costs when determining whether a loan has an allowance for credit losses. At the instruction of FHFA, we purchase loans from trusts when they reach 24 months of delinquency, except for loans that meet certain criteria (e.g., permanently modified or foreclosure referral), which may be purchased sooner. Many delinquent loans are purchased from trusts before they reach 24 months of delinquency under one of the exceptions provided. We must obtain FHFA’s approval to implement changes to our policy to purchase loans from trusts. We implemented the 24-month policy on January 1, 2021. Prior to that time, in accordance with FHFA instruction, we generally purchased loans from trusts if they were delinquent for 120 days, subject to certain exceptions. When we purchase loans from the trust, we record an extinguishment of the corresponding portion of the debt securities of the consolidated trusts and we reclassify the loans from mortgage loans held-for-investment by consolidated trusts to mortgage loans held-for-investment by Freddie Mac. We purchased $4.2 billion and $5.6 billion in UPB of loans from consolidated trusts (or purchased delinquent loans associated with other mortgage-related guarantees) during the years ended December 31, 2021 and December 31, 2020, respectively. 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: n The requirements under U.S. GAAP for certain loan modifications that would otherwise be categorized as a TDR and n Any determination that such loan modifications would be considered a TDR, including the related impairment for accounting purposes. The relief provided by Section 4013 of the CARES Act has been extended by the Consolidated Appropriations Act, 2021. As a result, 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 January 1, 2022 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 the COVID-19 pandemic. Guidance issued by federal banking regulators and endorsed by the FASB staff has indicated that government-mandated modification or deferral programs related to the COVID-19 pandemic should not be accounted for as TDRs as the lender did not choose to grant a concession to the borrower. We have concluded that the forbearance programs we are offering under Section 4022 and Section 4023 of the CARES Act are government-mandated deferral programs related to the COVID-19 pandemic, and therefore we will not account for such modifications as TDRs. We recognize an allowance for credit losses on TDRs as discussed in Note 6. 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 consolidated statements of comprehensive income (loss). We report single-family loans with modifications that were classified as TDRs based on the original product categories of the loans before modifications. The tables below include loans that were reclassified from held-for-investment to held-for-sale after TDR modifications. The table below provides details of our single-family loan modifications that were classified as TDRs during the periods presented. Table 4.9 - Single-Family TDR Modification Metrics 2021 2020 2019 Percentage of single-family loan modifications that were classified as TDRs with: Interest rate reductions and related term extensions 13 % 15 % 9 % Principal forbearance and related interest rate reductions and term extensions 33 22 23 Average coupon interest rate reduction 0.4 % 0.3 % 0.1 % Average months of term extension 155 179 180 Substantially all of our completed single-family loan modifications classified as a TDR during 2021 resulted in a modified loan with a fixed interest rate. The table below presents the volume of single-family and multifamily loans that were newly classified as TDRs. 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 Year Ended December 31, 2021 2020 2019 (Dollars in millions) Number of Loans Post-TDR Amortized Cost Basis Number of Loans Post-TDR Number of Loans Post-TDR Single-Family (1)(2) : 20- and 30-year or more, amortizing fixed-rate 13,448 $2,368 22,471 $4,169 25,924 $4,331 15-year amortizing fixed-rate 1,620 167 2,584 283 3,018 296 Adjustable-rate 172 31 334 59 529 86 Alt-A, interest-only, and option ARM 508 65 1,300 204 1,523 219 Total Single-Family 15,748 2,631 26,689 4,715 30,994 4,932 Multifamily — — — — — — (1) The pre-TDR amortized cost basis for single-family loans initially classified as TDRs during the years ended December 31, 2021, December 31, 2020, and December 31, 2019 was $2.6 billion , $4.7 billion, and $4.9 billion, respectively. (2) Includes certain bankruptcy events and forbearance plans, repayment plans, payment deferral plans, and modification activities that do not qualify for the temporary relief related to TDRs provided by the CARES Act, based on servicer reporting at the time of the TDR event. 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. Table 4.11 - Payment Defaults of Completed TDR Modifications Year Ended December 31, 2021 2020 2019 (Dollars in millions) Number of Loans Post-TDR Amortized Cost Basis 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 3,044 $535 10,339 $1,869 13,428 $1,702 15-year amortizing fixed-rate 121 13 482 58 451 36 Adjustable-rate 30 5 130 19 132 15 Alt-A, interest-only, and option ARM 337 53 749 144 871 129 Total Single-Family 3,532 606 11,700 2,090 14,882 1,882 Multifamily — — — — — — In addition to modifications, loans may be classified as TDRs as a result of other loss mitigation activities (i.e., repayment plans, forbearance plans, payment deferral plans, or loans in modification trial periods). During the years ended December 31, 2021, December 31, 2020, and December 31, 2019, 2,790, 3,862, and 5,158, respectively, of such loans (with a post-TDR amortized cost basis of $0.4 billion, $0.6 billion, and $0.6 billion, respectively) experienced a payment default within a year after the loss mitigation activity occurred. |
Guarantees and Other Off-Balanc
Guarantees and Other Off-Balance Sheet Credit Exposures | 12 Months Ended |
Dec. 31, 2021 | |
Guarantees [Abstract] | |
GUARANTEES AND OTHER OFF-BALANCE SHEET CREDIT EXPOSURES | 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 upfront or 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. Guarantees to consolidated entities are eliminated in consolidation and therefore are not separately recognized on our consolidated balance sheets. The accounting treatment for guarantees provided to nonconsolidated entities or other third parties will depend on whether the guarantee contract qualifies as a financial guarantee. If the guarantee contract qualifies as a financial guarantee and exposes us to incremental credit risk, we will recognize both a guarantee obligation at fair value and the consideration we receive for providing the guarantee, which typically consists of a guarantee asset that represents the fair value of future guarantee fees. As a practical expedient, the measurement of the fair value of the guarantee obligation is set equal to the consideration we receive to provide the guarantee, and no gain or loss is recognized upon issuance of the guarantee. Subsequently, we recognize changes in the fair value of the guarantee asset in current period earnings and amortize the guarantee obligation into earnings as we are released from risk under the guarantee. We also recognize an allowance for expected credit losses over the contractual period in which we are exposed to credit risk. See Note 6 for additional information on our allowance for credit losses. If the guarantee contract provided to nonconsolidated entities does not qualify as a financial guarantee, that contract will generally be accounted for as a derivative instrument and measured at fair value with changes in fair value recognized immediately in earnings. Guarantee Activities Our principal guarantee activities include the following: Securitization Activity Guarantees For substantially all of our securitization transactions, we guarantee the principal and interest payments on some or all of the issued beneficial interests. Typically, these guarantees will cover the senior classes of beneficial interests issued by the securitization trust(s). Securitization activity guarantees provided to nonconsolidated trusts will generally qualify and be accounted for as financial guarantees. Our maximum exposure on these guarantees is generally limited to the UPB of the beneficial interests that we have guaranteed. Guarantees of Fannie Mae Securities We have the ability to commingle TBA-eligible Fannie Mae collateral in certain of our resecuritization products. We extend our guarantee of these products to cover principal and interest that are payable from the underlying Fannie Mae collateral. Because both Freddie Mac and Fannie Mae are under the common control of FHFA, and due to Fannie Mae’s status as a GSE and the funding commitment available to it through its senior preferred stock purchase agreement with Treasury, we view the likelihood of being required to perform on our guarantee of Fannie Mae collateral as remote and do not charge an incremental guarantee fee to include Fannie Mae securities in our resecuritization products. Thus, we do not record a guarantee obligation with respect to Fannie Mae securities backing Freddie Mac resecuritization products. Other Mortgage-Related Guarantees In certain circumstances, we provide a credit guarantee of mortgage-related assets held by third parties, in exchange for a guarantee fee, without securitizing those assets. These guarantees consist of the following: n Long-term standby commitments of single-family loans which obligate us to purchase the covered loans when they become seriously delinquent. Periodically, certain of our customers seek to terminate long-term standby commitments and simultaneously enter into guarantor swap transactions to obtain our securities backed by many of the same loans. During 2021 and 2020, we guaranteed $4.3 billion and $4.2 billion, respectively, of loans under new long-term standby commitments and n Guarantees of the timely payment of principal and interest for certain multifamily bonds, which primarily consist of multifamily housing revenue bonds that were issued by HFAs. During 2021 and 2020, we guaranteed $0.7 billion and $1.4 billion, respectively, of multifamily bonds. Our other mortgage-related guarantees will generally qualify and be accounted for as financial guarantees. Our maximum exposure on these guarantees is limited to the UPB of the mortgage-related assets that we have guaranteed. Other Guarantees Other guarantees that do not qualify as financial guarantees are generally accounted for as derivative instruments and measured at fair value. These guarantees primarily include: n Certain interest-rate guarantees related to our securitization activities that do not qualify as financial guarantees; n Certain market value guarantees, including written options and written swaptions; and n Guarantees of third-party derivative instruments. Other Indemnifications In connection with certain business transactions, we may provide indemnification to counterparties for claims arising out of breaches of certain obligations (e.g., those arising from representations and warranties) in contracts entered into in the normal course of business. Our assessment is that the risk of any material loss from such a claim for indemnification is remote and there are no significant probable and estimable losses associated with these contracts. In addition, we provided indemnification for litigation defense costs to certain former officers who are subject to ongoing litigation. See Note 18 for information on ongoing litigation. These indemnification obligations will generally be accounted for and qualify as financial guarantees. The recognized liabilities on our consolidated balance sheets related to indemnifications were not significant at both December 31, 2021 and December 31, 2020. The table below shows our maximum exposure, recognized liability, and maximum remaining term of our recognized guarantees to nonconsolidated VIEs and other third parties. This table does not include our unrecognized guarantees, such as guarantees to consolidated VIEs or to resecuritization trusts that do not expose us to incremental credit risk. 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. Table 5.1 - Financial Guarantees December 31, 2021 December 31, 2020 ( Dollars in millions , terms in years) Maximum (1) Recognized (2) Maximum Maximum (1) Recognized (2) Maximum Single-Family: Securitization activity guarantees $27,975 $398 39 $29,739 $401 39 Other mortgage-related guarantees 10,588 251 30 9,215 193 30 Total Single-Family $38,563 $649 $38,954 $594 Multifamily: Securitization activity guarantees $317,006 $4,663 38 $287,334 $4,031 39 Other mortgage-related guarantees 10,456 404 32 10,721 425 33 Total Multifamily $327,462 $5,067 $298,055 $4,456 Other guarantees $69,799 $1,652 30 $47,703 $794 30 Fannie Mae securities backing Freddie Mac resecuritization products 111,150 — 40 85,841 — 41 (1) The maximum exposure represents the contractual amounts that could be lost if counterparties or borrowers defaulted, without consideration of proceeds from related collateral liquidation and possible recoveries under credit enhancements. For other guarantees, this amount primarily represents the notional value or UPB of our interest-rate and market value guarantees and guarantees of third-party derivatives. For certain of our other guarantees, our exposure may be unlimited; however, we generally reduce our exposure through separate derivative contracts with third parties. (2) For securitization activity guarantees and other mortgage-related guarantees, this amount represents the guarantee obligation on our consolidated balance sheets and excludes our allowance for credit losses on off-balance sheet credit exposures. For other guarantees, 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 December 31, 2021 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure Total (1) Single-Family $38,964 $2,040 $692 $2,341 $44,037 Multifamily (2) 370,541 47 7 317 370,912 Total $409,505 $2,087 $699 $2,658 $414,949 December 31, 2020 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure Total (1) Single-Family $37,187 $2,204 $945 $3,922 $44,258 Multifamily (2) 339,614 87 62 557 340,320 Total $376,801 $2,291 $1,007 $4,479 $384,578 (1) Loan-level payment status is not available for certain guarantees totaling $0.4 billion and $0.7 billion as of December 31, 2021 and December 31, 2020, respectively, and therefore is not included in the tables above. (2) As of December 31, 2021 and December 31, 2020, includes $1.3 billion and $6.9 billion, respectively, of multifamily loans in forbearance that are reported as current. 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, liquidity guarantees, unfunded lending arrangements and other similar commitments. These agreements may require us to transfer cash before or upon settlement of our contractual obligation. We recognize an allowance for credit losses for those agreements not measured at fair value or otherwise recognized in the financial statements. The total notional value of off-balance sheet credit exposures was $14.5 billion and $15.4 billion at December 31, 2021 and December 31, 2020, respectively. See Note 6 for additional discussion of our allowance for credit losses on our off-balance sheet credit exposures. We also have certain multifamily purchase commitments totaling $6.2 billion and $5.5 billion at December 31, 2021 and December 31, 2020, respectively, that are excluded from the amounts above as they are not included in our allowance for credit losses. We have elected the fair value option for certain of these commitments. Credit Enhancements We obtain credit protection for most of our securitization activity guarantees through the creation of unguaranteed subordinated securities issued by nonconsolidated securitization trusts that absorb first losses prior to us having to perform on our guarantee of the senior securities. For our Multifamily guarantees, subordination is our principal credit enhancement. As of December 31, 2021 and December 31, 2020, our maximum coverage provided by subordination for our Multifamily guarantees in nonconsolidated VIEs was $43.9 billion and $42.8 billion, respectively. We also have other types of credit enhancements, primarily related to our Multifamily guarantees, in the form of collateral posting requirements, indemnification, pool insurance, bond insurance, recourse, and other similar arrangements. These credit enhancements, along with the proceeds received from the sale of the underlying mortgage collateral, are designed to recover all or a portion of the amounts paid under our financial guarantee contracts. For additional information on credit enhancements, see Note 6 and Note 11 . |
Allowance for Credit Losses
Allowance for Credit Losses | 12 Months Ended |
Dec. 31, 2021 | |
Credit Loss [Abstract] | |
Allowance for Credit Losses | Allowance for Credit LossesOn January 1, 2020, we adopted CECL. The general 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. The table below summarizes changes in our allowance for credit losses. Table 6.1 - Details of the Allowance for Credit Losses December 31, 2021 December 31, 2020 December 31, 2019 (In millions) Single-Family Multifamily Total Single-Family Multifamily Total Single-Family Multifamily Total Beginning balance (1) $6,353 $200 $6,553 $5,233 $68 $5,301 $6,176 $15 $6,191 Provision (benefit) for credit losses (919) (122) (1,041) 1,320 132 1,452 (749) 3 (746) Charge-offs (1,107) — (1,107) (592) — (592) (1,737) — (1,737) Recoveries collected 197 — 197 210 — 210 452 — 452 Other (2) 916 — 916 182 — 182 126 — 126 Ending balance $5,440 $78 $5,518 $6,353 $200 $6,553 $4,268 $18 $4,286 Components of the ending balance of the allowance for credit losses: Mortgage loans held-for-investment $4,913 $34 $4,947 $5,628 $104 $5,732 $4,222 $12 $4,234 Advances of pre-foreclosure costs 450 — 450 536 — 536 — — — Accrued interest receivable on mortgage loans 24 — 24 140 — 140 — — — Off-balance sheet credit exposures 53 44 97 49 96 145 46 6 52 Total $5,440 $78 $5,518 $6,353 $200 $6,553 $4,268 $18 $4,286 (1) Includes transition adjustments recognized upon the adoption of CECL on January 1, 2020. (2) Primarily includes capitalization of past due interest related to non-accrual loans that receive payment deferral plans and loan modifications. n 2021 vs. 2020 - A benefit for credit losses in 2021 compared to a provision for credit losses in 2020 driven by the following factors: l A reserve release due to reduced expected credit losses related to COVID-19 during 2021 as economic conditions improved. Our provision for credit losses increased during 2020 due to the increase in expected credit losses related to the economic effects of the pandemic. l This was partially offset by an increase in expected losses on new single-family loans due to growth in our Single-Family mortgage portfolio. We recognize expected credit losses at the time of loan acquisition. n 2020 vs. 2019 - A provision for credit losses in 2020 compared to a benefit for credit losses in 2019 driven by the following factors: l A provision for credit losses due to: – Increased expected credit losses related to COVID-19 - Our provision for credit losses increased due to the increase in expected credit losses related to the economic effects of the COVID-19 pandemic. – Portfolio growth - The expected losses on new single-family loans increased due to growth in our Single-Family mortgage portfolio. We recognize expected credit losses at the time of loan acquisition. l This was partially offset by a decrease in expected losses driven by growth in realized and forecasted house prices and declines in forecasted interest rates. In addition, charge-offs increased in 2021 compared to 2020 due to an increase in the number of loans we placed on non-accrual status. Charge-offs decreased in 2020 compared to 2019 due to a lower volume of transfers of single-family loans from held-for investment to held-for-sale. Allowance for Credit Losses Methodology Upon adoption of CECL on January 1, 2020, we began applying the below allowance for credit losses methodologies. We recognize changes in the allowance for credit losses through benefit (provision) for credit losses on our consolidated statements of comprehensive income (loss). Mortgage Loans Held-for-Investment Our allowance for credit losses on mortgage loans pertains to single-family and multifamily loans classified as held-for-investment for which we have not elected the fair value option. We measure the allowance for credit losses on a pooled 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 consolidated statements of comprehensive income (loss). Single-Family 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 term, adjusted for expectations of prepayments and TDRs we reasonably expect will occur. As a result, we do not revert to historical loss information for single-family loans. Cash flow estimates are discounted at the loan’s prepayment-adjusted effective interest rate, which is adjusted for projections in the underlying benchmark interest rate for adjustable-rate loans. We project cash flows we expect to collect using our historical experience, such as historical default rates and severity of loss, based on loan characteristics, such as current LTV ratios, delinquency status, geography, and borrowers' credit scores. These cash flow estimates are adjusted for current and future economic forecasts, such as current and forecasted interest rates and house price growth rates, and estimated recoveries from loss mitigation activities, attached credit enhancements, and disposition of collateral, less estimated disposition costs. Our estimate of expected credit losses is sensitive to changes in forecasted house price growth rates, which affect both the probability of default and severity of expected credit losses, and changes in forecasted interest rates, as declining (increasing) interest rates typically result in higher (lower) expected prepayments and a shorter (longer) estimated loan life, and therefore lower (higher) expected credit losses. Our forecast of house price growth rates leverages an internally based model and uses a nationwide house price growth forecast for the next three years. A Monte Carlo simulation generates many possible house price scenarios for up to 40 years for each metropolitan statistical area (MSA). These scenarios are used to estimate loan-level expected future cash flows and credit losses based on each loan’s individual characteristics. Our forecast of interest rates incorporates various interest rate scenarios over the remaining contractual life of the loan based on current interest rates and implied market volatilities. 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 determine 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. Attached credit enhancements are obtained contemporaneously with, and in contemplation of, the origination of a financial instrument, and effectively travel with the financial instrument upon sale. Attached credit enhancements include primary mortgage insurance, which provides us with loan-level protection up to a specified percentage. Expected recoveries from attached credit enhancements are considered in determining the allowance for loan losses as discussed above, resulting in a reduction in the recognized provision for credit losses by the amount of the expected recoveries. Subsequent to foreclosure and charge-off of the allowance for credit losses, we reclassify expected recoveries from attached credit enhancements that were previously offset against the allowance for credit losses as separate receivables. Multifamily 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 generally 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 nonrecourse 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 repayment of the loan is expected to be provided substantially through the operation or sale of the collateral, 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. Advances of Pre-foreclosure Costs 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. See Note 11 for additional information on advances of pre-foreclosure costs. Accrued Interest Receivable When we accrue interest on mortgage loans that are three or more monthly payments past due, we measure an allowance for expected credit losses on the unpaid accrued interest receivable balances such that the balance sheet reflects the net amount of accrued interest we expect to collect. For additional information on our policy for recognition of interest income on mortgage loans, see Note 4 . Off-Balance Sheet Credit Exposures We recognize 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 through 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 consolidated balance sheets, with changes recognized through benefit (provision) for credit losses on our 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. We obtain credit enhancements for certain of our guarantees through the creation of unguaranteed subordinated securities issued by nonconsolidated securitization trusts that absorb first losses prior to us having to perform on our guarantee of the senior securities. Expected recoveries from guarantee credit enhancements are considered when measuring the allowance for loan losses. Many of our guarantees have credit enhancement provided by subordination that exceeds the amount of expected credit losses. As a result, we recognize an allowance for credit losses on off-balance sheet credit exposures only if expected credit losses exceed the amount of subordination. 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. Freestanding Credit Enhancements Freestanding credit enhancements are entered into separately and apart from any other financial instruments or entered into in conjunction with some other transaction and are legally detachable and separately exercisable. Freestanding credit enhancements primarily include insurance/reinsurance transactions and STACR Trust notes transactions and are accounted for separately from the underlying mortgage loans or guarantees. Our allowance for credit losses does not consider expected recoveries from freestanding credit enhancements, which are recorded separately in other assets in our consolidated balance sheet. We recognize the payments we make to transfer credit risk under freestanding credit enhancements in credit enhancement expense in our consolidated statements of comprehensive income when they are incurred. We recognize expected recoveries from freestanding credit enhancements in other assets with an offsetting reduction to non-interest expense, 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 11 for additional information on credit enhancement assets. Prior Period Allowance for Credit Losses and Related Information Under the previous incurred loss impairment methodology that was effective prior to January 1, 2020, we assessed loan impairment on a collective basis unless we considered the loan to be impaired. We assessed loan impairment on an individual basis when, based on current information, it was probable that we would not receive all amounts due (including both principal and interest) in accordance with the contractual terms of the original loan agreement. Allowance for Loan Losses Determined on a Collective Basis Single-Family Loans Prior to our implementation of CECL on January 1, 2020, we estimated allowance for loan losses on homogeneous pools of single-family loans using a model that evaluated a variety of factors affecting collectability. We reviewed the outputs of this model by considering qualitative factors such as macroeconomic and other factors to see whether the model outputs were consistent with our expectations. Management adjustments were made as necessary to take into consideration external factors and current economic events that had occurred but that were not yet reflected in the factors used to derive the model outputs. Significant judgment was exercised in making these adjustments. The homogeneous pools of single-family loans were determined based on common underlying characteristics, including current LTV ratios, trends in house prices, loan product type, and geographic region. We rely upon third parties to service our loans. At loan delivery, the seller provides us with loan data, which includes characteristics and underwriting information. Each subsequent month, the servicers provide us with monthly loan-level servicing data, including delinquency and loss information. Our Single-Family allowance for loan losses default models produced estimates based on 12 months of loan-level performance data, which included a history of delinquency, foreclosures, foreclosure alternatives, and modifications. Our allowance for loan losses estimate included projections of: n Loss mitigation activities when a loss was incurred, including loan modifications for troubled borrowers and the incidence of redefault we had experienced on similar loans that had completed a loan modification and n Defaults we believed were likely to occur as a result of loss events that had occurred through the respective balance sheet date. We also considered macroeconomic and other factors that affect the quality of the loans underlying our portfolio, including regional housing trends, applicable house price indices, unemployment and employment dislocation trends, the effects of changes in government policies and programs, consumer credit statistics, and the extent of third-party insurance. Our Single-Family allowance for loan losses severity was based on actual REO dispositions, short sales, and third-party sales that incorporated the most recent: n Twelve months of sales experience realized on our distressed property dispositions and n Twelve months of pre-foreclosure expenses on our distressed properties, including REO, short sales, and third-party sales. Our Single-Family allowance for loan losses severity estimate also captured expectations about recoveries from the collateral and attached credit enhancements, such as primary mortgage insurance. We used historical trends in house prices in our Single-Family allowance for loan losses process, primarily through the use of current LTV ratios in our default models and through the use of recent house price sales experience in our severity estimate. However, we did not use a forecast of trends in house prices in our Single-Family allowance for loan losses process. For loans where foreclosure was probable, we measured impairment based upon an estimate of the fair value of the underlying collateral less estimated disposition costs. Our estimate also considered the effect of historical house price changes on borrower behavior. We applied proceeds from attached credit enhancements (e.g., primary mortgage insurance) entered into contemporaneously with, and in contemplation of, a guarantee or loan purchase transaction as a recovery of our recorded investment in a charged-off loan, up to the amount of loss recognized as a charge-off. Proceeds received in excess of our recorded investment in loans were recorded as a decrease to REO operations expense on our consolidated statements of comprehensive income. Multifamily Loans Multifamily loans evaluated collectively for impairment were aggregated into book year vintage portfolios. Potential impairment related to these portfolios was measured by benchmarking published historical commercial loan performance data to those vintages based upon available economic data related to multifamily real estate, including apartment vacancy and rental rates. Allowance for Loan Losses Determined on an Individual Basis We considered a loan to be impaired when, based on current information, it was probable that we would not receive all amounts due (including both principal and interest) in accordance with the contractual terms of the original loan agreement. Single-family loans individually evaluated for impairment included TDRs, as well as loans acquired under our financial guarantees with deteriorated credit quality prior to 2010. Impairment of a single-family loan having undergone a TDR was generally measured as the excess of our recorded investment in the loan over the present value of the expected future cash flows, discounted at the loan's effective interest rate. Our expectation of future cash flows incorporated, among other items, an estimated probability of default which was based on a number of market factors as well as the characteristics of the loan, such as past due status. If we determined that foreclosure on the underlying collateral was probable, we measured impairment based upon the fair value of the collateral, as reduced by estimated disposition costs and adjusted for estimated proceeds from primary mortgage insurance and similar sources. Multifamily loans individually evaluated for impairment included TDRs, loans three monthly payments or more past due, and loans that were impaired based on management judgment. Multifamily loans were generally measured individually for impairment based on the fair value of the underlying collateral, as reduced by estimated disposition costs. The table below presents the average recorded investment and interest income recognized for individually impaired loans. Table 6.2 - Individually Impaired Loans Year Ended December 31, 2019 (In millions) 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 $2,450 $262 $7 15-year amortizing fixed-rate 20 1 — Adjustable rate 200 11 — Alt-A, interest-only, and option ARM 891 66 1 Total with no allowance recorded 3,561 340 8 With an allowance recorded: (2) 20- and 30-year or more, amortizing fixed-rate 32,960 1,805 156 15-year amortizing fixed-rate 653 22 4 Adjustable rate 135 6 2 Alt-A, interest-only, and option ARM 3,917 226 20 Total with an allowance recorded 37,665 2,059 182 Combined Single-Family: 20- and 30-year or more, amortizing fixed-rate 35,410 2,067 163 15-year amortizing fixed-rate 673 23 4 Adjustable rate 335 17 2 Alt-A, interest-only, and option ARM 4,808 292 21 Total Single-Family 41,226 2,399 190 Multifamily: With no allowance recorded (1) 83 5 1 With an allowance recorded — — — Total Multifamily 83 5 1 Total Single-Family and Multifamily $41,309 $2,404 $191 (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. |
Investment Securities
Investment Securities | 12 Months Ended |
Dec. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
INVESTMENT 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) December 31, 2021 December 31, 2020 Trading securities $49,003 $44,458 Available-for-sale securities 4,012 15,367 Total fair value of investment securities $53,015 $59,825 We currently classify and account for our securities as either available-for-sale or trading. As of December 31, 2021 and December 31, 2020, we did not classify any securities as held-to-maturity, although we may elect to do so in the future. Securities classified as available-for-sale and trading are reported at fair value with changes in fair value included in AOCI, net of income taxes and investment gains (losses), net, respectively. See Note 17 for more information on how we determine the fair value of securities. We generally record purchases and sales of securities on the trade date when the related forward commitments are exempt from the accounting guidance for derivatives. Alternatively, we record purchases and sales of securities on the expected settlement date, with a corresponding derivative recorded on the trade date, when the related forward commitments are not exempt from the accounting guidance for derivatives. For most of our securities, interest income is recognized using the effective interest method, which considers the contractual terms of the security. Deferred items, including premiums, discounts, and other basis adjustments, are amortized into interest income over the contractual lives of the securities. For certain securities, interest income is recognized using the prospective effective interest method. We apply this method to securities that can contractually be prepaid or otherwise settled in such a way that we may not recover substantially all of our recorded investment. Under this method, we recognize as interest income, over the expected life of the securities, the excess of the cash flows expected to be collected over the securities' carrying value. We update our estimates of expected cash flows periodically and recognize changes in the calculated effective interest rate on a prospective basis. For securities classified as trading or available-for-sale, we classify the cash flows as investing activities because we hold these securities for investment purposes. In cases where the transfer of a security represents a secured borrowing, we classify the related cash flows as financing activities. Trading Securities The table below presents the estimated fair values for our securities classified as trading. Our non-mortgage-related securities primarily consist of investments in U.S. Treasury securities. Table 7.2 - Trading Securities (In millions) December 31, 2021 December 31, 2020 Mortgage-related securities $16,231 $17,505 Non-mortgage-related securities 32,772 26,953 Total fair value of trading securities $49,003 $44,458 For trading securities held at December 31, 2021, 2020, and 2019, we recorded net unrealized losses of $589 million, $296 million, and $8 million during 2021, 2020 and 2019, respectively. Available-for-Sale Securities At both December 31, 2021 and December 31, 2020, all available-for-sale securities were mortgage-related securities. The table below presents the amortized cost, gross unrealized gains and losses, and fair value for our securities classified as available-for-sale. Table 7.3 - Available-for-Sale Securities (In millions) Amortized Cost Basis Gross Unrealized Gross Unrealized Fair Accrued Interest Receivable December 31, 2021 $3,638 $376 ($2) $4,012 $10 December 31, 2020 14,344 1,027 (4) 15,367 40 The fair value of our available-for-sale securities held at December 31, 2021 scheduled to contractually mature after ten years was $1.6 billion, with an additional $1.5 billion scheduled to contractually mature after five years through ten years. The table below summarizes the gross realized gains and gross realized losses from the sale of available-for-sale securities. Table 7.4 - Gross Realized Gains and Gross Realized Losses from Sales of Available-for-Sale Securities Year Ended December 31, (In millions) 2021 2020 2019 Gross realized gains $540 $501 $219 Gross realized losses (60) (108) (49) Net realized gains $480 $393 $170 Non-Cash Investing and Financing Activities During the years ended December 31, 2021, December 31, 2020, and December 31, 2019, we recognized $34.8 billion, $30.8 billion, and $10.9 billion, respectively, of investments in 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 2021, we deconsolidated $1.1 billion in UPB of mortgage-related securities and debt securities of consolidated trusts where we were no longer deemed the primary beneficiary. |
Debt
Debt | 12 Months Ended |
Dec. 31, 2021 | |
Debt Disclosure [Abstract] | |
DEBT | Debt The table below summarizes the balances of total debt per our consolidated balance sheets. Table 8.1 - Total Debt December 31, (In millions) 2021 2020 Debt securities of consolidated trusts held by third parties $2,803,054 $2,308,176 Debt of Freddie Mac: Short-term debt — 4,955 Long-term debt 177,131 279,415 Total Debt of Freddie Mac 177,131 284,370 Total debt $2,980,185 $2,592,546 Debt securities that we issue are classified as either debt securities of consolidated trusts held by third parties or debt of Freddie Mac. We issue debt of Freddie Mac to fund our operations. Our debt is reported at amortized cost, with the exception of certain debt for which we elected the fair value option. Deferred items, including premiums, discounts, issuance costs, and hedge accounting-related basis adjustments, are reported as a component of total debt. These items are amortized and reported through interest expense using the effective interest method over the contractual life of the related indebtedness. Amortization of premiums, discounts, and issuance costs begins at the time of debt issuance. Amortization of hedge accounting-related basis adjustments begins upon the discontinuation of the related hedge relationship. A portion of our outstanding unsecured debt consists of credit-linked notes. The principal types of unsecured credit-linked debt are single-family STACR debt notes and multifamily SCR debt notes. For these unsecured debt issuances, we create a reference pool of mortgage assets (generally loans) to which we currently have credit risk exposure and an associated securitization-like structure with notional credit risk positions. To the extent a specified credit event occurs on the mortgage assets in the reference pool, the outstanding balance of our debt obligations is written down, thereby reducing our future principal and interest payment obligations, and the benefits are recognized as investment gains (losses), net on our consolidated statements of comprehensive income. We elected the fair value option on debt that contains embedded derivatives, including certain STACR and SCR debt notes, and certain other debt issuances. Changes in the fair value of these debt obligations are recorded in investment gains (losses), net, with any upfront costs and fees incurred or received in exchange for the issuance of the debt being recognized in earnings as incurred and not deferred. Related interest expense continues to be reported as interest expense based on the stated terms of the debt securities. For additional information on our election of the fair value option, see Note 17 . When we repurchase or call outstanding debt securities, we recognize the difference between the amount paid to redeem the debt security and the carrying value in earnings as a component of investment gains (losses), net. Contemporaneous transfers of cash between us and a creditor in connection with the issuance of a new debt security and satisfaction of an existing debt security are accounted for as either an extinguishment or a modification of an existing debt security. If the debt securities have substantially different terms, the transaction is accounted for as an extinguishment of the existing debt security. The issuance of a new debt security is recorded at fair value, fees paid to the creditor are expensed as incurred, and fees paid to third parties are deferred and amortized into interest expense over the life of the new debt security using the effective interest method. If the terms of the existing debt security and the new debt security are not substantially different, the transaction is accounted for as a modification of the existing debt. Fees paid to the creditor are deferred and amortized into interest expense over the life of the modified debt security using the effective interest method and fees paid to third parties are expensed as incurred. We also engage in dollar roll transactions whereby we enter into an agreement to sell and subsequently repurchase (or purchase and subsequently resell) agency securities. When these transactions involve securities issued by consolidated entities, they are treated as issuances and extinguishments of debt. Under the Purchase Agreement, without the prior written consent of Treasury, we may not incur indebtedness that would result in the par value of our aggregate indebtedness exceeding 120% of the amount of mortgage assets we are allowed to own on December 31 of the immediately preceding calendar year. Because of this debt limit, we may be restricted in the amount of debt we are allowed to issue to fund our operations. Under the Purchase Agreement, the amount of our "indebtedness" is determined without giving effect to the January 1, 2010 change in the accounting guidance related to transfers of financial assets and consolidation of VIEs. Therefore, "indebtedness" generally does not include debt securities of consolidated trusts held by third parties. We also cannot become liable for any subordinated indebtedness without the prior consent of Treasury. See Note 2 for information regarding restrictions on the amount of mortgage-related securities that we may own. Beginning January 1, 2019, our debt cap under the Purchase Agreement is $300 billion. Our debt cap under the Purchase Agreement will decrease to $270 billion on January 1, 2023 pursuant to the January 2021 Letter Agreement. As of December 31, 2021, our aggregate indebtedness for purposes of the debt cap was $181.7 billion. Our aggregate indebtedness primarily includes the par value of short- and long-term debt. Debt Securities of Consolidated Trusts Held By Third Parties Debt securities of consolidated trusts held by third parties represent our liability to third parties that hold beneficial interests in our consolidated securitization trusts. Debt securities of consolidated trusts held by third parties are subject to prepayment risk as their payments are based upon the performance of the underlying mortgage loans that may be prepaid by the related mortgage borrower at any time generally without penalty. 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 December 31, 2021 December 31, 2020 (Dollars in millions) Contractual Maturity UPB Carrying Amount (1) Weighted Average Coupon (2) Contractual Maturity UPB Carrying Amount (1) Weighted Average Coupon (2) Single-Family: 30-year or more, fixed-rate 2022 - 2061 $2,178,150 $2,235,903 2.63 % 2021 - 2060 $1,799,065 $1,855,438 3.07 % 20-year fixed-rate 2022 - 2042 129,193 132,410 2.40 2021 - 2041 97,520 100,498 2.84 15-year fixed-rate 2022 - 2037 379,805 388,893 2.14 2021 - 2036 303,142 310,612 2.46 Adjustable-rate 2022 - 2052 21,546 22,038 2.30 2021 - 2051 23,964 24,484 2.76 Interest-only 2026 - 2051 2,702 2,883 2.42 2026 - 2041 3,671 3,736 3.15 FHA/VA 2022 - 2051 822 838 3.61 2021 - 2050 752 769 4.04 Total Single-Family 2,712,218 2,782,965 2,228,114 2,295,537 Multifamily 2022 - 2051 19,838 20,089 2.17 2021 - 2050 12,488 12,639 2.43 Total debt securities of consolidated trusts held by third parties $2,732,056 $2,803,054 $2,240,602 $2,308,176 (1) Includes $1,094 million and $205 million at December 31, 2021 and December 31, 2020, respectively, of debt securities of consolidated trusts that represents the fair value of debt for which the fair value option has been elected. (2) The effective rate for debt securities of consolidated trusts held by third parties was 1.71% and 1.76% as of December 31, 2021 and December 31, 2020, respectively. Short-Term Debt Discount notes, Reference Bills securities, and medium-term notes are unsecured general corporate obligations. Discount notes and Reference Bills securities pay only principal at maturity. 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. Certain medium-term notes that have original maturities of one year or less are classified as short-term debt for purposes of this presentation. The table below summarizes the balances and effective interest rates for short-term debt. Table 8.3 - Short-Term Debt December 31, 2021 December 31, 2020 (Dollars in millions) Par Value Carrying Amount Weighted Average Effective Rate Par Value Carrying Amount Weighted Average Effective Rate Short-term debt: Discount notes and Reference Bills $— $— — % $11 $11 0.69 % Medium-term notes — — — 4,944 4,944 1.31 Securities sold under agreements to repurchase 7,333 7,333 (0.10) — — — Offsetting arrangements (1) (7,333) (7,333) — — Total short-term debt $— $— — % $4,955 $4,955 1.31 % (1) We offset payables related to securities sold under agreements to repurchase against receivables related to securities purchased under agreements to resell on our consolidated balance sheets, when such amounts meet the conditions for offsetting in the accounting guidance. Long-Term Debt The table below summarizes our long-term debt. Table 8.4 - Long-Term Debt December 31, 2021 December 31, 2020 (Dollars in millions) Contractual Maturity Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Contractual Maturity Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Long-term debt: Fixed-rate: Medium-term notes — callable 2022 - 2050 $68,411 $68,364 0.80 % 2021 - 2050 $122,967 $122,895 0.71 % Medium-term notes — non-callable 2022 - 2028 6,551 6,573 0.54 2021 - 2028 7,710 7,758 0.75 Reference Notes securities — non-callable 2022 - 2032 59,412 59,413 1.19 2021 - 2032 64,162 64,124 1.55 STACR and SCR debt notes 2031 - 2042 103 106 12.69 2031 - 2042 111 114 12.71 Variable-rate: Medium-term notes — callable 2022 - 2025 166 166 1.75 2021 - 2025 371 371 1.93 Medium-term notes — non-callable 2022 - 2026 33,090 33,087 0.23 2021 - 2026 68,838 68,824 0.63 STACR 2023 - 2042 9,036 8,875 4.13 2023 - 2042 12,377 12,228 4.10 Zero-coupon: Medium-term notes — non-callable 2022 - 2039 4,846 2,740 6.05 2021 - 2039 4,850 2,578 5.99 Other 2047 - 2051 — 74 0.45 2047 - 2050 — 57 0.49 Hedging-related basis adjustments N/A (2,267) N/A 466 Total long-term debt $181,615 $177,131 1.07 % $281,386 $279,415 1.09 % (1) Represents par value, net of associated discounts or premiums and issuance costs. Includes $1.4 billion and $2.4 billion at December 31, 2021 and December 31, 2020, respectively, of long term-debt that represents the fair value of debt for which the fair value option has been elected. (2) Based on carrying amount, excluding hedge-related basis adjustments. A portion of our long-term debt is callable. Callable debt gives us the option to redeem the debt security at par on one or more specified call dates or at any time on or after a specified call date. The table below summarizes the contractual maturities of long-term debt securities at December 31, 2021. Table 8.5 - Contractual Maturities of Long-Term Debt and Debt Securities (In millions) Amounts Annual Maturities Long-term debt (excluding STACR and SCR debt notes): 2022 $48,625 2023 38,688 2024 13,274 2025 35,436 2026 4,717 Thereafter 31,736 Debt securities of consolidated trusts held by third parties, STACR, and SCR debt notes (1) 2,741,195 Total 2,913,671 Net discounts, premiums, debt issuance costs, hedge-related, and other basis adjustments (2) 66,514 Total debt securities of consolidated trusts held by third parties, STACR, SCR and long-term debt $2,980,185 (1) Contractual maturities of these debt securities are not presented because they are subject to prepayment risk, as their payments are based upon the performance of a pool of mortgage assets that may be prepaid by the related mortgage borrower at any time generally without penalty. (2) Other basis adjustments primarily represent changes in fair value on debt where we have elected the fair value option. Non-Cash Investing and Financing Activities During the years ended December 31, 2020 and December 31, 2019, we issued $0.8 billion and $0.7 billion, respectively, of debt of Freddie Mac in exchange for cash collateral that was previously pledged by sellers. |
Derivatives
Derivatives | 12 Months Ended |
Dec. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVES | Derivatives Derivatives are reported at their fair value on our consolidated balance sheets. Changes in fair value and interest accruals on derivatives not in qualifying fair value hedge relationships are recorded as investment gains (losses), net on our consolidated statements of comprehensive income. Derivatives in a net asset position, including net derivative interest receivable or payable, are reported as derivative assets, net, which is included in other assets on our consolidated balance sheet. Similarly, derivatives in a net liability position, including net derivative interest receivable or payable, are reported as derivative liabilities, net, which is included in other liabilities on our consolidated balance sheet. We offset fair value amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral against fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting agreement. Non-cash collateral held is not recognized on our consolidated balance sheets as we do not obtain effective control over the collateral, and non-cash collateral posted is not de-recognized from our consolidated balance sheets as we do not relinquish effective control over the collateral. Therefore, non-cash collateral held or posted is not presented as an offset against derivative assets or derivative liabilities on our consolidated balance sheets. We evaluate whether financial instruments that we purchase or issue contain embedded derivatives. We generally elect to measure newly acquired or issued financial instruments that contain embedded derivatives at fair value, with changes in fair value recorded in earnings. On our consolidated statements of cash flows, cash flows related to the acquisition and termination of derivatives, other than forward commitments, are generally classified in investing activities. Cash flows related to forward commitments are classified within the section of the consolidated statements of cash flows in accordance with the cash flows of the financial instruments to which they relate. 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 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 credit 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 include 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-, SOFR-, and Treasury-based purchased options (including swaptions); and n LIBOR-, SOFR-, and Treasury-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, our derivative positions also include written options and commitments. Our written options primarily consist of call and put swaptions, which are sold to counterparties allowing them the option to enter into receive-fixed and pay-fixed interest rate swaps, respectively. We routinely enter into commitments to purchase and sell investments in securities, purchase and sell loans, and purchase and extinguish or issue debt securities of our consolidated trusts. Most of these commitments meet the definition of a derivative and therefore are subject to the accounting guidance for derivatives and hedging. Hedge Accounting We apply fair value hedge accounting to certain single-family mortgage loans where we hedge the changes in fair value of these loans attributable to the designated benchmark interest rate (i.e., LIBOR), using LIBOR-based interest-rate swaps. We also apply fair value hedge accounting to certain issuances of debt where we hedge the changes in fair value of the debt attributable to the designated benchmark interest rate (i.e., LIBOR), using LIBOR-based interest-rate swaps. Under the last-of-layer fair value hedge accounting strategy, we hedge the changes in fair value of a portion of a closed pool of single-family mortgage loans that is not expected to be affected by prepayments, defaults, and other events affecting the timing and amount of cash flows. As part of this strategy, we have also elected to measure the change in fair value of the hedged item on the basis of the benchmark rate component of the contractual coupon cash flows determined at the hedge inception and by assuming the hedged item has a term that reflects only the designated cash flows being hedged. We apply hedge accounting to qualifying hedge relationships. A qualifying hedge relationship exists when changes in the fair value of a derivative hedging instrument are expected to be highly effective in offsetting changes in the fair value of the hedged item attributable to the risk being hedged during the term of the hedge relationship. No amounts have been excluded from the assessment of hedge effectiveness. To assess hedge effectiveness, we use a statistical regression analysis. At inception of the hedge relationship, we prepare formal contemporaneous documentation of our risk management objective and strategies for undertaking the hedge. 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 consolidated statements of comprehensive income 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. Changes in the fair value of the hedged item attributable to the risk being hedged are recognized as a cumulative basis adjustment against the mortgage loans and debt. The cumulative basis adjustments are amortized to the same consolidated statements of comprehensive income line item used to present the changes in fair value of the hedged item using the effective interest method considering the contractual terms of the hedged item, with amortization beginning no later than the period in which hedge accounting was discontinued. Derivative Assets and Liabilities at Fair Value The table below presents the notional value and fair value of derivatives reported on our consolidated balance sheets. Table 9.1 - Derivative Assets and Liabilities at Fair Value December 31, 2021 December 31, 2020 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 risk management derivatives: Swaps $561,393 $1,748 ($3,319) $559,596 $2,639 ($7,091) Written options 34,861 — (1,597) 18,259 — (735) Purchased options (1) 137,873 3,585 — 169,995 5,265 — Futures 126,528 — — 181,702 — — Total interest-rate risk management derivatives 860,655 5,333 (4,916) 929,552 7,904 (7,826) Mortgage commitment derivatives: Forward contracts to purchase mortgage loans 7,582 15 (5) 37,122 183 — Forward contracts to purchase mortgage-related securities 16,605 26 (8) 45,185 203 — Forward contracts to sell mortgage-related securities 59,469 38 (73) 136,802 2 (759) Total mortgage commitment derivatives 83,656 79 (86) 219,109 388 (759) CRT-related derivatives 33,351 15 (37) 28,949 61 (47) Other 4,335 2 (21) 4,029 2 (16) Total derivatives not designated as hedges 981,997 5,429 (5,060) 1,181,639 8,355 (8,648) Designated as fair value hedges Interest-rate risk management derivatives: Swaps 154,819 37 (2,689) 180,686 224 (500) Total derivatives designated as fair value hedges 154,819 37 (2,689) 180,686 224 (500) Derivative interest receivable (payable) (2) 360 (413) 455 (523) Netting adjustments (3) (5,366) 7,880 (7,829) 8,717 Total derivative portfolio, net $1,136,816 $460 ($282) $1,362,325 $1,205 ($954) (1) Includes swaptions on credit indices with a notional or contractual amount of $9.4 billion and $16.8 billion at December 31, 2021 and December 31, 2020, respectively, and a fair value of $1.0 million and $9.0 million at December 31, 2021 and December 31, 2020, respectively. (2) Includes other derivative receivables and payables. (3) 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 consolidated statements of comprehensive income (loss) as investment gains (losses), net. Table 9.2 - Gains and Losses on Derivatives Year Ended December 31, (In millions) 2021 2020 2019 Not designated as hedges Interest-rate risk management derivatives: Swaps $2,851 ($1,627) ($3,085) Written options (77) (161) (235) Purchased options (982) 2,404 423 Futures 235 (2,442) (946) Total interest-rate risk management derivatives fair value gains (losses) 2,027 (1,826) (3,843) Mortgage commitment derivatives 713 (1,856) (452) CRT-related derivatives (41) 163 (1) Other 30 57 52 Total derivatives not designated as hedges fair value gains (losses) 2,729 (3,462) (4,244) Accrual of periodic cash settlements on swaps (1) (1,578) (1,576) (272) Total $1,151 ($5,038) ($4,516) (1) 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 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 Year Ended December 31, 2021 2020 2019 (In millions) Interest Income Interest Expense Interest Income Interest Expense Interest Income Interest Expense Total amounts of income and expense line items presented on our consolidated statements of comprehensive income in which the effects of fair value hedges are recorded: $61,527 ($43,947) $62,340 ($49,569) $72,895 ($61,047) Interest contracts on mortgage Gain or (loss) on fair value hedging relationships: Hedged items (457) — 5,071 — 4,569 — Derivatives designated as hedging instruments 529 — (4,836) — (4,309) — Interest accruals on hedging instruments (433) — (434) — (48) — Discontinued hedge related basis (1,884) — (2,840) — (446) — Interest contracts on debt: Gain or (loss) on fair value hedging relationships: Hedged Items — 2,698 — (49) — (1,038) Derivatives designated as hedging instruments — (2,895) — 11 — 1,231 Interest accruals on hedging instruments — 931 — 835 — (184) Discontinued hedge related basis adjustment — 55 — 60 — 63 The table below presents 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 December 31, 2021 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustment 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 $855,173 $2,774 $— $2,774 $— $— Debt (124,235) 2,267 — (30) — — December 31, 2020 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustment 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 $478,077 $5,117 ($318) $5,435 $220,301 $9,112 Debt (176,512) (466) — (38) — — |
Collateralized Agreements and O
Collateralized Agreements and Offsetting Arrangements | 12 Months Ended |
Dec. 31, 2021 | |
Offsetting [Abstract] | |
COLLATERALIZED AGREEMENTS AND OFFSETTING ARRANGEMENTS | Collateralized Agreements and Offsetting Arrangements Derivative Portfolio Our use of cleared derivatives, exchange-traded derivatives, and OTC derivatives exposes us to counterparty credit risk in the event our counterparties fail to meet their contractual obligations. We are required to post margin in connection with our derivatives transactions. The use of cleared and exchange-traded derivatives decreases our credit risk exposure to individual counterparties because a central counterparty is substituted for individual counterparties. OTC derivatives expose us to the credit risk of individual counterparties because transactions are executed and settled between us and each counterparty, exposing us to potential losses if a counterparty fails to meet its obligations. 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 for interest-rate swap and option-based derivatives. Master netting agreements provide for the netting of amounts receivable and payable from an individual counterparty, as well as posting of collateral in the form of cash, Treasury securities or agency mortgage-related or debt securities, or a combination of both by either the counterparty or us, depending on which party is in a liability position. Although it is our practice not to repledge assets held as collateral, these agreements may allow us or our counterparties to repledge all or a portion of the collateral. We have master netting agreements in place with all of our OTC derivative counterparties. On a daily basis, the market value of each counterparty's derivatives outstanding is calculated to determine the amount of our net credit exposure, which is equal to the market value of derivatives in a net gain position by counterparty after giving consideration to collateral posted. In the event a counterparty defaults on its obligations under the derivatives agreement and the default is not remedied in the manner prescribed in the agreement, we have the right under the agreement to sell the collateral. As a result, our use of master netting and collateral agreements reduces our exposure to our counterparties in the event of default. In the event that all of our counterparties for OTC interest-rate swaps and option-based derivatives were to have defaulted simultaneously on December 31, 2021, our maximum loss for accounting purposes after applying netting agreements and collateral on an individual counterparty basis would have been approximately $20 million. A significant majority of our net uncollateralized exposure to OTC derivative counterparties is concentrated with four counterparties, all of which were investment grade as of December 31, 2021. We regularly review the market value of securities pledged as collateral and derivative counterparty collateral posting thresholds, where applicable, in an effort to manage our exposure to losses. Regulations adopted by certain financial institution regulators (including FHFA) that became effective March 1, 2017 require posting of variation margin without the application of any thresholds for OTC derivative transactions executed after that date. However, for OTC derivative transactions executed before March 1, 2017 the amount of collateral we pledge to counterparties related to our derivative instruments is determined after giving consideration to our credit rating. The aggregate fair value of our OTC derivative instruments containing credit-risk related contingent features, netted by counterparty, that were in a liability position on December 31, 2021 was $2.0 billion for which we posted cash and non-cash collateral of $1.9 billion in the normal course of business. A reduction in our credit ratings may trigger additional collateral requirements related to these OTC derivative instruments. If a reduction in our credit ratings had triggered additional collateral requirements related to these OTC derivative instruments on December 31, 2021, the maximum additional collateral we would have been required to post to our counterparties would be $0.1 billion. Beginning in September 1, 2021, Freddie Mac is subject to new initial margin requirements for OTC derivative transactions. The new initial margin requirements did not have a significant impact on our collateral posting arrangements. Cleared and Exchange-Traded Derivatives The majority of our interest-rate swaps are subject to the central clearing requirement. Changes in the value of open exchange-traded contracts and cleared derivatives are settled daily via payments made through the clearinghouse. We net our exposure to cleared derivatives by clearinghouse and clearing member. 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 exposure on our forward purchase and sale commitments was $79 million and $388 million at December 31, 2021 and December 31, 2020, respectively. Many of our transactions involving forward purchase and sale commitments of mortgage-related securities utilize the 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). In the event a clearing member fails and causes losses to the MBSD/FICC clearing system, we could be subject to the loss of the margin that we have posted to the MBSD/FICC. Moreover, our exposure could exceed that amount, as members are generally required to cover losses caused by defaulting members on a pro rata basis. It is difficult to estimate our maximum exposure under these transactions, as this would require an assessment of transactions that we and other members of the MBSD/FICC may execute in the future. 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. We utilize the GSD/FICC as a clearinghouse to transact many of our trades involving securities purchased under agreements to resell, securities sold under agreements to repurchase, and other non-mortgage related securities. As a clearing member of GSD/FICC, we are required to post initial and variation margin payments and are exposed to the counterparty credit risk of GSD/FICC (including its clearing members). In the event a clearing member fails and causes losses to the GSD/FICC clearing system, we could be subject to the loss of the margin that we have posted to the GSD/FICC. Moreover, our exposure could exceed that amount, as members are generally required to cover losses caused by defaulting members on a pro rata basis. It is difficult to estimate our maximum exposure under these transactions, as this would require an assessment of transactions that we and other members of the GSD/FICC may execute in the future. 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 obligation to repurchase these securities at a later date. 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 the transferor does not relinquish effective control over the securities transferred. These agreements may allow our counterparties to repledge all or a portion of the collateral. Offsetting of Financial Assets and Liabilities When we receive cash collateral, we recognize the amount received along with a corresponding obligation to return the collateral. When we post cash collateral, we derecognize the amount posted and record a corresponding asset for our right to receive the return of the collateral. We generally do not recognize or derecognize collateral received or pledged in the form of securities as the transferor in such arrangements does not relinquish effective control over the securities transferred. See Note 9 for additional information on our consolidated balance sheets presentation of collateral related to derivatives transactions. At December 31, 2021 and December 31, 2020, 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. Table 10.1 - Offsetting and Collateral Information of Financial Assets and Liabilities December 31, 2021 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Gross Amount Not Offset in the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $5,670 ($4,437) ($963) $270 ($250) $20 Cleared and exchange-traded derivatives 60 (4) 38 94 — 94 Mortgage commitment derivatives 79 — — 79 — 79 Other 17 — — 17 — 17 Total derivatives 5,826 (4,441) (925) 460 (250) 210 Securities purchased under agreements to resell 78,536 (7,333) — 71,203 (71,203) — Total $84,362 ($11,774) ($925) $71,663 ($71,453) $210 Liabilities: Derivatives: OTC derivatives ($7,979) $4,437 $3,417 ($125) $— ($125) Cleared and exchange-traded derivatives (39) 4 22 (13) 13 — Mortgage commitment derivatives (86) — — (86) — (86) Other (58) — — (58) — (58) Total derivatives (8,162) 4,441 3,439 (282) 13 (269) Securities sold under agreements to repurchase (7,333) 7,333 — — — — Total ($15,495) $11,774 $3,439 ($282) $13 ($269) December 31, 2020 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Gross Amount Not Offset in the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $8,566 ($5,932) ($1,957) $677 ($648) $29 Cleared and exchange-traded derivatives 17 — 60 77 — 77 Mortgage commitment derivatives 388 — — 388 — 388 Other 63 — — 63 — 63 Total derivatives 9,034 (5,932) (1,897) 1,205 (648) 557 Securities purchased under agreements to resell 105,003 — — 105,003 (105,003) — Total $114,037 ($5,932) ($1,897) $106,208 ($105,651) $557 Liabilities: Derivatives: OTC derivatives ($8,812) $5,932 $2,759 ($121) $— ($121) Cleared and exchange-traded derivatives (37) — 26 (11) — (11) Mortgage commitment derivatives (759) — — (759) — (759) Other (63) — — (63) — (63) Total derivatives (9,671) 5,932 2,785 (954) — (954) Securities sold under agreements to repurchase — — — — — — Total ($9,671) $5,932 $2,785 ($954) $— ($954) (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 consolidated balance sheets. Collateral Pledged Collateral Pledged to Freddie Mac We have cash pledged to us as collateral primarily related to OTC derivative transactions. We had $1.2 billion and $2.8 billion pledged to us as collateral that was invested as part of our other investments portfolio as of December 31, 2021 and December 31, 2020, respectively. 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 December 31, 2021 and December 31, 2020, we had $32.7 billion and $85.8 billion, respectively, of securities pledged to us in these transactions. In addition, at both December 31, 2021 and December 31, 2020, we had $0.8 billion of securities pledged to us for transactions involving securities purchased under agreements to resell not executed with central clearing organizations that we had the right to repledge. Collateral Pledged by Freddie Mac For cash collateral related to commitments and securities purchased under agreements to resell transactions primarily with central clearing organizations, we posted less than $0.1 billion as of December 31, 2021 and $1.3 billion as of December 31, 2020. The table below summarizes 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 December 31, 2021 (In millions) Derivatives Securities Sold Under Agreements to Repurchase Other (2) Total Debt securities of consolidated trusts (1) $— $— $161 $161 Trading securities 1,542 7,333 1,115 9,990 Total securities pledged $1,542 $7,333 $1,276 $10,151 December 31, 2020 (In millions) Derivatives Securities Sold Under Agreements to Repurchase Other (2) Total Debt securities of consolidated trusts (1) $121 $— $345 $466 Trading securities 1,920 — 1,163 3,083 Total securities pledged $2,041 $— $1,508 $3,549 (1) Represents debt securities of consolidated trusts held by us in our mortgage-related investments portfolio which are recorded as a reduction to debt securities of consolidated trusts held by third parties on our consolidated balance sheets. (2) Includes other collateralized borrowings and collateral related to transactions with certain clearinghouses. The table below presents the underlying collateral pledged and the remaining contractual maturity of our gross obligations under securities sold under agreements to repurchase as of December 31, 2021. Table 10.3 - Underlying Collateral Pledged December 31, 2021 (In millions) Overnight and Continuous 30 days or Less After 30 days Through 90 days Greater Than Total U.S. Treasury securities and other $— $3,085 $4,248 $— $7,333 |
Other Assets and Other Liabilit
Other Assets and Other Liabilities | 12 Months Ended |
Dec. 31, 2021 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets and Other Liabilities | Other Assets and Other Liabilities The table below presents the components of other assets and other liabilities on our consolidated balance sheets. December 31, (In millions) 2021 2020 Other assets: Real estate owned, net $176 $198 Guarantee assets 5,919 5,509 Servicer receivables 11,571 20,926 Credit enhancement receivables 194 751 Advances of pre-foreclosure costs 974 1,372 Derivative assets, net 460 1,205 All other 10,127 10,538 Total other assets $29,421 $40,499 Other liabilities: Guarantee obligations $5,716 $5,050 Derivative liabilities, net 282 954 All other 5,102 6,242 Total other liabilities $11,100 $12,246 |
Stockholders' Equity and Earnin
Stockholders' Equity and Earnings per Share | 12 Months Ended |
Dec. 31, 2021 | |
Stockholders' Equity Note [Abstract] | |
STOCKHOLDERS' EQUITY AND EARNINGS PER SHARE | Stockholders' Equity and Earnings Per Share Senior Preferred Stock Pursuant to the Purchase Agreement described in Note 2 , we issued one million shares of senior preferred stock to Treasury on September 8, 2008, in partial consideration of Treasury's commitment to provide funds to us. Shares of the senior preferred stock have a par value of $1 and have a stated value and initial liquidation preference of $1 billion, or $1,000 per share. The liquidation preference of the senior preferred stock is subject to adjustment. Dividends that are not paid in cash for any dividend period will accrue and be added to the liquidation preference of the senior preferred stock. In addition, any amounts Treasury pays to us pursuant to its funding commitment under the Purchase Agreement and any quarterly commitment fees that are not paid in cash to Treasury nor waived by Treasury will be added to the liquidation preference of the senior preferred stock. The liquidation preference of the senior preferred stock also increased by $3.0 billion on December 31, 2017 pursuant to the December 2017 Letter Agreement. Pursuant to the September 2019 Letter Agreement and January 2021 Letter Agreement, increases in the Net Worth Amount, if any, during the immediately prior fiscal quarter have been, or will be, added to the liquidation preference of the senior preferred stock at the end of each fiscal quarter, from September 30, 2019 through the Capital Reserve End Date. During 3Q 2021, our Net Worth Amount increased by $2.9 billion. As a result, the liquidation preference of the senior preferred stock increased to $98.0 billion on December 31, 2021 and will increase to $100.7 billion on March 31, 2022 based on the $2.7 billion increase in our Net Worth Amount during 4Q 2021. As described below, we may make payments to reduce the liquidation preference of the senior preferred stock in limited circumstances. As discussed in Note 2 , the quarterly commitment fee has been suspended until the Capital Reserve End Date. By the Capital Reserve End Date, we and Treasury, in consultation with the Chairman of the Federal Reserve, will mutually agree on a periodic commitment fee we will pay for Treasury's remaining funding commitment with respect to the five-year period commencing on the first January 1 after the Capital Reserve End Date. 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 of Directors. The dividend is presented in the period in which it is determinable for the senior preferred stock, as a reduction to net income (loss) available to common stockholders and net income (loss) per common share. The dividend is declared and paid in the following period and recorded as a reduction to equity in the period declared. There were no cash dividends paid in 2021 or 2020. Dividends paid in cash during 2019 at the direction of the Conservator totaled $3.1 billion. See Note 2 for a discussion of our net worth sweep dividend. The senior preferred stock is senior to our common stock and all other outstanding series of our preferred stock, as well as any capital stock we issue in the future, as to both dividends and rights upon liquidation. The senior preferred stock provides that we may not, at any time, declare or pay dividends on, make distributions with respect to, redeem, purchase or acquire, or make a liquidation payment with respect to, any common stock or other securities ranking junior to the senior preferred stock unless: n Full cumulative dividends on the outstanding senior preferred stock (including any unpaid dividends added to the liquidation preference) have been declared and paid in cash and n All amounts required to be paid with the net proceeds of any issuance of capital stock for cash (as described below) have been paid in cash. Shares of the senior preferred stock are not convertible. Shares of the senior preferred stock have no general or special voting rights, other than those set forth in the certificate of designation for the senior preferred stock or otherwise required by law. The consent of holders of at least two-thirds of all outstanding shares of senior preferred stock is generally required to amend the terms of the senior preferred stock or to create any class or series of stock that ranks prior to or on parity with the senior preferred stock. We are not permitted to redeem the senior preferred stock prior to the termination of Treasury's funding commitment set forth in the Purchase Agreement; however, we are permitted to pay down the liquidation preference of the outstanding shares of senior preferred stock to the extent of accrued and unpaid dividends previously added to the liquidation preference and not previously paid down and quarterly commitment fees previously added to the liquidation preference and not previously paid down. Pursuant to the January 2021 Letter Agreement, we are permitted to issue common stock with aggregate gross proceeds of up to $70 billion after Treasury's exercise in full of its warrant to acquire 79.9% of our common stock and resolution of currently pending material litigation related to our conservatorship and the Purchase Agreement, and we are permitted to use the net proceeds of such issuance(s) to build capital. If we issue any other shares of capital stock for cash while the senior preferred stock is outstanding, the net proceeds of such issuances must be used to pay down the liquidation preference of the senior preferred stock; however, the liquidation preference of each share of senior preferred stock may not be paid down below $1,000 per share prior to the termination of Treasury's funding commitment. Following the termination of The table below provides a summary of our senior preferred stock outstanding at December 31, 2021. Table 12.1 - 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 Adjustments: 2008 1.00 1.00 $1.00 $1,000 $1,000 2017 — — — N/A 3,000 2019 — — — N/A 3,674 2020 — — — N/A 7,217 2021 — — — N/A 11,420 Total non-draw adjustments 1.00 1.00 1.00 26,311 Draw Adjustments: 2008 — — — N/A 13,800 2009 — — — N/A 36,900 2010 — — — N/A 12,500 2011 — — — N/A 7,971 2012 — — — N/A 165 2018 — — — N/A 312 Total draw adjustments — — — 71,648 Total senior preferred stock 1.00 1.00 $1.00 $97,959 No cash was received from Treasury under the Purchase Agreement in 2021 because we had positive net worth at December 31, 2020, March 31, 2021, June 30, 2021, and September 30, 2021 and, consequently, FHFA did not request a draw on our behalf in 2021. At December 31, 2021, our assets exceeded our liabilities under GAAP; therefore, no draw is being requested from Treasury under the Purchase Agreement. The aggregate liquidation preference of the senior preferred stock owned by Treasury was $98.0 billion as of December 31, 2021 and $86.5 billion as of December 31, 2020. Our quarterly senior preferred stock dividend requirement is currently 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. The applicable Capital Reserve Amount is currently the amount of adjusted total capital necessary to meet the capital requirements and buffers set forth in the ERCF. This Capital Reserve Amount will remain in effect until the last day of the second consecutive fiscal quarter during which we have reached and maintained such level of capital (the Capital Reserve End Date). As a result, we will not have a dividend requirement on the senior preferred stock until we have built sufficient capital to meet the capital requirements and buffers set forth in the ERCF. If, for any reason, we were not to pay our dividend requirement on the senior preferred stock in full in any future period until the Capital Reserve End Date, the unpaid amount would be added to the liquidation preference and the applicable Capital Reserve Amount would thereafter be zero. After the Capital Reserve End Date, our quarterly senior preferred stock dividend requirement will be an amount equal to the lesser of (1) 10% per annum on the then-current liquidation preference of the Senior Preferred Stock and (2) a quarterly amount equal to the increase in the Net Worth Amount, if any, during the immediately prior fiscal quarter. If for any reason we were not to pay our dividend requirement on the senior preferred stock in full in any future period after the Capital Reserve End Date, the unpaid amount would be added to the liquidation preference and immediately following such failure and for all dividend periods thereafter until the dividend period following the date on which we shall have paid in cash full cumulative dividends, the dividend amount will be 12% per annum on the then-current liquidation preference of the senior preferred stock. See Note 2 for additional information. Common Stock Warrant Pursuant to the Purchase Agreement described in Note 2 , on September 7, 2008, we issued a warrant to purchase common stock to Treasury, in partial consideration of Treasury's commitment to provide funds to us. The warrant may be exercised in whole or in part at any time on or before September 7, 2028, by delivery to us of a notice of exercise, payment of the exercise price of $0.00001 per share and the warrant. If the market price of one share of our common stock is greater than the exercise price, then, instead of paying the exercise price, Treasury may elect to receive shares equal to the value of the warrant (or portion thereof being canceled) pursuant to the formula specified in the warrant. Upon exercise of the warrant, Treasury may assign the right to receive the shares of common stock issuable upon exercise to any other person. We account for the warrant in permanent equity. At issuance on September 7, 2008, we recognized the warrant at fair value, and we do not recognize subsequent changes in fair value while the warrant remains classified in equity. We recorded an aggregate fair value of $2.3 billion for the warrant as a component of additional paid-in-capital. We derived the fair value of the warrant using a modified Black-Scholes model. If the warrant is exercised, the stated value of the common stock issued will be reclassified to common stock on our consolidated balance sheets. The warrant was determined to be in-substance non-voting common stock, because the warrant's exercise price of $0.00001 per share is considered non-substantive (compared to the market price of our common stock). As a result, the shares associated with the warrant are included in the computation of basic and diluted earnings (loss) per share. The weighted average shares of common stock outstanding for the years ended December 31, 2021, 2020, and 2019 included shares of common stock that would be issuable upon full exercise of the warrant issued to Treasury. Preferred Stock We have the option to redeem our preferred stock on specified dates, at their redemption price plus dividends accrued through the redemption date. However, without the consent of Treasury, we are restricted from making payments to purchase or redeem preferred stock as well as paying any preferred dividends, other than dividends on the senior preferred stock. All 24 classes of preferred stock are perpetual and non-cumulative, and carry no significant voting rights or rights to purchase additional Freddie Mac stock or securities. Costs incurred in connection with the issuance of preferred stock are charged to additional paid-in capital. The table below provides a summary of our preferred stock outstanding at their redemption values at December 31, 2021. Table 12.2 - Preferred Stock ( In millions , except redemption price per share) Issue Date Shares Authorized Shares Outstanding Total Par Value Redemption Price per Share Total Outstanding Balance Redeemable On or After OTCQB Symbol Preferred stock: 1996 Variable-rate (1) April 26, 1996 5.00 5.00 $5.00 $50.00 $250 June 30, 2001 FMCCI 5.81% October 27, 1997 3.00 3.00 3.00 50.00 150 October 27, 1998 (2) 5% March 23, 1998 8.00 8.00 8.00 50.00 400 March 31, 2003 FMCKK 1998 Variable-rate (3) September 23 and 29, 1998 4.40 4.40 4.40 50.00 220 September 30, 2003 FMCCG 5.10% September 23, 1998 8.00 8.00 8.00 50.00 400 September 30, 2003 FMCCH 5.30% October 28, 1998 4.00 4.00 4.00 50.00 200 October 30, 2000 (2) 5.10% March 19, 1999 3.00 3.00 3.00 50.00 150 March 31, 2004 (2) 5.79% July 21, 1999 5.00 5.00 5.00 50.00 250 June 30, 2009 FMCCK 1999 Variable-rate (4) November 5, 1999 5.75 5.75 5.75 50.00 287 December 31, 2004 FMCCL 2001 Variable-rate (5) January 26, 2001 6.50 6.50 6.50 50.00 325 March 31, 2003 FMCCM 2001 Variable-rate (6) March 23, 2001 4.60 4.60 4.60 50.00 230 March 31, 2003 FMCCN 5.81% March 23, 2001 3.45 3.45 3.45 50.00 173 March 31, 2011 FMCCO 6% May 30, 2001 3.45 3.45 3.45 50.00 173 June 30, 2006 FMCCP 2001 Variable-rate (7) May 30, 2001 4.02 4.02 4.02 50.00 201 June 30, 2003 FMCCJ 5.70% October 30, 2001 6.00 6.00 6.00 50.00 300 December 31, 2006 FMCKP 5.81% January 29, 2002 6.00 6.00 6.00 50.00 300 March 31, 2007 (2) 2006 Variable-rate (8) July 17, 2006 15.00 15.00 15.00 50.00 750 June 30, 2011 FMCCS 6.42% July 17, 2006 5.00 5.00 5.00 50.00 250 June 30, 2011 FMCCT 5.90% October 16, 2006 20.00 20.00 20.00 25.00 500 September 30, 2011 FMCKO 5.57% January 16, 2007 44.00 44.00 44.00 25.00 1,100 December 31, 2011 FMCKM 5.66% April 16, 2007 20.00 20.00 20.00 25.00 500 March 31, 2012 FMCKN 6.02% July 24, 2007 20.00 20.00 20.00 25.00 500 June 30, 2012 FMCKL 6.55% September 28, 2007 20.00 20.00 20.00 25.00 500 September 30, 2017 FMCKI 2007 Fixed-to-floating rate (9) December 4, 2007 240.00 240.00 240.00 25.00 6,000 December 31, 2012 FMCKJ Total, preferred stock 464.17 464.17 $464.17 $14,109 (1) Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 1% divided by 1.377, and is capped at 9.00%. (2) Issued through private placement. (3) Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 1% divided by 1.377, and is capped at 7.50%. (4) Dividend rate resets on January 1 every five years after January 1, 2005 based on a five-year Constant Maturity Treasury rate, and is capped at 11.00%. Optional redemption on December 31, 2004 and on December 31 every five years thereafter. (5) Dividend rate resets on April 1 every two years after April 1, 2003 based on the two-year Constant Maturity Treasury rate plus 0.10%, and is capped at 11.00%. Optional redemption on March 31, 2003 and on March 31 every two years thereafter. (6) Dividend rate resets on April 1 every year based on 12-month LIBOR minus 0.20%, and is capped at 11.00%. Optional redemption on March 31, 2003 and on March 31 every year thereafter. (7) Dividend rate resets on July 1 every two years after July 1, 2003 based on the two-year Constant Maturity Treasury rate plus 0.20%, and is capped at 11.00%. Optional redemption on June 30, 2003 and on June 30 every two years thereafter. (8) Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 0.50% but not less than 4.00% . (9) Dividend rate is set at an annual fixed rate of 8.375% from December 4, 2007 through December 31, 2012. For the period beginning on or after January 1, 2013, dividend rate resets quarterly and is equal to the higher of: (a) the sum of three-month LIBOR plus 4.16% per annum; or (b) 7.875% per annum. Optional redemption on December 31, 2012 and on December 31 every five years thereafter . Stock-Based Compensation Following the implementation of the conservatorship in September 2008, we suspended the operation of and/or ceased making grants under our stock-based compensation plans. Under the Purchase Agreement, we cannot issue any new options, rights to purchase, participations or other equity interests without Treasury's prior approval. We did not repurchase or issue any of our common shares or non-cumulative preferred stock during 2021 and 2020, except for issuances of treasury stock as reported on our consolidated statements of equity relating to stock-based compensation granted prior to conservatorship. Common stock delivered under these stock-based compensation plans consists of treasury stock or shares acquired in market transactions on behalf of the participants. During 2021, the deferral period lapsed on 351 RSUs. At December 31, 2021, no RSUs remained outstanding. In addition, there were 41,160 shares of restricted stock outstanding at both December 31, 2021 and December 31, 2020, respectively. At December 31, 2021, no stock options were outstanding. Earnings Per Share During 2021, 2020, and 2019, we had participating securities related to RSUs with dividend equivalent rights that received dividends as declared on an equal basis with common shares but were not obligated to participate in undistributed net losses. These participating securities consisted of vested RSUs that earned 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. Our diluted earnings per common share is the same as our basic earnings per common share because we had no common equivalent shares outstanding during the periods presented which could have had a dilutive or antidilutive effect. Dividends and Dividend Restrictions No common dividends were declared in 2021, 2020, and 2019. No dividends were paid during 2021 and 2020 on the senior preferred stock as a result of the increase in the applicable Capital Reserve Amount pursuant to the September 2019 and January 2021 Letter Agreements. In 2019, we paid dividends of $3.1 billion in cash on the senior preferred stock at the direction of our Conservator. We did not declare or pay dividends on any other series of Freddie Mac preferred stock outstanding during 2021. Our payment of dividends is subject to the following restrictions: n Restrictions Relating to the Conservatorship - The Conservator has prohibited us from paying any dividends on our common stock or on any series of our preferred stock (other than the senior preferred stock). FHFA has instructed our Board of Directors that it should consult with and obtain the approval of FHFA before taking actions involving dividends. In addition, FHFA has adopted a regulation prohibiting us from making capital distributions during conservatorship, except as authorized by the Director of FHFA. n Restrictions Under the Purchase Agreement - The Purchase Agreement prohibits us and any of our subsidiaries from declaring or paying any dividends on Freddie Mac equity securities (other than with respect to the senior preferred stock or warrant) without the prior written consent of Treasury. n Restrictions Under the GSE Act - Under the GSE Act, FHFA has authority to prohibit capital distributions, including payment of dividends, if we fail to meet applicable capital requirements. However, our capital requirements have been suspended during conservatorship. n Restrictions Under our Charter - Without regard to our capital classification, we must obtain prior written approval of FHFA to make any capital distribution that would decrease total capital to an amount less than the risk-based capital level or that would decrease core capital to an amount less than the minimum capital level. As noted above, our capital requirements have been suspended during conservatorship. n Restrictions Relating to Preferred Stock - Payment of dividends on our common stock is also subject to the prior payment of dividends on our 24 series of preferred stock and one series of senior preferred stock, representing an aggregate of 464,170,000 shares and 1,000,000 shares outstanding, respectively, as of December 31, 2021. Payment of dividends on all outstanding preferred stock, other than the senior preferred stock, is subject to the prior payment of dividends on the senior preferred stock. Delisting of Common Stock and Preferred Stock from NYSE On July 8, 2010, we delisted our common stock and 20 previously listed classes of preferred stock from the NYSE as directed by our Conservator. Our common stock and the classes of preferred stock that were previously listed on the NYSE are traded exclusively in the OTCQB Marketplace. Shares of our common stock now trade under the ticker symbol FMCC . We expect that our common stock and the previously listed classes of preferred stock will continue to trade in the OTCQB Marketplace so long as market makers demonstrate an interest in trading the common and preferred stock. |
Net Interest Income
Net Interest Income | 12 Months Ended |
Dec. 31, 2021 | |
Components of Net Interest Income [Abstract] | |
Net Interest Income | Net Interest Income The table below presents the components of net interest income per our consolidated statements of comprehensive income (loss). Table 13.1 - Components of Net Interest Income Year Ended December 31, (In millions) 2021 2020 2019 Interest income Mortgage loans $59,130 $59,290 $68,583 Investment securities 2,261 2,581 2,737 Other 136 469 1,575 Total interest income 61,527 62,340 72,895 Interest expense Debt securities of consolidated trusts held by third parties (42,209) (46,281) (53,980) Debt of Freddie Mac: Short-term debt — (606) (1,910) Long-term debt (1,738) (2,682) (5,157) Total interest expense (43,947) (49,569) (61,047) Net interest income 17,580 12,771 11,848 Benefit (provision) for credit losses 1,041 (1,452) 746 Net interest income after benefit (provision) for credit losses $18,621 $11,319 $12,594 |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2021 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | Income Taxes Income Tax Expense Total income tax expense includes: n Current income tax expense, which represents the amount of federal tax currently payable to or receivable from the Internal Revenue Service, including interest and penalties and amounts accrued for unrecognized tax benefits, if any, and n Deferred income tax expense, which represents the net change in the deferred tax asset or liability balance during the year, including any change in the valuation allowance. The table below presents the components of our federal income tax expense for the past three years. We are exempt from state and local income taxes. Table 14.1 - Federal Income Tax Expense Year Ended December 31, (In millions) 2021 2020 2019 Current income tax (expense) benefit ($2,617) ($2,493) ($1,018) Deferred income tax (expense) benefit (473) 590 (817) Total income tax (expense) benefit ($3,090) ($1,903) ($1,835) The table below presents the reconciliation between our federal statutory income tax rate and our effective tax rate for the past three years. Table 14.2 - Reconciliation of Federal Statutory Income Tax Rate to Effective Tax Rate Year Ended December 31, 2021 2020 2019 (Dollars in millions) Amount Percent Amount Percent Amount Percent Statutory corporate tax rate ($3,192) 21.0 % ($1,938) 21.0 % ($1,900) 21.0 % Tax-exempt interest 20 (0.2) 25 (0.3) 18 (0.2) Tax credits 133 (0.9) 55 (0.6) 48 (0.5) Valuation allowance (11) 0.1 (4) 0.1 9 (0.1) Other (40) 0.3 (41) 0.4 (10) 0.1 Effective tax rate ($3,090) 20.3 % ($1,903) 20.6 % ($1,835) 20.3 % Deferred Tax Assets, Net We use the asset and liability method of accounting for income taxes for financial reporting purposes. Under this method, deferred tax assets and liabilities are recognized based upon the expected future tax consequences of existing temporary differences between the financial reporting and the tax reporting basis of assets and liabilities using enacted statutory tax rates as well as tax net operating loss and tax credit carryforwards, if any. To the extent tax laws change, deferred tax assets and liabilities are adjusted in the period that the tax change is enacted. The realization of our net deferred tax assets is dependent upon the generation of sufficient taxable income. The table below presents the balance of significant deferred tax assets and liabilities at December 31, 2021 and December 31, 2020. The valuation allowance relates to capital loss carryforwards included in Other items, net that we expect to expire unused. Table 14.3 - Deferred Tax Assets and Liabilities Year Ended December 31, (In millions) 2021 2020 Deferred tax assets: Deferred fees $3,179 $3,354 Basis differences related to derivative instruments 1,629 1,810 Credit related items and allowance for loan losses 815 844 Basis differences related to assets held-for-investment and held-for-sale 544 999 Other items, net 178 134 Total deferred tax assets 6,345 7,141 Deferred tax liabilities: Unrealized gains related to available-for-sale securities (79) (543) Total deferred tax liabilities (79) (543) Valuation allowance (52) (41) Deferred tax assets, net $6,214 $6,557 Valuation Allowance A valuation allowance is recorded to reduce the net deferred tax asset when it is more likely than not that all or part of our tax benefits will not be realized. On a quarterly basis, we determine whether a valuation allowance is necessary. In doing so, we consider all evidence available, both positive and negative, in determining whether, based on the weight of the evidence, it is more likely than not that the net deferred tax asset will be realized. We are not permitted to consider in our analysis the impacts proposed legislation may have on our business because the timing and certainty of those actions are unknown and beyond our control. Based on all positive and negative evidence available at December 31, 2021, we determined that it is more likely than not that our net deferred tax assets, except for the deferred tax asset related to our capital loss carryforwards, will be realized. A valuation allowance of $52 million has been recorded against our capital loss carryforward deferred tax asset. Unrecognized Tax Benefits We recognize a tax position taken or expected to be taken (and any associated interest and penalties) if it is more likely than not that it will be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. We measure the tax position at the largest amount of benefit that is greater than 50% likely of being realized upon ultimate settlement. We evaluated all income tax positions and determined that there were no uncertain tax positions that required reserves as of December 31, 2021. |
Segment Reporting
Segment Reporting | 12 Months Ended |
Dec. 31, 2021 | |
Segment Reporting [Abstract] | |
SEGMENT REPORTING | Segment Reporting During 2021, our chief operating decision maker began making decisions about allocating resources and assessing segment performance based on two reportable segments, Single-Family and Multifamily. In prior periods, we managed our business based on three reportable segments, Single-Family Guarantee, Multifamily, and Capital Markets. As our mortgage-related investments portfolio has declined over time, our capital markets activities have become increasingly focused on supporting our Single-Family and Multifamily businesses. As a result, we determined that, effective in 2021, our Capital Markets segment should no longer be considered a separate reportable segment, and our chief operating decision maker no longer reviews separate financial results or discrete financial information for our capital markets activities. Substantially all of the revenues and expenses that were previously directly attributable to our Capital Markets segment are now included in our Single-Family segment, while certain administrative expenses and other centrally-incurred costs previously allocated to the Capital Markets segment are now allocated between the Single-Family and Multifamily segments using various methodologies depending on the nature of the expense. In connection with this change, we also changed the measure of segment profit and loss for each segment to be based on net income and comprehensive income calculated using the same accounting policies we use to prepare our general purpose financial statements in conformity with generally accepted accounting principles. The financial results of each reportable segment include directly attributable revenue and expenses. We allocate interest expense and other funding and hedging-related costs and returns on certain investments to each reportable segment using a funds transfer pricing process. We fully allocate to each reportable segment the administrative expenses and other centrally-incurred costs that are not directly attributable to a particular segment using various methodologies depending on the nature of the expense. As a result, the sum of each income statement line item for the two reportable segments is equal to that same income statement line item for the consolidated entity. We have discontinued the reclassifications of certain activities between various line items that were included in our previous measure of segment profit and loss. Prior period information has been revised to conform to the current period presentation. Segment Description Single-Family Reflects results from our purchase, securitization, and guarantee of single-family loans, our investments in single-family loans and mortgage-related securities, the management of Single-Family mortgage credit risk and market risk, and any results of our treasury function that are not allocated to each segment. Multifamily Reflects results from our purchase, securitization, and guarantee of multifamily loans, our investments in multifamily loans and mortgage-related securities, and the management of Multifamily mortgage credit risk and market risk. Segment Allocations and Results The results of each reportable segment include directly attributable revenues and expenses. We allocate interest expense and other funding and hedging-related costs and returns on certain investments to each reportable segment using a funds transfer pricing process. We fully allocate to each reportable segment administrative expenses and other centrally-incurred costs that are not directly attributable to a particular segment using various methodologies depending on the nature of the expense. The table below presents the financial results for our Single-Family and Multifamily segments. Table 15.1 - Segment Financial Results Year Ended December 31, 2021 Year Ended December 31, 2020 Year Ended December 31, 2019 Single-Family Multifamily Total Single-Family Multifamily Total Single-Family Multifamily Total (In millions) Net interest income $16,273 $1,307 $17,580 $11,592 $1,179 $12,771 $10,664 $1,184 $11,848 Non-interest income (loss) Guarantee income 114 918 1,032 112 1,330 1,442 44 1,045 1,089 Investment gains (losses), net 361 2,385 2,746 (112) 1,925 1,813 300 518 818 Other income (loss) 479 114 593 457 176 633 216 107 323 Non-interest income (loss) 954 3,417 4,371 457 3,431 3,888 560 1,670 2,230 Net revenues 17,227 4,724 21,951 12,049 4,610 16,659 11,224 2,854 14,078 Benefit (provision) for credit losses 919 122 1,041 (1,320) (132) (1,452) 749 (3) 746 Non-interest expense Administrative expense (2,033) (618) (2,651) (2,021) (514) (2,535) (2,061) (503) (2,564) Credit enhancement expense (1,470) (48) (1,518) (1,036) (22) (1,058) (734) (15) (749) Benefit for (decrease in) credit enhancement recoveries (523) (19) (542) 305 18 323 41 — 41 REO operations income (expense) (12) — (12) (149) — (149) (229) — (229) Legislated 10 basis point fee expense (2,342) — (2,342) (1,836) — (1,836) (1,617) — (1,617) Other expense (695) (33) (728) (686) (37) (723) (616) (41) (657) Non-interest expense (7,075) (718) (7,793) (5,423) (555) (5,978) (5,216) (559) (5,775) Income (loss) before income tax (expense) benefit 11,071 4,128 15,199 5,306 3,923 9,229 6,757 2,292 9,049 Income tax (expense) benefit (2,251) (839) (3,090) (1,094) (809) (1,903) (1,370) (465) (1,835) Net income (loss) 8,820 3,289 12,109 4,212 3,114 7,326 5,387 1,827 7,214 Other comprehensive income (loss), net of taxes and reclassification adjustments (379) (110) (489) 104 101 205 472 101 573 Comprehensive income (loss) $8,441 $3,179 $11,620 $4,316 $3,215 $7,531 $5,859 $1,928 $7,787 We measure total assets for our reportable segments based on the mortgage portfolio for each segment. We operate our business in the U.S. 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 U.S. and its territories. The table below presents total assets for our Single-Family and Multifamily segments. Table 15.2 - Segment Assets (In millions) December 31, 2021 December 31, 2020 Single-Family $2,792,224 $2,326,426 Multifamily 414,663 388,347 Total segment assets 3,206,887 2,714,773 Reconciling items (1) (181,301) (87,358) Total assets per consolidated balance sheets $3,025,586 $2,627,415 |
Concentration of Credit and Oth
Concentration of Credit and Other Risks | 12 Months Ended |
Dec. 31, 2021 | |
Risks and Uncertainties [Abstract] | |
CONCENTRATION OF CREDIT AND OTHER RISKS | Concentration of Credit and Other Risks Concentrations of credit risk may arise when we do business with a number of customers or counterparties that engage in similar activities or have similar economic characteristics that make them vulnerable in similar ways to changes in industry conditions, which could affect their ability to meet their contractual obligations. Concentrations of credit risk may also arise when there are a limited number of counterparties in a certain industry. Based on our assessment of business conditions that could affect our financial results, we have determined that concentrations of credit risk exist among certain borrowers (including geographic concentrations), loan sellers and servicers, credit enhancement providers, and other investment counterparties. In the sections below, we discuss our concentration of credit risk for each of the groups to which we are exposed. For a discussion of our derivative counterparties, as well as related master netting and collateral agreements, see Note 10 . Single-Family Mortgage Portfolio Single-family borrowers are primarily affected by house prices and interest rates, which are influenced by economic factors. Geographic concentrations may increase the exposure of our portfolio to credit risk, as regional economic conditions may affect a borrower's ability to repay and the underlying property value. The table below summarizes the concentration by geographic area of our Single-Family mortgage portfolio as of December 31, 2021 and December 31, 2020, respectively. See Note 4 , Note 5 , and Note 6 for more information about credit risk associated with single-family loans that we hold or guarantee. Table 16.1 - Concentration of Credit Risk of Our Single-Family Mortgage Portfolio December 31, 2021 December 31, 2020 2021 (1) 2020 (1) (Dollars in billions) Portfolio UPB (2) % of Portfolio SDQ Rate Portfolio UPB (2) % of Portfolio SDQ Rate Credit Losses Amount Credit Losses Amount Region (3) : West $859 31 % 0.92 % $720 31 % 2.41 % $— $— Northeast 660 24 1.37 549 24 3.16 — 0.2 North Central 416 15 0.98 357 15 2.06 0.1 0.1 Southeast 461 16 1.21 375 16 2.95 — 0.1 Southwest 396 14 1.14 325 14 2.59 — — Total $2,792 100 % 1.12 $2,326 100 % 2.64 $0.1 $0.4 State: California $498 18 % 0.99 $424 18 % 2.64 $— $— Texas 177 6 1.23 145 6 3.11 — — Florida 169 6 1.36 135 6 3.70 — — New York 121 4 2.07 103 4 4.56 — 0.1 Illinois 109 4 1.44 96 4 2.96 — 0.1 All other 1,718 62 1.03 1,423 62 2.34 0.1 0.2 Total $2,792 100 % 1.12 $2,326 100 % 2.64 $0.1 $0.4 (1) Consists of net charge-offs (excluding charge-offs of accrued interest receivable) and REO operations (income) expense. (2) Excludes $439 million and $505 million in UPB of loans underlying certain securitization products for which data was not available as of December 31, 2021 and December 31, 2020, respectively. (3) Region designation: West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA); Northeast (CT, DE, DC, MA, ME, MD, NH, NJ, NY, PA, RI, VT, VA, WV); North Central (IL, IN, IA, MI, MN, ND, OH, SD, WI); Southeast (AL, FL, GA, KY, MS, NC, PR, SC, TN, VI); Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY). Multifamily Mortgage Portfolio Numerous factors affect a multifamily borrower's ability to repay and the underlying property value. The most significant factors affecting credit risk are effective rents paid and capitalization rates for the mortgaged property. Effective rents paid vary among geographic regions of the United States. The average UPB for multifamily loans is significantly larger than for single-family loans and, therefore, individual defaults for multifamily borrowers can result in more significant losses. In the Multifamily mortgage portfolio, the primary concentration of credit risk is based on the legal structure of the investments The table below summarizes the concentration of multifamily loans in our Multifamily mortgage portfolio classified by legal structure, based on UPB. Table 16.2 - Concentration of Credit Risk of Our Multifamily Mortgage Portfolio December 31, 2021 December 31, 2020 (Dollars in billions) UPB Delinquency Rate (1) UPB Delinquency Rate (1) Unsecuritized loans $22.8 0.04 % $33.4 0.04 % Securitized loans 381.4 0.07 344.1 0.18 Other mortgage-related guarantees 10.5 0.44 10.8 0.06 Total $414.7 0.08 $388.3 0.16 (1) Based on loans two monthly payments or more delinquent or in foreclosure. Sellers and Servicers We acquire a significant portion of our Single-Family and Multifamily loan purchase and guarantee volume from several large sellers. Single-Family top 10 sellers provided 50% and 44% of our purchase and guarantee volume during 2021 and 2020, respectively. None of our Single-Family sellers provided 10% or more of our purchase and guarantee volume during these periods. The table below summarizes the concentration of Multifamily sellers who provided 10% or more of our purchase and guarantee volume during 2021 and 2020. Table 16.3 - Multifamily Seller Concentration Multifamily Sellers 2021 2020 Berkadia Commercial Mortgage LLC 15 % 14 % CBRE Capital Markets, Inc. 13 16 JLL Real Estate Capital LLC 10 11 Walker & Dunlop LLC 9 10 Other top 10 sellers 32 31 Top 10 Multifamily sellers 79 % 82 % We purchase single-family loans from both depository and non-depository sellers. Non-depository institutions may not have the same financial strength or operational capacity, or be subject to the same level of regulatory oversight, as large depository institutions. Our top five non-depository sellers provided approximately 30% and 26% of our Single-Family purchase volume during 2021 and 2020, respectively. If we discover that the representations or warranties related to a loan were breached (i.e., that contractual standards were not followed), we can exercise certain contractual remedies to mitigate our actual or potential credit losses. These contractual remedies include the ability to require the seller or servicer to repurchase the loan at its current UPB, reimburse us for losses realized with respect to the loan after consideration of any other recoveries, and/or indemnify us. Our current remedies framework provides for the categorization of loan origination defects for loans with settlement dates on or after January 1, 2016. Among other items, the framework provides that "significant defects" will result in a repurchase request or a repurchase alternative, such as recourse or indemnification. Under our current selling and servicing representation and warranty framework for our mortgage loans, we relieve sellers of repurchase obligations for breaches of certain selling representations and warranties for certain types of loans, including: n Loans that have established an acceptable payment history for 36 months (12 months for relief refinance loans) of consecutive, on-time payments after purchase, subject to certain exclusions and n Loans that have satisfactorily completed a quality control review. An independent dispute resolution process for alleged breaches of selling or servicing representations and warranties on our loans allows for a neutral third party to render a decision on demands that remain unresolved after the existing appeal and escalation processes have been exhausted. As of December 31, 2021 and December 31, 2020, the UPB of loans subject to our repurchase requests issued to our Single-Family sellers and servicers was approximately $1.3 billion and $0.5 billion, respectively (these figures include repurchase requests for which appeals were pending). During 2021 and 2020, we recovered amounts with respect to $1.4 billion and $0.9 billion, respectively, in UPB of loans subject to our repurchase requests. 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 expected credit losses for exposure to seller/servicers for their repurchase obligations are considered in our allowance for credit losses. See Note 6 for further information. We are also exposed to the risk that servicers might fail to service loans in accordance with the contractual requirements, resulting in increased credit losses. For example, our servicers have an active role in our loss mitigation efforts, and we therefore have exposure to them to the extent a decline in their performance results in a failure to realize the anticipated benefits of the loss mitigation plans. Since we do not have our own servicing operation, if our servicers lack appropriate controls, experience a failure in their controls, or experience an operating disruption in their ability to service loans, our business and financial results could be adversely affected. Significant portions of our single-family and multifamily loans are serviced by several large servicers. The table below summarizes the concentration of Single-Family and Multifamily servicers who serviced 10% or more of our Single-Family mortgage portfolio and Multifamily mortgage portfolio as of December 31, 2021 and December 31, 2020. Table 16.4 - Servicer Concentration Single-Family Servicers December 31, 2021 (1) December 31, 2020 (1) Wells Fargo Bank, N.A. 8 % 11 % Other top 10 servicers 39 38 Top 10 Single-Family servicers 47 % 49 % Multifamily Servicers (2) December 31, 2021 December 31, 2020 CBRE Capital Markets, Inc. 16 % 17 % Berkadia Commercial Mortgage LLC 14 13 JLL Real Estate Capital LLC 11 11 Other top 10 servicers 39 39 Top 10 Multifamily servicers 80 % 80 % (1) Percentage of servicing volume is based on the total Single-Family mortgage 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 mortgage portfolio. (2) Represents multifamily primary servicers. We utilize both depository and non-depository servicers for single-family loans. Some of these non-depository servicers service a large share of our loans. As of December 31, 2021 and December 31, 2020, approximately 19% and 18% of our Single-Family mortgage 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. For our mortgage-related securities, we guarantee the payment of principal and interest, and when the underlying borrowers do not pay their mortgages, our Guide generally requires Single-Family servicers to advance the missed mortgage interest payments for up to 120 days. After this time, Freddie Mac will make the missed mortgage principal and interest payments until the mortgages are no longer held by the securitization trust. At the instruction of FHFA, we purchase loans from trusts when they reach 24 months of delinquency, except for loans that meet certain criteria (e.g., permanently modified or foreclosure referral), which may be purchased sooner. Many delinquent loans are purchased from trusts before they reach 24 months of delinquency under one of the exceptions provided. We must obtain FHFA’s approval to implement changes to our policy to purchase loans from trusts. We implemented the 24-month policy on January 1, 2021. Prior to that time, in accordance with FHFA instruction, we generally purchased loans from trusts if they were delinquent for 120 days, subject to certain exceptions. In addition to principal and interest payments, borrowers are also responsible for other expenses such as property taxes and homeowner's insurance premiums. When borrowers do not pay these expenses, our Guide generally requires Single-Family servicers to advance the funds for these expenses in order to protect or preserve our interest in or legal right to the properties. These advances are ultimately collectible from the borrowers. If the borrowers reperform through loan workout activities, the missed payments and incurred expenses will be collected from them. We will reimburse the servicers for the advanced amounts when uncollected from the borrowers at completion of foreclosures or foreclosure alternatives. Multifamily loans utilize both primary and master servicers. Primary servicers service unsecuritized mortgage loans and are also typically engaged by master servicers to service on their behalf the mortgage loans underlying securitizations. For a majority of our K Certificate securitizations, we utilize one of three large financial depository institutions as master servicer. For SB Certificate securitizations and a smaller number of K Certificate securitizations, we serve as master servicer. Multifamily primary Credit Enhancement Providers We have counterparty credit risk relating to the potential insolvency of, or nonperformance 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 recovery and collectability from mortgage insurers as part of the estimate of our allowance for credit losses. See Note 6 for additional information. As of December 31, 2021, mortgage insurers provided coverage with maximum loss limits of $135.3 billion, for $545.3 billion of UPB, in connection with our Single-Family mortgage 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 primary mortgage insurance coverage. Table 16.5 - Primary Mortgage Insurer Concentration Mortgage Insurance Coverage (2) Mortgage Insurer Credit Rating (1) December 31, 2021 December 31, 2020 Arch Mortgage Insurance Company A 19 % 20 % Mortgage Guaranty Insurance Corporation BBB+ 19 18 Radian Guaranty Inc. BBB+ 18 19 Enact (3) BBB 15 15 Essent Guaranty, Inc. BBB+ 15 16 National Mortgage Insurance Corporation BBB 13 10 Total 99 % 98 % (1) Ratings are for the corporate entity to which we have the greatest exposure. Latest rating available as of December 31, 2021. Represents the lower of S&P and Moody's credit ratings stated in terms of the S&P equivalent. (2) Coverage amounts exclude coverage primarily related to certain loans for which we do not control servicing, and may include coverage provided by affiliates and subsidiaries of the counterparty. (3) Enact was previously known as Genworth Mortgage Insurance Corporation. As part of our insurance/reinsurance CRT transactions, we regularly obtain insurance coverage from global 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. 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. 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 businesses, which helps diversify their risk exposure. Other Investment 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 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. |
Fair Value Disclosures
Fair Value Disclosures | 12 Months Ended |
Dec. 31, 2021 | |
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. Valuation Risk and Controls Over Fair Value Measurements Valuation risk is the risk that fair values used for financial disclosures, risk metrics, and performance measures do not reasonably reflect market conditions and prices. We designed our control processes so that our fair value measurements are appropriate and reliable, that they are based on observable inputs where possible, and that our valuation approaches are consistently applied and the assumptions and inputs are reasonable. Our control processes provide a framework for segregation of duties and oversight of our fair value methodologies, techniques, validation procedures, and results. Groups within our Finance Division, independent of our business functions, execute and validate the valuation processes and are responsible for determining the fair values of the majority of our financial assets and liabilities. In determining fair value, we consider the credit risk of our counterparties in estimating the fair values of our assets and our own credit risk in estimating the fair values of our liabilities. The fair values determined by our Finance Division are further verified by an independent group within our ERM Division. The independent validation procedures performed by the ERM Division are intended to monitor that the prices we receive from third parties are consistent with our observations of market activity, and that fair value measurements developed using internal data reflect the assumptions that a market participant would use in pricing our assets and liabilities. These validation procedures include performing a daily price review and a monthly independent verification of fair value measurements through independent modeling, analytics, and comparisons to other market source data, if available. If we are unable to validate the reasonableness of a given price, we ultimately do not use that price for fair value measurements on our consolidated financial statements. These procedures are risk-based and are executed before we finalize the prices used in preparing our fair value measurements for our financial statements. In addition to performing the validation procedures noted above, the ERM Division provides independent risk governance over all valuation processes by establishing and maintaining a corporate-wide valuation risk policy. The ERM Division also independently reviews significant judgments, methodologies, and valuation techniques to monitor compliance with established policies. Our Valuation Risk Committee, which includes representation from our business lines, the ERM Division, and the Finance Division, provides senior management's governance over valuation processes, methodologies, controls, and fair value measurements. Identified exceptions are reviewed and resolved through the verification process and reviewed at the Valuation Risk Committee. Where models are employed to assist in the measurement and verification of fair values, changes made to those models during the period are reviewed and approved according to the corporate model change governance process, with material changes reviewed at the Valuation Risk Committee. Inputs used by models are regularly updated for changes in the underlying data, assumptions, valuation inputs, and market conditions and are subject to the valuation controls noted above. Use of Third-Party Pricing Data in Fair Value Measurement Many of our valuation techniques use, either directly or indirectly, data provided by third-party pricing services or dealers. The techniques used by these pricing services and dealers to develop the prices generally are either: n A comparison to transactions involving instruments with similar collateral and risk profiles, adjusted as necessary based on specific characteristics of the asset or liability being valued or n Industry-standard modeling, such as a discounted cash flow model. The prices provided by the pricing services and dealers reflect their observations and assumptions related to market activity, including risk premiums and liquidity adjustments. The models and related assumptions used by the pricing services and dealers are owned and managed by them and, in many cases, the significant inputs used in the valuation techniques are not reasonably available to us. However, we have an understanding of the processes and assumptions used to develop the prices based on our ongoing due diligence, which includes discussions with our vendors at least annually and often more frequently. We believe that the procedures executed by the pricing services and dealers, combined with our internal verification and analytical procedures, provide assurance that the prices used in our financial statements comply with the accounting guidance for fair value measurements and disclosures and reflect the assumptions that a market participant would use in pricing our assets and liabilities. The price quotes we receive are non-binding both to us and to our counterparties. In many cases, we receive quotes from third-party pricing services or dealers and use those prices without adjustment. For a large majority of the assets and liabilities we value using pricing services and dealers, we obtain quotes from multiple external sources and use the median of the prices to measure fair value. This technique is referred to below as "median of external sources." The significant inputs used in the fair value measurement of assets and liabilities that are valued using the median of external sources pricing technique are the third-party quotes. Significant increases (decreases) in any of the third-party quotes in isolation may result in a significantly higher (lower) fair value measurement. In limited circumstances, we may be able to receive pricing information from only a single external source. This technique is referred to below as "single external source." Valuation Techniques The following table contains a description of the valuation techniques we use for fair value measurement and disclosure; the significant inputs used in those techniques (if applicable); the classification within the fair value hierarchy; and, for those measurements that we report on our consolidated balance sheets and are classified as Level 3 of the hierarchy, a narrative description of the uncertainty of the fair value measurement to changes in significant unobservable inputs. Although the uncertainties of the unobservable inputs are discussed below in isolation, interrelationships exist among the inputs such that a change in one unobservable input can result in a change to one or more of the other inputs. For example, the most common interrelationship that affects the majority of our fair value measurements is between future interest rates, prepayment speeds, and probabilities of default. Generally, a change in the assumption used for future interest rates results in a directionally opposite change in the assumption used for prepayment speeds and a directionally similar change in the assumption used for probabilities of default. Each technique discussed below may not be used in a given reporting period, depending on the composition of our assets and liabilities measured at fair value and relevant market activity during that period. Instrument Valuation Technique Classification in the Fair Value Hierarchy Securities U.S. Treasury Securities Quoted prices in active markets Level 1 Mortgage-related securities Majority of agency securities Median of external sources Level 2 Certain other agency securities Single external source Levels 2 and 3 Certain securities with limited market activity Discounted cash flows or risk metric pricing. Significant inputs used in the discounted cash flow technique include OAS. Significant increases (decreases) in the OAS in isolation would result in a significantly lower (higher) fair value measurement. Significant inputs used in the risk metric pricing technique include key risk metrics, such as key rate durations. Significant increases (decreases) in key rate durations in isolation would result in a significant increase (decrease) in the magnitude of change of fair value measurement in response to key rate movements. Under risk metric pricing, securities are valued by starting with a prior period price and adjusting that price for market changes in the key risk metric input used. Level 3 Derivatives Exchange-traded futures Quoted prices in active markets Level 1 Interest-rate swaps Discounted cash flows. Significant inputs include market-based interest rates. Level 2 Option-based derivatives Option-pricing models. Significant inputs include interest-rate volatility matrices. Level 2 Purchase and sale commitments See Mortgage-related securities Level 2 Debt Debt securities of consolidated trusts held by third parties See Mortgage-related securities Level 2 or 3 Debt of Freddie Mac Median of external sources Level 2 Single external source Published yield matrices Mortgage Loans Single-Family loans GSE securitization market Benchmark security pricing for actively traded mortgage-related securities with similar characteristics, adjusting for the value of our guarantee fee and our credit obligation related to performing our guarantee (see Guarantee obligation). The credit obligation is based on: delivery and guarantee fees we charge under current market pricing for loans that qualify under our current underwriting standards (Level 2) and internal credit models for loans that do not qualify under our current underwriting standards (Level 3). Level 2 or 3 Whole loan market Median of external sources, referencing market activity for deeply delinquent and modified loans, where available Level 3 Certain held-for-investment Internal models that estimate the fair value of the underlying collateral for impaired loans. Significant inputs used by our internal models include REO disposition, short sale, and third-party sale values, combined with mortgage loan level characteristics using the repeat housing sales index to estimate the current fair value of the mortgage loan. Significant increases (decreases) in the historical average sales proceeds per mortgage loan in isolation would result in significantly higher (lower) fair value measurements. Level 3 Instrument Valuation Technique Classification in the Fair Value Hierarchy Multifamily loans Held-for-sale Discounted cash flows based on observable K Certificate and SB Certificate market spreads Level 2 Held-for-investment Market prices from a third-party pricing service using discounted cash flows incorporating credit spreads for similar loans based on the loan's LTV and DSCR Level 3 Non-derivative Purchase Commitments Multifamily loan purchase commitments See Multifamily loans Level 2 or 3 Other Assets Guarantee assets Single-Family Median of external sources with adjustments for specific loan characteristics Level 3 Multifamily Discounted cash flows. Significant inputs include current OAS-to-benchmark interest rates for new guarantees. Significant increases (decreases) in the OAS in isolation would result in a significantly lower (higher) fair value measurement. Level 3 Mortgage servicing rights Market prices from a third party or internally developed prices using discounted cash flows. Significant inputs include: Level 3 Estimated prepayment rates, Estimated costs to service both performing and non-accrual loans, and Estimated servicing income per loan (including ancillary income). Significant increases (decreases) in cost to service per loan and prepayment rate in isolation would result in a significantly lower (higher) fair value measurement. Significant increases (decreases) in servicing income per loan in isolation would result in a significantly higher (lower) fair value measurement. Other Liabilities Guarantee obligations Single-Family Delivery and guarantee fees that we charge under our current market pricing Level 2 Internal credit models. Significant inputs include loan characteristics, loan performance, and status information. Level 3 Multifamily Discounted cash flows. Significant inputs are similar to those used in the valuation technique for the Multifamily guarantee assets. Level 3 Table 17.1 - Assets and Liabilities Measured at Fair Value on a Recurring Basis December 31, 2021 (In millions) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Investments securities: Available-for-sale, at fair value $— $2,726 $1,286 $— $4,012 Trading, at fair value: Mortgage-related securities — 12,845 3,386 — 16,231 Non-mortgage-related securities 31,780 992 — — 32,772 Total trading securities, at fair value 31,780 13,837 3,386 — 49,003 Total investments in securities 31,780 16,563 4,672 — 53,015 Mortgage loans: Held-for-sale, at fair value — 10,498 — — 10,498 Other assets: Guarantee assets, at fair value — — 5,919 — 5,919 Derivative assets, net 33 5,416 17 — 5,466 Netting adjustments (1) — — — (5,006) (5,006) Total derivative assets, net 33 5,416 17 (5,006) 460 Non-derivative purchase commitments, at fair value — 131 — — 131 All other, at fair value — — 84 — 84 Total other assets 33 5,547 6,020 (5,006) 6,594 Total assets carried at fair value on a recurring basis $31,813 $32,608 $10,692 ($5,006) $70,107 Liabilities: Debt securities of consolidated trusts held by third parties, at fair value $— $910 $184 $— $1,094 Debt of Freddie Mac, at fair value — 1,274 110 — 1,384 Other liabilities: Derivative liabilities, net — 7,726 23 — 7,749 Netting adjustments (1) — — — (7,467) (7,467) Total derivative liabilities, net — 7,726 23 (7,467) 282 Non-derivative purchase commitments, at fair value — 4 — — 4 All other, at fair value — — 1 — 1 Total other liabilities — 7,730 24 (7,467) 287 Total liabilities carried at fair value on a recurring basis $— $9,914 $318 ($7,467) $2,765 Referenced footnote is included after the prior period table. December 31, 2020 (In millions) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Investments securities: Available-for-sale, at fair value: $— $13,779 $1,588 $— $15,367 Trading, at fair value: Mortgage-related securities — 14,246 3,259 — 17,505 Non-mortgage-related securities 26,255 698 — — 26,953 Total trading securities, at fair value 26,255 14,944 3,259 — 44,458 Total investments in securities 26,255 28,723 4,847 — 59,825 Mortgage loans: Held-for-sale, at fair value — 14,199 — — 14,199 Other assets: Guarantee assets, at fair value — — 5,509 — 5,509 Derivative assets, net — 8,516 63 — 8,579 Netting adjustments (1) — — — (7,374) (7,374) Total derivative assets, net — 8,516 63 (7,374) 1,205 Non-derivative purchase commitments, at fair value — 158 — — 158 All other, at fair value — — 108 — 108 Total other assets — 8,674 5,680 (7,374) 6,980 Total assets carried at fair value on a recurring basis $26,255 $51,596 $10,527 ($7,374) $81,004 Liabilities: Debt securities of consolidated trusts held by third parties, at fair value $— $2 $203 $— $205 Debt of Freddie Mac, at fair value — 2,267 120 — 2,387 Other liabilities: Derivative liabilities, net — 9,132 16 — 9,148 Netting adjustments (1) — — — (8,194) (8,194) Total derivative liabilities, net — 9,132 16 (8,194) 954 Non-derivative purchase commitments, at fair value — 1 — — 1 All other, at fair value — — 3 — 3 Total other liabilities — 9,133 19 (8,194) 958 Total liabilities carried at fair value on a recurring basis $— $11,402 $342 ($8,194) $3,550 (1) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable. Level 3 Fair Value Measurements The table below presents a reconciliation of all assets and liabilities measured on our consolidated balance sheets at fair value on a recurring basis using significant unobservable inputs (Level 3), including transfers into and out of Level 3. The table also presents gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our consolidated statements of comprehensive income for Level 3 assets and liabilities. Table 17.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs Year Ended December 31, 2021 Balance, Total Realized/Unrealized Gains (Losses) Purchases Issues Sales Settlements, Transfers Transfers (1) Balance, Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2021 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of December 31, 2021 (In millions) Included in Included in Other Assets Investments in securities: Available-for-sale, at fair value 1,588 29 7 — — (32) (306) — — 1,286 26 7 Trading, at fair value 3,259 (869) — 1,536 — (277) (83) — (180) 3,386 (872) — Total investments in securities 4,847 (840) 7 1,536 — (309) (389) — (180) 4,672 (846) 7 Other assets: Guarantee assets 5,509 (378) — — 1,742 — (954) — — 5,919 (378) — Derivative assets 63 (45) — — — (1) — — — 17 (46) — All other, at fair value 108 (9) — (6) 19 (8) (20) — — 84 (9) — Total other assets 5,680 (432) — (6) 1,761 (9) (974) — — 6,020 (433) — Total assets 10,527 (1,272) 7 1,530 1,761 (318) (1,363) — (180) 10,692 (1,279) 7 Balance, Total Realized/Unrealized (Gains) Losses Purchases Issues Sales Settlements, Transfers Transfers (1) Balance, Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2021 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of December 31, 2021 Included in Included in Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 ($27) $— ($8) $168 $— ($152) $— $— $184 ($16) $— Debt of Freddie Mac, at fair value 120 (3) — — 1 — (8) — — 110 (3) — Total Debt 323 (30) — (8) 169 — (160) — — 294 (19) — Other liabilities: Derivative liabilities 16 15 — — 2 — (10) — — 23 5 — All other, at fair value 3 (8) — 7 — (1) — — — 1 (8) — Total other liabilities 19 7 — 7 2 (1) (10) — — 24 (3) — Total liabilities 342 (23) — (1) 171 (1) (170) — — 318 (22) — Referenced footnotes are included after the prior period table. Year Ended December 31, 2020 Balance, Total Realized/Unrealized Gains (Losses) Purchases Issues Sales Settlements, Transfers Transfers out of Level 3 (1) Balance, Change in Unrealized Gains(Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2020 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of December 31, 2020 (In millions) Included in Included in Other Assets Investments in securities: Available-for-sale, at fair value $3,227 $27 ($8) $— $— ($218) ($344) $— ($1,096) $1,588 $15 ($38) Trading, at fair value 2,710 (251) — 1,555 — (281) (77) — (397) 3,259 (241) — Total investments in securities 5,937 — (224) (8) 1,555 — (499) (421) — (1,493) 4,847 (226) (38) Other assets: Guarantee assets 4,426 250 — — 1,641 — (808) — — 5,509 250 — Derivative assets 15 22 — — 26 — — — — 63 21 — All other, at fair value 120 (3) — (15) 27 (19) (2) — — 108 (3) — Total other assets 4,561 269 — (15) 1,694 (19) (810) — — 5,680 268 — Total assets 10,498 45 (8) 1,540 1,694 (518) (1,231) — (1,493) 10,527 42 (38) Balance, Total Realized/Unrealized (Gains) Losses Purchases Issues Sales Settlements, Transfers Transfers out of Level 3 (1) Balance, Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2020 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of December 31, 2020 Included in Included in Other Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 $— $— $— $— $— $— $— $— $203 $— $— Debt of Freddie Mac, at fair value 129 (1) — — 4 — (12) — — 120 (1) — Total Debt 332 (1) — — 4 — (12) — — 323 (1) — Other liabilities: Derivative liabilities 36 (8) — — 2 — (14) — — 16 (23) — All other, at fair value 1 — — 1 — 1 — — — 3 — — Total other liabilities 37 (8) — 1 2 1 (14) — — 19 (23) — Total liabilities 369 (9) — 1 6 1 (26) — — 342 (24) — (1) Transfers out of Level 3 during 2021 and 2020 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. (2) Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains and losses related to assets and liabilities classified as Level 3 that were still held at December 31, 2021 and December 31, 2020, respectively. This amount includes any allowance for credit losses recorded on available-for-sale securities and amortization of basis adjustments. The table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets and liabilities measured on our consolidated balance sheets at fair value on a recurring basis. Table 17.3 - Quantitative Information about Recurring Level 3 Fair Value Measurements December 31, 2021 Level 3 Predominant Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted (1) Assets Available-for-sale, at fair value Mortgage-related securities $839 Median of external sources External pricing sources $72.8 - $83.7 $77.0 322 Discounted cash flows OAS 87 - 198 bps 88 bps 124 Other Trading, at fair value Mortgage-related securities 2,846 Single external source External pricing sources $0.0 - $7,343.1 $396.7 273 Median of external sources External pricing sources $3.8 - $4.4 $4.1 259 Discounted cash flows OAS (339) - 3,000 bps 551 bps 9 Other Guarantee assets, at fair value 5,531 Discounted cash flows OAS 17 - 186 bps 45 bps 388 Other Insignificant Level 3 assets (2) 101 Total level 3 assets $10,692 Liabilities Debt securities of consolidated trusts held by third parties, at fair value 135 Other Insignificant Level 3 liabilities (2) 183 Total level 3 liabilities $318 (1) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments. (2) 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. December 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 (1) Assets Available-for-sale, at fair value Mortgage-related securities (2) $1,009 Median of external sources External pricing sources $70.6 - $81.6 $75.9 410 Discounted cash flows OAS 90 - 90 bps 90 bps 119 Single external source External pricing sources $100.9 - $100.9 $100.9 50 Other Trading, at fair value Mortgage-related securities (2) 2,204 Single external source External pricing sources $0.0 - $8,894.6 $947.8 472 Discounted cash flows OAS (951) - 2,910 bps 834 bps 583 Other Guarantee assets, at fair value 5,195 Discounted cash flows OAS 15 - 186 bps 38 bps 314 Other Insignificant Level 3 assets (3) 171 Total level 3 assets $10,527 Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 Single External Source External Pricing Sources $97.3 - $107.0 $101.7 Insignificant Level 3 liabilities (3) 139 Total level 3 liabilities $342 (1) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments. (2) Prior periods have been conformed to the current period presentation. (3) 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. 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 an allowance for credit losses 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 consolidated balance sheets at fair value on a non-recurring basis. Table 17.4 - Assets Measured at Fair Value on a Non-Recurring Basis December 31, 2021 December 31, 2020 (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) $— $12 $797 $809 $— $6 $2,241 $2,247 (1) Includes loans that are classified as held-for-investment and have an allowance for credit losses based on the fair value of the underlying collateral and held-for-sale loans where the fair value is below cost. The table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets measured on our consolidated balance sheets at fair value on a non-recurring basis. Table 17.5 - Quantitative Information about Non-Recurring Level 3 Fair Value Measurements December 31, 2021 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average (1) Non-recurring fair value measurements Mortgage loans $797 Internal model Historical sales proceeds $3,956 - $744,000 $221,442 Internal model Housing sales index 72 - 439 bps 140 bps Median of external sources External pricing sources $61.9 - $107.1 $97.3 December 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 (1) Non-recurring fair value measurements Mortgage loans $2,241 Internal model Historical sales proceeds $3,001 - $696,004 $202,539 Internal model Housing sales index 66 - 345 bps 119 bps Median of external sources External pricing sources $59.5 - $104.0 $92.1 (1) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments. Fair Value of Financial Instruments The table below presents the carrying value and estimated fair value of our financial instruments. For certain types of financial instruments, such as cash and cash equivalents, securities purchased under agreements to resell, secured lending, 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 17.6 - Fair Value of Financial Instruments December 31, 2021 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 $10,150 $10,150 $— $— $— $10,150 Securities purchased under agreements to resell Amortized cost 71,203 — 78,536 — (7,333) 71,203 Investments in securities: Available-for-sale, at fair value FV - OCI 4,012 — 2,726 1,286 — 4,012 Trading, at fair value FV - NI 49,003 31,780 13,837 3,386 — 49,003 Total investments in securities 53,015 31,780 16,563 4,672 — 53,015 Mortgage loans: Loans held by consolidated trusts 2,784,626 — 2,563,588 238,133 — 2,801,721 Loans held by Freddie Mac 63,483 — 35,856 29,803 — 65,659 Total mortgage loans Various (3) 2,848,109 — 2,599,444 267,936 — 2,867,380 Guarantee assets FV - NI 5,919 — — 5,923 — 5,923 Derivative assets, net FV - NI 460 33 5,416 17 (5,006) 460 Non-derivative purchase and other commitments FV - NI 131 — 217 — — 217 Advances to lenders Amortized cost 4,932 — — 4,932 — 4,932 Secured lending Amortized cost 1,263 — 1,187 76 — 1,263 Total financial assets $2,995,182 $41,963 $2,701,363 $283,556 ($12,339) $3,014,543 Financial Liabilities Debt: Debt securities of consolidated trusts held by third parties $2,803,054 $— $2,803,030 $656 $— $2,803,686 Debt of Freddie Mac 177,131 — 185,793 3,957 (7,333) 182,417 Total debt Various (4) 2,980,185 — 2,988,823 4,613 (7,333) 2,986,103 Guarantee obligations Amortized cost 5,716 — — 6,240 — 6,240 Derivative liabilities, net FV - NI 282 — 7,726 23 (7,467) 282 Non-derivative purchase and other commitments FV - NI 13 — 4 101 — 105 Total financial liabilities $2,986,196 $— $2,996,553 $10,977 ($14,800) $2,992,730 (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, 2021, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value and FV - NI were $2.8 trillion, $9.3 billion and $10.5 billion, respectively. (4) As of December 31, 2021, the GAAP carrying amounts measured at amortized cost and FV - NI were $3.0 trillion and $2.5 billion, respectively. December 31, 2020 GAAP Measurement Category (1) GAAP Carrying Amount Fair Value (In millions) Level 1 Level 2 Level 3 (2) Netting Adjustments (3) Total Financial Assets Cash and cash equivalents Amortized cost $23,889 $23,889 $— $— $— $23,889 Securities purchased under agreements to resell Amortized cost 105,003 — 105,003 — — 105,003 Investments in securities: Available-for-sale, at fair value FV - OCI 15,367 — 13,779 1,588 — 15,367 Trading, at fair value FV - NI 44,458 26,255 14,944 3,259 — 44,458 Total investments in securities 59,825 26,255 28,723 4,847 — 59,825 Mortgage loans: Loans held by consolidated trusts 2,273,347 — 2,080,687 262,309 — 2,342,996 Loans held by Freddie Mac 110,541 — 76,917 36,578 — 113,495 Total mortgage loans Various (4) 2,383,888 — 2,157,604 298,887 — 2,456,491 Guarantee assets FV - NI 5,509 — — 5,515 — 5,515 Derivative assets, net FV - NI 1,205 — 8,516 63 (7,374) 1,205 Non-derivative purchase and other commitments FV - NI 158 — 246 — — 246 Advances to lenders Amortized cost 4,162 — — 4,162 — 4,162 Secured lending Amortized cost 1,680 — 1,427 253 — 1,680 Total financial assets $2,585,319 $50,144 $2,301,519 $313,727 ($7,374) $2,658,016 Financial Liabilities Debt: Debt securities of consolidated trusts held by third parties $2,308,176 $— $2,382,157 $852 $— $2,383,009 Debt of Freddie Mac 284,370 — 286,634 4,088 — 290,722 Total debt Various (5) 2,592,546 — 2,668,791 4,940 — 2,673,731 Guarant |
Legal Contingencies
Legal Contingencies | 12 Months Ended |
Dec. 31, 2021 | |
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. In July 2016, the Sixth Circuit reversed the District Court's dismissal and remanded the case to the District Court for further proceedings. In August 2018, the District Court denied the plaintiff's motion for class certification, and in January 2019, the Sixth Circuit denied plaintiff's petition for leave to appeal that decision. On September 17, 2020, the District Court granted a request from the plaintiff for summary judgment and entered final judgment in favor of Freddie Mac and the other defendants. On October 9, 2020, the plaintiff filed a notice of appeal in the Sixth Circuit. On January 27, 2021, Freddie Mac filed a motion to dismiss the appeal, which the Sixth Circuit denied on January 6, 2022. 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: the inherent uncertainty of the appellate process, and the inherent uncertainty of pre-trial litigation in the event the case is ultimately remanded to the District Court in whole or in part. In particular, while the District Court denied plaintiff's motion for class certification, this decision and the entry of final judgment in defendants' favor have been appealed. 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. In March 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. In May 2016, 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. In December 2016, the District Court denied in part and granted in part defendants' renewed motions to dismiss on personal jurisdiction and efficient enforcer grounds. 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. (HSBC). In February 2017, the District Court effectively dismissed Freddie Mac's remaining antitrust claim against HSBC. In February 2018, in a related case, the Second Circuit reversed the District Court's dismissal of certain plaintiffs' state law fraud and unjust enrichment claims on statutes of limitations grounds. 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 filed its third amended complaint in April 2019. Subsequently, the District Court held that Freddie Mac's fraud claims were not reinstated by the Second Circuit's February 2018 decision. In December 2021, in a related case, the Second Circuit reversed the District Court’s December 2016 ruling with respect to certain personal jurisdiction issues. While Freddie Mac was not a party to that appeal, this ruling should apply to Freddie Mac’s claims. At present, Freddie Mac's only remaining causes of action are certain contract-based claims against Bank of America, N.A., Barclays Bank, Citibank, N.A., Credit Suisse, Deutsche Bank, Royal Bank of Scotland, and UBS AG. 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 DC Circuit 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 DC Circuit 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 DC Circuit 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 the prohibition in the Housing and Economic Recovery Act (HERA) 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. On November 18, 2021, the parties filed a stipulation to dismiss the Arrowood lawsuit without prejudice. On December 7, 2021, the District Court certified three classes in the In Re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations based on share type, including a "Freddie Preferred Class" for holders of Freddie Mac junior preferred stock and a "Freddie Common Class" for holders of Freddie Mac common stock. To be included in one of these classes, shareholders must have held their shares as of December 7, 2021 or acquired their shares after December 7, 2021 and before any final judgment is entered or settlement is reached in the lawsuit. Discovery is ongoing. 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. The court denied the United States' motion to dismiss on May 8, 2020 and granted plaintiffs' motion to certify the decisions for interlocutory appeal on June 11, 2020. The Federal Circuit denied the petition for interlocutory appeal on August 21, 2020. These proceedings are stayed pending a ruling on the Fairholme Funds appeals. 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. The Federal Circuit granted the petition for interlocutory appeal on June 18, 2020. 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 their 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. These proceedings are stayed pending a ruling on the Fairholme Funds appeals. 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. |
Regulatory Capital
Regulatory Capital | 12 Months Ended |
Dec. 31, 2021 | |
Mortgage Banking [Abstract] | |
REGULATORY CAPITAL | Regulatory Capital The GSE Act specifies certain capital requirements for us and authorizes FHFA to establish other capital requirements as well as to increase our minimum capital levels or to establish additional capital and reserve requirements for particular purposes. In October 2008, FHFA suspended capital classification of us during conservatorship, in light of the Purchase Agreement. FHFA continues to monitor our capital levels, and we continue to provide quarterly submissions to FHFA on minimum capital in accordance with FHFA guidance. In May 2017, FHFA, as Conservator, issued guidance to us to evaluate and manage our financial risk and to make economic business decisions, while in conservatorship, utilizing a risk-based CCF, a capital system with detailed formulae provided by FHFA. In December 2020, FHFA published the ERCF, establishing a new regulatory capital framework for Freddie Mac and Fannie Mae. The ERCF, which went into effect in February 2021, has a transition period for compliance. In general, the compliance date for the regulatory capital requirements will be the later of the date of termination of our conservatorship and any later compliance date provided in a consent order or other transition order, and the compliance date for buffer requirements in the ERCF will be the date of termination of our conservatorship . In accordance with FHFA guidance, we are transitioning to ERCF to measure and manage risk. Pursuant to the final rule, we are required to comply with the regulatory capital reporting requirements under the ERCF in 2022, with our initial quarterly capital report due by May 30, 2022, 60 days after the last day of the first quarter. On September 15, 2021, FHFA issued a notice of proposed rulemaking to amend the ERCF. The proposed amendments would refine the PLBA and the capital treatment of CRT transactions. On October 27, 2021, FHFA issued an additional notice of proposed rulemaking to amend the ERCF by introducing additional public disclosure requirements for the Enterprises. On December 16, 2021, FHFA issued a notice of proposed rulemaking that would require Freddie Mac and Fannie Mae to develop, maintain, and submit annual capital plans to FHFA. FHFA is seeking comment on this proposed rule through February 25, 2022. Regulatory Capital Standards The GSE Act established minimum, critical, and risk-based capital standards for us. However, per guidance received from FHFA, we no longer are required to submit risk-based capital reports to FHFA. Prior to our entry into conservatorship, those standards determined the amounts of core capital that we were to maintain to meet regulatory capital requirements. Core capital consisted of the par value of outstanding common stock (common stock issued less common stock held in treasury), the par or stated value of outstanding non-cumulative, perpetual preferred stock, additional paid-in capital, and retained earnings (accumulated deficit), as determined in accordance with GAAP. Minimum Capital The minimum capital standard required us to hold an amount of core capital that was generally equal to the sum of 2.50% of aggregate on-balance sheet assets and approximately 0.45% of the sum of our guaranteed securities held by third parties and other aggregate off-balance sheet obligations. Pursuant to regulatory guidance from FHFA, our minimum capital requirement was not affected by adoption of amendments to the accounting guidance for transfers of financial assets and consolidation of VIEs effective January 1, 2010. Specifically, upon adoption of these amendments, FHFA directed us, for purposes of minimum capital, to continue reporting guaranteed securities held by third parties using a 0.45% capital requirement. FHFA reserves the authority under the GSE Act to raise the minimum capital requirement for any of our assets or activities. Critical Capital The critical capital standard required us to hold an amount of core capital that was generally equal to the sum of 1.25% of aggregate on-balance sheet assets and approximately 0.25% of the sum of our guaranteed securities held by third parties and other aggregate off-balance sheet obligations. Performance Against Regulatory Capital Standards The table below summarizes our net worth and estimated core capital and minimum capital levels reported to FHFA. Table 19.1 - Net Worth and Minimum Capital (In millions) December 31, 2021 December 31, 2020 GAAP net worth (deficit) $28,033 $16,413 Core capital (deficit) (1)(2) (44,769) (56,878) Less: Minimum capital (1) 24,302 22,694 Minimum capital surplus (deficit) (1) ($69,071) ($79,572) (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 senior preferred stock) as these items do not meet the statutory definition of core capital. The Purchase Agreement provides that, if FHFA determines as of quarter end that our liabilities have exceeded our assets under GAAP, Treasury will contribute funds to us in an amount at least equal to the difference between such liabilities and assets. Under the GSE Act, FHFA must place us into receivership if FHFA determines that our assets are and have been less than our obligations for a period of 60 days. FHFA has notified us that the measurement period for any mandatory receivership determination with respect to our assets and obligations would commence no earlier than the SEC public filing deadline for our quarterly or annual financial statements and would continue for 60 calendar days after that date. FHFA has advised us that, if, during that 60-day period, we receive funds from Treasury in an amount at least equal to the deficiency amount under the Purchase Agreement, the Director of FHFA will not make a mandatory receivership determination. If funding has been requested under the Purchase Agreement to address a deficit in our net worth, and Treasury is unable to provide us with such funding within the 60-day period specified by FHFA, FHFA would be required to place us into receivership if our assets remain less than our obligations during that 60-day period. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2021 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The accompanying 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. During 2021, our chief operating decision maker began making decisions about allocating resources and assessing segment performance based on two reportable segments, Single-Family and Multifamily. See Note 15 |
Use of Estimates | Use of Estimates The preparation of our consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses, and disclosure of contingent assets and liabilities. Management has made significant estimates to report the allowance for credit losses on single-family mortgage loans. Actual results could be different from these estimates. |
Consolidation and Equity Method of Accounting | Consolidation and Equity Method Accounting For each entity with which we are involved, we determine whether the entity should be consolidated in our financial statements. We consolidate entities in which we have a controlling financial interest. The method for determining whether a controlling financial interest exists varies depending on whether the entity is a VIE. For entities that are not VIEs, we hold a controlling financial interest in entities where we hold a majority of the voting rights or a majority of a limited partnership's kick-out rights through voting interests. We do not currently consolidate any entities which are not VIEs. We use the equity method to account for our interests in entities in which we do not have a controlling financial interest, but over which we have significant influence. |
Cash and Cash Equivalents | Cash and Cash EquivalentsHighly liquid investment securities that have an original maturity of three months or less are accounted for as cash equivalents. Original maturity means the original maturity to us when we acquire the investment, not the original maturity of the instrument itself. |
Restricted Cash and Cash Equivalents | Cash collateral accepted from counterparties that we do not have the right to use for general corporate purposes is classified as restricted cash and cash equivalents on our consolidated balance sheets. Restricted cash and cash equivalents include cash remittances received from servicers of the underlying assets of our consolidated trusts which are deposited into a separate custodial account. We invest the cash held in the custodial account in short-term investments and are entitled to the interest income earned on these short-term investments, which is recorded as interest income on our consolidated statements of comprehensive income. |
Comprehensive Income | Comprehensive IncomeComprehensive income includes all changes in equity during a period, except those resulting from investments by, or distributions to, stockholders. We define comprehensive income as consisting of net income (loss) plus other comprehensive income (loss), which primarily consists of unrealized gains and losses on available-for-sale securities. |
Recently Adopted or Issued Accounting Guidance | Recently Adopted Accounting Guidance Standard Description Date of Adoption Effect on Consolidated Financial Statements ASU 2020-06 , Debt-Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging-Contracts in Entity's Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity's Own Equity The amendments in this Update simplify an issuer's accounting for certain financial instruments with characteristics of liabilities and equity, primarily by eliminating many of the current separation models used to account for convertible debt and convertible preferred stock. January 1, 2021 The adoption of the amendments did not ASU 2020-08, Codification Improvements to Subtopic 310-20, Receivables-Nonrefundable Fees and Other Costs The amendments in this Update clarify the guidance for the reevaluation of whether a callable debt security's amortized cost basis exceeds the amount repayable by the issuer at the next call date. January 1, 2021 The adoption of the amendments did not have a material effect on our consolidated financial statements. Recently Issued Accounting Guidance, Not Yet Adopted Within Our Consolidated Financial Statements Standard Description Date of Planned Adoption Effect on Consolidated Financial Statements ASU 2021-04 , Earnings Per Share (Topic 260), Debt-Modifications and Extinguishments (Subtopic 470-50), Compensation-Stock Compensation (Topic 718), and Derivatives and Hedging-Contracts in Entity's Own Equity (Subtopic 815-40): Issuer's Accounting for Certain Modifications or Exchanges of Freestanding Equity-Classified Written Call Options The amendments in this Update require issuers to account for modifications or exchanges of freestanding equity-classified written call options based on the reason for the modification or exchange, to issue equity, to issue or modify debt, or for other reasons. January 1, 2022 The adoption of these amendments will not |
Consolidation, Variable Interest Entity, Policy | Securitization Activities and Consolidation Our primary business activities in our Single-Family 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. See Note 5 for additional information on our guarantee activities. We also use trusts that are VIEs in certain credit risk transfer products. We consolidate VIEs when we have a controlling financial interest in the VIE and are therefore considered the primary beneficiary of the VIE. We are the primary beneficiary of a VIE when we have both the power to direct the activities of the VIE that most significantly impact its economic performance and exposure to losses or benefits of the VIE that could potentially be significant to the VIE. We evaluate whether we are the primary beneficiary of VIEs in which we have interests at both inception and on an ongoing basis, and the primary beneficiary determination may change over time as our interest in the VIE changes. Resecuritization Products We create resecuritization products primarily by using Level 1 Securitization Products, our previously issued resecuritization products, or similar TBA-eligible products issued and guaranteed by Fannie Mae as the underlying collateral. In a typical resecuritization transaction, previously issued Level 1 Securitization Products or resecuritization products are transferred to a resecuritization trust that issues beneficial interests in the underlying collateral. We establish parameters that define eligibility standards for assets that may be used as collateral for each of our resecuritization programs. Resecuritization products can then be created based on the parameters that we have established. Similar to our Level 1 Securitization Products, we guarantee the full payment of principal and interest to the investors in our resecuritization products. The main types of resecuritization products we create are single-class resecuritization products (Supers, Giant MBS, and Giant PCs) and multiclass resecuritization products (REMICs and Strips). Single-class resecuritization products - These securities are direct pass-throughs of the cash flows of the underlying collateral, which may be previously issued Level 1 Securitization Products, single-class resecuritization products, or similar TBA-eligible products issued and guaranteed by Fannie Mae. We do not consolidate these securities as their resecuritization does not result in any new or incremental risk to the holders of the securities issued by the resecuritization trust and because we are not exposed to any incremental rights to receive benefits or obligations to absorb losses that could be significant to the resecuritization trust. Multiclass resecuritization products - When we purchase a multiclass resecuritization product as an investment in our mortgage-related investments portfolio, we generally record the security as an investment in debt securities rather than extinguishment of debt since we are generally investing in the debt securities of a nonconsolidated entity. We do not consolidate multiclass resecuritization trusts in which we hold variable interests, as we are not deemed to be the primary beneficiary of the trusts, unless we have the unilateral ability to liquidate the trust. Similarly, sales of multiclass resecuritization products previously held as investments in our mortgage-related investments portfolio are accounted for as sales of investments in debt securities. See Note 7 for additional information on accounting for investments in debt securities. SB Certificates In a SB Certificate transaction, we securitize multifamily small balance loans using a non-Freddie Mac SB Certificate trust that issues senior classes of securities that we guarantee, as well as subordinated classes of securities that we do not guarantee. Similar to our K Certificate transactions, we are not the primary beneficiary of and, therefore, do not consolidate our SB Certificate trusts, as we do not have the ability to direct loss mitigation activities of the underlying loans, which is the most significant activity affecting the economic performance of the VIE. WI K-Deal Certificates In a WI K-Deal Certificate transaction, we forward sell a K Certificate security that will be issued in the future to a WI K-Deal trust at a fixed price, thereby reducing our exposure to future changes in interest rates and K Certificate benchmark spreads. The WI K-Deal trust simultaneously issues guaranteed securities (WI Certificates). The economic performance of our WI K-Deal trusts is most significantly affected by the performance of the underlying assets. We manage the underlying assets of the trust prior to the delivery of the K Certificate and determine which K Certificate will be delivered into the trust. Therefore, we have the power to direct the activities that are most significant to the WI K-Deal trust. We also initially have economic exposure to the variability of the trust through our guarantee of the issued WI Certificates. As a result, we are the primary beneficiary of and, therefore, initially consolidate the trusts used to issue WI Certificates. Other Securitization Products We are the primary beneficiary of and, therefore, consolidate the trusts used to issue certain of our other securitization products because we have the ability to direct the activities that most significantly affect the economic performance of the trusts and we have the obligation to absorb credit losses through our guarantee of some or all of the issued securities. As a result, we consolidated trusts used in these other securitization products with underlying assets totaling $19.3 billion and $14.3 billion at December 31, 2021 and December 31, 2020, respectively. During 2021 and 2020, we issued approximately $7.0 billion and $6.0 billion, respectively, of other securitization products that we consolidated. Consolidated VIEs We consolidated the VIEs for which we are the primary beneficiary as discussed above. Our exposure on debt securities of consolidated trusts represents our liability to third parties that hold beneficial interests in our consolidated trusts. When we consolidate a VIE, we recognize the assets and liabilities of the VIE on our consolidated balance sheets and account for those assets and liabilities based on the applicable GAAP for each specific type of asset or liability. Assets and liabilities that we transfer to a VIE at, after or shortly before the date we become the primary beneficiary of the VIE are initially measured at the same amounts that they would have been measured if they had not been transferred, and no gain or loss is recognized on these transfers. For all other VIEs that we consolidate, we recognize the assets and liabilities of the VIE at fair value, and we recognize a gain or loss for the difference between: n The sum of the fair value of the consideration paid, the fair value of any noncontrolling interests, and the reported amount of any previously held interests and n The net fair value of the assets and liabilities recognized. Guarantees to consolidated VIEs are eliminated in consolidation and are therefore not separately recognized on our consolidated balance sheets. |
Transfers and Servicing of Financial Assets, Policy | Loans held by these trusts are recognized on our consolidated balance sheets as mortgage loans held-for-investment. The corresponding securities held by third parties are recognized on our consolidated balance sheets as debt. We extinguish the outstanding debt securities of the related consolidated trust and recognize gains or losses on debt extinguishment for the difference between the consideration paid and the debt carrying value when we purchase these securities as investments in our mortgage-related investments portfolio. Sales of these securities that were previously held as investments in our mortgage-related investments portfolio are accounted for as debt issuances. We no longer issue securities with a 45-day payment delay. As a result, we are offering an optional exchange program for security holders to exchange certain existing fixed-rate Gold PCs and Giant PCs for corresponding UMBS and other applicable 55-day payment delay Freddie Mac securities. We make a one-time payment to exchanging security holders for the value of the 10 additional days of payment delay based on float compensation rates we calculate. When existing PCs are exchanged for UMBS or 55-day MBS under our exchange program, we account for the exchange as a debt modification, as the terms of the securities are not substantially different and the exchange does not result in a change in the creditor. The float compensation we pay in conjunction with the exchange is deferred as a basis adjustment to the debt and amortized into interest expense over the remaining life of the debt. See Note 4 and Note 8 for additional information on loans and debt securities of consolidated trusts. |
Revenue from Contract with Customer | With the exception of commingled securities, our investments in and guarantees of securities issued by resecuritization trusts do not create any incremental exposure to loss because we already guarantee the underlying collateral. As a result, we do not receive any incremental guarantee fees in exchange for our guarantee, and, accordingly, we do not recognize any additional guarantee assets, guarantee obligations or reserves for guarantee losses related to resecuritization trusts. In a typical multiclass resecuritization, we receive a one-time transaction fee which represents compensation for both the structuring and creation of the securities and for our ongoing administrative responsibilities to service the securities. We recognize the portion of the transaction fee related to creation of the securities immediately in earnings. We defer the portion of the fee related to ongoing administrative responsibilities and amortize it over the life of the associated trust. |
Mortgage Loans | 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 certain of our securitization activities or other mortgage-related guarantees. Upon acquisition, we classify a loan as either held-for-investment or held-for-sale. 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 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, fees we receive or pay when we acquire loans, commitment-related derivative basis adjustments, hedge accounting-related basis 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 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 determined on an individual loan basis on our 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 consolidated statements of comprehensive income, 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 consolidated statements of comprehensive income. 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)) on our consolidated statements of cash flows. Cash flows related to loans originally classified as held-for-sale are classified as operating activities on our consolidated statements of cash flows. |
Loans and Leases Receivable, Allowance for Loan Losses Policy | Allowance for Credit LossesOn January 1, 2020, we adopted CECL. The general 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. Allowance for Credit Losses Methodology Upon adoption of CECL on January 1, 2020, we began applying the below allowance for credit losses methodologies. We recognize changes in the allowance for credit losses through benefit (provision) for credit losses on our consolidated statements of comprehensive income (loss). Mortgage Loans Held-for-Investment Our allowance for credit losses on mortgage loans pertains to single-family and multifamily loans classified as held-for-investment for which we have not elected the fair value option. We measure the allowance for credit losses on a pooled 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 consolidated statements of comprehensive income (loss). Single-Family 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 term, adjusted for expectations of prepayments and TDRs we reasonably expect will occur. As a result, we do not revert to historical loss information for single-family loans. Cash flow estimates are discounted at the loan’s prepayment-adjusted effective interest rate, which is adjusted for projections in the underlying benchmark interest rate for adjustable-rate loans. We project cash flows we expect to collect using our historical experience, such as historical default rates and severity of loss, based on loan characteristics, such as current LTV ratios, delinquency status, geography, and borrowers' credit scores. These cash flow estimates are adjusted for current and future economic forecasts, such as current and forecasted interest rates and house price growth rates, and estimated recoveries from loss mitigation activities, attached credit enhancements, and disposition of collateral, less estimated disposition costs. Our estimate of expected credit losses is sensitive to changes in forecasted house price growth rates, which affect both the probability of default and severity of expected credit losses, and changes in forecasted interest rates, as declining (increasing) interest rates typically result in higher (lower) expected prepayments and a shorter (longer) estimated loan life, and therefore lower (higher) expected credit losses. Our forecast of house price growth rates leverages an internally based model and uses a nationwide house price growth forecast for the next three years. A Monte Carlo simulation generates many possible house price scenarios for up to 40 years for each metropolitan statistical area (MSA). These scenarios are used to estimate loan-level expected future cash flows and credit losses based on each loan’s individual characteristics. Our forecast of interest rates incorporates various interest rate scenarios over the remaining contractual life of the loan based on current interest rates and implied market volatilities. 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 determine 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. Attached credit enhancements are obtained contemporaneously with, and in contemplation of, the origination of a financial instrument, and effectively travel with the financial instrument upon sale. Attached credit enhancements include primary mortgage insurance, which provides us with loan-level protection up to a specified percentage. Expected recoveries from attached credit enhancements are considered in determining the allowance for loan losses as discussed above, resulting in a reduction in the recognized provision for credit losses by the amount of the expected recoveries. Subsequent to foreclosure and charge-off of the allowance for credit losses, we reclassify expected recoveries from attached credit enhancements that were previously offset against the allowance for credit losses as separate receivables. Multifamily 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 generally 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 nonrecourse 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 repayment of the loan is expected to be provided substantially through the operation or sale of the collateral, 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. Advances of Pre-foreclosure Costs 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. See Note 11 for additional information on advances of pre-foreclosure costs. Accrued Interest Receivable When we accrue interest on mortgage loans that are three or more monthly payments past due, we measure an allowance for expected credit losses on the unpaid accrued interest receivable balances such that the balance sheet reflects the net amount of accrued interest we expect to collect. For additional information on our policy for recognition of interest income on mortgage loans, see Note 4 . Off-Balance Sheet Credit Exposures We recognize 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 through 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 consolidated balance sheets, with changes recognized through benefit (provision) for credit losses on our 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. We obtain credit enhancements for certain of our guarantees through the creation of unguaranteed subordinated securities issued by nonconsolidated securitization trusts that absorb first losses prior to us having to perform on our guarantee of the senior securities. Expected recoveries from guarantee credit enhancements are considered when measuring the allowance for loan losses. Many of our guarantees have credit enhancement provided by subordination that exceeds the amount of expected credit losses. As a result, we recognize an allowance for credit losses on off-balance sheet credit exposures only if expected credit losses exceed the amount of subordination. 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. Freestanding Credit Enhancements Freestanding credit enhancements are entered into separately and apart from any other financial instruments or entered into in conjunction with some other transaction and are legally detachable and separately exercisable. Freestanding credit enhancements primarily include insurance/reinsurance transactions and STACR Trust notes transactions and are accounted for separately from the underlying mortgage loans or guarantees. Our allowance for credit losses does not consider expected recoveries from freestanding credit enhancements, which are recorded separately in other assets in our consolidated balance sheet. We recognize the payments we make to transfer credit risk under freestanding credit enhancements in credit enhancement expense in our consolidated statements of comprehensive income when they are incurred. We recognize expected recoveries from freestanding credit enhancements in other assets with an offsetting reduction to non-interest expense, 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 11 for additional information on credit enhancement assets. |
Non-Accrual Loans | 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. |
Impaired Loans | We considered a loan to be impaired when, based on current information, it was probable that we would not receive all amounts due (including both principal and interest) in accordance with the contractual terms of the original loan agreement. Single-family loans individually evaluated for impairment included TDRs, as well as loans acquired under our financial guarantees with deteriorated credit quality prior to 2010. Impairment of a single-family loan having undergone a TDR was generally measured as the excess of our recorded investment in the loan over the present value of the expected future cash flows, discounted at the loan's effective interest rate. Our expectation of future cash flows incorporated, among other items, an estimated probability of default which was based on a number of market factors as well as the characteristics of the loan, such as past due status. If we determined that foreclosure on the underlying collateral was probable, we measured impairment based upon the fair value of the collateral, as reduced by estimated disposition costs and adjusted for estimated proceeds from primary mortgage insurance and similar sources. Multifamily loans individually evaluated for impairment included TDRs, loans three monthly payments or more past due, and loans that were impaired based on management judgment. Multifamily loans were generally measured individually for impairment based on the fair value of the underlying collateral, as reduced by estimated disposition costs. |
Troubled Debt Restructurings | 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: n The requirements under U.S. GAAP for certain loan modifications that would otherwise be categorized as a TDR and n Any determination that such loan modifications would be considered a TDR, including the related impairment for accounting purposes. The relief provided by Section 4013 of the CARES Act has been extended by the Consolidated Appropriations Act, 2021. As a result, 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 January 1, 2022 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 the COVID-19 pandemic. Guidance issued by federal banking regulators and endorsed by the FASB staff has indicated that government-mandated modification or deferral programs related to the COVID-19 pandemic should not be accounted for as TDRs as the lender did not choose to grant a concession to the borrower. We have concluded that the forbearance programs we are offering under Section 4022 and Section 4023 of the CARES Act are government-mandated deferral programs related to the COVID-19 pandemic, and therefore we will not account for such modifications as TDRs. |
Loan reclassifications charge off policy change | We reclassify loans from held-for-investment to held-for-sale depending on our 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 reclassified 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 reclassification. If the write-off amount exceeds the existing allowance for credit losses amount, an additional provision for credit losses is recognized. Any remaining allowance for credit losses after the write-off is reversed through benefit (provision) for credit losses. 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 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. Prior to adoption of CECL, when we reclassified a loan from held-for-investment to held-for-sale, we wrote off the entire difference between the loan's amortized cost basis and its fair value if the loan had a history of credit-related issues. If the write-off amount exceeded the existing allowance for credit losses amount, an additional provision for credit losses was recorded. Any declines in loan fair value after the date of reclassification were recognized as a valuation allowance, with an offset recorded to investment gains (losses), net. |
Guarantees, Indemnifications and Warranties Policies | 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 upfront or 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. Guarantees to consolidated entities are eliminated in consolidation and therefore are not separately recognized on our consolidated balance sheets. The accounting treatment for guarantees provided to nonconsolidated entities or other third parties will depend on whether the guarantee contract qualifies as a financial guarantee. If the guarantee contract qualifies as a financial guarantee and exposes us to incremental credit risk, we will recognize both a guarantee obligation at fair value and the consideration we receive for providing the guarantee, which typically consists of a guarantee asset that represents the fair value of future guarantee fees. As a practical expedient, the measurement of the fair value of the guarantee obligation is set equal to the consideration we receive to provide the guarantee, and no gain or loss is recognized upon issuance of the guarantee. Subsequently, we recognize changes in the fair value of the guarantee asset in current period earnings and amortize the guarantee obligation into earnings as we are released from risk under the guarantee. We also recognize an allowance for expected credit losses over the contractual period in which we are exposed to credit risk. See Note 6 for additional information on our allowance for credit losses. If the guarantee contract provided to nonconsolidated entities does not qualify as a financial guarantee, that contract will generally be accounted for as a derivative instrument and measured at fair value with changes in fair value recognized immediately in earnings. |
Investments in Securities | We currently classify and account for our securities as either available-for-sale or trading. As of December 31, 2021 and December 31, 2020, we did not classify any securities as held-to-maturity, although we may elect to do so in the future. Securities classified as available-for-sale and trading are reported at fair value with changes in fair value included in AOCI, net of income taxes and investment gains (losses), net, respectively. See Note 17 for more information on how we determine the fair value of securities. We generally record purchases and sales of securities on the trade date when the related forward commitments are exempt from the accounting guidance for derivatives. Alternatively, we record purchases and sales of securities on the expected settlement date, with a corresponding derivative recorded on the trade date, when the related forward commitments are not exempt from the accounting guidance for derivatives. For most of our securities, interest income is recognized using the effective interest method, which considers the contractual terms of the security. Deferred items, including premiums, discounts, and other basis adjustments, are amortized into interest income over the contractual lives of the securities. For certain securities, interest income is recognized using the prospective effective interest method. We apply this method to securities that can contractually be prepaid or otherwise settled in such a way that we may not recover substantially all of our recorded investment. Under this method, we recognize as interest income, over the expected life of the securities, the excess of the cash flows expected to be collected over the securities' carrying value. We update our estimates of expected cash flows periodically and recognize changes in the calculated effective interest rate on a prospective basis. For securities classified as trading or available-for-sale, we classify the cash flows as investing activities because we hold these securities for investment purposes. In cases where the transfer of a security represents a secured borrowing, we classify the related cash flows as financing activities. |
Debt Securities Issued | Our debt is reported at amortized cost, with the exception of certain debt for which we elected the fair value option. Deferred items, including premiums, discounts, issuance costs, and hedge accounting-related basis adjustments, are reported as a component of total debt. These items are amortized and reported through interest expense using the effective interest method over the contractual life of the related indebtedness. Amortization of premiums, discounts, and issuance costs begins at the time of debt issuance. Amortization of hedge accounting-related basis adjustments begins upon the discontinuation of the related hedge relationship. A portion of our outstanding unsecured debt consists of credit-linked notes. The principal types of unsecured credit-linked debt are single-family STACR debt notes and multifamily SCR debt notes. For these unsecured debt issuances, we create a reference pool of mortgage assets (generally loans) to which we currently have credit risk exposure and an associated securitization-like structure with notional credit risk positions. To the extent a specified credit event occurs on the mortgage assets in the reference pool, the outstanding balance of our debt obligations is written down, thereby reducing our future principal and interest payment obligations, and the benefits are recognized as investment gains (losses), net on our consolidated statements of comprehensive income. We elected the fair value option on debt that contains embedded derivatives, including certain STACR and SCR debt notes, and certain other debt issuances. Changes in the fair value of these debt obligations are recorded in investment gains (losses), net, with any upfront costs and fees incurred or received in exchange for the issuance of the debt being recognized in earnings as incurred and not deferred. Related interest expense continues to be reported as interest expense based on the stated terms of the debt securities. For additional information on our election of the fair value option, see Note 17 . When we repurchase or call outstanding debt securities, we recognize the difference between the amount paid to redeem the debt security and the carrying value in earnings as a component of investment gains (losses), net. Contemporaneous transfers of cash between us and a creditor in connection with the issuance of a new debt security and satisfaction of an existing debt security are accounted for as either an extinguishment or a modification of an existing debt security. If the debt securities have substantially different terms, the transaction is accounted for as an extinguishment of the existing debt security. The issuance of a new debt security is recorded at fair value, fees paid to the creditor are expensed as incurred, and fees paid to third parties are deferred and amortized into interest expense over the life of the new debt security using the effective interest method. If the terms of the existing debt security and the new debt security are not substantially different, the transaction is accounted for as a modification of the existing debt. Fees paid to the creditor are deferred and amortized into interest expense over the life of the modified debt security using the effective interest method and fees paid to third parties are expensed as incurred. We also engage in dollar roll transactions whereby we enter into an agreement to sell and subsequently repurchase (or purchase and subsequently resell) agency securities. When these transactions involve securities issued by consolidated entities, they are treated as issuances and extinguishments of debt. |
Derivatives | Derivatives are reported at their fair value on our consolidated balance sheets. Changes in fair value and interest accruals on derivatives not in qualifying fair value hedge relationships are recorded as investment gains (losses), net on our consolidated statements of comprehensive income. Derivatives in a net asset position, including net derivative interest receivable or payable, are reported as derivative assets, net, which is included in other assets on our consolidated balance sheet. Similarly, derivatives in a net liability position, including net derivative interest receivable or payable, are reported as derivative liabilities, net, which is included in other liabilities on our consolidated balance sheet. We offset fair value amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral against fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting agreement. Non-cash collateral held is not recognized on our consolidated balance sheets as we do not obtain effective control over the collateral, and non-cash collateral posted is not de-recognized from our consolidated balance sheets as we do not relinquish effective control over the collateral. Therefore, non-cash collateral held or posted is not presented as an offset against derivative assets or derivative liabilities on our consolidated balance sheets. We evaluate whether financial instruments that we purchase or issue contain embedded derivatives. We generally elect to measure newly acquired or issued financial instruments that contain embedded derivatives at fair value, with changes in fair value recorded in earnings. On our consolidated statements of cash flows, cash flows related to the acquisition and termination of derivatives, other than forward commitments, are generally classified in investing activities. Cash flows related to forward commitments are classified within the section of the consolidated statements of cash flows in accordance with the cash flows of the financial instruments to which they relate. |
Derivatives, Methods of Accounting, Hedging Derivatives | We apply fair value hedge accounting to certain single-family mortgage loans where we hedge the changes in fair value of these loans attributable to the designated benchmark interest rate (i.e., LIBOR), using LIBOR-based interest-rate swaps. We also apply fair value hedge accounting to certain issuances of debt where we hedge the changes in fair value of the debt attributable to the designated benchmark interest rate (i.e., LIBOR), using LIBOR-based interest-rate swaps. Under the last-of-layer fair value hedge accounting strategy, we hedge the changes in fair value of a portion of a closed pool of single-family mortgage loans that is not expected to be affected by prepayments, defaults, and other events affecting the timing and amount of cash flows. As part of this strategy, we have also elected to measure the change in fair value of the hedged item on the basis of the benchmark rate component of the contractual coupon cash flows determined at the hedge inception and by assuming the hedged item has a term that reflects only the designated cash flows being hedged. We apply hedge accounting to qualifying hedge relationships. A qualifying hedge relationship exists when changes in the fair value of a derivative hedging instrument are expected to be highly effective in offsetting changes in the fair value of the hedged item attributable to the risk being hedged during the term of the hedge relationship. No amounts have been excluded from the assessment of hedge effectiveness. To assess hedge effectiveness, we use a statistical regression analysis. At inception of the hedge relationship, we prepare formal contemporaneous documentation of our risk management objective and strategies for undertaking the hedge. 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 consolidated statements of comprehensive income 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. Changes in the fair value of the hedged item attributable to the risk being hedged are recognized as a cumulative basis adjustment against the mortgage loans and debt. The cumulative basis adjustments are amortized to the same consolidated statements of comprehensive income line item used to present the changes in fair value of the hedged item using the effective interest method considering the contractual terms of the hedged item, with amortization beginning no later than the period in which hedge accounting was discontinued. |
Derivatives, Offsetting Fair Value Amounts, Policy | Offsetting of Financial Assets and LiabilitiesWhen we receive cash collateral, we recognize the amount received along with a corresponding obligation to return the collateral. When we post cash collateral, we derecognize the amount posted and record a corresponding asset for our right to receive the return of the collateral. We generally do not recognize or derecognize collateral received or pledged in the form of securities as the transferor in such arrangements does not relinquish effective control over the securities transferred. |
Repurchase and Resale Agreements and Dollar Roll Transactions | 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. We utilize the GSD/FICC as a clearinghouse to transact many of our trades involving securities purchased under agreements to resell, securities sold under agreements to repurchase, and other non-mortgage related securities. As a clearing member of GSD/FICC, we are required to post initial and variation margin payments and are exposed to the counterparty credit risk of GSD/FICC (including its clearing members). In the event a clearing member fails and causes losses to the GSD/FICC clearing system, we could be subject to the loss of the margin that we have posted to the GSD/FICC. Moreover, our exposure could exceed that amount, as members are generally required to cover losses caused by defaulting members on a pro rata basis. It is difficult to estimate our maximum exposure under these transactions, as this would require an assessment of transactions that we and other members of the GSD/FICC may execute in the future. Securities Sold Under Agreements to Repurchase |
Stockholders' Equity | 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 of Directors. The dividend is presented in the period in which it is determinable for the senior preferred stock, as a reduction to net income (loss) available to common stockholders and net income (loss) per common share. The dividend is declared and paid in the following period and recorded as a reduction to equity in the period declared. There were no cash dividends paid in 2021 or 2020. Dividends paid in cash during 2019 at the direction of the Conservator totaled $3.1 billion. See Note 2 for a discussion of our net worth sweep dividend. |
Stockholders' Equity Note, Redeemable Preferred Stock, Issue, Policy | No cash was received from Treasury under the Purchase Agreement in 2021 because we had positive net worth at December 31, 2020, March 31, 2021, June 30, 2021, and September 30, 2021 and, consequently, FHFA did not request a draw on our behalf in 2021. At December 31, 2021, our assets exceeded our liabilities under GAAP; therefore, no draw is being requested from Treasury under the Purchase Agreement. The aggregate liquidation preference of the senior preferred stock owned by Treasury was $98.0 billion as of December 31, 2021 and $86.5 billion as of December 31, 2020. Our quarterly senior preferred stock dividend requirement is currently 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. The applicable Capital Reserve Amount is currently the amount of adjusted total capital necessary to meet the capital requirements and buffers set forth in the ERCF. This Capital Reserve Amount will remain in effect until the last day of the second consecutive fiscal quarter during which we have reached and maintained such level of capital (the Capital Reserve End Date). As a result, we will not have a dividend requirement on the senior preferred stock until we have built sufficient capital to meet the capital requirements and buffers set forth in the ERCF. If, for any reason, we were not to pay our dividend requirement on the senior preferred stock in full in any future period until the Capital Reserve End Date, the unpaid amount would be added to the liquidation preference and the applicable Capital Reserve Amount would thereafter be zero. Common Stock Warrant Pursuant to the Purchase Agreement described in Note 2 , on September 7, 2008, we issued a warrant to purchase common stock to Treasury, in partial consideration of Treasury's commitment to provide funds to us. The warrant may be exercised in whole or in part at any time on or before September 7, 2028, by delivery to us of a notice of exercise, payment of the exercise price of $0.00001 per share and the warrant. If the market price of one share of our common stock is greater than the exercise price, then, instead of paying the exercise price, Treasury may elect to receive shares equal to the value of the warrant (or portion thereof being canceled) pursuant to the formula specified in the warrant. Upon exercise of the warrant, Treasury may assign the right to receive the shares of common stock issuable upon exercise to any other person. We account for the warrant in permanent equity. At issuance on September 7, 2008, we recognized the warrant at fair value, and we do not recognize subsequent changes in fair value while the warrant remains classified in equity. We recorded an aggregate fair value of $2.3 billion for the warrant as a component of additional paid-in-capital. We derived the fair value of the warrant using a modified Black-Scholes model. If the warrant is exercised, the stated value of the common stock issued will be reclassified to common stock on our consolidated balance sheets. The warrant was determined to be in-substance non-voting common stock, because the warrant's exercise price of $0.00001 per share is considered non-substantive (compared to the market price of our common stock). As a result, the shares associated with the warrant are included in the computation of basic and diluted earnings (loss) per share. The weighted average shares of common stock outstanding for the years ended December 31, 2021, 2020, and 2019 included shares of common stock that would be issuable upon full exercise of the warrant issued to Treasury. Preferred Stock We have the option to redeem our preferred stock on specified dates, at their redemption price plus dividends accrued through the redemption date. However, without the consent of Treasury, we are restricted from making payments to purchase or redeem preferred stock as well as paying any preferred dividends, other than dividends on the senior preferred stock. All 24 classes of preferred stock are perpetual and non-cumulative, and carry no significant voting rights or rights to purchase additional Freddie Mac stock or securities. Costs incurred in connection with the issuance of preferred stock are charged to additional paid-in capital. |
Earnings Per Common Share | During 2021, 2020, and 2019, we had participating securities related to RSUs with dividend equivalent rights that received dividends as declared on an equal basis with common shares but were not obligated to participate in undistributed net losses. These participating securities consisted of vested RSUs that earned 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. Our diluted earnings per common share is the same as our basic earnings per common share because we had no common equivalent shares outstanding during the periods presented which could have had a dilutive or antidilutive effect. |
Segment Reporting | the sum of each income statement line item for the two reportable segments is equal to that same income statement line item for the consolidated entity. We have discontinued the reclassifications of certain activities between various line items that were included in our previous measure of segment profit and loss. Prior period information has been revised to conform to the current period presentation. Segment Description Single-Family Reflects results from our purchase, securitization, and guarantee of single-family loans, our investments in single-family loans and mortgage-related securities, the management of Single-Family mortgage credit risk and market risk, and any results of our treasury function that are not allocated to each segment. Multifamily Reflects results from our purchase, securitization, and guarantee of multifamily loans, our investments in multifamily loans and mortgage-related securities, and the management of Multifamily mortgage credit risk and market risk. |
Fair Value Measurements | 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. |
Income Taxes | Income Tax Expense Total income tax expense includes: n Current income tax expense, which represents the amount of federal tax currently payable to or receivable from the Internal Revenue Service, including interest and penalties and amounts accrued for unrecognized tax benefits, if any, and n Deferred income tax expense, which represents the net change in the deferred tax asset or liability balance during the year, including any change in the valuation allowance. Deferred Tax Assets, Net We use the asset and liability method of accounting for income taxes for financial reporting purposes. Under this method, deferred tax assets and liabilities are recognized based upon the expected future tax consequences of existing temporary differences between the financial reporting and the tax reporting basis of assets and liabilities using enacted statutory tax rates as well as tax net operating loss and tax credit carryforwards, if any. To the extent tax laws change, deferred tax assets and liabilities are adjusted in the period that the tax change is enacted. The realization of our net deferred tax assets is dependent upon the generation of sufficient taxable income. |
Securitization Activities and_2
Securitization Activities and Consolidation (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [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 consolidated balance sheets. Table 3.1 - Consolidated VIEs (In millions) December 31, 2021 December 31, 2020 Consolidated Balance Sheet Line Item Assets: Cash and cash equivalents (includes $1,595 and $17,289 of restricted cash and cash equivalents) $1,596 $17,290 Securities purchased under agreements to resell 34,000 38,487 Investment securities, at fair value 420 591 Mortgage loans held-for-investment, net 2,784,626 2,273,347 Accrued interest receivable, net 7,019 7,134 Other assets 11,265 20,480 Total assets of consolidated VIEs $2,838,926 $2,357,329 Liabilities: Accrued interest payable $5,823 $5,610 Debt 2,803,054 2,308,176 Total liabilities of consolidated VIEs $2,808,877 $2,313,786 The following table presents the carrying amounts and classification of the assets and liabilities recorded on our consolidated balance sheets related to VIEs for which we are not the primary beneficiary and with which we were involved in the design and creation and have a significant continuing involvement. Our involvement with such VIEs primarily consists of investments in debt securities issued by resecuritization trusts and guarantees of senior securities issued by certain Multifamily securitization trusts. Table 3.2 - Nonconsolidated VIEs (In millions) December 31, 2021 December 31, 2020 Assets and Liabilities Recorded on our Consolidated Balance Sheets (1) Assets: Investment securities, at fair value $16,506 $28,459 Accrued interest receivable, net 220 239 Other assets (2) 5,589 5,614 Liabilities: Debt 67 — Other liabilities (3) 5,172 4,562 (1) Includes our variable interests in REMICs and Strips, K Certificates, SB Certificates, certain senior subordinate securitization structures, and other securitization products that we do not consolidate. (2) Primarily includes guarantee assets. |
Mortgage Loans (Tables)
Mortgage Loans (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
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 consolidated balance sheets. Table 4.1 - Mortgage Loans December 31, 2021 December 31, 2020 (In millions) Single-Family Multifamily Total Single-Family Multifamily Total Held-for-sale UPB $5,446 $14,871 $20,317 $10,702 $23,789 $34,491 Cost basis and fair value adjustments, net (813) 274 (539) (1,637) 798 (839) Total held-for-sale loans, net 4,633 15,145 19,778 9,065 24,587 33,652 Held-for-investment UPB 2,742,851 26,657 2,769,508 2,271,576 21,923 2,293,499 Cost basis adjustments 63,684 86 63,770 62,415 54 62,469 Allowance for credit losses (4,913) (34) (4,947) (5,628) (104) (5,732) Total held-for-investment loans, net 2,801,622 26,709 2,828,331 2,328,363 21,873 2,350,236 Total mortgage loans, net $2,806,255 $41,854 $2,848,109 $2,337,428 $46,460 $2,383,888 Table 4.2 - Loans Purchased, Reclassified from Held-for-Investment to Held-for-Sale, and Sold Year Ended December 31, (In billions) 2021 2020 2019 Single-Family Purchases: Held-for-investment loans $1,215.3 $1,085.9 $451.2 Reclassified from held-for-investment to held-for-sale (1) 1.6 4.6 13.6 Sale of held-for-sale loans (2) 5.5 9.0 13.1 Multifamily Purchases: Held-for-investment loans 9.4 9.6 9.5 Held-for-sale loans 59.1 69.7 65.3 Reclassified from held-for-investment to held-for-sale (1) 2.6 2.7 1.9 Sale of held-for-sale loans (3) 70.4 66.7 71.3 (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 17 . (2) Our sales of single-family loans reflect the sale of single-family seasoned loans. (3) Our sales of multifamily loans occur primarily through the issuance of Multifamily K Certificates and SB Certificates. See Note 3 for more information on our K Certificates and SB Certificates. The table below presents the allowance for credit losses or valuation allowance that was reversed or established due to loan reclassifications between held-for-investment and held-for-sale during the periods presented. Table 4.3 - Loan Reclassifications 2021 2020 (In millions) UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed Single-Family reclassifications from: Held-for-investment to held-for-sale (1) $1,642 $66 $— $4,628 $300 $— Held-for-sale to held-for-investment (2) 266 18 — 1,721 147 34 Multifamily reclassifications from: Held-for-investment to held-for-sale 2,602 7 — 2,703 9 (6) Held-for-sale to held-for-investment 76 — — 775 (1) 4 (1) Prior to reclassification from held-for-investment to held-for-sale, we charged off $57 million against the allowance for credit losses during 2021 compared to $264 million during 2020. (2) Allowance for credit losses reversed upon reclassifications from held-for-sale to held-for-investment for loans that were previously charged off and the present values of expected future cash flows were in excess of the amortized cost basis upon reclassification. |
Table - Amortized Cost Basis of Held-for-Investment Loans on Non-accrual | The table below presents the amortized cost basis of non-accrual loans as of the beginning and the end of the periods presented, including the interest income recognized for the period that is related to the loans on non-accrual status as of the period end. Table 4.4 - Amortized Cost Basis of Held-for-Investment Loans on Non-accrual Non-accrual Amortized Cost Basis Interest Income Recognized (1) (In millions) January 1, 2021 December 31, 2021 Year Ended Single-Family: 20- and 30-year or more, amortizing fixed-rate $12,151 $17,013 $197 15-year amortizing fixed-rate 696 844 7 Adjustable-rate 193 233 1 Alt-A, interest-only, and option ARM 637 560 7 Total Single-Family 13,677 18,650 212 Total Multifamily — — — Total Single-Family and Multifamily $13,677 $18,650 $212 Non-accrual Amortized Cost Basis Interest Income Recognized (1) (In millions) January 1, 2020 December 31, 2020 Year Ended Single-Family: 20- and 30-year or more, amortizing fixed-rate $5,598 $12,151 $235 15-year amortizing fixed-rate 242 696 10 Adjustable-rate 91 193 3 Alt-A, interest-only, and option ARM 439 637 10 Total Single-Family 6,370 13,677 258 Total Multifamily 13 — — Total Single-Family and Multifamily $6,383 $13,677 $258 (1) Represents the amount of payments received during the period, including those received while the loans were on accrual status, for the held-for-investment loans on non-accrual status as of period end. |
Table - Accrued Interest Receivable, Net and Related Charge-offs | Table 4.5 - Accrued Interest Receivable, Net and Related Charge-offs Accrued Interest Receivable, Net Accrued Interest Receivable Related Charge-offs (In millions) December 31, 2021 December 31, 2020 Year Ended Year Ended Single-Family loans $7,065 $7,292 ($742) ($333) Multifamily loans 125 139 — — |
Table - Amortized Cost Basis of Held-For-Investment Mortgage Loans, by LTV Ratio and Vintage, and by Credit Classification | Table 4.6 - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratio and Vintage December 31, 2021 Year of Origination Total (In millions) 2021 2020 2019 2018 2017 Prior Current LTV Ratio: 20- and 30-year or more, amortizing fixed-rate ≤ 60 $260,244 $397,680 $77,812 $39,143 $61,434 $405,467 $1,241,780 > 60 to 80 467,193 334,560 60,570 18,914 12,715 17,354 911,306 > 80 to 90 124,074 28,944 2,034 482 208 818 156,560 > 90 to 100 66,851 1,083 126 45 29 309 68,443 > 100 75 2 4 8 18 328 435 Total 20- and 30-year or more, amortizing fixed-rate 918,437 762,269 140,546 58,592 74,404 424,276 2,378,524 15-year amortizing fixed-rate ≤ 60 93,732 111,899 17,335 7,161 13,602 78,001 321,730 > 60 to 80 52,521 18,834 1,136 137 54 36 72,718 > 80 to 90 3,785 168 6 2 2 3 3,966 > 90 to 100 598 2 1 1 1 2 605 > 100 4 — — 1 1 3 9 Total 15-year amortizing fixed-rate 150,640 130,903 18,478 7,302 13,660 78,045 399,028 Adjustable-rate ≤ 60 2,054 1,554 727 543 1,657 10,011 16,546 > 60 to 80 2,435 535 209 90 190 151 3,610 > 80 to 90 417 16 6 3 4 2 448 > 90 to 100 116 — — — — 1 117 > 100 1 — — — — — 1 Total Adjustable-rate 5,023 2,105 942 636 1,851 10,165 20,722 Alt-A, Interest-only, and option ARM ≤ 60 — — — — — 7,506 7,506 > 60 to 80 — — — — — 644 644 > 80 to 90 — — — — — 64 64 > 90 to 100 — — — — — 29 29 > 100 — — — — — 18 18 Total Alt-A, Interest-only, and option ARM — — — — — 8,261 8,261 Total Single-Family loans $1,074,100 $895,277 $159,966 $66,530 $89,915 $520,747 $2,806,535 Total for all loan product types by Current LTV ratio: ≤ 60 $356,030 $511,133 $95,874 $46,847 $76,693 $500,985 $1,587,562 > 60 to 80 522,149 353,929 61,915 19,141 12,959 18,185 988,278 > 80 to 90 128,276 29,128 2,046 487 214 887 161,038 > 90 to 100 67,565 1,085 127 46 30 341 69,194 > 100 80 2 4 9 19 349 463 Total Single-Family loans $1,074,100 $895,277 $159,966 $66,530 $89,915 $520,747 $2,806,535 December 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 ≤ 60 $203,333 $52,820 $33,139 $64,834 $115,978 $431,406 $901,510 > 60 to 80 437,107 141,094 64,236 59,110 40,614 44,636 786,797 > 80 to 100 206,457 53,926 8,822 2,117 654 3,983 275,959 > 100 202 7 25 64 61 948 1,307 Total 20- and 30-year or more, amortizing fixed-rate 847,099 247,847 106,222 126,125 157,307 480,973 1,965,573 15-year amortizing fixed-rate ≤ 60 78,269 17,753 9,914 19,650 29,916 83,842 239,344 > 60 to 80 67,904 12,169 2,195 961 215 135 83,579 > 80 to 100 8,553 400 17 12 9 17 9,008 > 100 21 — 3 5 3 7 39 Total 15-year amortizing fixed-rate 154,747 30,322 12,129 20,628 30,143 84,001 331,970 Adjustable-rate ≤ 60 1,427 850 731 2,429 2,042 12,993 20,472 > 60 to 80 1,403 877 537 1,061 329 528 4,735 > 80 to 100 232 125 34 29 2 8 430 > 100 — — — — — 1 1 Total adjustable-rate 3,062 1,852 1,302 3,519 2,373 13,530 25,638 Alt-A, Interest-only, and option ARM ≤ 60 — — — — — 8,620 8,620 > 60 to 80 — — — — — 1,818 1,818 > 80 to 100 — — — — — 314 314 > 100 — — — — — 58 58 Total Alt-A, interest-only, and option ARM — — — — — 10,810 10,810 Total Single-Family loans $1,004,908 $280,021 $119,653 $150,272 $189,823 $589,314 $2,333,991 Total for all loan product types by Current LTV ratio: ≤ 60 $283,029 $71,423 $43,784 $86,913 $147,936 $536,861 $1,169,946 > 60 to 80 506,414 154,140 66,968 61,132 41,158 47,117 876,929 > 80 to 100 215,242 54,451 8,873 2,158 665 4,322 285,711 > 100 223 7 28 69 64 1,014 1,405 Total Single-Family loans $1,004,908 $280,021 $119,653 $150,272 $189,823 $589,314 $2,333,991 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 borrower's current financial strength and debt service capacity; n "Special mention" has administrative issues that may affect future repayment prospects but does not have current credit weaknesses. In addition, this category generally includes loans in forbearance; n "Substandard" has a weakness that jeopardizes the timely full repayment; and n "Doubtful" has a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions. Table 4.7 - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator and Vintage December 31, 2021 Year of Origination Total (In millions) 2021 2020 2019 2018 2017 Prior Revolving Loans Category: Pass $6,955 $7,116 $5,273 $979 $610 $2,795 $2,275 $26,003 Special mention — 40 372 — 3 42 — 457 Substandard — 62 171 4 2 44 — 283 Doubtful — — — — — — — — Total $6,955 $7,218 $5,816 $983 $615 $2,881 $2,275 $26,743 December 31, 2020 Year of Origination Total (In millions) 2020 2019 2018 2017 2016 Prior Revolving Loans Category: Pass $7,486 $6,491 $1,075 $722 $590 $2,715 $2,024 $21,103 Special mention — 524 115 — 8 108 — 755 Substandard — — 6 41 — 72 — 119 Doubtful — — — — — — — — Total $7,486 $7,015 $1,196 $763 $598 $2,895 $2,024 $21,977 |
Table - Payment Status of Mortgage Loans | The table below presents the amortized cost basis of our single-family and multifamily held-for-investment loans, by payment status. Pursuant to FHFA guidance and the CARES Act, we have offered mortgage relief options for borrowers affected by the COVID-19 pandemic. Among other things, we have offered forbearance to single-family and multifamily borrowers experiencing a financial hardship, either directly or indirectly, related to the COVID-19 pandemic. We report single-family loans in forbearance as past due during the forbearance period to the extent that payments are past due based on the loan's original contractual terms, irrespective of the forbearance plan, based on the information reported to us by our servicers. We report multifamily loans in forbearance as current as long as the borrower is in compliance with the forbearance agreement, including the agreed upon repayment plan, even if payments are past due based on the loan's original contractual terms. Table 4.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status December 31, 2021 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure (1) Total Three Months or More Past Due and Accruing Interest Non-accrual With No Allowance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate $2,338,076 $14,833 $3,214 $22,401 $2,378,524 $5,784 $857 15-year amortizing fixed-rate 396,030 1,550 230 1,218 399,028 392 13 Adjustable-rate 20,302 105 31 284 20,722 54 8 Alt-A, interest-only, and option ARM 7,450 175 58 578 8,261 41 94 Total Single-Family 2,761,858 16,663 3,533 24,481 2,806,535 6,271 972 Total Multifamily (3) 26,743 — — — 26,743 — — Total Single-Family and Multifamily $2,788,601 $16,663 $3,533 $24,481 $2,833,278 $6,271 $972 Referenced footnotes are included after the prior period table. December 31, 2020 (In millions) Current One Month Past Due Two Months Past Due Three Months or (1) Total Three Months or More Past Due and Accruing Interest Non-accrual With No Allowance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate $1,891,981 $15,798 $5,941 $51,853 $1,965,573 $40,162 $648 15-year amortizing fixed-rate 326,651 1,439 429 3,451 331,970 2,723 11 Adjustable-rate 24,483 192 79 884 25,638 690 5 Alt-A, interest-only, and option ARM 9,227 292 130 1,161 10,810 538 115 Total Single-Family 2,252,342 17,721 6,579 57,349 2,333,991 44,113 779 Total Multifamily (3) 21,977 — — — 21,977 — — Total Single-Family and Multifamily $2,274,319 $17,721 $6,579 $57,349 $2,355,968 $44,113 $779 (1) Includes $0.7 billion and $1.0 billion of loans that were in the process of foreclosure as of December 31, 2021 and December 31, 2020, respectively. (2) Loans with no allowance for loan losses primarily represent those loans that were previously charged-off and therefore the collateral value is sufficiently in excess of the amortized cost to result in recovery of the entire amortized cost basis if the property were foreclosed upon or otherwise subject to disposition. We exclude the amounts of allowance for credit losses on accrued interest receivable and advances of pre-foreclosure costs when determining whether a loan has an allowance for credit losses. |
Table- Single-Family TDR Modification Metrics | The table below provides details of our single-family loan modifications that were classified as TDRs during the periods presented. Table 4.9 - Single-Family TDR Modification Metrics 2021 2020 2019 Percentage of single-family loan modifications that were classified as TDRs with: Interest rate reductions and related term extensions 13 % 15 % 9 % Principal forbearance and related interest rate reductions and term extensions 33 22 23 Average coupon interest rate reduction 0.4 % 0.3 % 0.1 % Average months of term extension 155 179 180 |
Table - TDR Activity | The table below presents the volume of single-family and multifamily loans that were newly classified as TDRs. 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 Year Ended December 31, 2021 2020 2019 (Dollars in millions) Number of Loans Post-TDR Amortized Cost Basis Number of Loans Post-TDR Number of Loans Post-TDR Single-Family (1)(2) : 20- and 30-year or more, amortizing fixed-rate 13,448 $2,368 22,471 $4,169 25,924 $4,331 15-year amortizing fixed-rate 1,620 167 2,584 283 3,018 296 Adjustable-rate 172 31 334 59 529 86 Alt-A, interest-only, and option ARM 508 65 1,300 204 1,523 219 Total Single-Family 15,748 2,631 26,689 4,715 30,994 4,932 Multifamily — — — — — — (1) The pre-TDR amortized cost basis for single-family loans initially classified as TDRs during the years ended December 31, 2021, December 31, 2020, and December 31, 2019 was $2.6 billion , $4.7 billion, and $4.9 billion, respectively. (2) Includes certain bankruptcy events and forbearance plans, repayment plans, payment deferral plans, and modification activities that do not qualify for the temporary relief related to TDRs provided by the CARES Act, based on servicer reporting at the time of the TDR event. |
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. Table 4.11 - Payment Defaults of Completed TDR Modifications Year Ended December 31, 2021 2020 2019 (Dollars in millions) Number of Loans Post-TDR Amortized Cost Basis 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 3,044 $535 10,339 $1,869 13,428 $1,702 15-year amortizing fixed-rate 121 13 482 58 451 36 Adjustable-rate 30 5 130 19 132 15 Alt-A, interest-only, and option ARM 337 53 749 144 871 129 Total Single-Family 3,532 606 11,700 2,090 14,882 1,882 Multifamily — — — — — — |
Guarantees and Other Off-Bala_2
Guarantees and Other Off-Balance Sheet Credit Exposures (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Guarantees [Abstract] | |
Table - Financial Guarantees | Table 5.1 - Financial Guarantees December 31, 2021 December 31, 2020 ( Dollars in millions , terms in years) Maximum (1) Recognized (2) Maximum Maximum (1) Recognized (2) Maximum Single-Family: Securitization activity guarantees $27,975 $398 39 $29,739 $401 39 Other mortgage-related guarantees 10,588 251 30 9,215 193 30 Total Single-Family $38,563 $649 $38,954 $594 Multifamily: Securitization activity guarantees $317,006 $4,663 38 $287,334 $4,031 39 Other mortgage-related guarantees 10,456 404 32 10,721 425 33 Total Multifamily $327,462 $5,067 $298,055 $4,456 Other guarantees $69,799 $1,652 30 $47,703 $794 30 Fannie Mae securities backing Freddie Mac resecuritization products 111,150 — 40 85,841 — 41 (1) The maximum exposure represents the contractual amounts that could be lost if counterparties or borrowers defaulted, without consideration of proceeds from related collateral liquidation and possible recoveries under credit enhancements. For other guarantees, this amount primarily represents the notional value or UPB of our interest-rate and market value guarantees and guarantees of third-party derivatives. For certain of our other guarantees, our exposure may be unlimited; however, we generally reduce our exposure through separate derivative contracts with third parties. (2) For securitization activity guarantees and other mortgage-related guarantees, this amount represents the guarantee obligation on our consolidated balance sheets and excludes our allowance for credit losses on off-balance sheet credit exposures. For other guarantees, 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 December 31, 2021 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure Total (1) Single-Family $38,964 $2,040 $692 $2,341 $44,037 Multifamily (2) 370,541 47 7 317 370,912 Total $409,505 $2,087 $699 $2,658 $414,949 December 31, 2020 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure Total (1) Single-Family $37,187 $2,204 $945 $3,922 $44,258 Multifamily (2) 339,614 87 62 557 340,320 Total $376,801 $2,291 $1,007 $4,479 $384,578 (1) Loan-level payment status is not available for certain guarantees totaling $0.4 billion and $0.7 billion as of December 31, 2021 and December 31, 2020, respectively, and therefore is not included in the tables above. (2) As of December 31, 2021 and December 31, 2020, includes $1.3 billion and $6.9 billion, respectively, of multifamily loans in forbearance that are reported as current. |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Credit Loss [Abstract] | |
Table - Allowance for Credit Losses | The table below summarizes changes in our allowance for credit losses. Table 6.1 - Details of the Allowance for Credit Losses December 31, 2021 December 31, 2020 December 31, 2019 (In millions) Single-Family Multifamily Total Single-Family Multifamily Total Single-Family Multifamily Total Beginning balance (1) $6,353 $200 $6,553 $5,233 $68 $5,301 $6,176 $15 $6,191 Provision (benefit) for credit losses (919) (122) (1,041) 1,320 132 1,452 (749) 3 (746) Charge-offs (1,107) — (1,107) (592) — (592) (1,737) — (1,737) Recoveries collected 197 — 197 210 — 210 452 — 452 Other (2) 916 — 916 182 — 182 126 — 126 Ending balance $5,440 $78 $5,518 $6,353 $200 $6,553 $4,268 $18 $4,286 Components of the ending balance of the allowance for credit losses: Mortgage loans held-for-investment $4,913 $34 $4,947 $5,628 $104 $5,732 $4,222 $12 $4,234 Advances of pre-foreclosure costs 450 — 450 536 — 536 — — — Accrued interest receivable on mortgage loans 24 — 24 140 — 140 — — — Off-balance sheet credit exposures 53 44 97 49 96 145 46 6 52 Total $5,440 $78 $5,518 $6,353 $200 $6,553 $4,268 $18 $4,286 (1) Includes transition adjustments recognized upon the adoption of CECL on January 1, 2020. |
Table - Individually Impaired Loans | The table below presents the average recorded investment and interest income recognized for individually impaired loans. Table 6.2 - Individually Impaired Loans Year Ended December 31, 2019 (In millions) 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 $2,450 $262 $7 15-year amortizing fixed-rate 20 1 — Adjustable rate 200 11 — Alt-A, interest-only, and option ARM 891 66 1 Total with no allowance recorded 3,561 340 8 With an allowance recorded: (2) 20- and 30-year or more, amortizing fixed-rate 32,960 1,805 156 15-year amortizing fixed-rate 653 22 4 Adjustable rate 135 6 2 Alt-A, interest-only, and option ARM 3,917 226 20 Total with an allowance recorded 37,665 2,059 182 Combined Single-Family: 20- and 30-year or more, amortizing fixed-rate 35,410 2,067 163 15-year amortizing fixed-rate 673 23 4 Adjustable rate 335 17 2 Alt-A, interest-only, and option ARM 4,808 292 21 Total Single-Family 41,226 2,399 190 Multifamily: With no allowance recorded (1) 83 5 1 With an allowance recorded — — — Total Multifamily 83 5 1 Total Single-Family and Multifamily $41,309 $2,404 $191 (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. |
Investment Securities (Tables)
Investment Securities (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Table - Investments Securities | The table below summarizes the fair values of our investments in debt securities by classification. Table 7.1 - Investment Securities (In millions) December 31, 2021 December 31, 2020 Trading securities $49,003 $44,458 Available-for-sale securities 4,012 15,367 Total fair value of investment securities $53,015 $59,825 |
Table - Trading Securities | The table below presents the estimated fair values for our securities classified as trading. Our non-mortgage-related securities primarily consist of investments in U.S. Treasury securities. Table 7.2 - Trading Securities (In millions) December 31, 2021 December 31, 2020 Mortgage-related securities $16,231 $17,505 Non-mortgage-related securities 32,772 26,953 Total fair value of trading securities $49,003 $44,458 |
Table - Available-For-Sale Securities | The table below presents the amortized cost, gross unrealized gains and losses, and fair value for our securities classified as available-for-sale. Table 7.3 - Available-for-Sale Securities (In millions) Amortized Cost Basis Gross Unrealized Gross Unrealized Fair Accrued Interest Receivable December 31, 2021 $3,638 $376 ($2) $4,012 $10 December 31, 2020 14,344 1,027 (4) 15,367 40 |
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 7.4 - Gross Realized Gains and Gross Realized Losses from Sales of Available-for-Sale Securities Year Ended December 31, (In millions) 2021 2020 2019 Gross realized gains $540 $501 $219 Gross realized losses (60) (108) (49) Net realized gains $480 $393 $170 |
Debt (Tables)
Debt (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Debt Disclosure [Abstract] | |
Table - Total Debt, Net | The table below summarizes the balances of total debt per our consolidated balance sheets. Table 8.1 - Total Debt December 31, (In millions) 2021 2020 Debt securities of consolidated trusts held by third parties $2,803,054 $2,308,176 Debt of Freddie Mac: Short-term debt — 4,955 Long-term debt 177,131 279,415 Total Debt of Freddie Mac 177,131 284,370 Total debt $2,980,185 $2,592,546 |
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 December 31, 2021 December 31, 2020 (Dollars in millions) Contractual Maturity UPB Carrying Amount (1) Weighted Average Coupon (2) Contractual Maturity UPB Carrying Amount (1) Weighted Average Coupon (2) Single-Family: 30-year or more, fixed-rate 2022 - 2061 $2,178,150 $2,235,903 2.63 % 2021 - 2060 $1,799,065 $1,855,438 3.07 % 20-year fixed-rate 2022 - 2042 129,193 132,410 2.40 2021 - 2041 97,520 100,498 2.84 15-year fixed-rate 2022 - 2037 379,805 388,893 2.14 2021 - 2036 303,142 310,612 2.46 Adjustable-rate 2022 - 2052 21,546 22,038 2.30 2021 - 2051 23,964 24,484 2.76 Interest-only 2026 - 2051 2,702 2,883 2.42 2026 - 2041 3,671 3,736 3.15 FHA/VA 2022 - 2051 822 838 3.61 2021 - 2050 752 769 4.04 Total Single-Family 2,712,218 2,782,965 2,228,114 2,295,537 Multifamily 2022 - 2051 19,838 20,089 2.17 2021 - 2050 12,488 12,639 2.43 Total debt securities of consolidated trusts held by third parties $2,732,056 $2,803,054 $2,240,602 $2,308,176 (1) Includes $1,094 million and $205 million at December 31, 2021 and December 31, 2020, respectively, of debt securities of consolidated trusts that represents the fair value of debt for which the fair value option has been elected. (2) The effective rate for debt securities of consolidated trusts held by third parties was 1.71% and 1.76% as of December 31, 2021 and December 31, 2020, respectively. |
Table - Other Short-term Debt | The table below summarizes the balances and effective interest rates for short-term debt. Table 8.3 - Short-Term Debt December 31, 2021 December 31, 2020 (Dollars in millions) Par Value Carrying Amount Weighted Average Effective Rate Par Value Carrying Amount Weighted Average Effective Rate Short-term debt: Discount notes and Reference Bills $— $— — % $11 $11 0.69 % Medium-term notes — — — 4,944 4,944 1.31 Securities sold under agreements to repurchase 7,333 7,333 (0.10) — — — Offsetting arrangements (1) (7,333) (7,333) — — Total short-term debt $— $— — % $4,955 $4,955 1.31 % (1) We offset payables related to securities sold under agreements to repurchase against receivables related to securities purchased under agreements to resell on our consolidated balance sheets, when such amounts meet the conditions for offsetting in the accounting guidance. |
Table - Other Long-term Debt | The table below summarizes our long-term debt. Table 8.4 - Long-Term Debt December 31, 2021 December 31, 2020 (Dollars in millions) Contractual Maturity Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Contractual Maturity Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Long-term debt: Fixed-rate: Medium-term notes — callable 2022 - 2050 $68,411 $68,364 0.80 % 2021 - 2050 $122,967 $122,895 0.71 % Medium-term notes — non-callable 2022 - 2028 6,551 6,573 0.54 2021 - 2028 7,710 7,758 0.75 Reference Notes securities — non-callable 2022 - 2032 59,412 59,413 1.19 2021 - 2032 64,162 64,124 1.55 STACR and SCR debt notes 2031 - 2042 103 106 12.69 2031 - 2042 111 114 12.71 Variable-rate: Medium-term notes — callable 2022 - 2025 166 166 1.75 2021 - 2025 371 371 1.93 Medium-term notes — non-callable 2022 - 2026 33,090 33,087 0.23 2021 - 2026 68,838 68,824 0.63 STACR 2023 - 2042 9,036 8,875 4.13 2023 - 2042 12,377 12,228 4.10 Zero-coupon: Medium-term notes — non-callable 2022 - 2039 4,846 2,740 6.05 2021 - 2039 4,850 2,578 5.99 Other 2047 - 2051 — 74 0.45 2047 - 2050 — 57 0.49 Hedging-related basis adjustments N/A (2,267) N/A 466 Total long-term debt $181,615 $177,131 1.07 % $281,386 $279,415 1.09 % (1) Represents par value, net of associated discounts or premiums and issuance costs. Includes $1.4 billion and $2.4 billion at December 31, 2021 and December 31, 2020, respectively, of long term-debt that represents the fair value of debt for which the fair value option has been elected. (2) Based on carrying amount, excluding hedge-related basis adjustments. |
Table - Contractual Maturity of Other Long-term Debt and Debt Securities of Consolidated Trusts Held by Third Parties | The table below summarizes the contractual maturities of long-term debt securities at December 31, 2021. Table 8.5 - Contractual Maturities of Long-Term Debt and Debt Securities (In millions) Amounts Annual Maturities Long-term debt (excluding STACR and SCR debt notes): 2022 $48,625 2023 38,688 2024 13,274 2025 35,436 2026 4,717 Thereafter 31,736 Debt securities of consolidated trusts held by third parties, STACR, and SCR debt notes (1) 2,741,195 Total 2,913,671 Net discounts, premiums, debt issuance costs, hedge-related, and other basis adjustments (2) 66,514 Total debt securities of consolidated trusts held by third parties, STACR, SCR and long-term debt $2,980,185 (1) Contractual maturities of these debt securities are not presented because they are subject to prepayment risk, as their payments are based upon the performance of a pool of mortgage assets that may be prepaid by the related mortgage borrower at any time generally without penalty. (2) Other basis adjustments primarily represent changes in fair value on debt where we have elected the fair value option. |
Derivatives (Tables)
Derivatives (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
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 consolidated balance sheets. Table 9.1 - Derivative Assets and Liabilities at Fair Value December 31, 2021 December 31, 2020 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 risk management derivatives: Swaps $561,393 $1,748 ($3,319) $559,596 $2,639 ($7,091) Written options 34,861 — (1,597) 18,259 — (735) Purchased options (1) 137,873 3,585 — 169,995 5,265 — Futures 126,528 — — 181,702 — — Total interest-rate risk management derivatives 860,655 5,333 (4,916) 929,552 7,904 (7,826) Mortgage commitment derivatives: Forward contracts to purchase mortgage loans 7,582 15 (5) 37,122 183 — Forward contracts to purchase mortgage-related securities 16,605 26 (8) 45,185 203 — Forward contracts to sell mortgage-related securities 59,469 38 (73) 136,802 2 (759) Total mortgage commitment derivatives 83,656 79 (86) 219,109 388 (759) CRT-related derivatives 33,351 15 (37) 28,949 61 (47) Other 4,335 2 (21) 4,029 2 (16) Total derivatives not designated as hedges 981,997 5,429 (5,060) 1,181,639 8,355 (8,648) Designated as fair value hedges Interest-rate risk management derivatives: Swaps 154,819 37 (2,689) 180,686 224 (500) Total derivatives designated as fair value hedges 154,819 37 (2,689) 180,686 224 (500) Derivative interest receivable (payable) (2) 360 (413) 455 (523) Netting adjustments (3) (5,366) 7,880 (7,829) 8,717 Total derivative portfolio, net $1,136,816 $460 ($282) $1,362,325 $1,205 ($954) (1) Includes swaptions on credit indices with a notional or contractual amount of $9.4 billion and $16.8 billion at December 31, 2021 and December 31, 2020, respectively, and a fair value of $1.0 million and $9.0 million at December 31, 2021 and December 31, 2020, respectively. (2) Includes other derivative receivables and payables. |
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 consolidated statements of comprehensive income (loss) as investment gains (losses), net. Table 9.2 - Gains and Losses on Derivatives Year Ended December 31, (In millions) 2021 2020 2019 Not designated as hedges Interest-rate risk management derivatives: Swaps $2,851 ($1,627) ($3,085) Written options (77) (161) (235) Purchased options (982) 2,404 423 Futures 235 (2,442) (946) Total interest-rate risk management derivatives fair value gains (losses) 2,027 (1,826) (3,843) Mortgage commitment derivatives 713 (1,856) (452) CRT-related derivatives (41) 163 (1) Other 30 57 52 Total derivatives not designated as hedges fair value gains (losses) 2,729 (3,462) (4,244) Accrual of periodic cash settlements on swaps (1) (1,578) (1,576) (272) Total $1,151 ($5,038) ($4,516) (1) Includes interest on variation margin on cleared interest-rate swaps. |
Table - Gains and Losses on Fair Value Hedge | Fair Value Hedges The table below presents the effects of fair value hedge accounting by 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 Year Ended December 31, 2021 2020 2019 (In millions) Interest Income Interest Expense Interest Income Interest Expense Interest Income Interest Expense Total amounts of income and expense line items presented on our consolidated statements of comprehensive income in which the effects of fair value hedges are recorded: $61,527 ($43,947) $62,340 ($49,569) $72,895 ($61,047) Interest contracts on mortgage Gain or (loss) on fair value hedging relationships: Hedged items (457) — 5,071 — 4,569 — Derivatives designated as hedging instruments 529 — (4,836) — (4,309) — Interest accruals on hedging instruments (433) — (434) — (48) — Discontinued hedge related basis (1,884) — (2,840) — (446) — Interest contracts on debt: Gain or (loss) on fair value hedging relationships: Hedged Items — 2,698 — (49) — (1,038) Derivatives designated as hedging instruments — (2,895) — 11 — 1,231 Interest accruals on hedging instruments — 931 — 835 — (184) Discontinued hedge related basis adjustment — 55 — 60 — 63 |
Table - Cumulative Basis Adjustment on Fair Value Hedges | The table below presents 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 December 31, 2021 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustment 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 $855,173 $2,774 $— $2,774 $— $— Debt (124,235) 2,267 — (30) — — December 31, 2020 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustment 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 $478,077 $5,117 ($318) $5,435 $220,301 $9,112 Debt (176,512) (466) — (38) — — |
Collateralized Agreements and_2
Collateralized Agreements and Offsetting Arrangements (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Offsetting [Abstract] | |
Table - Offsetting of Financial Assets and Liabilities | We 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. The table below presents offsetting and collateral information related to derivatives, securities purchased under agreements to resell, and securities sold under agreements to repurchase which are subject to enforceable master netting agreements or similar arrangements. Table 10.1 - Offsetting and Collateral Information of Financial Assets and Liabilities December 31, 2021 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Gross Amount Not Offset in the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $5,670 ($4,437) ($963) $270 ($250) $20 Cleared and exchange-traded derivatives 60 (4) 38 94 — 94 Mortgage commitment derivatives 79 — — 79 — 79 Other 17 — — 17 — 17 Total derivatives 5,826 (4,441) (925) 460 (250) 210 Securities purchased under agreements to resell 78,536 (7,333) — 71,203 (71,203) — Total $84,362 ($11,774) ($925) $71,663 ($71,453) $210 Liabilities: Derivatives: OTC derivatives ($7,979) $4,437 $3,417 ($125) $— ($125) Cleared and exchange-traded derivatives (39) 4 22 (13) 13 — Mortgage commitment derivatives (86) — — (86) — (86) Other (58) — — (58) — (58) Total derivatives (8,162) 4,441 3,439 (282) 13 (269) Securities sold under agreements to repurchase (7,333) 7,333 — — — — Total ($15,495) $11,774 $3,439 ($282) $13 ($269) December 31, 2020 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Gross Amount Not Offset in the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $8,566 ($5,932) ($1,957) $677 ($648) $29 Cleared and exchange-traded derivatives 17 — 60 77 — 77 Mortgage commitment derivatives 388 — — 388 — 388 Other 63 — — 63 — 63 Total derivatives 9,034 (5,932) (1,897) 1,205 (648) 557 Securities purchased under agreements to resell 105,003 — — 105,003 (105,003) — Total $114,037 ($5,932) ($1,897) $106,208 ($105,651) $557 Liabilities: Derivatives: OTC derivatives ($8,812) $5,932 $2,759 ($121) $— ($121) Cleared and exchange-traded derivatives (37) — 26 (11) — (11) Mortgage commitment derivatives (759) — — (759) — (759) Other (63) — — (63) — (63) Total derivatives (9,671) 5,932 2,785 (954) — (954) Securities sold under agreements to repurchase — — — — — — Total ($9,671) $5,932 $2,785 ($954) $— ($954) (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 consolidated balance sheets. |
Table - Offsetting of Financial Assets and Liabilities | We 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. The table below presents offsetting and collateral information related to derivatives, securities purchased under agreements to resell, and securities sold under agreements to repurchase which are subject to enforceable master netting agreements or similar arrangements. Table 10.1 - Offsetting and Collateral Information of Financial Assets and Liabilities December 31, 2021 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Gross Amount Not Offset in the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $5,670 ($4,437) ($963) $270 ($250) $20 Cleared and exchange-traded derivatives 60 (4) 38 94 — 94 Mortgage commitment derivatives 79 — — 79 — 79 Other 17 — — 17 — 17 Total derivatives 5,826 (4,441) (925) 460 (250) 210 Securities purchased under agreements to resell 78,536 (7,333) — 71,203 (71,203) — Total $84,362 ($11,774) ($925) $71,663 ($71,453) $210 Liabilities: Derivatives: OTC derivatives ($7,979) $4,437 $3,417 ($125) $— ($125) Cleared and exchange-traded derivatives (39) 4 22 (13) 13 — Mortgage commitment derivatives (86) — — (86) — (86) Other (58) — — (58) — (58) Total derivatives (8,162) 4,441 3,439 (282) 13 (269) Securities sold under agreements to repurchase (7,333) 7,333 — — — — Total ($15,495) $11,774 $3,439 ($282) $13 ($269) December 31, 2020 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Gross Amount Not Offset in the Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $8,566 ($5,932) ($1,957) $677 ($648) $29 Cleared and exchange-traded derivatives 17 — 60 77 — 77 Mortgage commitment derivatives 388 — — 388 — 388 Other 63 — — 63 — 63 Total derivatives 9,034 (5,932) (1,897) 1,205 (648) 557 Securities purchased under agreements to resell 105,003 — — 105,003 (105,003) — Total $114,037 ($5,932) ($1,897) $106,208 ($105,651) $557 Liabilities: Derivatives: OTC derivatives ($8,812) $5,932 $2,759 ($121) $— ($121) Cleared and exchange-traded derivatives (37) — 26 (11) — (11) Mortgage commitment derivatives (759) — — (759) — (759) Other (63) — — (63) — (63) Total derivatives (9,671) 5,932 2,785 (954) — (954) Securities sold under agreements to repurchase — — — — — — Total ($9,671) $5,932 $2,785 ($954) $— ($954) (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 consolidated balance sheets. |
Table - Collateral in the Form of Securities Pledged | The table below summarizes 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 December 31, 2021 (In millions) Derivatives Securities Sold Under Agreements to Repurchase Other (2) Total Debt securities of consolidated trusts (1) $— $— $161 $161 Trading securities 1,542 7,333 1,115 9,990 Total securities pledged $1,542 $7,333 $1,276 $10,151 December 31, 2020 (In millions) Derivatives Securities Sold Under Agreements to Repurchase Other (2) Total Debt securities of consolidated trusts (1) $121 $— $345 $466 Trading securities 1,920 — 1,163 3,083 Total securities pledged $2,041 $— $1,508 $3,549 (1) Represents debt securities of consolidated trusts held by us in our mortgage-related investments portfolio which are recorded as a reduction to debt securities of consolidated trusts held by third parties on our consolidated balance sheets. (2) Includes other collateralized borrowings and collateral related to transactions with certain clearinghouses. |
Table - Contractual maturity of collateral pledged | The table below presents the underlying collateral pledged and the remaining contractual maturity of our gross obligations under securities sold under agreements to repurchase as of December 31, 2021. Table 10.3 - Underlying Collateral Pledged December 31, 2021 (In millions) Overnight and Continuous 30 days or Less After 30 days Through 90 days Greater Than Total U.S. Treasury securities and other $— $3,085 $4,248 $— $7,333 |
Other Assets and Other Liabil_2
Other Assets and Other Liabilities (Table) | 12 Months Ended |
Dec. 31, 2021 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Schedule of Other Assets and Other Liabilities | Table 11.1 - Significant Components of Other Assets and Other Liabilities December 31, (In millions) 2021 2020 Other assets: Real estate owned, net $176 $198 Guarantee assets 5,919 5,509 Servicer receivables 11,571 20,926 Credit enhancement receivables 194 751 Advances of pre-foreclosure costs 974 1,372 Derivative assets, net 460 1,205 All other 10,127 10,538 Total other assets $29,421 $40,499 Other liabilities: Guarantee obligations $5,716 $5,050 Derivative liabilities, net 282 954 All other 5,102 6,242 Total other liabilities $11,100 $12,246 |
Stockholders' Equity and Earn_2
Stockholders' Equity and Earnings per Share (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Stockholders' Equity Note [Abstract] | |
Table - Senior Preferred Stock | The table below provides a summary of our senior preferred stock outstanding at December 31, 2021. Table 12.1 - 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 Adjustments: 2008 1.00 1.00 $1.00 $1,000 $1,000 2017 — — — N/A 3,000 2019 — — — N/A 3,674 2020 — — — N/A 7,217 2021 — — — N/A 11,420 Total non-draw adjustments 1.00 1.00 1.00 26,311 Draw Adjustments: 2008 — — — N/A 13,800 2009 — — — N/A 36,900 2010 — — — N/A 12,500 2011 — — — N/A 7,971 2012 — — — N/A 165 2018 — — — N/A 312 Total draw adjustments — — — 71,648 Total senior preferred stock 1.00 1.00 $1.00 $97,959 |
Table - Preferred Stock | The table below provides a summary of our preferred stock outstanding at their redemption values at December 31, 2021. Table 12.2 - Preferred Stock ( In millions , except redemption price per share) Issue Date Shares Authorized Shares Outstanding Total Par Value Redemption Price per Share Total Outstanding Balance Redeemable On or After OTCQB Symbol Preferred stock: 1996 Variable-rate (1) April 26, 1996 5.00 5.00 $5.00 $50.00 $250 June 30, 2001 FMCCI 5.81% October 27, 1997 3.00 3.00 3.00 50.00 150 October 27, 1998 (2) 5% March 23, 1998 8.00 8.00 8.00 50.00 400 March 31, 2003 FMCKK 1998 Variable-rate (3) September 23 and 29, 1998 4.40 4.40 4.40 50.00 220 September 30, 2003 FMCCG 5.10% September 23, 1998 8.00 8.00 8.00 50.00 400 September 30, 2003 FMCCH 5.30% October 28, 1998 4.00 4.00 4.00 50.00 200 October 30, 2000 (2) 5.10% March 19, 1999 3.00 3.00 3.00 50.00 150 March 31, 2004 (2) 5.79% July 21, 1999 5.00 5.00 5.00 50.00 250 June 30, 2009 FMCCK 1999 Variable-rate (4) November 5, 1999 5.75 5.75 5.75 50.00 287 December 31, 2004 FMCCL 2001 Variable-rate (5) January 26, 2001 6.50 6.50 6.50 50.00 325 March 31, 2003 FMCCM 2001 Variable-rate (6) March 23, 2001 4.60 4.60 4.60 50.00 230 March 31, 2003 FMCCN 5.81% March 23, 2001 3.45 3.45 3.45 50.00 173 March 31, 2011 FMCCO 6% May 30, 2001 3.45 3.45 3.45 50.00 173 June 30, 2006 FMCCP 2001 Variable-rate (7) May 30, 2001 4.02 4.02 4.02 50.00 201 June 30, 2003 FMCCJ 5.70% October 30, 2001 6.00 6.00 6.00 50.00 300 December 31, 2006 FMCKP 5.81% January 29, 2002 6.00 6.00 6.00 50.00 300 March 31, 2007 (2) 2006 Variable-rate (8) July 17, 2006 15.00 15.00 15.00 50.00 750 June 30, 2011 FMCCS 6.42% July 17, 2006 5.00 5.00 5.00 50.00 250 June 30, 2011 FMCCT 5.90% October 16, 2006 20.00 20.00 20.00 25.00 500 September 30, 2011 FMCKO 5.57% January 16, 2007 44.00 44.00 44.00 25.00 1,100 December 31, 2011 FMCKM 5.66% April 16, 2007 20.00 20.00 20.00 25.00 500 March 31, 2012 FMCKN 6.02% July 24, 2007 20.00 20.00 20.00 25.00 500 June 30, 2012 FMCKL 6.55% September 28, 2007 20.00 20.00 20.00 25.00 500 September 30, 2017 FMCKI 2007 Fixed-to-floating rate (9) December 4, 2007 240.00 240.00 240.00 25.00 6,000 December 31, 2012 FMCKJ Total, preferred stock 464.17 464.17 $464.17 $14,109 (1) Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 1% divided by 1.377, and is capped at 9.00%. (2) Issued through private placement. (3) Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 1% divided by 1.377, and is capped at 7.50%. (4) Dividend rate resets on January 1 every five years after January 1, 2005 based on a five-year Constant Maturity Treasury rate, and is capped at 11.00%. Optional redemption on December 31, 2004 and on December 31 every five years thereafter. (5) Dividend rate resets on April 1 every two years after April 1, 2003 based on the two-year Constant Maturity Treasury rate plus 0.10%, and is capped at 11.00%. Optional redemption on March 31, 2003 and on March 31 every two years thereafter. (6) Dividend rate resets on April 1 every year based on 12-month LIBOR minus 0.20%, and is capped at 11.00%. Optional redemption on March 31, 2003 and on March 31 every year thereafter. (7) Dividend rate resets on July 1 every two years after July 1, 2003 based on the two-year Constant Maturity Treasury rate plus 0.20%, and is capped at 11.00%. Optional redemption on June 30, 2003 and on June 30 every two years thereafter. (8) Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 0.50% but not less than 4.00% . (9) Dividend rate is set at an annual fixed rate of 8.375% from December 4, 2007 through December 31, 2012. For the period beginning on or after January 1, 2013, dividend rate resets quarterly and is equal to the higher of: (a) the sum of three-month LIBOR plus 4.16% per annum; or (b) 7.875% per annum. Optional redemption on December 31, 2012 and on December 31 every five years thereafter . |
Net Interest Income (Tables)
Net Interest Income (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Components of Net Interest Income [Abstract] | |
Components of Net Interest Income | Table 13.1 - Components of Net Interest Income Year Ended December 31, (In millions) 2021 2020 2019 Interest income Mortgage loans $59,130 $59,290 $68,583 Investment securities 2,261 2,581 2,737 Other 136 469 1,575 Total interest income 61,527 62,340 72,895 Interest expense Debt securities of consolidated trusts held by third parties (42,209) (46,281) (53,980) Debt of Freddie Mac: Short-term debt — (606) (1,910) Long-term debt (1,738) (2,682) (5,157) Total interest expense (43,947) (49,569) (61,047) Net interest income 17,580 12,771 11,848 Benefit (provision) for credit losses 1,041 (1,452) 746 Net interest income after benefit (provision) for credit losses $18,621 $11,319 $12,594 |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Income Tax Disclosure [Abstract] | |
Table - Federal Income Tax (Expense) Benefit | The table below presents the components of our federal income tax expense for the past three years. We are exempt from state and local income taxes. Table 14.1 - Federal Income Tax Expense Year Ended December 31, (In millions) 2021 2020 2019 Current income tax (expense) benefit ($2,617) ($2,493) ($1,018) Deferred income tax (expense) benefit (473) 590 (817) Total income tax (expense) benefit ($3,090) ($1,903) ($1,835) |
Table - Reconciliation of Statutory to Effective Tax Rate | The table below presents the reconciliation between our federal statutory income tax rate and our effective tax rate for the past three years. Table 14.2 - Reconciliation of Federal Statutory Income Tax Rate to Effective Tax Rate Year Ended December 31, 2021 2020 2019 (Dollars in millions) Amount Percent Amount Percent Amount Percent Statutory corporate tax rate ($3,192) 21.0 % ($1,938) 21.0 % ($1,900) 21.0 % Tax-exempt interest 20 (0.2) 25 (0.3) 18 (0.2) Tax credits 133 (0.9) 55 (0.6) 48 (0.5) Valuation allowance (11) 0.1 (4) 0.1 9 (0.1) Other (40) 0.3 (41) 0.4 (10) 0.1 Effective tax rate ($3,090) 20.3 % ($1,903) 20.6 % ($1,835) 20.3 % |
Table - Deferred Tax Assets and Liabilities | The table below presents the balance of significant deferred tax assets and liabilities at December 31, 2021 and December 31, 2020. The valuation allowance relates to capital loss carryforwards included in Other items, net that we expect to expire unused. Table 14.3 - Deferred Tax Assets and Liabilities Year Ended December 31, (In millions) 2021 2020 Deferred tax assets: Deferred fees $3,179 $3,354 Basis differences related to derivative instruments 1,629 1,810 Credit related items and allowance for loan losses 815 844 Basis differences related to assets held-for-investment and held-for-sale 544 999 Other items, net 178 134 Total deferred tax assets 6,345 7,141 Deferred tax liabilities: Unrealized gains related to available-for-sale securities (79) (543) Total deferred tax liabilities (79) (543) Valuation allowance (52) (41) Deferred tax assets, net $6,214 $6,557 |
Segment Reporting (Tables)
Segment Reporting (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Segment Reporting [Abstract] | |
Table - Segment Earnings and Reconciliation to GAAP Financial Statements | The table below presents the financial results for our Single-Family and Multifamily segments. Table 15.1 - Segment Financial Results Year Ended December 31, 2021 Year Ended December 31, 2020 Year Ended December 31, 2019 Single-Family Multifamily Total Single-Family Multifamily Total Single-Family Multifamily Total (In millions) Net interest income $16,273 $1,307 $17,580 $11,592 $1,179 $12,771 $10,664 $1,184 $11,848 Non-interest income (loss) Guarantee income 114 918 1,032 112 1,330 1,442 44 1,045 1,089 Investment gains (losses), net 361 2,385 2,746 (112) 1,925 1,813 300 518 818 Other income (loss) 479 114 593 457 176 633 216 107 323 Non-interest income (loss) 954 3,417 4,371 457 3,431 3,888 560 1,670 2,230 Net revenues 17,227 4,724 21,951 12,049 4,610 16,659 11,224 2,854 14,078 Benefit (provision) for credit losses 919 122 1,041 (1,320) (132) (1,452) 749 (3) 746 Non-interest expense Administrative expense (2,033) (618) (2,651) (2,021) (514) (2,535) (2,061) (503) (2,564) Credit enhancement expense (1,470) (48) (1,518) (1,036) (22) (1,058) (734) (15) (749) Benefit for (decrease in) credit enhancement recoveries (523) (19) (542) 305 18 323 41 — 41 REO operations income (expense) (12) — (12) (149) — (149) (229) — (229) Legislated 10 basis point fee expense (2,342) — (2,342) (1,836) — (1,836) (1,617) — (1,617) Other expense (695) (33) (728) (686) (37) (723) (616) (41) (657) Non-interest expense (7,075) (718) (7,793) (5,423) (555) (5,978) (5,216) (559) (5,775) Income (loss) before income tax (expense) benefit 11,071 4,128 15,199 5,306 3,923 9,229 6,757 2,292 9,049 Income tax (expense) benefit (2,251) (839) (3,090) (1,094) (809) (1,903) (1,370) (465) (1,835) Net income (loss) 8,820 3,289 12,109 4,212 3,114 7,326 5,387 1,827 7,214 Other comprehensive income (loss), net of taxes and reclassification adjustments (379) (110) (489) 104 101 205 472 101 573 Comprehensive income (loss) $8,441 $3,179 $11,620 $4,316 $3,215 $7,531 $5,859 $1,928 $7,787 |
Table - Reconciliation of Assets from Segment to Consolidated | Table 15.2 - Segment Assets (In millions) December 31, 2021 December 31, 2020 Single-Family $2,792,224 $2,326,426 Multifamily 414,663 388,347 Total segment assets 3,206,887 2,714,773 Reconciling items (1) (181,301) (87,358) Total assets per consolidated balance sheets $3,025,586 $2,627,415 |
Concentration of Credit and O_2
Concentration of Credit and Other Risks (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Risks and Uncertainties [Abstract] | |
Table - Concentration of Credit Risk | The table below summarizes the concentration by geographic area of our Single-Family mortgage portfolio as of December 31, 2021 and December 31, 2020, respectively. See Note 4 , Note 5 , and Note 6 for more information about credit risk associated with single-family loans that we hold or guarantee. Table 16.1 - Concentration of Credit Risk of Our Single-Family Mortgage Portfolio December 31, 2021 December 31, 2020 2021 (1) 2020 (1) (Dollars in billions) Portfolio UPB (2) % of Portfolio SDQ Rate Portfolio UPB (2) % of Portfolio SDQ Rate Credit Losses Amount Credit Losses Amount Region (3) : West $859 31 % 0.92 % $720 31 % 2.41 % $— $— Northeast 660 24 1.37 549 24 3.16 — 0.2 North Central 416 15 0.98 357 15 2.06 0.1 0.1 Southeast 461 16 1.21 375 16 2.95 — 0.1 Southwest 396 14 1.14 325 14 2.59 — — Total $2,792 100 % 1.12 $2,326 100 % 2.64 $0.1 $0.4 State: California $498 18 % 0.99 $424 18 % 2.64 $— $— Texas 177 6 1.23 145 6 3.11 — — Florida 169 6 1.36 135 6 3.70 — — New York 121 4 2.07 103 4 4.56 — 0.1 Illinois 109 4 1.44 96 4 2.96 — 0.1 All other 1,718 62 1.03 1,423 62 2.34 0.1 0.2 Total $2,792 100 % 1.12 $2,326 100 % 2.64 $0.1 $0.4 (1) Consists of net charge-offs (excluding charge-offs of accrued interest receivable) and REO operations (income) expense. (2) Excludes $439 million and $505 million in UPB of loans underlying certain securitization products for which data was not available as of December 31, 2021 and December 31, 2020, respectively. (3) 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). The table below summarizes the concentration of multifamily loans in our Multifamily mortgage portfolio classified by legal structure, based on UPB. Table 16.2 - Concentration of Credit Risk of Our Multifamily Mortgage Portfolio December 31, 2021 December 31, 2020 (Dollars in billions) UPB Delinquency Rate (1) UPB Delinquency Rate (1) Unsecuritized loans $22.8 0.04 % $33.4 0.04 % Securitized loans 381.4 0.07 344.1 0.18 Other mortgage-related guarantees 10.5 0.44 10.8 0.06 Total $414.7 0.08 $388.3 0.16 (1) Based on loans two monthly payments or more delinquent or in foreclosure. We acquire a significant portion of our Single-Family and Multifamily loan purchase and guarantee volume from several large sellers. Single-Family top 10 sellers provided 50% and 44% of our purchase and guarantee volume during 2021 and 2020, respectively. None of our Single-Family sellers provided 10% or more of our purchase and guarantee volume during these periods. The table below summarizes the concentration of Multifamily sellers who provided 10% or more of our purchase and guarantee volume during 2021 and 2020. Table 16.3 - Multifamily Seller Concentration Multifamily Sellers 2021 2020 Berkadia Commercial Mortgage LLC 15 % 14 % CBRE Capital Markets, Inc. 13 16 JLL Real Estate Capital LLC 10 11 Walker & Dunlop LLC 9 10 Other top 10 sellers 32 31 Top 10 Multifamily sellers 79 % 82 % Table 16.4 - Servicer Concentration Single-Family Servicers December 31, 2021 (1) December 31, 2020 (1) Wells Fargo Bank, N.A. 8 % 11 % Other top 10 servicers 39 38 Top 10 Single-Family servicers 47 % 49 % Multifamily Servicers (2) December 31, 2021 December 31, 2020 CBRE Capital Markets, Inc. 16 % 17 % Berkadia Commercial Mortgage LLC 14 13 JLL Real Estate Capital LLC 11 11 Other top 10 servicers 39 39 Top 10 Multifamily servicers 80 % 80 % (1) Percentage of servicing volume is based on the total Single-Family mortgage 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 mortgage portfolio. (2) Represents multifamily primary servicers. The table below summarizes the concentration of mortgage insurer counterparties who provided 10% or more of our overall primary mortgage insurance coverage. Table 16.5 - Primary Mortgage Insurer Concentration Mortgage Insurance Coverage (2) Mortgage Insurer Credit Rating (1) December 31, 2021 December 31, 2020 Arch Mortgage Insurance Company A 19 % 20 % Mortgage Guaranty Insurance Corporation BBB+ 19 18 Radian Guaranty Inc. BBB+ 18 19 Enact (3) BBB 15 15 Essent Guaranty, Inc. BBB+ 15 16 National Mortgage Insurance Corporation BBB 13 10 Total 99 % 98 % (1) Ratings are for the corporate entity to which we have the greatest exposure. Latest rating available as of December 31, 2021. Represents the lower of S&P and Moody's credit ratings stated in terms of the S&P equivalent. (2) Coverage amounts exclude coverage primarily related to certain loans for which we do not control servicing, and may include coverage provided by affiliates and subsidiaries of the counterparty. (3) Enact was previously known as Genworth Mortgage Insurance Corporation. |
Fair Value Disclosures (Tables)
Fair Value Disclosures (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Table - Assets and Liabilities on Our Consolidated Balance Sheets Measured at Fair Value on a Recurring Basis | Table 17.1 - Assets and Liabilities Measured at Fair Value on a Recurring Basis December 31, 2021 (In millions) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Investments securities: Available-for-sale, at fair value $— $2,726 $1,286 $— $4,012 Trading, at fair value: Mortgage-related securities — 12,845 3,386 — 16,231 Non-mortgage-related securities 31,780 992 — — 32,772 Total trading securities, at fair value 31,780 13,837 3,386 — 49,003 Total investments in securities 31,780 16,563 4,672 — 53,015 Mortgage loans: Held-for-sale, at fair value — 10,498 — — 10,498 Other assets: Guarantee assets, at fair value — — 5,919 — 5,919 Derivative assets, net 33 5,416 17 — 5,466 Netting adjustments (1) — — — (5,006) (5,006) Total derivative assets, net 33 5,416 17 (5,006) 460 Non-derivative purchase commitments, at fair value — 131 — — 131 All other, at fair value — — 84 — 84 Total other assets 33 5,547 6,020 (5,006) 6,594 Total assets carried at fair value on a recurring basis $31,813 $32,608 $10,692 ($5,006) $70,107 Liabilities: Debt securities of consolidated trusts held by third parties, at fair value $— $910 $184 $— $1,094 Debt of Freddie Mac, at fair value — 1,274 110 — 1,384 Other liabilities: Derivative liabilities, net — 7,726 23 — 7,749 Netting adjustments (1) — — — (7,467) (7,467) Total derivative liabilities, net — 7,726 23 (7,467) 282 Non-derivative purchase commitments, at fair value — 4 — — 4 All other, at fair value — — 1 — 1 Total other liabilities — 7,730 24 (7,467) 287 Total liabilities carried at fair value on a recurring basis $— $9,914 $318 ($7,467) $2,765 Referenced footnote is included after the prior period table. December 31, 2020 (In millions) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Investments securities: Available-for-sale, at fair value: $— $13,779 $1,588 $— $15,367 Trading, at fair value: Mortgage-related securities — 14,246 3,259 — 17,505 Non-mortgage-related securities 26,255 698 — — 26,953 Total trading securities, at fair value 26,255 14,944 3,259 — 44,458 Total investments in securities 26,255 28,723 4,847 — 59,825 Mortgage loans: Held-for-sale, at fair value — 14,199 — — 14,199 Other assets: Guarantee assets, at fair value — — 5,509 — 5,509 Derivative assets, net — 8,516 63 — 8,579 Netting adjustments (1) — — — (7,374) (7,374) Total derivative assets, net — 8,516 63 (7,374) 1,205 Non-derivative purchase commitments, at fair value — 158 — — 158 All other, at fair value — — 108 — 108 Total other assets — 8,674 5,680 (7,374) 6,980 Total assets carried at fair value on a recurring basis $26,255 $51,596 $10,527 ($7,374) $81,004 Liabilities: Debt securities of consolidated trusts held by third parties, at fair value $— $2 $203 $— $205 Debt of Freddie Mac, at fair value — 2,267 120 — 2,387 Other liabilities: Derivative liabilities, net — 9,132 16 — 9,148 Netting adjustments (1) — — — (8,194) (8,194) Total derivative liabilities, net — 9,132 16 (8,194) 954 Non-derivative purchase commitments, at fair value — 1 — — 1 All other, at fair value — — 3 — 3 Total other liabilities — 9,133 19 (8,194) 958 Total liabilities carried at fair value on a recurring basis $— $11,402 $342 ($8,194) $3,550 (1) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable. |
Table - Assets and Liabilities on Our Consolidated Balance Sheets Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs | The table below presents a reconciliation of all assets and liabilities measured on our consolidated balance sheets at fair value on a recurring basis using significant unobservable inputs (Level 3), including transfers into and out of Level 3. The table also presents gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our consolidated statements of comprehensive income for Level 3 assets and liabilities. Table 17.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs Year Ended December 31, 2021 Balance, Total Realized/Unrealized Gains (Losses) Purchases Issues Sales Settlements, Transfers Transfers (1) Balance, Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2021 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of December 31, 2021 (In millions) Included in Included in Other Assets Investments in securities: Available-for-sale, at fair value 1,588 29 7 — — (32) (306) — — 1,286 26 7 Trading, at fair value 3,259 (869) — 1,536 — (277) (83) — (180) 3,386 (872) — Total investments in securities 4,847 (840) 7 1,536 — (309) (389) — (180) 4,672 (846) 7 Other assets: Guarantee assets 5,509 (378) — — 1,742 — (954) — — 5,919 (378) — Derivative assets 63 (45) — — — (1) — — — 17 (46) — All other, at fair value 108 (9) — (6) 19 (8) (20) — — 84 (9) — Total other assets 5,680 (432) — (6) 1,761 (9) (974) — — 6,020 (433) — Total assets 10,527 (1,272) 7 1,530 1,761 (318) (1,363) — (180) 10,692 (1,279) 7 Balance, Total Realized/Unrealized (Gains) Losses Purchases Issues Sales Settlements, Transfers Transfers (1) Balance, Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2021 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of December 31, 2021 Included in Included in Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 ($27) $— ($8) $168 $— ($152) $— $— $184 ($16) $— Debt of Freddie Mac, at fair value 120 (3) — — 1 — (8) — — 110 (3) — Total Debt 323 (30) — (8) 169 — (160) — — 294 (19) — Other liabilities: Derivative liabilities 16 15 — — 2 — (10) — — 23 5 — All other, at fair value 3 (8) — 7 — (1) — — — 1 (8) — Total other liabilities 19 7 — 7 2 (1) (10) — — 24 (3) — Total liabilities 342 (23) — (1) 171 (1) (170) — — 318 (22) — Referenced footnotes are included after the prior period table. Year Ended December 31, 2020 Balance, Total Realized/Unrealized Gains (Losses) Purchases Issues Sales Settlements, Transfers Transfers out of Level 3 (1) Balance, Change in Unrealized Gains(Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2020 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of December 31, 2020 (In millions) Included in Included in Other Assets Investments in securities: Available-for-sale, at fair value $3,227 $27 ($8) $— $— ($218) ($344) $— ($1,096) $1,588 $15 ($38) Trading, at fair value 2,710 (251) — 1,555 — (281) (77) — (397) 3,259 (241) — Total investments in securities 5,937 — (224) (8) 1,555 — (499) (421) — (1,493) 4,847 (226) (38) Other assets: Guarantee assets 4,426 250 — — 1,641 — (808) — — 5,509 250 — Derivative assets 15 22 — — 26 — — — — 63 21 — All other, at fair value 120 (3) — (15) 27 (19) (2) — — 108 (3) — Total other assets 4,561 269 — (15) 1,694 (19) (810) — — 5,680 268 — Total assets 10,498 45 (8) 1,540 1,694 (518) (1,231) — (1,493) 10,527 42 (38) Balance, Total Realized/Unrealized (Gains) Losses Purchases Issues Sales Settlements, Transfers Transfers out of Level 3 (1) Balance, Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2020 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of December 31, 2020 Included in Included in Other Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 $— $— $— $— $— $— $— $— $203 $— $— Debt of Freddie Mac, at fair value 129 (1) — — 4 — (12) — — 120 (1) — Total Debt 332 (1) — — 4 — (12) — — 323 (1) — Other liabilities: Derivative liabilities 36 (8) — — 2 — (14) — — 16 (23) — All other, at fair value 1 — — 1 — 1 — — — 3 — — Total other liabilities 37 (8) — 1 2 1 (14) — — 19 (23) — Total liabilities 369 (9) — 1 6 1 (26) — — 342 (24) — (1) Transfers out of Level 3 during 2021 and 2020 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. (2) Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains and losses related to assets and liabilities classified as Level 3 that were still held at December 31, 2021 and December 31, 2020, respectively. This amount includes any allowance for credit losses recorded on available-for-sale securities and amortization of basis adjustments. |
Table - Assets and Liabilities on Our Consolidated Balance Sheets Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs | The table below presents a reconciliation of all assets and liabilities measured on our consolidated balance sheets at fair value on a recurring basis using significant unobservable inputs (Level 3), including transfers into and out of Level 3. The table also presents gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our consolidated statements of comprehensive income for Level 3 assets and liabilities. Table 17.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs Year Ended December 31, 2021 Balance, Total Realized/Unrealized Gains (Losses) Purchases Issues Sales Settlements, Transfers Transfers (1) Balance, Change in Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2021 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of December 31, 2021 (In millions) Included in Included in Other Assets Investments in securities: Available-for-sale, at fair value 1,588 29 7 — — (32) (306) — — 1,286 26 7 Trading, at fair value 3,259 (869) — 1,536 — (277) (83) — (180) 3,386 (872) — Total investments in securities 4,847 (840) 7 1,536 — (309) (389) — (180) 4,672 (846) 7 Other assets: Guarantee assets 5,509 (378) — — 1,742 — (954) — — 5,919 (378) — Derivative assets 63 (45) — — — (1) — — — 17 (46) — All other, at fair value 108 (9) — (6) 19 (8) (20) — — 84 (9) — Total other assets 5,680 (432) — (6) 1,761 (9) (974) — — 6,020 (433) — Total assets 10,527 (1,272) 7 1,530 1,761 (318) (1,363) — (180) 10,692 (1,279) 7 Balance, Total Realized/Unrealized (Gains) Losses Purchases Issues Sales Settlements, Transfers Transfers (1) Balance, Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2021 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of December 31, 2021 Included in Included in Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 ($27) $— ($8) $168 $— ($152) $— $— $184 ($16) $— Debt of Freddie Mac, at fair value 120 (3) — — 1 — (8) — — 110 (3) — Total Debt 323 (30) — (8) 169 — (160) — — 294 (19) — Other liabilities: Derivative liabilities 16 15 — — 2 — (10) — — 23 5 — All other, at fair value 3 (8) — 7 — (1) — — — 1 (8) — Total other liabilities 19 7 — 7 2 (1) (10) — — 24 (3) — Total liabilities 342 (23) — (1) 171 (1) (170) — — 318 (22) — Referenced footnotes are included after the prior period table. Year Ended December 31, 2020 Balance, Total Realized/Unrealized Gains (Losses) Purchases Issues Sales Settlements, Transfers Transfers out of Level 3 (1) Balance, Change in Unrealized Gains(Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2020 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of December 31, 2020 (In millions) Included in Included in Other Assets Investments in securities: Available-for-sale, at fair value $3,227 $27 ($8) $— $— ($218) ($344) $— ($1,096) $1,588 $15 ($38) Trading, at fair value 2,710 (251) — 1,555 — (281) (77) — (397) 3,259 (241) — Total investments in securities 5,937 — (224) (8) 1,555 — (499) (421) — (1,493) 4,847 (226) (38) Other assets: Guarantee assets 4,426 250 — — 1,641 — (808) — — 5,509 250 — Derivative assets 15 22 — — 26 — — — — 63 21 — All other, at fair value 120 (3) — (15) 27 (19) (2) — — 108 (3) — Total other assets 4,561 269 — (15) 1,694 (19) (810) — — 5,680 268 — Total assets 10,498 45 (8) 1,540 1,694 (518) (1,231) — (1,493) 10,527 42 (38) Balance, Total Realized/Unrealized (Gains) Losses Purchases Issues Sales Settlements, Transfers Transfers out of Level 3 (1) Balance, Change in Unrealized (Gains) Losses Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2020 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of December 31, 2020 Included in Included in Other Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 $— $— $— $— $— $— $— $— $203 $— $— Debt of Freddie Mac, at fair value 129 (1) — — 4 — (12) — — 120 (1) — Total Debt 332 (1) — — 4 — (12) — — 323 (1) — Other liabilities: Derivative liabilities 36 (8) — — 2 — (14) — — 16 (23) — All other, at fair value 1 — — 1 — 1 — — — 3 — — Total other liabilities 37 (8) — 1 2 1 (14) — — 19 (23) — Total liabilities 369 (9) — 1 6 1 (26) — — 342 (24) — (1) Transfers out of Level 3 during 2021 and 2020 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. (2) Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains and losses related to assets and liabilities classified as Level 3 that were still held at December 31, 2021 and December 31, 2020, 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 table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets and liabilities measured on our consolidated balance sheets at fair value on a recurring basis. Table 17.3 - Quantitative Information about Recurring Level 3 Fair Value Measurements December 31, 2021 Level 3 Predominant Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted (1) Assets Available-for-sale, at fair value Mortgage-related securities $839 Median of external sources External pricing sources $72.8 - $83.7 $77.0 322 Discounted cash flows OAS 87 - 198 bps 88 bps 124 Other Trading, at fair value Mortgage-related securities 2,846 Single external source External pricing sources $0.0 - $7,343.1 $396.7 273 Median of external sources External pricing sources $3.8 - $4.4 $4.1 259 Discounted cash flows OAS (339) - 3,000 bps 551 bps 9 Other Guarantee assets, at fair value 5,531 Discounted cash flows OAS 17 - 186 bps 45 bps 388 Other Insignificant Level 3 assets (2) 101 Total level 3 assets $10,692 Liabilities Debt securities of consolidated trusts held by third parties, at fair value 135 Other Insignificant Level 3 liabilities (2) 183 Total level 3 liabilities $318 (1) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments. (2) 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. December 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 (1) Assets Available-for-sale, at fair value Mortgage-related securities (2) $1,009 Median of external sources External pricing sources $70.6 - $81.6 $75.9 410 Discounted cash flows OAS 90 - 90 bps 90 bps 119 Single external source External pricing sources $100.9 - $100.9 $100.9 50 Other Trading, at fair value Mortgage-related securities (2) 2,204 Single external source External pricing sources $0.0 - $8,894.6 $947.8 472 Discounted cash flows OAS (951) - 2,910 bps 834 bps 583 Other Guarantee assets, at fair value 5,195 Discounted cash flows OAS 15 - 186 bps 38 bps 314 Other Insignificant Level 3 assets (3) 171 Total level 3 assets $10,527 Liabilities Debt securities of consolidated trusts held by third parties, at fair value $203 Single External Source External Pricing Sources $97.3 - $107.0 $101.7 Insignificant Level 3 liabilities (3) 139 Total level 3 liabilities $342 (1) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments. (2) Prior periods have been conformed to the current period presentation. (3) 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. |
Table - Asset Measured at Fair Value on a Non-Recurring Basis | The table below presents assets measured on our consolidated balance sheets at fair value on a non-recurring basis. Table 17.4 - Assets Measured at Fair Value on a Non-Recurring Basis December 31, 2021 December 31, 2020 (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) $— $12 $797 $809 $— $6 $2,241 $2,247 (1) Includes loans that are classified as held-for-investment and have an allowance for credit losses based on the fair value of the underlying collateral and held-for-sale loans where the fair value is below cost. |
Table - Fair Value Assets Measured on Nonrecurring Basis Valuation Techniques | The table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets measured on our consolidated balance sheets at fair value on a non-recurring basis. Table 17.5 - Quantitative Information about Non-Recurring Level 3 Fair Value Measurements December 31, 2021 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average (1) Non-recurring fair value measurements Mortgage loans $797 Internal model Historical sales proceeds $3,956 - $744,000 $221,442 Internal model Housing sales index 72 - 439 bps 140 bps Median of external sources External pricing sources $61.9 - $107.1 $97.3 December 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 (1) Non-recurring fair value measurements Mortgage loans $2,241 Internal model Historical sales proceeds $3,001 - $696,004 $202,539 Internal model Housing sales index 66 - 345 bps 119 bps Median of external sources External pricing sources $59.5 - $104.0 $92.1 (1) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments. |
Table - Fair Value of Financial Instruments | The table below presents the carrying value and estimated fair value of our financial instruments. For certain types of financial instruments, such as cash and cash equivalents, securities purchased under agreements to resell, secured lending, 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 17.6 - Fair Value of Financial Instruments December 31, 2021 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 $10,150 $10,150 $— $— $— $10,150 Securities purchased under agreements to resell Amortized cost 71,203 — 78,536 — (7,333) 71,203 Investments in securities: Available-for-sale, at fair value FV - OCI 4,012 — 2,726 1,286 — 4,012 Trading, at fair value FV - NI 49,003 31,780 13,837 3,386 — 49,003 Total investments in securities 53,015 31,780 16,563 4,672 — 53,015 Mortgage loans: Loans held by consolidated trusts 2,784,626 — 2,563,588 238,133 — 2,801,721 Loans held by Freddie Mac 63,483 — 35,856 29,803 — 65,659 Total mortgage loans Various (3) 2,848,109 — 2,599,444 267,936 — 2,867,380 Guarantee assets FV - NI 5,919 — — 5,923 — 5,923 Derivative assets, net FV - NI 460 33 5,416 17 (5,006) 460 Non-derivative purchase and other commitments FV - NI 131 — 217 — — 217 Advances to lenders Amortized cost 4,932 — — 4,932 — 4,932 Secured lending Amortized cost 1,263 — 1,187 76 — 1,263 Total financial assets $2,995,182 $41,963 $2,701,363 $283,556 ($12,339) $3,014,543 Financial Liabilities Debt: Debt securities of consolidated trusts held by third parties $2,803,054 $— $2,803,030 $656 $— $2,803,686 Debt of Freddie Mac 177,131 — 185,793 3,957 (7,333) 182,417 Total debt Various (4) 2,980,185 — 2,988,823 4,613 (7,333) 2,986,103 Guarantee obligations Amortized cost 5,716 — — 6,240 — 6,240 Derivative liabilities, net FV - NI 282 — 7,726 23 (7,467) 282 Non-derivative purchase and other commitments FV - NI 13 — 4 101 — 105 Total financial liabilities $2,986,196 $— $2,996,553 $10,977 ($14,800) $2,992,730 (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, 2021, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value and FV - NI were $2.8 trillion, $9.3 billion and $10.5 billion, respectively. (4) As of December 31, 2021, the GAAP carrying amounts measured at amortized cost and FV - NI were $3.0 trillion and $2.5 billion, respectively. December 31, 2020 GAAP Measurement Category (1) GAAP Carrying Amount Fair Value (In millions) Level 1 Level 2 Level 3 (2) Netting Adjustments (3) Total Financial Assets Cash and cash equivalents Amortized cost $23,889 $23,889 $— $— $— $23,889 Securities purchased under agreements to resell Amortized cost 105,003 — 105,003 — — 105,003 Investments in securities: Available-for-sale, at fair value FV - OCI 15,367 — 13,779 1,588 — 15,367 Trading, at fair value FV - NI 44,458 26,255 14,944 3,259 — 44,458 Total investments in securities 59,825 26,255 28,723 4,847 — 59,825 Mortgage loans: Loans held by consolidated trusts 2,273,347 — 2,080,687 262,309 — 2,342,996 Loans held by Freddie Mac 110,541 — 76,917 36,578 — 113,495 Total mortgage loans Various (4) 2,383,888 — 2,157,604 298,887 — 2,456,491 Guarantee assets FV - NI 5,509 — — 5,515 — 5,515 Derivative assets, net FV - NI 1,205 — 8,516 63 (7,374) 1,205 Non-derivative purchase and other commitments FV - NI 158 — 246 — — 246 Advances to lenders Amortized cost 4,162 — — 4,162 — 4,162 Secured lending Amortized cost 1,680 — 1,427 253 — 1,680 Total financial assets $2,585,319 $50,144 $2,301,519 $313,727 ($7,374) $2,658,016 Financial Liabilities Debt: Debt securities of consolidated trusts held by third parties $2,308,176 $— $2,382,157 $852 $— $2,383,009 Debt of Freddie Mac 284,370 — 286,634 4,088 — 290,722 Total debt Various (5) 2,592,546 — 2,668,791 4,940 — 2,673,731 Guarantee obligations Amortized cost 5,050 — — 5,378 — 5,378 Derivative liabilities, net FV - NI 954 — 9,132 16 (8,194) 954 Non-derivative purchase and other commitments FV - NI 20 — 1 307 — 308 Total financial liabilities $2,598,570 $— $2,677,924 $10,641 ($8,194) $2,680,371 (1) FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income. (2) Certain amounts were reclassified from secured lending to non-derivative purchase and other commitments. Prior periods have been revised to conform to the current period presentation. (3) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable. (4) As of December 31, 2020, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value and FV - NI were $2.4 trillion, $19.5 billion and $14.2 billion, respectively. |
Table - Difference between Fair Value and Unpaid Principal Balance for Certain Financial Instruments with Fair Value Option Elected | The table below presents the fair value and UPB related to certain loans and 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 debt of Freddie Mac held by third parties with a fair value of $268 million and $173 million and multifamily held-for-sale loan purchase commitments with a fair value of $127 million and $157 million, as of December 31, 2021 and December 31, 2020, respectively. Table 17.7 - Difference between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected December 31, 2021 December 31, 2020 (In millions) Multifamily Held-For-Sale Loans Debt of Debt Securities of Consolidated Trusts Held by Third Parties Multifamily Held-For-Sale Loans Debt of Debt Securities of Consolidated Trusts Held by Third Parties Fair value $10,498 $1,252 $958 $14,199 $2,216 $203 UPB 10,224 1,220 958 13,400 2,189 200 Difference $274 $32 $— $799 $27 $3 The table below presents the changes in fair value included in investment gains (losses),net, on our consolidated statements of comprehensive income, related to items for which we have elected the fair value option. Table 17.8 - Changes in Fair Value under the Fair Value Option Election December 31, 2021 December 31, 2020 December 31, 2019 (In millions) Gains (Losses) Multifamily held-for-sale loans ($407) $1,247 $853 Multifamily held-for-sale loan purchase commitments 1,271 2,288 1,913 Debt of Freddie Mac - long term 50 335 136 Debt securities of consolidated trusts held by third parties 17 4 (4) |
Regulatory Capital (Tables)
Regulatory Capital (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Mortgage Banking [Abstract] | |
Table - Net Worth and Minimum Capital | The table below summarizes our net worth and estimated core capital and minimum capital levels reported to FHFA. Table 19.1 - Net Worth and Minimum Capital (In millions) December 31, 2021 December 31, 2020 GAAP net worth (deficit) $28,033 $16,413 Core capital (deficit) (1)(2) (44,769) (56,878) Less: Minimum capital (1) 24,302 22,694 Minimum capital surplus (deficit) (1) ($69,071) ($79,572) (1) Core capital and minimum capital figures are estimates and represent amounts submitted to FHFA. FHFA is the authoritative source for our regulatory capital. (2) Core capital excludes certain components of GAAP total equity (i.e., AOCI and senior preferred stock) as these items do not meet the statutory definition of core capital. |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Details) - segment | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Accounting Policies [Abstract] | |||
Number of reportable segments | 2 | 3 | 3 |
Conservatorship and Related M_2
Conservatorship and Related Matters (Details) - USD ($) | Sep. 08, 2008 | Dec. 31, 2021 | Sep. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2013 | Dec. 31, 2021 | Jan. 01, 2023 | Dec. 31, 2022 | Jun. 30, 2022 | Mar. 31, 2022 | Jan. 01, 2022 | Jun. 30, 2021 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2008 |
Conservatorship and related matters line items | |||||||||||||||||
Remaining funding available under Purchase Agreement | $ 140,200,000,000 | $ 140,200,000,000 | $ 140,200,000,000 | ||||||||||||||
Initial liquidation preference of senior preferred stock | $ 1,000,000,000 | ||||||||||||||||
Common stock warrant, percentage of common stock shares that can be purchased | 79.90% | 79.90% | 79.90% | ||||||||||||||
Cash Proceeds Received Upon Issuing The Senior Preferred Stock | $ 0 | ||||||||||||||||
Increase in senior preferred stock | $ 3,000,000,000 | ||||||||||||||||
Aggregate liquidation preference on senior preferred stock | $ 98,000,000,000 | $ 95,000,000,000 | $ 98,000,000,000 | $ 86,500,000,000 | $ 98,000,000,000 | ||||||||||||
Net worth increase | 2,700,000,000 | $ 2,900,000,000 | |||||||||||||||
Applicable capital reserve amount if we don't pay the full dividend requirement in a future period | $ 0 | $ 0 | $ 0 | ||||||||||||||
Percent per annum portion of quarterly senior preferred stock dividend requirement after Capital Reserve End Date when dividend paid in full | 10.00% | 10.00% | 10.00% | ||||||||||||||
Percent per annum portion of quarterly senior preferred stock dividend requirement after Capital Reserve End Date when dividend is not paid in full | 12.00% | 12.00% | 12.00% | ||||||||||||||
Allowance of non-ordinary course asset sales | $ 250,000,000 | $ 250,000,000 | $ 250,000,000 | ||||||||||||||
Maximum limit of the UPB of mortgage-related investments portfolio | 225,000,000,000 | 225,000,000,000 | 225,000,000,000 | ||||||||||||||
Mortgage Related Investments Portfolio Limit Under Purchase Agreement | $ 250,000,000,000 | ||||||||||||||||
Debt cap under Purchase Agreement. | 300,000,000,000 | 300,000,000,000 | 300,000,000,000 | ||||||||||||||
UPB of mortgage-related investments portfolio | 123,500,000,000 | 123,500,000,000 | 123,500,000,000 | ||||||||||||||
Ten percent of notional amount of IO securities | 12,500,000,000 | 12,500,000,000 | 12,500,000,000 | ||||||||||||||
Agency MBS Maximum | $ 50,000,000,000 | ||||||||||||||||
Aggregate dividend payments since conservatorship began | $ 119,700,000,000 | 119,700,000,000 | 119,700,000,000 | ||||||||||||||
Amount contributed to equity method investment | $ 76,000,000 | $ 734,000,000 | |||||||||||||||
Basis points of each dollar of new business purchases required by GSE Act. | 0.042% | 0.042% | 0.042% | ||||||||||||||
Legislated basis point fee on single-family loans remitted to Treasury as required by law | 0.10% | 0.10% | 0.10% | ||||||||||||||
CSS [Member] | |||||||||||||||||
Conservatorship and related matters line items | |||||||||||||||||
Equity method investment | $ 8,000,000 | $ 8,000,000 | 16,000,000 | $ 8,000,000 | |||||||||||||
Government [Member] | |||||||||||||||||
Conservatorship and related matters line items | |||||||||||||||||
Related Party Transaction, Amounts of Transaction | 0 | $ 0 | $ 0 | ||||||||||||||
Subsequent Event | |||||||||||||||||
Conservatorship and related matters line items | |||||||||||||||||
Aggregate liquidation preference on senior preferred stock | $ 100,700,000,000 | ||||||||||||||||
Mortgage Related Investments Portfolio Limit Under Purchase Agreement | $ 225,000,000,000 | ||||||||||||||||
Debt cap under Purchase Agreement. | $ 270,000,000,000 | ||||||||||||||||
Cash window volume purchase limit per lender | $ 1,500,000,000 | ||||||||||||||||
Multifamily Loan Purchases Cap | $ 80,000,000,000 | ||||||||||||||||
Agency MBS Maximum | $ 20,000,000,000 | ||||||||||||||||
Senior Preferred Stock | |||||||||||||||||
Conservatorship and related matters line items | |||||||||||||||||
Senior preferred stock, shares issued | 1,000,000 | ||||||||||||||||
Initial liquidation preference of senior preferred stock | $ 1,000,000,000 | ||||||||||||||||
Increase in senior preferred stock | $ 3,000,000,000 | ||||||||||||||||
Aggregate liquidation preference on senior preferred stock | $ 97,959,000,000 | $ 97,959,000,000 | $ 97,959,000,000 | ||||||||||||||
Senior Preferred Stock, Dividend Rate | 10.00% |
Securitization Activities and_3
Securitization Activities and Consolidation (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Variable Interest Entity [Line Items] | ||
Total assets | $ 3,025,586 | $ 2,627,415 |
Fannie Mae securities backing Freddie Mac resecuritization trust | ||
Variable Interest Entity [Line Items] | ||
Guarantor Obligations, Maximum Exposure, Undiscounted | 111,150 | 85,841 |
WI K- deal Certificate | Multifamily | ||
Variable Interest Entity [Line Items] | ||
UPB of Issuances and Guarantees | 2,000 | |
Other Securitization Products | Single-family Guarantee | ||
Variable Interest Entity [Line Items] | ||
Consolidated UPB of VIE | 6,100 | 11,200 |
Other Securitization Products | Multifamily | ||
Variable Interest Entity [Line Items] | ||
UPB of Issuances and Guarantees | 7,000 | 6,000 |
Level 1 Securitization products | Single-family Guarantee | ||
Variable Interest Entity [Line Items] | ||
Consolidated UPB of VIE | 2,700,000 | 2,300,000 |
UPB of Issuances and Guarantees | 1,200,000 | 1,100,000 |
Variable Interest Entity, Not Primary Beneficiary | Fannie Mae securities backing Freddie Mac resecuritization trust | ||
Variable Interest Entity [Line Items] | ||
Guarantor Obligations, Maximum Exposure, Undiscounted | 110,800 | 85,300 |
Variable Interest Entity, Not Primary Beneficiary | K Certificates | Multifamily | ||
Variable Interest Entity [Line Items] | ||
UPB of Issuances and Guarantees | 58,900 | 55,600 |
Maximum Exposure to Loss | 281,900 | 253,000 |
Total assets | 321,100 | 291,300 |
Variable Interest Entity, Not Primary Beneficiary | SB Certificate | Multifamily | ||
Variable Interest Entity [Line Items] | ||
UPB of Issuances and Guarantees | 4,500 | 4,400 |
Maximum Exposure to Loss | 22,400 | 21,500 |
Total assets | 24,900 | 23,900 |
Variable Interest Entity, Not Primary Beneficiary | Senior Subordinate Securitization Products | Single-family Guarantee | ||
Variable Interest Entity [Line Items] | ||
UPB of Issuances and Guarantees | 4,000 | 7,000 |
Maximum Exposure to Loss | 26,500 | 28,100 |
Total assets | 32,300 | 33,700 |
Variable Interest Entity, Not Primary Beneficiary | Other Securitization Products | Single-family Guarantee | ||
Variable Interest Entity [Line Items] | ||
Maximum Exposure to Loss | 1,500 | 1,700 |
Total assets | 1,300 | 1,800 |
Variable Interest Entity, Not Primary Beneficiary | Other Securitization Products | Multifamily | ||
Variable Interest Entity [Line Items] | ||
UPB of Issuances and Guarantees | 2,400 | 3,100 |
Maximum Exposure to Loss | 14,800 | 14,900 |
Total assets | 16,700 | 16,900 |
Variable Interest Entity, Not Primary Beneficiary | STACR and SCR | Single-family Guarantee | ||
Variable Interest Entity [Line Items] | ||
Maximum Exposure to Loss | 44 | 420 |
Total assets | 23,600 | 17,300 |
Held by consolidated trusts | ||
Variable Interest Entity [Line Items] | ||
Total assets | 2,838,926 | 2,357,329 |
Held by consolidated trusts | WI K- deal Certificate | Multifamily | ||
Variable Interest Entity [Line Items] | ||
Consolidated UPB of VIE | 900 | |
Other Securitization Trust | Other Securitization Products | Multifamily | ||
Variable Interest Entity [Line Items] | ||
Consolidated UPB of VIE | $ 19,300 | $ 14,300 |
Securitization Activities and_4
Securitization Activities and Consolidation - Consolidated VIEs (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Variable Interest Entity [Line Items] | ||||
Cash and cash equivalents | $ 10,150 | $ 23,889 | $ 5,189 | $ 7,273 |
Restricted cash and cash equivalents | 1,695 | 17,379 | ||
Securities purchased under agreement to resell | 71,203 | 105,003 | ||
Investments in securities, at fair value | 53,015 | 59,825 | ||
Mortgage loans held-for-investment | 2,828,331 | 2,350,236 | ||
Accrued interest receivable, net | 7,474 | 7,754 | ||
Other assets | 29,421 | 40,499 | ||
Total assets | 3,025,586 | 2,627,415 | ||
Accrued interest payable | 6,268 | 6,210 | ||
Debt | 2,980,185 | 2,592,546 | ||
Total liabilities | 2,997,553 | 2,611,002 | ||
Held by consolidated trusts | ||||
Variable Interest Entity [Line Items] | ||||
Cash and cash equivalents | 1,596 | 17,290 | ||
Restricted cash and cash equivalents | 1,595 | 17,289 | ||
Securities purchased under agreement to resell | 34,000 | 38,487 | ||
Investments in securities, at fair value | 420 | 591 | ||
Mortgage loans held-for-investment | 2,784,626 | 2,273,347 | ||
Accrued interest receivable, net | 7,019 | 7,134 | ||
Other assets | 11,265 | 20,480 | ||
Total assets | 2,838,926 | 2,357,329 | ||
Accrued interest payable | 5,823 | 5,610 | ||
Debt | 2,803,054 | 2,308,176 | ||
Total liabilities | $ 2,808,877 | $ 2,313,786 |
Securitization Activities and_5
Securitization Activities and Consolidation - Non-Consolidated VIEs (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Assets: | ||
Investments in securities, at fair value | $ 53,015 | $ 59,825 |
Accrued interest receivable, net | 7,474 | 7,754 |
Other assets | 29,421 | 40,499 |
Liabilities: | ||
Debt | 2,980,185 | |
Other liabilities | 11,100 | 12,246 |
Variable Interest Entity, Not Primary Beneficiary | ||
Assets: | ||
Investments in securities, at fair value | 16,506 | 28,459 |
Accrued interest receivable, net | 220 | 239 |
Other assets | 5,589 | 5,614 |
Liabilities: | ||
Debt | 67 | 0 |
Other liabilities | $ 5,172 | $ 4,562 |
Mortgage Loans (Details)
Mortgage Loans (Details) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021USD ($)loan | Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | |
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
Noncash acquisition, mortgage loans held-for-investment acquired | $ 705,400 | $ 435,500 | $ 238,400 |
Transfers from advances to lenders to loans HFI | $ 263,900 | $ 141,700 | $ 50,000 |
Other loss mitigation activities | |||
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
Number of Loans, TDR, Subsequent Default | loan | 2,790 | 3,862 | 5,158 |
Post-TDR Amortized Cost Basis, Subsequent Default | $ 400 | $ 600 | $ 600 |
Single-family | |||
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
SF UPB removed from Consolidated Trust | $ 4,200 | $ 5,600 | |
Number of Loans, TDR, Subsequent Default | loan | 3,532 | 11,700 | 14,882 |
Post-TDR Amortized Cost Basis, Subsequent Default | $ 606 | $ 2,090 | $ 1,882 |
Interest rate reduction and term extension types, percentage of completed modifications | 13.00% | 15.00% | 9.00% |
Principal forebearance and interest rate reductions and term extension types, percentage of completed modifications | 33.00% | 22.00% | 23.00% |
Average term extension, number of months of completed modifications | 155 months | 179 months | 180 months |
Average interest rate reduction, percentage of completed modifications | 0.40% | 0.30% | 0.10% |
Multifamily | |||
Accounts, Notes, Loans and Financing Receivables [Line Items] | |||
Number of Loans, TDR, Subsequent Default | loan | 0 | 0 | 0 |
Post-TDR Amortized Cost Basis, Subsequent Default | $ 0 | $ 0 | $ 0 |
Mortgage Loans - Mortgage Loans
Mortgage Loans - Mortgage Loans (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
UPB of mortgage loans - HFS | $ 20,317 | $ 34,491 |
Cost basis and fair value adjustments, net HFS | (539) | (839) |
Total held-for-sale loans, net | 19,778 | 33,652 |
UPB of mortgage loans - HFI | 2,769,508 | 2,293,499 |
Cost basis adjustment HFI | 63,770 | 62,469 |
Allowance for loan losses | (4,947) | (5,732) |
Total held-for-investment mortgage loans, net | 2,828,331 | 2,350,236 |
Total loans, net | 2,848,109 | 2,383,888 |
Single-family | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
UPB of mortgage loans - HFS | 5,446 | 10,702 |
Cost basis and fair value adjustments, net HFS | (813) | (1,637) |
Total held-for-sale loans, net | 4,633 | 9,065 |
UPB of mortgage loans - HFI | 2,742,851 | 2,271,576 |
Cost basis adjustment HFI | 63,684 | 62,415 |
Allowance for loan losses | (4,913) | (5,628) |
Total held-for-investment mortgage loans, net | 2,801,622 | 2,328,363 |
Total loans, net | 2,806,255 | 2,337,428 |
Multifamily | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
UPB of mortgage loans - HFS | 14,871 | 23,789 |
Cost basis and fair value adjustments, net HFS | 274 | 798 |
Total held-for-sale loans, net | 15,145 | 24,587 |
UPB of mortgage loans - HFI | 26,657 | 21,923 |
Cost basis adjustment HFI | 86 | 54 |
Allowance for loan losses | (34) | (104) |
Total held-for-investment mortgage loans, net | 26,709 | 21,873 |
Total loans, net | $ 41,854 | $ 46,460 |
Mortgage Loans - Loans Purchase
Mortgage Loans - Loans Purchased, Reclassified from Held-for-Investment to Held-for-Sale and Sold (Details) - USD ($) $ in Billions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Single-family | Held-for-Investment | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Purchase | $ 1,215.3 | $ 1,085.9 | $ 451.2 |
Reclassified from held-for-investment to held-for-sale | 1.6 | 4.6 | 13.6 |
Single-family | Held-for-Sale | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Sale of held-for-sale loans | 5.5 | 9 | 13.1 |
Multifamily | Held-for-Investment | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Purchase | 9.4 | 9.6 | 9.5 |
Reclassified from held-for-investment to held-for-sale | 2.6 | 2.7 | 1.9 |
Multifamily | Held-for-Sale | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Purchase | 59.1 | 69.7 | 65.3 |
Sale of held-for-sale loans | $ 70.4 | $ 66.7 | $ 71.3 |
Mortgage Loans - Loan Reclassif
Mortgage Loans - Loan Reclassifications (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Charge-offs | $ 57 | $ 264 |
Held-for-Investment | Single-family | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
UPB reclassified for-investment to held-for-sale | 1,642 | 4,628 |
Allowance for credit losses reversed or (established) | 66 | 300 |
Valuation allowance (established) or reversed | 0 | 0 |
Held-for-Investment | Multifamily | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
UPB reclassified for-investment to held-for-sale | 2,602 | 2,703 |
Allowance for credit losses reversed or (established) | 7 | 9 |
Valuation allowance (established) or reversed | 0 | (6) |
Held-for-Sale | Single-family | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
UPB reclassified from held-for-sale to held-for-investment | 266 | 1,721 |
Allowance for credit losses reversed or (established) | 18 | 147 |
Valuation allowance (established) or reversed | 0 | 34 |
Held-for-Sale | Multifamily | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
UPB reclassified from held-for-sale to held-for-investment | 76 | 775 |
Allowance for credit losses reversed or (established) | 0 | (1) |
Valuation allowance (established) or reversed | $ 0 | $ 4 |
Mortgage Loans - Amortized Cost
Mortgage Loans - Amortized Cost Basis of Held-for-Investment Loans on Nonaccrual (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Jan. 01, 2021 | Jan. 01, 2020 | |
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Nonaccrual Amortized Cost Basis | $ 18,650 | $ 13,677 | $ 13,677 | $ 6,383 |
Interest Income Recognized | 212 | 258 | ||
Single Family | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Nonaccrual Amortized Cost Basis | 18,650 | 13,677 | 13,677 | 6,370 |
Interest Income Recognized | 212 | 258 | ||
Single-family 20 and 30-year or more, amortizing fixed-rate | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Nonaccrual Amortized Cost Basis | 17,013 | 12,151 | 12,151 | 5,598 |
Interest Income Recognized | 197 | 235 | ||
Single-family 15-year amortizing fixed-rate | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Nonaccrual Amortized Cost Basis | 844 | 696 | 696 | 242 |
Interest Income Recognized | 7 | 10 | ||
Single-family Adjustable-rate | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Nonaccrual Amortized Cost Basis | 233 | 193 | 193 | 91 |
Interest Income Recognized | 1 | 3 | ||
Single-family Alt-A, interest-only, and option ARM | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Nonaccrual Amortized Cost Basis | 560 | 637 | 637 | 439 |
Interest Income Recognized | 7 | 10 | ||
Multifamily | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Nonaccrual Amortized Cost Basis | 0 | 0 | $ 0 | $ 13 |
Interest Income Recognized | $ 0 | $ 0 |
Mortgage Loans - Accrued Intere
Mortgage Loans - Accrued Interest Receivable and Related Charge-Offs (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Accrued interest receivable, net | $ 7,474 | $ 7,754 |
Single Family | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Accrued interest receivable, net | 7,065 | 7,292 |
Accrued Interest Receivable Related Charge-Offs | (742) | (333) |
Multifamily | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Accrued interest receivable, net | 125 | 139 |
Accrued Interest Receivable Related Charge-Offs | $ 0 | $ 0 |
Mortgage Loans - Amortized Co_2
Mortgage Loans - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratios and Vintage (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Total | $ 2,833,278 | $ 2,355,968 |
Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 918,437 | 847,099 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 762,269 | 247,847 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 140,546 | 106,222 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 58,592 | 126,125 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 74,404 | 157,307 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 424,276 | 480,973 |
Total | 2,378,524 | 1,965,573 |
Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 150,640 | 154,747 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 130,903 | 30,322 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 18,478 | 12,129 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 7,302 | 20,628 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 13,660 | 30,143 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 78,045 | 84,001 |
Total | 399,028 | 331,970 |
Single-family Adjustable-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 5,023 | 3,062 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 2,105 | 1,852 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 942 | 1,302 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 636 | 3,519 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 1,851 | 2,373 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 10,165 | 13,530 |
Total | 20,722 | 25,638 |
Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 8,261 | 10,810 |
Total | 8,261 | 10,810 |
Single Family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 1,074,100 | 1,004,908 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 895,277 | 280,021 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 159,966 | 119,653 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 66,530 | 150,272 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 89,915 | 189,823 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 520,747 | 589,314 |
Total | 2,806,535 | 2,333,991 |
Debt-to-Value Ratio, Less than 60 Perent | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 260,244 | 203,333 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 397,680 | 52,820 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 77,812 | 33,139 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 39,143 | 64,834 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 61,434 | 115,978 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 405,467 | 431,406 |
Total | 1,241,780 | 901,510 |
Debt-to-Value Ratio, Less than 60 Perent | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 93,732 | 78,269 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 111,899 | 17,753 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 17,335 | 9,914 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 7,161 | 19,650 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 13,602 | 29,916 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 78,001 | 83,842 |
Total | 321,730 | 239,344 |
Debt-to-Value Ratio, Less than 60 Perent | Single-family Adjustable-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 2,054 | 1,427 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 1,554 | 850 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 727 | 731 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 543 | 2,429 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 1,657 | 2,042 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 10,011 | 12,993 |
Total | 16,546 | 20,472 |
Debt-to-Value Ratio, Less than 60 Perent | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 7,506 | 8,620 |
Total | 7,506 | 8,620 |
Debt-to-Value Ratio, Less than 60 Perent | Single Family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 356,030 | 283,029 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 511,133 | 71,423 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 95,874 | 43,784 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 46,847 | 86,913 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 76,693 | 147,936 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 500,985 | 536,861 |
Total | 1,587,562 | 1,169,946 |
Debt-to-Value Ratio, 60 to 80 percent | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 467,193 | 437,107 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 334,560 | 141,094 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 60,570 | 64,236 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 18,914 | 59,110 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 12,715 | 40,614 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 17,354 | 44,636 |
Total | 911,306 | 786,797 |
Debt-to-Value Ratio, 60 to 80 percent | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 52,521 | 67,904 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 18,834 | 12,169 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 1,136 | 2,195 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 137 | 961 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 54 | 215 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 36 | 135 |
Total | 72,718 | 83,579 |
Debt-to-Value Ratio, 60 to 80 percent | Single-family Adjustable-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 2,435 | 1,403 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 535 | 877 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 209 | 537 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 90 | 1,061 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 190 | 329 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 151 | 528 |
Total | 3,610 | 4,735 |
Debt-to-Value Ratio, 60 to 80 percent | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 644 | 1,818 |
Total | 644 | 1,818 |
Debt-to-Value Ratio, 60 to 80 percent | Single Family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 522,149 | 506,414 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 353,929 | 154,140 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 61,915 | 66,968 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 19,141 | 61,132 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 12,959 | 41,158 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 18,185 | 47,117 |
Total | 988,278 | 876,929 |
Debt To Value Ratio, 80 To 90 Percent | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 124,074 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 28,944 | |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 2,034 | |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 482 | |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 208 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 818 | |
Total | 156,560 | |
Debt To Value Ratio, 80 To 90 Percent | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 3,785 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 168 | |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 6 | |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 2 | |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 2 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 3 | |
Total | 3,966 | |
Debt To Value Ratio, 80 To 90 Percent | Single-family Adjustable-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 417 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 16 | |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 6 | |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 3 | |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 4 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 2 | |
Total | 448 | |
Debt To Value Ratio, 80 To 90 Percent | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 0 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 0 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 64 | |
Total | 64 | |
Debt To Value Ratio, 80 To 90 Percent | Single Family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 128,276 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 29,128 | |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 2,046 | |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 487 | |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 214 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 887 | |
Total | 161,038 | |
Debt To Value Ratio, 90 To 100 Percent | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 66,851 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 1,083 | |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 126 | |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 45 | |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 29 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 309 | |
Total | 68,443 | |
Debt To Value Ratio, 90 To 100 Percent | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 598 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 2 | |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 1 | |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 1 | |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 1 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 2 | |
Total | 605 | |
Debt To Value Ratio, 90 To 100 Percent | Single-family Adjustable-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 116 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 0 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 1 | |
Total | 117 | |
Debt To Value Ratio, 90 To 100 Percent | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 0 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 0 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 29 | |
Total | 29 | |
Debt To Value Ratio, 90 To 100 Percent | Single Family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 67,565 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 1,085 | |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 127 | |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 46 | |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 30 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 341 | |
Total | 69,194 | |
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, Year One, Originated, Current Fiscal Year | 206,457 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 53,926 | |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 8,822 | |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 2,117 | |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 654 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 3,983 | |
Total | 275,959 | |
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, Year One, Originated, Current Fiscal Year | 8,553 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 400 | |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 17 | |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 12 | |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 9 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 17 | |
Total | 9,008 | |
Greater Than 80 Through 100 Estimated Current LTV Ratio | Single-family Adjustable-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 232 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 125 | |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 34 | |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 29 | |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 2 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 8 | |
Total | 430 | |
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, Year One, Originated, Current Fiscal Year | 0 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 0 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 314 | |
Total | 314 | |
Greater Than 80 Through 100 Estimated Current LTV Ratio | Single Family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 215,242 | |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 54,451 | |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 8,873 | |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 2,158 | |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 665 | |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 4,322 | |
Total | 285,711 | |
Greater Than 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, Year One, Originated, Current Fiscal Year | 75 | 202 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 2 | 7 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 4 | 25 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 8 | 64 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 18 | 61 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 328 | 948 |
Total | 435 | 1,307 |
Greater Than 100 Estimated Current LTV Ratio | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 4 | 21 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | 3 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 1 | 5 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 1 | 3 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 3 | 7 |
Total | 9 | 39 |
Greater Than 100 Estimated Current LTV Ratio | Single-family Adjustable-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 1 | 0 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 0 | 1 |
Total | 1 | 1 |
Greater Than 100 Estimated Current LTV Ratio | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 18 | 58 |
Total | 18 | 58 |
Greater Than 100 Estimated Current LTV Ratio | Single Family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 80 | 223 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 2 | 7 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 4 | 28 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 9 | 69 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 19 | 64 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 349 | 1,014 |
Total | $ 463 | $ 1,405 |
Mortgage Loans -Amortized Cost
Mortgage Loans -Amortized Cost Basis of Multifamily Held- for-Investment Loans by Credit Quality Indicator by Vintage (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Total | $ 2,833,278 | $ 2,355,968 |
Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 6,955 | 7,486 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 7,218 | 7,015 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 5,816 | 1,196 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 983 | 763 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 615 | 598 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 2,881 | 2,895 |
Financing Receivable, Revolving Loans Converted to Term Loans | 2,275 | 2,024 |
Total | 26,743 | 21,977 |
Pass | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 6,955 | 7,486 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 7,116 | 6,491 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 5,273 | 1,075 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 979 | 722 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 610 | 590 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 2,795 | 2,715 |
Financing Receivable, Revolving Loans Converted to Term Loans | 2,275 | 2,024 |
Total | 26,003 | 21,103 |
Special Mention | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 40 | 524 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 372 | 115 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 3 | 8 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 42 | 108 |
Financing Receivable, Revolving Loans Converted to Term Loans | 0 | 0 |
Total | 457 | 755 |
Substandard | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 62 | 0 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 171 | 6 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 4 | 41 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 2 | 0 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 44 | 72 |
Financing Receivable, Revolving Loans Converted to Term Loans | 0 | 0 |
Total | 283 | 119 |
Doubtful | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Year One, Originated, Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Two, Originated, Fiscal Year before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Three, Originated, Two Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Four, Originated, Three Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Year Five, Originated, Four Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 0 | 0 |
Financing Receivable, Revolving Loans Converted to Term Loans | 0 | 0 |
Total | $ 0 | $ 0 |
Mortgage Loans - Amortized Co_3
Mortgage Loans - Amortized Cost Basis of Held-for-Investment Loans by Payment Status (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Financing Receivable, Past Due [Line Items] | ||
Total | $ 2,833,278 | $ 2,355,968 |
Three months or more past due and accruing | 6,271 | 44,113 |
Non-Accrual with no allowance | 972 | 779 |
Mortgage Loans in Process of Foreclosure, Amount | 700 | 1,000 |
Loans compliant with forbearance agreement | 400 | 700 |
Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 2,378,524 | 1,965,573 |
Three months or more past due and accruing | 5,784 | 40,162 |
Non-Accrual with no allowance | 857 | 648 |
Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 399,028 | 331,970 |
Three months or more past due and accruing | 392 | 2,723 |
Non-Accrual with no allowance | 13 | 11 |
Single-family Adjustable-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 20,722 | 25,638 |
Three months or more past due and accruing | 54 | 690 |
Non-Accrual with no allowance | 8 | 5 |
Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 8,261 | 10,810 |
Three months or more past due and accruing | 41 | 538 |
Non-Accrual with no allowance | 94 | 115 |
Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 2,806,535 | 2,333,991 |
Three months or more past due and accruing | 6,271 | 44,113 |
Non-Accrual with no allowance | 972 | 779 |
Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 26,743 | 21,977 |
Three months or more past due and accruing | 0 | 0 |
Non-Accrual with no allowance | 0 | 0 |
One month past due | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 16,663 | 17,721 |
One month past due | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 14,833 | 15,798 |
One month past due | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 1,550 | 1,439 |
One month past due | Single-family Adjustable-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 105 | 192 |
One month past due | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 175 | 292 |
One month past due | Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 16,663 | 17,721 |
One month past due | Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 0 | 0 |
Two months past due | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 3,533 | 6,579 |
Two months past due | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 3,214 | 5,941 |
Two months past due | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 230 | 429 |
Two months past due | Single-family Adjustable-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 31 | 79 |
Two months past due | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 58 | 130 |
Two months past due | Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 3,533 | 6,579 |
Two months past due | Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 0 | 0 |
Three months or more past due or in foreclosure | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 24,481 | 57,349 |
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] | ||
Total | 22,401 | 51,853 |
Three months or more past due or in foreclosure | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 1,218 | 3,451 |
Three months or more past due or in foreclosure | Single-family Adjustable-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 284 | 884 |
Three months or more past due or in foreclosure | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 578 | 1,161 |
Three months or more past due or in foreclosure | Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 24,481 | 57,349 |
Three months or more past due or in foreclosure | Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 0 | 0 |
Financial Asset, Not Past Due | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 2,788,601 | 2,274,319 |
Financial Asset, Not Past Due | Single-family 20 and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 2,338,076 | 1,891,981 |
Financial Asset, Not Past Due | Single-family 15-year amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 396,030 | 326,651 |
Financial Asset, Not Past Due | Single-family Adjustable-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 20,302 | 24,483 |
Financial Asset, Not Past Due | Single-family Alt-A, interest-only, and option ARM | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 7,450 | 9,227 |
Financial Asset, Not Past Due | Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 2,761,858 | 2,252,342 |
Financial Asset, Not Past Due | Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Total | $ 26,743 | $ 21,977 |
Mortgage Loans - SF TDR Modific
Mortgage Loans - SF TDR Modification Metrics (Details) - Single Family | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Financing Receivable, Troubled Debt Restructuring [Line Items] | |||
Interest rate reductions and related term extensions | 13.00% | 15.00% | 9.00% |
Principal forbearance and related interest rate reductions and term extensions | 33.00% | 22.00% | 23.00% |
Average coupon interest rate reduction | 0.40% | 0.30% | 0.10% |
Average months of term extension | 155 months | 179 months | 180 months |
Mortgage Loans - TDR Activity (
Mortgage Loans - TDR Activity (Details) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021USD ($)loan | Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | |
Single-family 20 and 30-year or more, amortizing fixed-rate | |||
Financing Receivable, Troubled Debt Restructuring [Line Items] | |||
Number of Loans | loan | 13,448 | 22,471 | 25,924 |
Post TDR Amortized Cost Basis | $ 2,368 | $ 4,169 | $ 4,331 |
Single-family 15-year amortizing fixed-rate | |||
Financing Receivable, Troubled Debt Restructuring [Line Items] | |||
Number of Loans | loan | 1,620 | 2,584 | 3,018 |
Post TDR Amortized Cost Basis | $ 167 | $ 283 | $ 296 |
Single-family Adjustable-rate | |||
Financing Receivable, Troubled Debt Restructuring [Line Items] | |||
Number of Loans | loan | 172 | 334 | 529 |
Post TDR Amortized Cost Basis | $ 31 | $ 59 | $ 86 |
Single-family Alt-A, interest-only, and option ARM | |||
Financing Receivable, Troubled Debt Restructuring [Line Items] | |||
Number of Loans | loan | 508 | 1,300 | 1,523 |
Post TDR Amortized Cost Basis | $ 65 | $ 204 | $ 219 |
Single-family | |||
Financing Receivable, Troubled Debt Restructuring [Line Items] | |||
Number of Loans | loan | 15,748 | 26,689 | 30,994 |
Post TDR Amortized Cost Basis | $ 2,631 | $ 4,715 | $ 4,932 |
Pre-TDR Amortized Cost Basis | $ 2,600 | $ 4,700 | $ 4,900 |
Multifamily | |||
Financing Receivable, Troubled Debt Restructuring [Line Items] | |||
Number of Loans | loan | 0 | 0 | 0 |
Post TDR Amortized Cost Basis | $ 0 | $ 0 | $ 0 |
Mortgage Loans - Payment Defaul
Mortgage Loans - Payment Defaults of Completed TDR Modifications (Details) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021USD ($)loan | Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | |
Single-family 20 and 30-year or more, amortizing fixed-rate | |||
Financing Receivable, Modifications and Other Loss Mitigation Activities | |||
Number of Loans, TDR, Subsequent Default | loan | 3,044 | 10,339 | 13,428 |
Post-TDR Amortized Cost Basis, Subsequent Default | $ | $ 535 | $ 1,869 | $ 1,702 |
Single-family 15-year amortizing fixed-rate | |||
Financing Receivable, Modifications and Other Loss Mitigation Activities | |||
Number of Loans, TDR, Subsequent Default | loan | 121 | 482 | 451 |
Post-TDR Amortized Cost Basis, Subsequent Default | $ | $ 13 | $ 58 | $ 36 |
Single-family Adjustable-rate | |||
Financing Receivable, Modifications and Other Loss Mitigation Activities | |||
Number of Loans, TDR, Subsequent Default | loan | 30 | 130 | 132 |
Post-TDR Amortized Cost Basis, Subsequent Default | $ | $ 5 | $ 19 | $ 15 |
Single-family Alt-A, interest-only, and option ARM | |||
Financing Receivable, Modifications and Other Loss Mitigation Activities | |||
Number of Loans, TDR, Subsequent Default | loan | 337 | 749 | 871 |
Post-TDR Amortized Cost Basis, Subsequent Default | $ | $ 53 | $ 144 | $ 129 |
Single-family | |||
Financing Receivable, Modifications and Other Loss Mitigation Activities | |||
Number of Loans, TDR, Subsequent Default | loan | 3,532 | 11,700 | 14,882 |
Post-TDR Amortized Cost Basis, Subsequent Default | $ | $ 606 | $ 2,090 | $ 1,882 |
Multifamily | |||
Financing Receivable, Modifications and Other Loss Mitigation Activities | |||
Number of Loans, TDR, Subsequent Default | loan | 0 | 0 | 0 |
Post-TDR Amortized Cost Basis, Subsequent Default | $ | $ 0 | $ 0 | $ 0 |
Guarantees and Other Off-Bala_3
Guarantees and Other Off-Balance Sheet Credit Exposures (Details) - USD ($) $ in Billions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Guarantor Obligations [Line Items] | ||
UPB Of Off-Balance Sheet Credit Exposure | $ 14.5 | $ 15.4 |
Excluded UPB of Off-Balance Sheet Credit Exposure | 6.2 | 5.5 |
Multifamily | Non-consolidated VIE subordination | MF Mortgage Loan credit enhancements | ||
Guarantor Obligations [Line Items] | ||
Maximum coverage | 43.9 | 42.8 |
Single-family long-term standby commitments | ||
Guarantor Obligations [Line Items] | ||
UPB of issuances and guarantees | 4.3 | 4.2 |
Multifamily housing revenue bonds | ||
Guarantor Obligations [Line Items] | ||
UPB of issuances and guarantees | $ 0.7 | $ 1.4 |
Guarantees and Other Off-Bala_4
Guarantees and Other Off-Balance Sheet Credit Exposures (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Guarantor Obligations [Line Items] | ||
Recognized Liability | $ 5,716 | $ 5,050 |
Payment Guarantee | ||
Guarantor Obligations [Line Items] | ||
Maximum Exposure | 69,799 | 47,703 |
Recognized Liability | $ 1,652 | $ 794 |
Maximum Remaining Term | 30 years | 30 years |
Fannie Mae securities backing Freddie Mac resecuritization trust | ||
Guarantor Obligations [Line Items] | ||
Maximum Exposure | $ 111,150 | $ 85,841 |
Recognized Liability | $ 0 | $ 0 |
Maximum Remaining Term | 40 years | 41 years |
Single-family | ||
Guarantor Obligations [Line Items] | ||
Maximum Exposure | $ 38,563 | $ 38,954 |
Recognized Liability | 649 | 594 |
Single-family | Securitization activity guarantees | ||
Guarantor Obligations [Line Items] | ||
Maximum Exposure | 27,975 | 29,739 |
Recognized Liability | $ 398 | $ 401 |
Maximum Remaining Term | 39 years | 39 years |
Single-family | Other mortgage-related guarantees | ||
Guarantor Obligations [Line Items] | ||
Maximum Exposure | $ 10,588 | $ 9,215 |
Recognized Liability | $ 251 | $ 193 |
Maximum Remaining Term | 30 years | 30 years |
Multifamily | ||
Guarantor Obligations [Line Items] | ||
Maximum Exposure | $ 327,462 | $ 298,055 |
Recognized Liability | 5,067 | 4,456 |
Multifamily | Securitization activity guarantees | ||
Guarantor Obligations [Line Items] | ||
Maximum Exposure | 317,006 | 287,334 |
Recognized Liability | $ 4,663 | $ 4,031 |
Maximum Remaining Term | 38 years | 39 years |
Multifamily | Other mortgage-related guarantees | ||
Guarantor Obligations [Line Items] | ||
Maximum Exposure | $ 10,456 | $ 10,721 |
Recognized Liability | $ 404 | $ 425 |
Maximum Remaining Term | 32 years | 33 years |
Guarantees and Other Off-Bala_5
Guarantees and Other Off-Balance Sheet Credit Exposures - UPB of Unconsolidated Loans by Payment Status (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Guarantor Obligations [Line Items] | ||
Current | $ 409,505 | $ 376,801 |
One Month Past Due | 2,087 | 2,291 |
Two Months Past Due | 699 | 1,007 |
Three Months or More Past Due, or in Foreclosure | 2,658 | 4,479 |
Total | 414,949 | 384,578 |
Loan-level payment status unavailable | 400 | 700 |
Loans in forbearance | 1,300 | 6,900 |
Single Family | ||
Guarantor Obligations [Line Items] | ||
Current | 38,964 | 37,187 |
One Month Past Due | 2,040 | 2,204 |
Two Months Past Due | 692 | 945 |
Three Months or More Past Due, or in Foreclosure | 2,341 | 3,922 |
Total | 44,037 | 44,258 |
Multifamily | ||
Guarantor Obligations [Line Items] | ||
Current | 370,541 | 339,614 |
One Month Past Due | 47 | 87 |
Two Months Past Due | 7 | 62 |
Three Months or More Past Due, or in Foreclosure | 317 | 557 |
Total | $ 370,912 | $ 340,320 |
Allowance for Credit Losses - D
Allowance for Credit Losses - Details of the Allowance for Credit Losses (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Rollforward of Allowance for Credit Losses | |||
Beginning balance | $ 6,553 | $ 4,286 | |
Charge-offs | (57) | (264) | |
Ending balance | 5,518 | 6,553 | $ 4,286 |
Allowance, Credit Loss | |||
Rollforward of Allowance for Credit Losses | |||
Beginning balance | 6,553 | 5,301 | 6,191 |
Provision (benefit) for credit losses | (1,041) | 1,452 | (746) |
Charge-offs | (1,107) | (592) | (1,737) |
Recoveries collected | 197 | 210 | 452 |
Other | 916 | 182 | 126 |
Ending balance | 6,553 | 5,301 | |
Held-for-Investment | |||
Rollforward of Allowance for Credit Losses | |||
Beginning balance | 5,732 | 4,234 | |
Ending balance | 4,947 | 5,732 | 4,234 |
Allowance for pre-foreclosure costs | |||
Rollforward of Allowance for Credit Losses | |||
Beginning balance | 536 | 0 | |
Ending balance | 450 | 536 | 0 |
Accrued interest receivable on mortgage loans | |||
Rollforward of Allowance for Credit Losses | |||
Beginning balance | 140 | 0 | |
Ending balance | 24 | 140 | 0 |
Off-balance sheet credit exposures | |||
Rollforward of Allowance for Credit Losses | |||
Beginning balance | 145 | 52 | |
Ending balance | 97 | 145 | 52 |
Single Family | |||
Rollforward of Allowance for Credit Losses | |||
Beginning balance | 6,353 | 4,268 | |
Ending balance | 5,440 | 6,353 | 4,268 |
Single Family | Allowance, Credit Loss | |||
Rollforward of Allowance for Credit Losses | |||
Beginning balance | 6,353 | 5,233 | 6,176 |
Provision (benefit) for credit losses | (919) | 1,320 | (749) |
Charge-offs | (1,107) | (592) | (1,737) |
Recoveries collected | 197 | 210 | 452 |
Other | 916 | 182 | 126 |
Ending balance | 6,353 | 5,233 | |
Single Family | Held-for-Investment | |||
Rollforward of Allowance for Credit Losses | |||
Beginning balance | 5,628 | 4,222 | |
Ending balance | 4,913 | 5,628 | 4,222 |
Single Family | Allowance for pre-foreclosure costs | |||
Rollforward of Allowance for Credit Losses | |||
Beginning balance | 536 | 0 | |
Ending balance | 450 | 536 | 0 |
Single Family | Accrued interest receivable on mortgage loans | |||
Rollforward of Allowance for Credit Losses | |||
Beginning balance | 140 | 0 | |
Ending balance | 24 | 140 | 0 |
Single Family | Off-balance sheet credit exposures | |||
Rollforward of Allowance for Credit Losses | |||
Beginning balance | 49 | 46 | |
Ending balance | 53 | 49 | 46 |
Multifamily | |||
Rollforward of Allowance for Credit Losses | |||
Beginning balance | 200 | 18 | |
Ending balance | 78 | 200 | 18 |
Multifamily | Allowance, Credit Loss | |||
Rollforward of Allowance for Credit Losses | |||
Beginning balance | 200 | 68 | 15 |
Provision (benefit) for credit losses | (122) | 132 | 3 |
Charge-offs | 0 | 0 | 0 |
Recoveries collected | 0 | 0 | 0 |
Other | 0 | 0 | 0 |
Ending balance | 200 | 68 | |
Multifamily | Held-for-Investment | |||
Rollforward of Allowance for Credit Losses | |||
Beginning balance | 104 | 12 | |
Ending balance | 34 | 104 | 12 |
Multifamily | Allowance for pre-foreclosure costs | |||
Rollforward of Allowance for Credit Losses | |||
Beginning balance | 0 | 0 | |
Ending balance | 0 | 0 | 0 |
Multifamily | Accrued interest receivable on mortgage loans | |||
Rollforward of Allowance for Credit Losses | |||
Beginning balance | 0 | 0 | |
Ending balance | 0 | 0 | 0 |
Multifamily | Off-balance sheet credit exposures | |||
Rollforward of Allowance for Credit Losses | |||
Beginning balance | 96 | 6 | |
Ending balance | $ 44 | $ 96 | $ 6 |
Allowance for Credit Losses - I
Allowance for Credit Losses - Individually Impaired Loans (Details) $ in Millions | 12 Months Ended |
Dec. 31, 2019USD ($) | |
Individually Impaired Mortgage Loans [Abstract] | |
Average Recorded Investment | $ 41,309 |
Interest Income Recognized | 2,404 |
Interest Income Recognized On Cash Basis | 191 |
Single Family | |
With no specific allowance recorded [Abstract] | |
Average Recorded Investment | 3,561 |
Interest Income Recognized | 340 |
Interest Income Recognized On Cash Basis | 8 |
With specific allowance recorded [Abstract] | |
Average Recorded Investment | 37,665 |
Interest Income Recognized | 2,059 |
Interest Income Recognized On Cash Basis | 182 |
Individually Impaired Mortgage Loans [Abstract] | |
Average Recorded Investment | 41,226 |
Interest Income Recognized | 2,399 |
Interest Income Recognized On Cash Basis | 190 |
Single-family 20 and 30-year or more, amortizing fixed-rate | |
With no specific allowance recorded [Abstract] | |
Average Recorded Investment | 2,450 |
Interest Income Recognized | 262 |
Interest Income Recognized On Cash Basis | 7 |
With specific allowance recorded [Abstract] | |
Average Recorded Investment | 32,960 |
Interest Income Recognized | 1,805 |
Interest Income Recognized On Cash Basis | 156 |
Individually Impaired Mortgage Loans [Abstract] | |
Average Recorded Investment | 35,410 |
Interest Income Recognized | 2,067 |
Interest Income Recognized On Cash Basis | 163 |
Single-family 15-year amortizing fixed-rate | |
With no specific allowance recorded [Abstract] | |
Average Recorded Investment | 20 |
Interest Income Recognized | 1 |
Interest Income Recognized On Cash Basis | 0 |
With specific allowance recorded [Abstract] | |
Average Recorded Investment | 653 |
Interest Income Recognized | 22 |
Interest Income Recognized On Cash Basis | 4 |
Individually Impaired Mortgage Loans [Abstract] | |
Average Recorded Investment | 673 |
Interest Income Recognized | 23 |
Interest Income Recognized On Cash Basis | 4 |
Single-family Adjustable-rate | |
With no specific allowance recorded [Abstract] | |
Average Recorded Investment | 200 |
Interest Income Recognized | 11 |
Interest Income Recognized On Cash Basis | 0 |
With specific allowance recorded [Abstract] | |
Average Recorded Investment | 135 |
Interest Income Recognized | 6 |
Interest Income Recognized On Cash Basis | 2 |
Individually Impaired Mortgage Loans [Abstract] | |
Average Recorded Investment | 335 |
Interest Income Recognized | 17 |
Interest Income Recognized On Cash Basis | 2 |
Single-family Alt-A, interest-only, and option ARM | |
With no specific allowance recorded [Abstract] | |
Average Recorded Investment | 891 |
Interest Income Recognized | 66 |
Interest Income Recognized On Cash Basis | 1 |
With specific allowance recorded [Abstract] | |
Average Recorded Investment | 3,917 |
Interest Income Recognized | 226 |
Interest Income Recognized On Cash Basis | 20 |
Individually Impaired Mortgage Loans [Abstract] | |
Average Recorded Investment | 4,808 |
Interest Income Recognized | 292 |
Interest Income Recognized On Cash Basis | 21 |
Multifamily | |
With no specific allowance recorded [Abstract] | |
Average Recorded Investment | 83 |
Interest Income Recognized | 5 |
Interest Income Recognized On Cash Basis | 1 |
With specific allowance recorded [Abstract] | |
Average Recorded Investment | 0 |
Interest Income Recognized | 0 |
Interest Income Recognized On Cash Basis | 0 |
Individually Impaired Mortgage Loans [Abstract] | |
Average Recorded Investment | 83 |
Interest Income Recognized | 5 |
Interest Income Recognized On Cash Basis | $ 1 |
Investment Securities (Details)
Investment Securities (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |||
Held-to-maturity securities | $ 0 | $ 0 | |
Net unrealized losses on trading securities held at balance sheets date | (589) | (296) | $ (8) |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value | 1,600 | ||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Fair Value | 1,500 | ||
Investment Securities Acquired and PC Debt Issued via Non-Cash Transaction | 34,800 | $ 30,800 | $ 10,900 |
Deconsolidation of investments | $ 1,100 |
Investment Securities - Investm
Investment Securities - Investment Securities (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Investments, Debt and Equity Securities [Abstract] | ||
Trading securities | $ 49,003 | $ 44,458 |
Available-for-sale, at fair value | 4,012 | 15,367 |
Total fair value of investment securities | $ 53,015 | $ 59,825 |
Investments Securities - Tradin
Investments Securities - Trading Securities (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Trading Securities [Line Items] | ||
Trading, at fair value | $ 49,003 | $ 44,458 |
Mortgage-related securities | ||
Trading Securities [Line Items] | ||
Trading, at fair value | 16,231 | 17,505 |
Non-mortgage-related securities | ||
Trading Securities [Line Items] | ||
Trading, at fair value | $ 32,772 | $ 26,953 |
Investments Securities - Availa
Investments Securities - Available-For-Sale Securities (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Investments, Debt and Equity Securities [Abstract] | ||
Amortized Cost | $ 3,638 | $ 14,344 |
Gross Unrealized Gains | 376 | 1,027 |
Gross Unrealized Losses | (2) | (4) |
Available-for-sale, at fair value | 4,012 | 15,367 |
Accrued Investment Income Receivable | $ 10 | $ 40 |
Investments Securities - Gross
Investments Securities - Gross Realized Gains and Gross Realized Losses on Sales of Available-For-Sale Securities (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |||
Gross realized gains | $ 540 | $ 501 | $ 219 |
Net realized gains (losses) | (60) | (108) | (49) |
Gross realized losses | $ 480 | $ 393 | $ 170 |
Debt Text (Details)
Debt Text (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Jan. 01, 2023 | Dec. 31, 2021 | |
DebtCapLineItems | ||||
Debt limit as percentage of mortgage assets | 120.00% | |||
Debt cap under Purchase Agreement. | $ 300,000 | |||
Debt cap aggregate indebtedness | $ 181,700 | |||
Issuance Of Debt As Part Of Non-Cash Transaction | $ 800 | $ 700 | ||
Subsequent Event | ||||
DebtCapLineItems | ||||
Debt cap under Purchase Agreement. | $ 270,000 |
Debt - Total Debt (Details)
Debt - Total Debt (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Debt Net [Abstract] | ||
Long-term Debt Balance, Net | $ 2,980,185 | |
Total Debt of Freddie Mac | 2,980,185 | $ 2,592,546 |
Held by consolidated trusts | ||
Debt Net [Abstract] | ||
Total Debt of Freddie Mac | 2,803,054 | 2,308,176 |
Held by Freddie Mac | ||
Debt Net [Abstract] | ||
Short-term Debt Balance Net | 0 | 4,955 |
Long-term Debt Balance, Net | 177,131 | 279,415 |
Total Debt of Freddie Mac | $ 177,131 | $ 284,370 |
Debt - Debt Securities of Conso
Debt - Debt Securities of Consolidated Trusts Held by Third Parties (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Debt, Net | $ 2,980,185 | $ 2,592,546 |
Debt, fair value | 2,478 | 2,592 |
Held by consolidated trusts | ||
Debt Instrument [Line Items] | ||
UPB | 2,732,056 | 2,240,602 |
Debt, Net | 2,803,054 | 2,308,176 |
Debt, fair value | $ 1,094 | $ 205 |
Effective rate for debt securities of consolidated trusts held by third parties | 1.71% | 1.76% |
Held by consolidated trusts | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 2,712,218 | $ 2,228,114 |
Debt, Net | 2,782,965 | 2,295,537 |
Held by consolidated trusts | Multifamily | ||
Debt Instrument [Line Items] | ||
UPB | 19,838 | 12,488 |
Debt, Net | $ 20,089 | $ 12,639 |
Weighted Average Coupon | 2.17% | 2.43% |
Held by consolidated trusts | Single-family 30-year or more, fixed-rate | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 2,178,150 | $ 1,799,065 |
Debt, Net | $ 2,235,903 | $ 1,855,438 |
Weighted Average Coupon | 2.63% | 3.07% |
Held by consolidated trusts | Single-family 20-year fixed-rate | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 129,193 | $ 97,520 |
Debt, Net | $ 132,410 | $ 100,498 |
Weighted Average Coupon | 2.40% | 2.84% |
Held by consolidated trusts | Single-family 15-year fixed-rate | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 379,805 | $ 303,142 |
Debt, Net | $ 388,893 | $ 310,612 |
Weighted Average Coupon | 2.14% | 2.46% |
Held by consolidated trusts | Single-family Adjustable-rate | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 21,546 | $ 23,964 |
Debt, Net | $ 22,038 | $ 24,484 |
Weighted Average Coupon | 2.30% | 2.76% |
Held by consolidated trusts | Single-family Interest-only | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 2,702 | $ 3,671 |
Debt, Net | $ 2,883 | $ 3,736 |
Weighted Average Coupon | 2.42% | 3.15% |
Held by consolidated trusts | FHA/VA | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 822 | $ 752 |
Debt, Net | $ 838 | $ 769 |
Weighted Average Coupon | 3.61% | 4.04% |
Debt - Other Short-Term Debt (D
Debt - Other Short-Term Debt (Details) - Held by Freddie Mac - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Short-term Debt [Line Items] | ||
Par Value Of Total Other Short Term Debt | $ 0 | $ 4,955 |
Short Term Debt | $ 0 | $ 4,955 |
Other short-term debt weighted average effective rate | 0.00% | 1.31% |
Discount notes and Reference Bills | ||
Short-term Debt [Line Items] | ||
Par Value Of Total Other Short Term Debt | $ 0 | $ 11 |
Short Term Debt | $ 0 | $ 11 |
Other short-term debt weighted average effective rate | 0.00% | 0.69% |
Medium-term notes | ||
Short-term Debt [Line Items] | ||
Par Value Of Total Other Short Term Debt | $ 0 | $ 4,944 |
Short Term Debt | $ 0 | $ 4,944 |
Other short-term debt weighted average effective rate | 0.00% | 1.31% |
Securities Sold under Agreements to Repurchase | ||
Short-term Debt [Line Items] | ||
Par Value Of Total Other Short Term Debt | $ 7,333 | $ 0 |
Short Term Debt | $ 7,333 | $ 0 |
Other short-term debt weighted average effective rate | (0.10%) | 0.00% |
Offsetting arrangements | ||
Short-term Debt [Line Items] | ||
Par Value Of Total Other Short Term Debt | $ (7,333) | $ 0 |
Short Term Debt | $ (7,333) | $ 0 |
Debt - Other Long-Term Debt (De
Debt - Other Long-Term Debt (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Debt | $ 2,980,185 | |
Debt, fair value | 2,478 | $ 2,592 |
Held by Freddie Mac | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | 181,615 | 281,386 |
Debt | $ 177,131 | $ 279,415 |
Other long-term debt weighted average effective rate | 1.07% | 1.09% |
Debt, fair value | $ 1,400 | $ 2,400 |
Held by Freddie Mac | Other | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | 0 | 0 |
Debt | $ 74 | $ 57 |
Other long-term debt weighted average effective rate | 0.45% | 0.49% |
Held by Freddie Mac | Hedging-related basis adjustment | ||
Debt Instrument [Line Items] | ||
Debt | $ (2,267) | $ 466 |
Held by Freddie Mac | Fixed-rate | Medium-term notes - callable | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | 68,411 | 122,967 |
Debt | $ 68,364 | $ 122,895 |
Other long-term debt weighted average effective rate | 0.80% | 0.71% |
Held by Freddie Mac | Fixed-rate | Medium-term notes - non-callable | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | $ 6,551 | $ 7,710 |
Debt | $ 6,573 | $ 7,758 |
Other long-term debt weighted average effective rate | 0.54% | 0.75% |
Held by Freddie Mac | Fixed-rate | Reference Notes securities - non-callable | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | $ 59,412 | $ 64,162 |
Debt | $ 59,413 | $ 64,124 |
Other long-term debt weighted average effective rate | 1.19% | 1.55% |
Held by Freddie Mac | Fixed-rate | STACR and SCR | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | $ 103 | $ 111 |
Debt | $ 106 | $ 114 |
Other long-term debt weighted average effective rate | 12.69% | 12.71% |
Held by Freddie Mac | Variable-rate | Medium-term notes - callable | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | $ 166 | $ 371 |
Debt | $ 166 | $ 371 |
Other long-term debt weighted average effective rate | 1.75% | 1.93% |
Held by Freddie Mac | Variable-rate | Medium-term notes - non-callable | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | $ 33,090 | $ 68,838 |
Debt | $ 33,087 | $ 68,824 |
Other long-term debt weighted average effective rate | 0.23% | 0.63% |
Held by Freddie Mac | Variable-rate | STACR and SCR | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | $ 9,036 | $ 12,377 |
Debt | $ 8,875 | $ 12,228 |
Other long-term debt weighted average effective rate | 4.13% | 4.10% |
Held by Freddie Mac | Zero-coupon | Medium-term notes - non-callable | ||
Debt Instrument [Line Items] | ||
Other long-term debt par value | $ 4,846 | $ 4,850 |
Debt | $ 2,740 | $ 2,578 |
Other long-term debt weighted average effective rate | 6.05% | 5.99% |
Debt - Contractual Maturity of
Debt - Contractual Maturity of Other Long-term Debt and Debt Securities (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Contractual maturities of long term debt and debt securities of consolidated trusts held by third parties | ||
Debt securities of consolidated trusts held by third parties, STACR and SCR | $ 2,741,195 | |
Total | 2,913,671 | |
Net discounts, premiums, hedge-related and other basis adjustments | 66,514 | |
Long-term Debt | 2,980,185 | |
Held by Freddie Mac | ||
Contractual maturities of long term debt and debt securities of consolidated trusts held by third parties | ||
Other long-term debt - 2022 | 48,625 | |
Other long-term debt - 2023 | 38,688 | |
Other long-term debt - 2024 | 13,274 | |
Other long-term debt - 2025 | 35,436 | |
Other long-term debt - 2026 | 4,717 | |
Long-Term Debt, Maturity, after Year Five | 31,736 | |
Long-term Debt | $ 177,131 | $ 279,415 |
Derivatives (Details)
Derivatives (Details) | 12 Months Ended |
Dec. 31, 2021category | |
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 | Dec. 31, 2021 | Dec. 31, 2020 |
Derivative [Line Items] | ||
Notional or contractual amount | $ 1,136,816 | $ 1,362,325 |
Derivative interest receivable | 360 | 455 |
Netting adjustments to derivative assets | (5,366) | (7,829) |
Derivative Asset | 460 | 1,205 |
Derivative interest payable | (413) | (523) |
Netting adjustments to derivative liabilities | 7,880 | 8,717 |
Derivative liabilities, net | (282) | (954) |
Commitments | ||
Derivative [Line Items] | ||
Derivative assets, net | 79 | 388 |
Other | ||
Derivative [Line Items] | ||
Derivative Asset | 17 | 63 |
Derivative liabilities, net | (58) | (63) |
Not Designated as Hedging Instrument, Economic Hedge | ||
Derivative [Line Items] | ||
Notional or contractual amount | 981,997 | 1,181,639 |
Derivative assets, net | 5,429 | 8,355 |
Derivative liabilities at fair value | (5,060) | (8,648) |
Not Designated as Hedging Instrument, Economic Hedge | CDX Swaption | ||
Derivative [Line Items] | ||
Notional or contractual amount | 9,400 | 16,800 |
Derivative assets, net | 1 | 9 |
Not Designated as Hedging Instrument, Economic Hedge | Swap | ||
Derivative [Line Items] | ||
Notional or contractual amount | 561,393 | 559,596 |
Derivative assets, net | 1,748 | 2,639 |
Derivative liabilities at fair value | (3,319) | (7,091) |
Not Designated as Hedging Instrument, Economic Hedge | Written Option | Written | ||
Derivative [Line Items] | ||
Notional or contractual amount | 34,861 | 18,259 |
Derivative assets, net | 0 | 0 |
Derivative liabilities at fair value | (1,597) | (735) |
Not Designated as Hedging Instrument, Economic Hedge | Purchased Options | Purchased | ||
Derivative [Line Items] | ||
Notional or contractual amount | 137,873 | 169,995 |
Derivative assets, net | 3,585 | 5,265 |
Derivative liabilities at fair value | 0 | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Futures | ||
Derivative [Line Items] | ||
Notional or contractual amount | 126,528 | 181,702 |
Derivative assets, net | 0 | 0 |
Derivative liabilities at fair value | 0 | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional or contractual amount | 860,655 | 929,552 |
Derivative assets, net | 5,333 | 7,904 |
Derivative liabilities at fair value | (4,916) | (7,826) |
Not Designated as Hedging Instrument, Economic Hedge | Forward contracts to purchase mortgage loans | ||
Derivative [Line Items] | ||
Notional or contractual amount | 7,582 | 37,122 |
Derivative assets, net | 15 | 183 |
Derivative liabilities at fair value | (5) | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Forward contracts to purchase mortgage-related securities | ||
Derivative [Line Items] | ||
Notional or contractual amount | 16,605 | 45,185 |
Derivative assets, net | 26 | 203 |
Derivative liabilities at fair value | (8) | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Forward contracts to sell mortgage-related securities | ||
Derivative [Line Items] | ||
Notional or contractual amount | 59,469 | 136,802 |
Derivative assets, net | 38 | 2 |
Derivative liabilities at fair value | (73) | (759) |
Not Designated as Hedging Instrument, Economic Hedge | Commitments | ||
Derivative [Line Items] | ||
Notional or contractual amount | 83,656 | 219,109 |
Derivative assets, net | 79 | 388 |
Derivative liabilities at fair value | (86) | (759) |
Not Designated as Hedging Instrument, Economic Hedge | Other | ||
Derivative [Line Items] | ||
Notional or contractual amount | 4,335 | 4,029 |
Derivative assets, net | 2 | 2 |
Derivative liabilities at fair value | (21) | (16) |
Not Designated as Hedging Instrument, Economic Hedge | Credit risk transfer | ||
Derivative [Line Items] | ||
Notional or contractual amount | 33,351 | 28,949 |
Derivative assets, net | 15 | 61 |
Derivative liabilities at fair value | (37) | (47) |
Designated as Hedging Instrument | Fair Value Hedging | ||
Derivative [Line Items] | ||
Notional or contractual amount | 154,819 | 180,686 |
Derivative assets, net | 37 | 224 |
Derivative liabilities at fair value | (2,689) | (500) |
Designated as Hedging Instrument | Fair Value Hedging | Swap | ||
Derivative [Line Items] | ||
Notional or contractual amount | 154,819 | 180,686 |
Derivative assets, net | 37 | 224 |
Derivative liabilities at fair value | $ (2,689) | $ (500) |
Derivatives - Gains and Losses
Derivatives - Gains and Losses on Derivatives (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | $ 1,151 | $ (5,038) | $ (4,516) |
Accrual of periodic settlements | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | (1,578) | (1,576) | (272) |
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) | 2,027 | (1,826) | (3,843) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Swap | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | 2,851 | (1,627) | (3,085) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Written Option | Written | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | (77) | (161) | (235) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Purchased Options | Purchased | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | (982) | 2,404 | 423 |
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) | 235 | (2,442) | (946) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Mortgage, CRT And Other Derivatives | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | 2,729 | (3,462) | (4,244) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Forward contracts to purchase mortgage loans | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | 713 | (1,856) | (452) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | CRT Related Derivatives | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative gains (losses) | (41) | 163 | (1) |
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) | $ 30 | $ 57 | $ 52 |
Derivatives - Gains and Losse_2
Derivatives - Gains and Losses on Fair Value Hedge (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Interest income | $ 61,527 | $ 62,340 | $ 72,895 |
Interest Expense | (43,947) | (49,569) | (61,047) |
Interest rate risk on held-for-investment mortgage loan | Interest income | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (457) | 5,071 | 4,569 |
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 529 | (4,836) | (4,309) |
Interest accrual on fair value hedging derivatives for held-for-investment loan | (433) | (434) | (48) |
Discontinued hedge related basis adjustment amortization | (1,884) | (2,840) | (446) |
Interest rate risk on debt | Interest expense | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 2,698 | (49) | (1,038) |
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (2,895) | 11 | 1,231 |
Discontinued hedge related basis adjustment amortization | 55 | 60 | 63 |
Interest accruals on fair value hedging derivatives for debt | $ 931 | $ 835 | $ (184) |
Derivatives - Cumulative Basis
Derivatives - Cumulative Basis Adjustment on Fair Value Hedges (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Carrying amount mortgage loans held-for-investment hedged asset | $ 855,173 | $ 478,077 |
Carrying amount debt hedged liability | (124,235) | (176,512) |
Total basis adjustment cumulative amount for hedged asset | 2,774 | 5,117 |
Total basis adjustment cumulative amount for hedged liability | 2,267 | (466) |
Hedged Asset, Fair Value Hedge, Last-of-Layer, Cumulative Increase (Decrease) | 0 | (318) |
Basis adjustment amount for hedged asset - discontinued hedge | 2,774 | 5,435 |
Basis adjustment amount for hedged liability - discontinued hedge | (30) | (38) |
Closed Portfolio and Beneficial Interest, Last-of-Layer, Amortized Cost | 0 | 220,301 |
Hedged Asset, Fair Value Hedge, Last-of-Layer, Amount | $ 0 | $ 9,112 |
Collateralized Agreements and_3
Collateralized Agreements and Offsetting Arrangements (Details) $ in Millions | Dec. 31, 2021USD ($)counterparty | Dec. 31, 2020USD ($) |
Offsetting Assets [Line Items] | ||
Maximum loss after applying netting agreements and collateral | $ 210 | $ 557 |
Commitments | ||
Offsetting Assets [Line Items] | ||
Total exposure on our commitments | 79 | 388 |
OTC derivatives | ||
Offsetting Assets [Line Items] | ||
Maximum loss after applying netting agreements and collateral | 20 | 29 |
Derivatives in a net liability position | 2,000 | |
Collateral already posted, aggregate fair value | 1,900 | |
Additional Collateral, Aggregate Fair Value | 100 | |
Cash pledged to us as collateral that was invested as part of our liquidity and contingency operating portfolio | $ 1,200 | 2,800 |
OTC derivatives | Net uncollateralized exposure to derivative counterparties | SP Equivalent Investment Grade Rating | ||
Offsetting Assets [Line Items] | ||
Number of counterparties | counterparty | 4 | |
Federal Funds Sold and Securities Borrowed or Purchased under Agreements to Resell [Member] | ||
Offsetting Assets [Line Items] | ||
Securities Held as Collateral, at Fair Value | $ 32,700 | 85,800 |
Securities purchased under agreements to resell not executed with clearinghouse | ||
Offsetting Assets [Line Items] | ||
Securities Held as Collateral, at Fair Value | 800 | 800 |
commitment securities | ||
Offsetting Assets [Line Items] | ||
Aggregate fair value of securities posted | $ 100 | $ 1,300 |
Collateralized Agreements and_4
Collateralized Agreements and Offsetting Arrangements - Offsetting of Financial Assets (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Derivative Assets | ||
Gross Amount Recognized | $ 5,826 | $ 9,034 |
Counterparty netting | (4,441) | (5,932) |
Cash Collateral netting | (925) | (1,897) |
Total derivative assets, net | 460 | 1,205 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (250) | (648) |
Net Amount | 210 | 557 |
Securities Purchased under Agreements to Resell | ||
Gross Amount Recognized | 78,536 | 105,003 |
Counterparty netting | (7,333) | 0 |
Net Amount Presented in the Consolidated Balance Sheets | 71,203 | 105,003 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (71,203) | (105,003) |
Net Amount | 0 | 0 |
Total | ||
Gross Amount Recognized | 84,362 | 114,037 |
Counterparty netting | (11,774) | (5,932) |
Cash Collateral netting | (925) | (1,897) |
Net Amount Presented in the Consolidated Balance Sheets | 71,663 | 106,208 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (71,453) | (105,651) |
Net Amount | 210 | 557 |
Other | ||
Derivative Assets | ||
Gross Amount Recognized | 17 | 63 |
Counterparty netting | 0 | 0 |
Cash Collateral netting | 0 | 0 |
Total derivative assets, net | 17 | 63 |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 17 | 63 |
OTC derivatives | ||
Derivative Assets | ||
Gross Amount Recognized | 5,670 | 8,566 |
Counterparty netting | (4,437) | (5,932) |
Cash Collateral netting | (963) | (1,957) |
Total derivative assets, net | 270 | 677 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (250) | (648) |
Net Amount | 20 | 29 |
Cleared and exchange-traded derivatives | ||
Derivative Assets | ||
Gross Amount Recognized | 60 | 17 |
Counterparty netting | (4) | 0 |
Cash Collateral netting | 38 | 60 |
Total derivative assets, net | 94 | 77 |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 94 | 77 |
Commitments | ||
Derivative Assets | ||
Gross Amount Recognized | 79 | 388 |
Counterparty netting | 0 | 0 |
Cash Collateral netting | 0 | 0 |
Total derivative assets, net | 79 | 388 |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 79 | 388 |
Federal Funds Sold and Securities Borrowed or Purchased under Agreements to Resell [Member] | ||
Securities Purchased under Agreements to Resell | ||
collateral received, obligation to return cash, offset | $ 0 | $ 0 |
Collateralized Agreements and_5
Collateralized Agreements and Offsetting Arrangements - Offsetting of Financial Liabilities (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Derivative Liabilities: | ||
Gross Amount Recognized | $ (8,162) | $ (9,671) |
Counterparty netting | 4,441 | 5,932 |
Cash collateral netting | 3,439 | 2,785 |
Derivative liabilities, net | (282) | (954) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 13 | 0 |
Net Amount | (269) | (954) |
Securities Sold under Agreements to Repurchase [Abstract] | ||
Gross Amount Recognized | (7,333) | 0 |
Counterparty netting | 7,333 | 0 |
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 | (15,495) | (9,671) |
Counterparty netting | 11,774 | 5,932 |
Cash collateral netting | 3,439 | 2,785 |
Net Amount Presented in the Consolidated Balance Sheets | (282) | (954) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 13 | 0 |
Net Amount | (269) | (954) |
Other | ||
Derivative Liabilities: | ||
Gross Amount Recognized | (58) | (63) |
Counterparty netting | 0 | 0 |
Cash collateral netting | 0 | 0 |
Derivative liabilities, net | (58) | (63) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | (58) | (63) |
OTC derivatives | ||
Derivative Liabilities: | ||
Gross Amount Recognized | (7,979) | (8,812) |
Counterparty netting | 4,437 | 5,932 |
Cash collateral netting | 3,417 | 2,759 |
Derivative liabilities, net | (125) | (121) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | (125) | (121) |
Cleared and exchange-traded derivatives | ||
Derivative Liabilities: | ||
Gross Amount Recognized | (39) | (37) |
Counterparty netting | 4 | 0 |
Cash collateral netting | 22 | 26 |
Derivative liabilities, net | (13) | (11) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 13 | 0 |
Net Amount | 0 | (11) |
Commitments | ||
Derivative Liabilities: | ||
Gross Amount Recognized | (86) | (759) |
Counterparty netting | 0 | 0 |
Cash collateral netting | 0 | 0 |
Derivative liabilities, net | (86) | (759) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | (86) | (759) |
Securities Sold under Agreements to Repurchase | ||
Offsetting Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned [Abstract] | ||
Cash collateral netting | $ 0 | $ 0 |
Collateralized Agreements and_6
Collateralized Agreements and Offsetting Arrangements - Collateral in the Form of Securities Pledged (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | $ 10,151 | $ 3,549 |
Derivatives | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 1,542 | 2,041 |
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 | 7,333 | 0 |
Other | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 1,276 | 1,508 |
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 | 161 | 466 |
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 | 0 | 121 |
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 | 161 | 345 |
Trading securities | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 9,990 | 3,083 |
Trading securities | Derivatives | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | 1,542 | 1,920 |
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 | 7,333 | 0 |
Trading securities | Other | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | $ 1,115 | $ 1,163 |
Collateralized Agreements and_7
Collateralized Agreements and Offsetting Arrangements - Underlying Collateral Pledged (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Collateral in the Form of Securities Pledged [Line Items] | ||
Securities pledged with the ability for the secured party to repledge | $ 10,151 | $ 3,549 |
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 | 7,333 | $ 0 |
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 | 0 | |
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 | 3,085 | |
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 | 4,248 | |
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 |
Other Assets and Other Liabil_3
Other Assets and Other Liabilities (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Other assets: | ||
Real estate owned, net | $ 176 | $ 198 |
Guarantee asset | 5,919 | 5,509 |
Servicer receivables | 11,571 | 20,926 |
Credit enhancement receivables | 194 | 751 |
Advances of pre-foreclosure costs | 974 | 1,372 |
Derivative Asset | 460 | 1,205 |
All other | 10,127 | 10,538 |
Total other assets | 29,421 | 40,499 |
Other liabilities: | ||
Guarantee obligation | 5,716 | 5,050 |
Derivative Liability | 282 | 954 |
All other | 5,102 | 6,242 |
Other liabilities | $ 11,100 | $ 12,246 |
Stockholders' Equity and Earn_3
Stockholders' Equity and Earnings per Share (Details) | Sep. 08, 2008USD ($)shares | Dec. 31, 2021USD ($)security$ / sharesshares | Sep. 30, 2021USD ($) | Dec. 31, 2021USD ($)security$ / sharesshares | Dec. 31, 2020USD ($)shares | Dec. 31, 2019USD ($) | Mar. 31, 2022USD ($) | Dec. 31, 2017USD ($) | Jul. 08, 2010security | Dec. 31, 2008USD ($)$ / sharesshares |
Stockholders Equity Text [Line Items] | ||||||||||
Initial liquidation preference of senior preferred stock | $ 1,000,000,000 | |||||||||
Increase in senior preferred stock | $ 3,000,000,000 | |||||||||
Net worth increase | $ 2,700,000,000 | $ 2,900,000,000 | ||||||||
Senior preferred stock, at redemption value | 98,000,000,000 | $ 95,000,000,000 | $ 98,000,000,000 | $ 86,500,000,000 | ||||||
Cash dividends paid on senior preferred stock | 0 | 0 | $ 3,142,000,000 | |||||||
Permitted proceeds from future common stock issuance | $ 70,000,000,000 | $ 70,000,000,000 | ||||||||
Common stock warrant, percentage of common stock shares that can be purchased | 79.90% | 79.90% | ||||||||
Applicable capital reserve amount if we don't pay the full dividend requirement in a future period | $ 0 | $ 0 | ||||||||
Percent per annum portion of quarterly senior preferred stock dividend requirement after Capital Reserve End Date when dividend paid in full | 10.00% | 10.00% | ||||||||
Percent per annum portion of quarterly senior preferred stock dividend requirement after Capital Reserve End Date when dividend is not paid in full | 12.00% | 12.00% | ||||||||
Common stock warrant, exercise price per share | $ / shares | $ 0.00001 | $ 0.00001 | ||||||||
Common stock warrant, amount outstanding | $ 2,300,000,000 | $ 2,300,000,000 | ||||||||
Number of preferred stock classes | security | 24 | 24 | ||||||||
Common shares or non-cumulative preferred stock issued | $ 0 | 0 | ||||||||
Common shares or non-cumulative preferred stock repurchased | $ 0 | 0 | ||||||||
Options outstanding (in shares) | shares | 0 | 0 | ||||||||
Common dividends declared | $ 0 | $ 0 | $ 0 | |||||||
Dividends declared on preferred stock | 0 | |||||||||
Dividends paid on preferred stock | $ 0 | |||||||||
Number of senior preferred stock class | security | 1 | 1 | ||||||||
Number of preferred stock classes delisted | security | 20 | |||||||||
Forecast | ||||||||||
Stockholders Equity Text [Line Items] | ||||||||||
Senior preferred stock, at redemption value | $ 100,700,000,000 | |||||||||
Restricted Stock Units (RSUs) | ||||||||||
Stockholders Equity Text [Line Items] | ||||||||||
Awards forfeited (in shares) | shares | 351 | |||||||||
Awards outstanding (in shares) | shares | 0 | 0 | ||||||||
Restricted Stock [Member] | ||||||||||
Stockholders Equity Text [Line Items] | ||||||||||
Awards outstanding (in shares) | shares | 41,160 | 41,160 | 41,160 | |||||||
Subsequent Event | ||||||||||
Stockholders Equity Text [Line Items] | ||||||||||
Senior preferred stock, at redemption value | $ 100,700,000,000 | |||||||||
Preferred Stock | ||||||||||
Stockholders Equity Text [Line Items] | ||||||||||
Preferred stock, outstanding (in shares) | shares | 464,170,000 | 464,170,000 | ||||||||
Senior Preferred Stock | ||||||||||
Stockholders Equity Text [Line Items] | ||||||||||
Senior preferred stock, shares issued | shares | 1,000,000 | |||||||||
Senior preferred stock, par value per share | $ / shares | $ 1 | $ 1 | ||||||||
Initial liquidation preference of senior preferred stock | $ 1,000,000,000 | |||||||||
Initial liquidation preference (in usd per share) | $ / shares | $ 1,000 | $ 1,000 | $ 1,000 | |||||||
Increase in senior preferred stock | $ 3,000,000,000 | |||||||||
Senior preferred stock, at redemption value | $ 97,959,000,000 | $ 97,959,000,000 | ||||||||
Preferred stock, outstanding (in shares) | shares | 1,000,000 | 1,000,000 | 1,000,000 | |||||||
Common Stock | ||||||||||
Stockholders Equity Text [Line Items] | ||||||||||
OTCQB Symbol | FMCC |
Stockholders' Equity and Earn_4
Stockholders' Equity and Earnings per Share - Senior Preferred Stock (Details) - USD ($) | 12 Months Ended | |||||||||||
Dec. 31, 2021 | Dec. 31, 2018 | Dec. 31, 2012 | Dec. 31, 2011 | Dec. 31, 2010 | Dec. 31, 2009 | Dec. 31, 2008 | Sep. 30, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2017 | Sep. 08, 2008 | |
Class of Stock [Line Items] | ||||||||||||
Initial Liquidation Preference Of Senior Preferred Stock | $ 1,000,000,000 | |||||||||||
Increase in senior preferred stock | $ 3,000,000,000 | |||||||||||
Increase in liquidation preference | $ 0 | |||||||||||
Aggregate liquidation preference on senior preferred stock | $ 98,000,000,000 | $ 95,000,000,000 | $ 86,500,000,000 | |||||||||
Senior Preferred Stock | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Shares Authorized | 1,000,000 | 1,000,000 | ||||||||||
Shares Outstanding | 1,000,000 | 1,000,000 | ||||||||||
Total Par Value | $ 1,000,000 | $ 1,000,000 | ||||||||||
Initial liquidation preference (in usd per share) | $ 1,000 | $ 1,000 | ||||||||||
Initial Liquidation Preference Of Senior Preferred Stock | $ 1,000,000,000 | |||||||||||
Increase in senior preferred stock | $ 3,000,000,000 | |||||||||||
Increase in liquidation preference due to net worth increase | $ 11,420,000,000 | $ 7,217,000,000 | $ 3,674,000,000 | |||||||||
Non draw adjustment | 26,311,000,000 | |||||||||||
Increase in liquidation preference | 71,648,000,000 | $ 312,000,000 | $ 165,000,000 | $ 7,971,000,000 | $ 12,500,000,000 | $ 36,900,000,000 | $ 13,800,000,000 | |||||
Aggregate liquidation preference on senior preferred stock | $ 97,959,000,000 |
Stockholders' Equity and Earn_5
Stockholders' Equity and Earnings per Share - Preferred Stock (Details) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021USD ($)$ / sharesshares | Dec. 31, 2013 | Dec. 31, 2020USD ($) | |
Class of Stock [Line Items] | |||
Total Outstanding Balance | $ 14,109,000 | $ 14,109,000 | |
Preferred Stock | |||
Class of Stock [Line Items] | |||
Shares Authorized | shares | 464,170,000 | ||
Shares Outstanding | shares | 464,170,000 | ||
Total Par Value | $ 464,170 | ||
Total Outstanding Balance | $ 14,109,000 | ||
Class 1 - 1996 Variable-rate | |||
Class of Stock [Line Items] | |||
Shares Authorized | shares | 5,000,000 | ||
Shares Outstanding | shares | 5,000,000 | ||
Total Par Value | $ 5,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 250,000 | ||
OTCQB Symbol | FMCCI | ||
Preferred Stock, Dividend Payment Terms | Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 1% divided by 1.377, and is capped at 9.00%. | ||
Percentage added to benchmark rate in dividend rate reset calculation | 1.00% | ||
Denominator amount in dividend rate reset calculation | 1.377 | ||
Class 1 - 1996 Variable-rate | Maximum | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 9.00% | ||
Class 2 - 5.81% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.81% | ||
Shares Authorized | shares | 3,000,000 | ||
Shares Outstanding | shares | 3,000,000 | ||
Total Par Value | $ 3,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 150,000 | ||
Class 3 - 5% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.00% | ||
Shares Authorized | shares | 8,000,000 | ||
Shares Outstanding | shares | 8,000,000 | ||
Total Par Value | $ 8,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 400,000 | ||
OTCQB Symbol | FMCKK | ||
Class 4 - 1998 Variable-rate | |||
Class of Stock [Line Items] | |||
Shares Authorized | shares | 4,400,000 | ||
Shares Outstanding | shares | 4,400,000 | ||
Total Par Value | $ 4,400 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 220,000 | ||
OTCQB Symbol | FMCCG | ||
Preferred Stock, Dividend Payment Terms | Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 1% divided by 1.377, and is capped at 7.50%. | ||
Percentage added to benchmark rate in dividend rate reset calculation | 1.00% | ||
Denominator amount in dividend rate reset calculation | 1.377 | ||
Class 4 - 1998 Variable-rate | Maximum | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 7.50% | ||
Class 5 - 5.10% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.10% | ||
Shares Authorized | shares | 8,000,000 | ||
Shares Outstanding | shares | 8,000,000 | ||
Total Par Value | $ 8,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 400,000 | ||
OTCQB Symbol | FMCCH | ||
Class 6 - 5.30% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.30% | ||
Shares Authorized | shares | 4,000,000 | ||
Shares Outstanding | shares | 4,000,000 | ||
Total Par Value | $ 4,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 200,000 | ||
Class 7 - 5.10% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.10% | ||
Shares Authorized | shares | 3,000,000 | ||
Shares Outstanding | shares | 3,000,000 | ||
Total Par Value | $ 3,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 150,000 | ||
Class 8 - 5.79% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.79% | ||
Shares Authorized | shares | 5,000,000 | ||
Shares Outstanding | shares | 5,000,000 | ||
Total Par Value | $ 5,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 250,000 | ||
OTCQB Symbol | FMCCK | ||
Class 9 - 1999 Variable-rate | |||
Class of Stock [Line Items] | |||
Shares Authorized | shares | 5,750,000 | ||
Shares Outstanding | shares | 5,750,000 | ||
Total Par Value | $ 5,750 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 287,000 | ||
OTCQB Symbol | FMCCL | ||
Preferred Stock, Dividend Payment Terms | Dividend rate resets on January 1 every five years after January 1, 2005 based on a five-year Constant Maturity Treasury rate, and is capped at 11.00%. | ||
Preferred Stock, Redemption Terms | Optional redemption on December 31, 2004 and on December 31 every five years thereafter. | ||
Preferred stock dividend rate reset period | 5 years | ||
Class 9 - 1999 Variable-rate | Maximum | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 11.00% | ||
Class 10 - 2001 Variable-rate | |||
Class of Stock [Line Items] | |||
Shares Authorized | shares | 6,500,000 | ||
Shares Outstanding | shares | 6,500,000 | ||
Total Par Value | $ 6,500 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 325,000 | ||
OTCQB Symbol | FMCCM | ||
Preferred Stock, Dividend Payment Terms | Dividend rate resets on April 1 every two years after April 1, 2003 based on the two-year Constant Maturity Treasury rate plus 0.10%, and is capped at 11.00%. | ||
Preferred Stock, Redemption Terms | Optional redemption on March 31, 2003 and on March 31 every two years thereafter. | ||
Percentage added to benchmark rate in dividend rate reset calculation | 0.10% | ||
Preferred stock dividend rate reset period | 2 years | ||
Class 10 - 2001 Variable-rate | Maximum | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 11.00% | ||
Class 11 - 2001 Variable-rate | |||
Class of Stock [Line Items] | |||
Shares Authorized | shares | 4,600,000 | ||
Shares Outstanding | shares | 4,600,000 | ||
Total Par Value | $ 4,600 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 230,000 | ||
OTCQB Symbol | FMCCN | ||
Preferred Stock, Dividend Payment Terms | Dividend rate resets on April 1 every year based on 12-month LIBOR minus 0.20%, and is capped at 11.00%. | ||
Preferred Stock, Redemption Terms | Optional redemption on March 31, 2003 and on March 31 every year thereafter. | ||
Percentage deducted from benchmark rate in dividend rate reset calculation | 0.20% | ||
Class 11 - 2001 Variable-rate | Maximum | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 11.00% | ||
Class 12 - 5.81% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.81% | ||
Shares Authorized | shares | 3,450,000 | ||
Shares Outstanding | shares | 3,450,000 | ||
Total Par Value | $ 3,450 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 173,000 | ||
OTCQB Symbol | FMCCO | ||
Class 13 - 6% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 6.00% | ||
Shares Authorized | shares | 3,450,000 | ||
Shares Outstanding | shares | 3,450,000 | ||
Total Par Value | $ 3,450 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 173,000 | ||
OTCQB Symbol | FMCCP | ||
Class 14 - 2001 Variable-rate | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 11.00% | ||
Shares Authorized | shares | 4,020,000 | ||
Shares Outstanding | shares | 4,020,000 | ||
Total Par Value | $ 4,020 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 201,000 | ||
OTCQB Symbol | FMCCJ | ||
Preferred Stock, Dividend Payment Terms | Dividend rate resets on July 1 every two years after July 1, 2003 based on the two-year Constant Maturity Treasury rate plus 0.20%, and is capped at 11.00%. | ||
Preferred Stock, Redemption Terms | Optional redemption on June 30, 2003 and on June 30 every two years thereafter. | ||
Percentage added to benchmark rate in dividend rate reset calculation | 0.20% | ||
Preferred stock dividend rate reset period | 2 years | ||
Class 15 - 5.70% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.70% | ||
Shares Authorized | shares | 6,000,000 | ||
Shares Outstanding | shares | 6,000,000 | ||
Total Par Value | $ 6,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 300,000 | ||
OTCQB Symbol | FMCKP | ||
Class 16 - 5.81% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.81% | ||
Shares Authorized | shares | 6,000,000 | ||
Shares Outstanding | shares | 6,000,000 | ||
Total Par Value | $ 6,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 300,000 | ||
Class 17 - 2006 Variable-rate | |||
Class of Stock [Line Items] | |||
Shares Authorized | shares | 15,000,000 | ||
Shares Outstanding | shares | 15,000,000 | ||
Total Par Value | $ 15,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 750,000 | ||
OTCQB Symbol | FMCCS | ||
Preferred Stock, Dividend Payment Terms | Dividend rate resets quarterly and is equal to the sum of three-month LIBOR plus 0.50% but not less than 4.00%. | ||
Percentage added to benchmark rate in dividend rate reset calculation | 0.50% | ||
Class 17 - 2006 Variable-rate | Minimum | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 4.00% | ||
Class 18 - 6.42% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 6.42% | ||
Shares Authorized | shares | 5,000,000 | ||
Shares Outstanding | shares | 5,000,000 | ||
Total Par Value | $ 5,000 | ||
Redemption Price Per Share | $ / shares | $ 50 | ||
Total Outstanding Balance | $ 250,000 | ||
OTCQB Symbol | FMCCT | ||
Class 19 - 5.90% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.90% | ||
Shares Authorized | shares | 20,000,000 | ||
Shares Outstanding | shares | 20,000,000 | ||
Total Par Value | $ 20,000 | ||
Redemption Price Per Share | $ / shares | $ 25 | ||
Total Outstanding Balance | $ 500,000 | ||
OTCQB Symbol | FMCKO | ||
Class 20 - 5.57% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.57% | ||
Shares Authorized | shares | 44,000,000 | ||
Shares Outstanding | shares | 44,000,000 | ||
Total Par Value | $ 44,000 | ||
Redemption Price Per Share | $ / shares | $ 25 | ||
Total Outstanding Balance | $ 1,100,000 | ||
OTCQB Symbol | FMCKM | ||
Class 21 - 5.66% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 5.66% | ||
Shares Authorized | shares | 20,000,000 | ||
Shares Outstanding | shares | 20,000,000 | ||
Total Par Value | $ 20,000 | ||
Redemption Price Per Share | $ / shares | $ 25 | ||
Total Outstanding Balance | $ 500,000 | ||
OTCQB Symbol | FMCKN | ||
Class 22 - 6.02% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 6.02% | ||
Shares Authorized | shares | 20,000,000 | ||
Shares Outstanding | shares | 20,000,000 | ||
Total Par Value | $ 20,000 | ||
Redemption Price Per Share | $ / shares | $ 25 | ||
Total Outstanding Balance | $ 500,000 | ||
OTCQB Symbol | FMCKL | ||
Class 23 - 6.55% | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 6.55% | ||
Shares Authorized | shares | 20,000,000 | ||
Shares Outstanding | shares | 20,000,000 | ||
Total Par Value | $ 20,000 | ||
Redemption Price Per Share | $ / shares | $ 25 | ||
Total Outstanding Balance | $ 500,000 | ||
OTCQB Symbol | FMCKI | ||
Class 24 - 2007 Fixed-to-floating rate | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 8.375% | ||
Shares Authorized | shares | 240,000,000 | ||
Shares Outstanding | shares | 240,000,000 | ||
Total Par Value | $ 240,000 | ||
Redemption Price Per Share | $ / shares | $ 25 | ||
Total Outstanding Balance | $ 6,000,000 | ||
OTCQB Symbol | FMCKJ | ||
Preferred Stock, Dividend Payment Terms | Dividend rate is set at an annual fixed rate of 8.375% from December 4, 2007 through December 31, 2012. For the period beginning on or after January 1, 2013, dividend rate resets quarterly and is equal to the higher of: (a) the sum of three-month LIBOR plus 4.16% per annum; or (b) 7.875% per annum. | ||
Preferred Stock, Redemption Terms | Optional redemption on December 31, 2012 and on December 31 every five years thereafter. | ||
Percentage added to benchmark rate in dividend rate reset calculation | 4.16% | ||
Class 24 - 2007 Fixed-to-floating rate | Maximum | |||
Class of Stock [Line Items] | |||
Preferred stock, dividend rate | 7.875% |
Net Interest Income (Details)
Net Interest Income (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Components of Net Interest Income [Line Items] | |||
Interest income, mortgage loans | $ 59,130 | $ 59,290 | $ 68,583 |
Interest income, investment securities | 2,261 | 2,581 | 2,737 |
Other | 136 | 469 | 1,575 |
Interest income | 61,527 | 62,340 | 72,895 |
Interest Expense | (43,947) | (49,569) | (61,047) |
Net interest income | 17,580 | 12,771 | 11,848 |
Benefit (provision) for credit losses | 1,041 | (1,452) | 746 |
Net interest income after benefit (provision) for credit losses | 18,621 | 11,319 | 12,594 |
Held by consolidated trusts | |||
Components of Net Interest Income [Line Items] | |||
Interest expense of debt securities | (42,209) | (46,281) | (53,980) |
Held by Freddie Mac | |||
Components of Net Interest Income [Line Items] | |||
Interest Expense, Short-term Borrowings | 0 | (606) | (1,910) |
Interest Expense, Long-term Debt | $ (1,738) | $ (2,682) | $ (5,157) |
Income Taxes (Details)
Income Taxes (Details) - USD ($) | Dec. 31, 2021 | Dec. 31, 2020 |
Income Tax Disclosure [Abstract] | ||
Deferred Tax Assets, Valuation Allowance | $ 52,000,000 | $ 41,000,000 |
Unrecognized Tax Benefits | $ 0 |
Income Taxes - Federal Income T
Income Taxes - Federal Income Tax Expense (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Income Tax Disclosure [Abstract] | |||
Current income tax (expense) benefit | $ (2,617) | $ (2,493) | $ (1,018) |
Deferred income tax (expense) benefit | (473) | 590 | (817) |
Total income tax (expense) benefit | $ (3,090) | $ (1,903) | $ (1,835) |
Income Taxes - Reconciliation o
Income Taxes - Reconciliation of Statutory to Effective Tax Rate (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Income Tax Expense (Benefit), Continuing Operations, Income Tax Reconciliation [Abstract] | |||
Statutory corporate tax rate | $ (3,192) | $ (1,938) | $ (1,900) |
Tax-exempt interest | 20 | 25 | 18 |
Tax credits | 133 | 55 | 48 |
Valuation allowance | (11) | (4) | 9 |
Other | (40) | (41) | (10) |
Total income tax (expense) benefit | $ (3,090) | $ (1,903) | $ (1,835) |
Effective Income Tax Rate, Continuing Operations, Tax Rate Reconciliation [Abstract] | |||
Statutory corporate tax rate | 21.00% | 21.00% | 21.00% |
Tax-exempt interest | (0.20%) | (0.30%) | (0.20%) |
Tax Credits (Percent) | (0.90%) | (0.60%) | (0.50%) |
Valuation allowance | 0.10% | 0.10% | (0.10%) |
Other | 0.30% | 0.40% | 0.10% |
Effective tax rate | 20.30% | 20.60% | 20.30% |
Income Taxes - Deferred Tax Ass
Income Taxes - Deferred Tax Assets and Liabilities (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Deferred tax assets: | ||
Deferred fees | $ 3,179 | $ 3,354 |
Basis differences related to derivative instruments | 1,629 | 1,810 |
Credit related items and allowance for loan losses | 815 | 844 |
Basis differences related to assets held-for-investment and held-for-sale | 544 | 999 |
Other items, net | 178 | 134 |
Total deferred tax assets | 6,345 | 7,141 |
Deferred tax liabilities: | ||
Unrealized gains related to Available-for-Sale Securities | (79) | (543) |
Total deferred tax liabilities | (79) | (543) |
Valuation allowance | (52) | (41) |
Deferred tax assets, net | $ 6,214 | $ 6,557 |
Segment Reporting (Details)
Segment Reporting (Details) - segment | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Segment Reporting [Abstract] | |||
Number of reportable segments | 2 | 3 | 3 |
Segment Reporting - Segment Fin
Segment Reporting - Segment Financial Results (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | |||
Net interest income | $ 17,580 | $ 12,771 | $ 11,848 |
Non-interest income (loss) | |||
Guarantee income | 1,032 | 1,442 | 1,089 |
Investment gains (losses), net | 2,746 | 1,813 | 818 |
Other income (loss) | 593 | 633 | 323 |
Noninterest Income | 4,371 | 3,888 | 2,230 |
Net revenues | 21,951 | 16,659 | 14,078 |
Benefit (provision) for credit losses | 1,041 | (1,452) | 746 |
Non-interest expense | |||
Administrative expense | (2,651) | (2,535) | (2,564) |
Credit enhancement expense | (1,518) | (1,058) | (749) |
Benefit for (decrease in) credit enhancement recoveries | (542) | 323 | 41 |
REO operations (expense) income | (12) | (149) | (229) |
Legislated 10 basis point fee expense | (2,342) | (1,836) | (1,617) |
Other expense | (728) | (723) | (657) |
Non-interest expense | (7,793) | (5,978) | (5,775) |
Income (loss) before income tax (expense) benefit | 15,199 | 9,229 | 9,049 |
Income tax (expense) benefit | (3,090) | (1,903) | (1,835) |
Net income (loss) | 12,109 | 7,326 | 7,214 |
Other comprehensive income (loss), net of taxes and reclassification adjustments | (489) | 205 | 573 |
Comprehensive income (loss) | 11,620 | 7,531 | 7,787 |
Operating segments | Single-Family | |||
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | |||
Net interest income | 16,273 | 11,592 | 10,664 |
Non-interest income (loss) | |||
Guarantee income | 114 | 112 | 44 |
Investment gains (losses), net | 361 | (112) | 300 |
Other income (loss) | 479 | 457 | 216 |
Noninterest Income | 954 | 457 | 560 |
Net revenues | 17,227 | 12,049 | 11,224 |
Benefit (provision) for credit losses | 919 | (1,320) | 749 |
Non-interest expense | |||
Administrative expense | (2,033) | (2,021) | (2,061) |
Credit enhancement expense | (1,470) | (1,036) | (734) |
Benefit for (decrease in) credit enhancement recoveries | (523) | 305 | 41 |
REO operations (expense) income | (12) | (149) | (229) |
Legislated 10 basis point fee expense | (2,342) | (1,836) | (1,617) |
Other expense | (695) | (686) | (616) |
Non-interest expense | (7,075) | (5,423) | (5,216) |
Income (loss) before income tax (expense) benefit | 11,071 | 5,306 | 6,757 |
Income tax (expense) benefit | (2,251) | (1,094) | (1,370) |
Net income (loss) | 8,820 | 4,212 | 5,387 |
Other comprehensive income (loss), net of taxes and reclassification adjustments | (379) | 104 | 472 |
Comprehensive income (loss) | 8,441 | 4,316 | 5,859 |
Operating segments | Multifamily | |||
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | |||
Net interest income | 1,307 | 1,179 | 1,184 |
Non-interest income (loss) | |||
Guarantee income | 918 | 1,330 | 1,045 |
Investment gains (losses), net | 2,385 | 1,925 | 518 |
Other income (loss) | 114 | 176 | 107 |
Noninterest Income | 3,417 | 3,431 | 1,670 |
Net revenues | 4,724 | 4,610 | 2,854 |
Benefit (provision) for credit losses | 122 | (132) | (3) |
Non-interest expense | |||
Administrative expense | (618) | (514) | (503) |
Credit enhancement expense | (48) | (22) | (15) |
Benefit for (decrease in) credit enhancement recoveries | (19) | 18 | 0 |
REO operations (expense) income | 0 | 0 | 0 |
Legislated 10 basis point fee expense | 0 | 0 | 0 |
Other expense | (33) | (37) | (41) |
Non-interest expense | (718) | (555) | (559) |
Income (loss) before income tax (expense) benefit | 4,128 | 3,923 | 2,292 |
Income tax (expense) benefit | (839) | (809) | (465) |
Net income (loss) | 3,289 | 3,114 | 1,827 |
Other comprehensive income (loss), net of taxes and reclassification adjustments | (110) | 101 | 101 |
Comprehensive income (loss) | $ 3,179 | $ 3,215 | $ 1,928 |
Segment Reporting - Segment Ass
Segment Reporting - Segment Assets (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Segment Reporting, Asset Reconciling Item [Line Items] | ||
Total assets | $ 3,025,586 | $ 2,627,415 |
Operating segments | Single-Family | ||
Segment Reporting, Asset Reconciling Item [Line Items] | ||
Total assets | 2,792,224 | 2,326,426 |
Operating segments | Multifamily | ||
Segment Reporting, Asset Reconciling Item [Line Items] | ||
Total assets | 414,663 | 388,347 |
Operating segments | Operating segments and All Other | ||
Segment Reporting, Asset Reconciling Item [Line Items] | ||
Total assets | 3,206,887 | 2,714,773 |
Reconciling items | ||
Segment Reporting, Asset Reconciling Item [Line Items] | ||
Total assets | $ (181,301) | $ (87,358) |
Concentration of Credit and O_3
Concentration of Credit and Other Risks (Details) - USD ($) $ in Billions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Concentration Risk [Line Items] | ||
Securities purchased under agreements to resell used to provide financing to investors | $ 0.8 | $ 0.8 |
Seller/Servicers | ||
Concentration Risk [Line Items] | ||
UPB of loans subject to repurchase requests issued to Single-family Seller/Servicers | 1.3 | 0.5 |
UPB of loans related to recovered losses from repurchase requests to Single-family Seller/Servicer | $ 1.4 | $ 0.9 |
Top five non-depository seller | Five Largest Non Depository Sellers | Single-family loan purchase volume | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 30.00% | 26.00% |
Five largest non-depository servicers | Five largest non-depository servicers | Single-family UPB | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 19.00% | 18.00% |
Mortgage Insurers | ||
Concentration Risk [Line Items] | ||
Maximum loss limit from mortgage insurers for single-family mortgage portfolio | $ 135.3 | |
UPB of single-family mortgage portfolio with mortgage insurance coverage | 545.3 | |
Cash and Other Investment Counterparties | ||
Concentration Risk [Line Items] | ||
Cash and other non-mortgage investments | $ 129.7 | $ 163.1 |
Concentration of Credit and O_4
Concentration of Credit and Other Risks - Concentration of Credit Risk - Single-Family Mortgage Portfolio (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 1.12% | 2.64% |
UPB of Single-Family loans for which data was not available | $ 439 | $ 505 |
West | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 0.92% | 2.41% |
Northeast | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 1.37% | 3.16% |
North Central | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 0.98% | 2.06% |
Southeast | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 1.21% | 2.95% |
Southwest | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 1.14% | 2.59% |
CALIFORNIA | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 0.99% | 2.64% |
TEXAS | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 1.23% | 3.11% |
FLORIDA | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 1.36% | 3.70% |
NEW YORK | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 2.07% | 4.56% |
ILLINOIS | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 1.44% | 2.96% |
All Other | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 1.03% | 2.34% |
Single-family UPB | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Concentration risk, unpaid principal balance | $ 2,792,000 | $ 2,326,000 |
Unpaid principal balance, percent of portfolio | 100.00% | 100.00% |
Concentration risk, credit loss amount | $ 100 | $ 400 |
Single-family UPB | West | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Concentration risk, unpaid principal balance | $ 859,000 | $ 720,000 |
Unpaid principal balance, percent of portfolio | 31.00% | 31.00% |
Concentration risk, credit loss amount | $ 0 | $ 0 |
Single-family UPB | Northeast | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Concentration risk, unpaid principal balance | $ 660,000 | $ 549,000 |
Unpaid principal balance, percent of portfolio | 24.00% | 24.00% |
Concentration risk, credit loss amount | $ 0 | $ 200 |
Single-family UPB | North Central | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Concentration risk, unpaid principal balance | $ 416,000 | $ 357,000 |
Unpaid principal balance, percent of portfolio | 15.00% | 15.00% |
Concentration risk, credit loss amount | $ 100 | $ 100 |
Single-family UPB | Southeast | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Concentration risk, unpaid principal balance | $ 461,000 | $ 375,000 |
Unpaid principal balance, percent of portfolio | 16.00% | 16.00% |
Concentration risk, credit loss amount | $ 0 | $ 100 |
Single-family UPB | Southwest | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Concentration risk, unpaid principal balance | $ 396,000 | $ 325,000 |
Unpaid principal balance, percent of portfolio | 14.00% | 14.00% |
Concentration risk, credit loss amount | $ 0 | $ 0 |
Single-family UPB | CALIFORNIA | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Concentration risk, unpaid principal balance | $ 498,000 | $ 424,000 |
Unpaid principal balance, percent of portfolio | 18.00% | 18.00% |
Concentration risk, credit loss amount | $ 0 | $ 0 |
Single-family UPB | TEXAS | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Concentration risk, unpaid principal balance | $ 177,000 | $ 145,000 |
Unpaid principal balance, percent of portfolio | 6.00% | 6.00% |
Concentration risk, credit loss amount | $ 0 | $ 0 |
Single-family UPB | FLORIDA | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Concentration risk, unpaid principal balance | $ 169,000 | $ 135,000 |
Unpaid principal balance, percent of portfolio | 6.00% | 6.00% |
Concentration risk, credit loss amount | $ 0 | $ 0 |
Single-family UPB | NEW YORK | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Concentration risk, unpaid principal balance | $ 121,000 | $ 103,000 |
Unpaid principal balance, percent of portfolio | 4.00% | 4.00% |
Concentration risk, credit loss amount | $ 0 | $ 100 |
Single-family UPB | ILLINOIS | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Concentration risk, unpaid principal balance | $ 109,000 | $ 96,000 |
Unpaid principal balance, percent of portfolio | 4.00% | 4.00% |
Concentration risk, credit loss amount | $ 0 | $ 100 |
Single-family UPB | All Other | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Concentration risk, unpaid principal balance | $ 1,718,000 | $ 1,423,000 |
Unpaid principal balance, percent of portfolio | 62.00% | 62.00% |
Concentration risk, credit loss amount | $ 100 | $ 200 |
Concentration of Credit and O_5
Concentration of Credit and Other Risks - Concentration of Credit Risk - Multifamily Mortgage Portfolio (Details) - Multifamily Unpaid Principal Balance - USD ($) $ in Billions | Dec. 31, 2021 | Dec. 31, 2020 |
Concentration Risk [Line Items] | ||
Multifamily Mortgage Portfolio UPB | $ 414.7 | $ 388.3 |
Multifamily Delinquency Rate | 0.08% | 0.16% |
Unsecuritized Loans | ||
Concentration Risk [Line Items] | ||
Multifamily Mortgage Portfolio UPB | $ 22.8 | $ 33.4 |
Multifamily Delinquency Rate | 0.04% | 0.04% |
Securitized loans | ||
Concentration Risk [Line Items] | ||
Multifamily Mortgage Portfolio UPB | $ 381.4 | $ 344.1 |
Multifamily Delinquency Rate | 0.07% | 0.18% |
Other mortgage-related guarantees | ||
Concentration Risk [Line Items] | ||
Multifamily Mortgage Portfolio UPB | $ 10.5 | $ 10.8 |
Multifamily Delinquency Rate | 0.44% | 0.06% |
Concentration of Credit and O_6
Concentration of Credit and Other Risks - Seller Concentration (Details) | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Multifamily Sellers | Multifamily loan purchase volume | Top ten multifamily sellers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 79.00% | 82.00% |
Multifamily Sellers | Multifamily loan purchase volume | Berkadia Commercial Mortgage LLC | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 15.00% | 14.00% |
Multifamily Sellers | Multifamily loan purchase volume | CBRE Capital Markets, Inc. | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 13.00% | 16.00% |
Multifamily Sellers | Multifamily loan purchase volume | JLL Real Estate Capital LLC | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 10.00% | 11.00% |
Multifamily Sellers | Multifamily loan purchase volume | Walker & Dunlop LLC | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 9.00% | 10.00% |
Multifamily Sellers | Multifamily loan purchase volume | Other top 10 sellers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 32.00% | 31.00% |
Top 10 Single-Family servicers | Single-family loan purchase volume | Single Family Top 10 Sellers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 50.00% | 44.00% |
Concentration of Credit and O_7
Concentration of Credit and Other Risks - Servicer Concentration (Details) | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Single-family loan serviced | Single Family Servicers | Top 10 Single-Family servicers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 47.00% | 49.00% |
Single-family loan serviced | Single Family Servicers | Wells Fargo Bank, N.A. | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 8.00% | 11.00% |
Single-family loan serviced | Single Family Servicers | Other top 10 servicers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 39.00% | 38.00% |
Multifamily loan serviced | Multifamily Servicers | Top ten multifamily servicers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 80.00% | 80.00% |
Multifamily loan serviced | Multifamily Servicers | CBRE Capital Markets, Inc. | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 16.00% | 17.00% |
Multifamily loan serviced | Multifamily Servicers | Berkadia Commercial Mortgage LLC | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 14.00% | 13.00% |
Multifamily loan serviced | Multifamily Servicers | JLL Real Estate Capital LLC | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 11.00% | 11.00% |
Multifamily loan serviced | Multifamily Servicers | Other top 10 servicers | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 39.00% | 39.00% |
Concentration of Credit and O_8
Concentration of Credit and Other Risks - Mortgage Insurer Concentration (Details) - USD ($) $ in Billions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Mortgage Insurers | ||
Concentration Risk [Line Items] | ||
Unpaid Principal Balance Of Single Family Mortgage Portfolio With Mortgage Insurance Coverage | $ 545.3 | |
Credit Protection Coverage From Mortgage Insurers For Single-Family Mortgage Portfolio | $ 135.3 | |
Mortgage insurance coverage | Arch Mortgage Insurance Company | Mortgage Insurer Counterparty | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 19.00% | 20.00% |
Mortgage insurance coverage | Mortgage Guaranty Insurance Corporation | Mortgage Insurer Counterparty | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 19.00% | 18.00% |
Mortgage insurance coverage | Radian Guaranty Inc. | Mortgage Insurer Counterparty | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 18.00% | 19.00% |
Mortgage insurance coverage | Enact | Mortgage Insurer Counterparty | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 15.00% | 15.00% |
Mortgage insurance coverage | Essent Guaranty | Mortgage Insurer Counterparty | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 15.00% | 16.00% |
Mortgage insurance coverage | National Mortgage Insurance Corporation | Mortgage Insurer Counterparty | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 13.00% | 10.00% |
Mortgage insurance coverage | Total | Mortgage Insurer Counterparty | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 99.00% | 98.00% |
Fair Value Disclosures - Assets
Fair Value Disclosures - Assets and Liabilities on Our Consolidated Balance Sheets Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | $ 4,012 | $ 15,367 |
Mortgage loans: | ||
Held-for-sale, at fair value | 10,498 | 14,199 |
Other assets: | ||
Total derivative assets, net | 460 | 1,205 |
Total other assets | 6,594 | 6,980 |
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt, fair value | 2,478 | 2,592 |
Other liabilities: | ||
Total derivative liabilities, net | 282 | 954 |
Total other liabilities | 287 | 958 |
Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt, fair value | 1,094 | 205 |
Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt, fair value | 1,400 | 2,400 |
Fair Value, Measurements, Recurring | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 4,012 | 15,367 |
Trading, at fair value: | ||
Trading, at fair value | 49,003 | 44,458 |
Total investments in securities | 53,015 | 59,825 |
Mortgage loans: | ||
Held-for-sale, at fair value | 10,498 | 14,199 |
Other assets: | ||
Guarantee assets, at fair value | 5,919 | 5,509 |
Non-derivative purchase commitments, at fair value | 131 | 158 |
Derivative assets, net | 5,466 | 8,579 |
Netting Adjustment | (5,006) | (7,374) |
Total derivative assets, net | 460 | 1,205 |
All other, at fair value | 84 | 108 |
Total other assets | 6,594 | 6,980 |
Total assets carried at fair value on a recurring basis | 70,107 | 81,004 |
Other liabilities: | ||
Derivative liabilities at fair value | 7,749 | 9,148 |
Netting Adjustment | (7,467) | (8,194) |
Total derivative liabilities, net | 282 | 954 |
Non-derivative purchase commitments, at fair value | 4 | 1 |
All other, at fair value | 1 | 3 |
Total other liabilities | 287 | 958 |
Total liabilities carried at fair value on a recurring basis | 2,765 | 3,550 |
Fair Value, Measurements, Recurring | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt, fair value | 1,094 | 205 |
Fair Value, Measurements, Recurring | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt, fair value | 1,384 | 2,387 |
Fair Value, Measurements, Recurring | Mortage-related securities | ||
Trading, at fair value: | ||
Trading, at fair value | 16,231 | 17,505 |
Fair Value, Measurements, Recurring | Non-mortgage-related securities | ||
Trading, at fair value: | ||
Trading, at fair value | 32,772 | 26,953 |
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, at fair value | 31,780 | 26,255 |
Total investments in securities | 31,780 | 26,255 |
Mortgage loans: | ||
Held-for-sale, at fair value | 0 | 0 |
Other assets: | ||
Guarantee assets, at fair value | 0 | 0 |
Non-derivative purchase commitments, at fair value | 0 | 0 |
Derivative assets, net | 33 | 0 |
Total derivative assets, net | 33 | 0 |
All other, at fair value | 0 | 0 |
Total other assets | 33 | 0 |
Total assets carried at fair value on a recurring basis | 31,813 | 26,255 |
Other liabilities: | ||
Derivative liabilities at fair value | 0 | 0 |
Total derivative liabilities, net | 0 | 0 |
Non-derivative purchase commitments, at fair value | 0 | 0 |
All other, at fair value | 0 | 0 |
Total other liabilities | 0 | 0 |
Total liabilities carried at fair value on a recurring basis | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt, fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt, fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Mortage-related securities | ||
Trading, at fair value: | ||
Trading, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Non-mortgage-related securities | ||
Trading, at fair value: | ||
Trading, at fair value | 31,780 | 26,255 |
Fair Value, Measurements, Recurring | Level 2 | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 2,726 | 13,779 |
Trading, at fair value: | ||
Trading, at fair value | 13,837 | 14,944 |
Total investments in securities | 16,563 | 28,723 |
Mortgage loans: | ||
Held-for-sale, at fair value | 10,498 | 14,199 |
Other assets: | ||
Guarantee assets, at fair value | 0 | 0 |
Non-derivative purchase commitments, at fair value | 131 | 158 |
Derivative assets, net | 5,416 | 8,516 |
Total derivative assets, net | 5,416 | 8,516 |
All other, at fair value | 0 | 0 |
Total other assets | 5,547 | 8,674 |
Total assets carried at fair value on a recurring basis | 32,608 | 51,596 |
Other liabilities: | ||
Derivative liabilities at fair value | 7,726 | 9,132 |
Total derivative liabilities, net | 7,726 | 9,132 |
Non-derivative purchase commitments, at fair value | 4 | 1 |
All other, at fair value | 0 | 0 |
Total other liabilities | 7,730 | 9,133 |
Total liabilities carried at fair value on a recurring basis | 9,914 | 11,402 |
Fair Value, Measurements, Recurring | Level 2 | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt, fair value | 910 | 2 |
Fair Value, Measurements, Recurring | Level 2 | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt, fair value | 1,274 | 2,267 |
Fair Value, Measurements, Recurring | Level 2 | Mortage-related securities | ||
Trading, at fair value: | ||
Trading, at fair value | 12,845 | 14,246 |
Fair Value, Measurements, Recurring | Level 2 | Non-mortgage-related securities | ||
Trading, at fair value: | ||
Trading, at fair value | 992 | 698 |
Fair Value, Measurements, Recurring | Level 3 | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 1,286 | 1,588 |
Trading, at fair value: | ||
Trading, at fair value | 3,386 | 3,259 |
Total investments in securities | 4,672 | 4,847 |
Mortgage loans: | ||
Held-for-sale, at fair value | 0 | 0 |
Other assets: | ||
Guarantee assets, at fair value | 5,919 | 5,509 |
Non-derivative purchase commitments, at fair value | 0 | 0 |
Derivative assets, net | 17 | 63 |
Total derivative assets, net | 17 | 63 |
All other, at fair value | 84 | 108 |
Total other assets | 6,020 | 5,680 |
Total assets carried at fair value on a recurring basis | 10,692 | 10,527 |
Other liabilities: | ||
Derivative liabilities at fair value | 23 | 16 |
Total derivative liabilities, net | 23 | 16 |
Non-derivative purchase commitments, at fair value | 0 | 0 |
All other, at fair value | 1 | 3 |
Total other liabilities | 24 | 19 |
Total liabilities carried at fair value on a recurring basis | 318 | 342 |
Fair Value, Measurements, Recurring | Level 3 | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt, fair value | 184 | 203 |
Fair Value, Measurements, Recurring | Level 3 | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt, fair value | 110 | 120 |
Fair Value, Measurements, Recurring | Level 3 | Mortage-related securities | ||
Trading, at fair value: | ||
Trading, at fair value | 3,386 | 3,259 |
Fair Value, Measurements, Recurring | Level 3 | Non-mortgage-related securities | ||
Trading, at fair value: | ||
Trading, at fair value | $ 0 | $ 0 |
Fair Value Disclosures - Asse_2
Fair Value Disclosures - Assets and Liabilities on Our Consolidated Balance Sheets Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Liabilities: | ||
Beginning Balance | $ 342 | $ 369 |
Included in Earnings | (23) | (9) |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | (1) | 1 |
Issues | 171 | 6 |
Sales | (1) | 1 |
Settlements, Net | (170) | (26) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 318 | 342 |
Unrealized (Gains) Losses Still Held - Liabilities | (22) | (24) |
Unrealized (Gains) Losses Still Held - Liabilities, OCI | 0 | 0 |
Assets: | ||
Beginning Balance | 10,527 | 10,498 |
Included in Earnings | (1,272) | 45 |
Included in Other Comprehensive Income | 7 | (8) |
Purchases | 1,530 | 1,540 |
Issues | 1,761 | 1,694 |
Sales | (318) | (518) |
Settlements, net | (1,363) | (1,231) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | (180) | (1,493) |
Ending Balance | 10,692 | 10,527 |
Unrealized Gains (Losses) Still Held - Assets | (1,279) | 42 |
Unrealized Gains (Losses) Still Held - Assets, OCI | 7 | (38) |
Debt | ||
Liabilities: | ||
Beginning Balance | 323 | 332 |
Included in Earnings | (30) | (1) |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | (8) | 0 |
Issues | 169 | 4 |
Sales | 0 | 0 |
Settlements, Net | (160) | (12) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 294 | 323 |
Unrealized (Gains) Losses Still Held - Liabilities | (19) | (1) |
Unrealized (Gains) Losses Still Held - Liabilities, OCI | 0 | 0 |
Debt | Held by consolidated trusts | ||
Liabilities: | ||
Beginning Balance | 203 | 203 |
Included in Earnings | (27) | 0 |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | (8) | 0 |
Issues | 168 | 0 |
Sales | 0 | 0 |
Settlements, Net | (152) | 0 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 184 | 203 |
Unrealized (Gains) Losses Still Held - Liabilities | (16) | 0 |
Unrealized (Gains) Losses Still Held - Liabilities, OCI | 0 | 0 |
Debt | Held by Freddie Mac | ||
Liabilities: | ||
Beginning Balance | 120 | 129 |
Included in Earnings | (3) | (1) |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 0 | 0 |
Issues | 1 | 4 |
Sales | 0 | 0 |
Settlements, Net | (8) | (12) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 110 | 120 |
Unrealized (Gains) Losses Still Held - Liabilities | (3) | (1) |
Unrealized (Gains) Losses Still Held - Liabilities, OCI | 0 | 0 |
Other liabilities | ||
Liabilities: | ||
Beginning Balance | 19 | 37 |
Included in Earnings | 7 | (8) |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 7 | 1 |
Issues | 2 | 2 |
Sales | (1) | 1 |
Settlements, Net | (10) | (14) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 24 | 19 |
Unrealized (Gains) Losses Still Held - Liabilities | (3) | (23) |
Unrealized (Gains) Losses Still Held - Liabilities, OCI | 0 | 0 |
Derivatives liabilities | ||
Liabilities: | ||
Beginning Balance | 16 | 36 |
Included in Earnings | 15 | (8) |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 0 | 0 |
Issues | 2 | 2 |
Sales | 0 | 0 |
Settlements, Net | (10) | (14) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 23 | 16 |
Unrealized (Gains) Losses Still Held - Liabilities | 5 | (23) |
Unrealized (Gains) Losses Still Held - Liabilities, OCI | 0 | 0 |
All Other Liabilities | ||
Liabilities: | ||
Beginning Balance | 3 | 1 |
Included in Earnings | (8) | 0 |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 7 | 1 |
Issues | 0 | 0 |
Sales | (1) | 1 |
Settlements, Net | 0 | 0 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 1 | 3 |
Unrealized (Gains) Losses Still Held - Liabilities | (8) | 0 |
Unrealized (Gains) Losses Still Held - Liabilities, OCI | 0 | 0 |
Available-for-sale securities | ||
Assets: | ||
Beginning Balance | 1,588 | 3,227 |
Included in Earnings | 29 | 27 |
Included in Other Comprehensive Income | 7 | (8) |
Purchases | 0 | 0 |
Issues | 0 | 0 |
Sales | (32) | (218) |
Settlements, net | (306) | (344) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | (1,096) |
Ending Balance | 1,286 | 1,588 |
Unrealized Gains (Losses) Still Held - Assets | 26 | 15 |
Unrealized Gains (Losses) Still Held - Assets, OCI | 7 | (38) |
Trading securities | ||
Assets: | ||
Beginning Balance | 3,259 | 2,710 |
Included in Earnings | (869) | (251) |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 1,536 | 1,555 |
Issues | 0 | 0 |
Sales | (277) | (281) |
Settlements, net | (83) | (77) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | (180) | (397) |
Ending Balance | 3,386 | 3,259 |
Unrealized Gains (Losses) Still Held - Assets | (872) | (241) |
Unrealized Gains (Losses) Still Held - Assets, OCI | 0 | 0 |
Investments in securities | ||
Assets: | ||
Beginning Balance | 4,847 | 5,937 |
Included in Earnings | (840) | (224) |
Included in Other Comprehensive Income | 7 | (8) |
Purchases | 1,536 | 1,555 |
Issues | 0 | 0 |
Sales | (309) | (499) |
Settlements, net | (389) | (421) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | (180) | (1,493) |
Ending Balance | 4,672 | 4,847 |
Unrealized Gains (Losses) Still Held - Assets | (846) | (226) |
Unrealized Gains (Losses) Still Held - Assets, OCI | 7 | (38) |
Derivative Assets | ||
Assets: | ||
Beginning Balance | 63 | 15 |
Included in Earnings | (45) | 22 |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 0 | 0 |
Issues | 0 | 26 |
Sales | (1) | 0 |
Settlements, net | 0 | 0 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 17 | 63 |
Unrealized Gains (Losses) Still Held - Assets | (46) | 21 |
Unrealized Gains (Losses) Still Held - Assets, OCI | 0 | 0 |
Other Assets | ||
Assets: | ||
Beginning Balance | 5,680 | 4,561 |
Included in Earnings | (432) | 269 |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | (6) | (15) |
Issues | 1,761 | 1,694 |
Sales | (9) | (19) |
Settlements, net | (974) | (810) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 6,020 | 5,680 |
Unrealized Gains (Losses) Still Held - Assets | (433) | 268 |
Unrealized Gains (Losses) Still Held - Assets, OCI | 0 | 0 |
Guarantee Asset | ||
Assets: | ||
Beginning Balance | 5,509 | 4,426 |
Included in Earnings | (378) | 250 |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | 0 | 0 |
Issues | 1,742 | 1,641 |
Sales | 0 | 0 |
Settlements, net | (954) | (808) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 5,919 | 5,509 |
Unrealized Gains (Losses) Still Held - Assets | (378) | 250 |
Unrealized Gains (Losses) Still Held - Assets, OCI | 0 | 0 |
All Other Assets | ||
Assets: | ||
Beginning Balance | 108 | 120 |
Included in Earnings | (9) | (3) |
Included in Other Comprehensive Income | 0 | 0 |
Purchases | (6) | (15) |
Issues | 19 | 27 |
Sales | (8) | (19) |
Settlements, net | (20) | (2) |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Ending Balance | 84 | 108 |
Unrealized Gains (Losses) Still Held - Assets | (9) | (3) |
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 for Assets and Liabilities Measured on Our Consolidated Balance Sheets at Fair Value (Details) $ in Millions | 12 Months Ended | |
Dec. 31, 2021USD ($) | Dec. 31, 2020USD ($) | |
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | $ 4,012 | $ 15,367 |
Liabilities: | ||
Debt, fair value | 2,478 | 2,592 |
Fair Value, Measurements, Recurring | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 4,012 | 15,367 |
Trading, at fair value: | ||
Trading, at fair value | 49,003 | 44,458 |
Other assets: | ||
Guarantee assets, at fair value | 5,919 | 5,509 |
Total level 3 assets | 70,107 | 81,004 |
Liabilities: | ||
Total liabilities carried at fair value on a recurring basis | 2,765 | 3,550 |
Fair Value, Measurements, Recurring | Mortgage-related securities | ||
Trading, at fair value: | ||
Trading, at fair value | 16,231 | 17,505 |
Fair Value, Measurements, Recurring | Level 3 | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 1,286 | 1,588 |
Trading, at fair value: | ||
Trading, at fair value | 3,386 | 3,259 |
Other assets: | ||
Guarantee assets, at fair value | 5,919 | 5,509 |
Insignificant Level 3 assets | 101 | 171 |
Total level 3 assets | 10,692 | 10,527 |
Liabilities: | ||
Insignificant Level 3 liabilities | 183 | 139 |
Total liabilities carried at fair value on a recurring basis | 318 | 342 |
Fair Value, Measurements, Recurring | Level 3 | Median of External Sources | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 839 | 1,009 |
Trading, at fair value: | ||
Trading, at fair value | 273 | |
Fair Value, Measurements, Recurring | Level 3 | Single External Source | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 119 | |
Trading, at fair value: | ||
Trading, at fair value | 2,846 | 2,204 |
Fair Value, Measurements, Recurring | Level 3 | Discounted Cash Flows | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 322 | 410 |
Trading, at fair value: | ||
Trading, at fair value | 259 | 472 |
Fair Value, Measurements, Recurring | Level 3 | Other | ||
Available-For-Sale, at Fair Value: | ||
Available-for-sale, at fair value | 124 | 50 |
Trading, at fair value: | ||
Trading, at fair value | 9 | 583 |
Fair Value, Measurements, Recurring | Level 3 | Mortgage-related securities | ||
Trading, at fair value: | ||
Trading, at fair value | $ 3,386 | $ 3,259 |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Minimum | Median of External Sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 72.8 | 70.6 |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Minimum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 100.9 | |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Minimum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
Fair Value Inputs Option Adjusted Spread Percentage | 0.87% | 0.90% |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Weighted Average | Median of External Sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 77 | 75.9 |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Weighted Average | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 100.9 | |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Weighted Average | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
Fair Value Inputs Option Adjusted Spread Percentage | 0.88% | 0.90% |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Maximum | Median of External Sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 83.7 | 81.6 |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Maximum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 100.9 | |
Fair Value, Measurements, Recurring | Level 3 | Available-for-sale securities | Maximum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
Fair Value Inputs Option Adjusted Spread Percentage | 1.98% | 0.90% |
Fair Value, Measurements, Recurring | Level 3 | Trading securities | Minimum | Median of External Sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 3.8 | |
Fair Value, Measurements, Recurring | Level 3 | Trading securities | Minimum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 0 | 0 |
Fair Value, Measurements, Recurring | Level 3 | Trading securities | Minimum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
Fair Value Inputs Option Adjusted Spread Percentage | (3.39%) | (9.51%) |
Fair Value, Measurements, Recurring | Level 3 | Trading securities | Weighted Average | Median of External Sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 4.1 | |
Fair Value, Measurements, Recurring | Level 3 | Trading securities | Weighted Average | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 396.7 | 947.8 |
Fair Value, Measurements, Recurring | Level 3 | Trading securities | Weighted Average | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
Fair Value Inputs Option Adjusted Spread Percentage | 5.51% | 8.34% |
Fair Value, Measurements, Recurring | Level 3 | Trading securities | Maximum | Median of External Sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 4.4 | |
Fair Value, Measurements, Recurring | Level 3 | Trading securities | Maximum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 7,343.1 | 8,894.6 |
Fair Value, Measurements, Recurring | Level 3 | Trading securities | Maximum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
Fair Value Inputs Option Adjusted Spread Percentage | 30.00% | 29.10% |
Fair Value, Measurements, Recurring | Level 3 | Guarantee Asset | Discounted Cash Flows | ||
Other assets: | ||
Guarantee assets, at fair value | $ 5,531 | $ 5,195 |
Fair Value, Measurements, Recurring | Level 3 | Guarantee Asset | Other | ||
Other assets: | ||
Guarantee assets, at fair value | $ 388 | $ 314 |
Fair Value, Measurements, Recurring | Level 3 | Guarantee Asset | Minimum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
Fair Value Inputs Option Adjusted Spread Percentage | 0.17% | 0.15% |
Fair Value, Measurements, Recurring | Level 3 | Guarantee Asset | Weighted Average | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
Fair Value Inputs Option Adjusted Spread Percentage | 0.45% | 0.38% |
Fair Value, Measurements, Recurring | Level 3 | Guarantee Asset | Maximum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
Fair Value Inputs Option Adjusted Spread Percentage | 1.86% | 1.86% |
Held by consolidated trusts | ||
Liabilities: | ||
Debt, fair value | $ 1,094 | $ 205 |
Held by consolidated trusts | Fair Value, Measurements, Recurring | ||
Liabilities: | ||
Debt, fair value | 1,094 | 205 |
Held by consolidated trusts | Fair Value, Measurements, Recurring | Level 3 | ||
Liabilities: | ||
Debt, fair value | 184 | 203 |
Held by consolidated trusts | Fair Value, Measurements, Recurring | Level 3 | Single External Source | ||
Liabilities: | ||
Debt, fair value | $ 203 | |
Held by consolidated trusts | Fair Value, Measurements, Recurring | Level 3 | Other | ||
Liabilities: | ||
Debt, fair value | $ 135 | |
Held by consolidated trusts | Fair Value, Measurements, Recurring | Level 3 | Weighted Average | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 101.7 | |
Held by consolidated trusts | Fair Value, Measurements, Recurring | Level 3 | Debt | Minimum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 97.3 | |
Held by consolidated trusts | Fair Value, Measurements, Recurring | Level 3 | Debt | Maximum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 107 |
Fair Value Disclosures - Asse_3
Fair Value Disclosures - Assets on Our Consolidated Balance Sheets Measured at Fair Value on a Non-Recurring Basis (Details) - Fair Value, Measurements, Nonrecurring - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Assets: | ||
Mortgage loans | $ 809 | $ 2,247 |
Level 1 | ||
Assets: | ||
Mortgage loans | 0 | 0 |
Level 2 | ||
Assets: | ||
Mortgage loans | 12 | 6 |
Level 3 | ||
Assets: | ||
Mortgage loans | $ 797 | $ 2,241 |
Fair Value Disclosures - Quan_2
Fair Value Disclosures - Quantitative Information about Non-Recurring Level 3 Fair Value Measurements for Assets and Liabilities Measured on Our Consolidated Balance Sheets at Fair Value (Details) - Fair Value, Measurements, Nonrecurring - USD ($) | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Assets: | ||
Mortgage Loans Fair Value Disclosure | $ 809,000,000 | $ 2,247,000,000 |
Level 3 | ||
Assets: | ||
Mortgage Loans Fair Value Disclosure | 797,000,000 | 2,241,000,000 |
Minimum | Internal model | Mortgage loans | Level 3 | ||
Assets: | ||
Fair Value Inputs Historical Sale Proceeds | $ 3,956 | $ 3,001 |
Housing Sales Index | 0.72% | 0.66% |
Minimum | Median of External Sources | Mortgage loans | Level 3 | ||
Assets: | ||
External Pricing Source(s) | 61.9 | 59.5 |
Maximum | Internal model | Mortgage loans | Level 3 | ||
Assets: | ||
Fair Value Inputs Historical Sale Proceeds | $ 744,000 | $ 696,004 |
Housing Sales Index | 4.39% | 3.45% |
Maximum | Median of External Sources | Mortgage loans | Level 3 | ||
Assets: | ||
External Pricing Source(s) | 107.1 | 104 |
Weighted Average | Internal model | Mortgage loans | Level 3 | ||
Assets: | ||
Fair Value Inputs Historical Sale Proceeds | $ 221,442 | $ 202,539 |
Housing Sales Index | 1.40% | 1.19% |
Weighted Average | Median of External Sources | Mortgage loans | Level 3 | ||
Assets: | ||
External Pricing Source(s) | 97.3 | 92.1 |
Fair Value Disclosures - Fair V
Fair Value Disclosures - Fair Value of Financial Instruments (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 |
Financial Assets | ||
Securities purchased under agreements to resell | $ 71,203 | $ 105,003 |
Investments in Securities [Abstract] | ||
Available-for-sale, at fair value | 4,012 | 15,367 |
Mortgage loans: | ||
Derivative Asset | 460 | 1,205 |
Financial Liabilities | ||
Debt, net | 2,478 | 2,592 |
Derivative Liability | 282 | 954 |
Total Liability Netting Adjustment | (14,800) | (8,194) |
Held by Freddie Mac | ||
Financial Liabilities | ||
Debt, net | 1,400 | 2,400 |
Held by consolidated trusts | ||
Financial Assets | ||
Securities purchased under agreements to resell | 34,000 | 38,487 |
Financial Liabilities | ||
Debt, net | 1,094 | 205 |
GAAP Carrying Amount | ||
Financial Assets | ||
Cash and Cash Equivalents | 10,150 | 23,889 |
Securities purchased under agreements to resell | 71,203 | 105,003 |
Investments in Securities [Abstract] | ||
Available-for-sale, at fair value | 4,012 | 15,367 |
Trading, at fair value | 49,003 | 44,458 |
Total investments in securities | 53,015 | 59,825 |
Mortgage loans: | ||
Mortgage loans | 2,848,109 | 2,383,888 |
Derivative Asset | 460 | 1,205 |
Guarantee assets, at fair value | 5,919 | 5,509 |
Non-derivative purchase commitments, at fair value | 131 | 158 |
Advances to lenders | 4,932 | 4,162 |
Secured lending | 1,263 | 1,680 |
Total assets carried at fair value on a recurring basis | 2,995,182 | 2,585,319 |
Financial Liabilities | ||
Debt, net | 2,980,185 | 2,592,546 |
Derivative Liability | 282 | 954 |
Guarantee obligation | 5,716 | 5,050 |
Non-derivative purchase commitments, at fair value | 13 | 20 |
Total Financial Liabilities | 2,986,196 | 2,598,570 |
GAAP Carrying Amount | Held by Freddie Mac | ||
Mortgage loans: | ||
Mortgage loans | 63,483 | 110,541 |
Financial Liabilities | ||
Debt, net | 177,131 | 284,370 |
GAAP Carrying Amount | Held by consolidated trusts | ||
Mortgage loans: | ||
Mortgage loans | 2,784,626 | 2,273,347 |
Financial Liabilities | ||
Debt, net | 2,803,054 | 2,308,176 |
GAAP Carrying Amount | AmortizedCost | ||
Mortgage loans: | ||
Mortgage loans | 2,800,000 | 2,400,000 |
Financial Liabilities | ||
Debt, net | 3,000,000 | 2,600,000 |
GAAP Carrying Amount | LowerOfCostOrFairValue | ||
Mortgage loans: | ||
Mortgage loans | 9,300 | 19,500 |
GAAP Carrying Amount | FV - NI | ||
Mortgage loans: | ||
Mortgage loans | 10,500 | 14,200 |
Financial Liabilities | ||
Debt, net | 2,500 | 2,600 |
Fair Value | ||
Financial Assets | ||
Cash and Cash Equivalents | 10,150 | 23,889 |
Securities purchased under agreements to resell | 71,203 | 105,003 |
Securities purchased under agreements to resell, netting adjustment | (7,333) | |
Investments in Securities [Abstract] | ||
Available-for-sale, at fair value | 4,012 | 15,367 |
Trading, at fair value | 49,003 | 44,458 |
Total investments in securities | 53,015 | 59,825 |
Mortgage loans: | ||
Mortgage loans | 2,867,380 | 2,456,491 |
Derivative Asset | 460 | 1,205 |
Netting Adjustment | (5,006) | (7,374) |
Guarantee assets, at fair value | 5,923 | 5,515 |
Non-derivative purchase commitments, at fair value | 217 | 246 |
Advances to lenders | 4,932 | 4,162 |
Secured lending | 1,263 | 1,680 |
Total Asset Netting Adjustment | (12,339) | (7,374) |
Total assets carried at fair value on a recurring basis | 3,014,543 | 2,658,016 |
Financial Liabilities | ||
Debt, net | 2,986,103 | 2,673,731 |
Debt, netting adjustment | (7,333) | |
Derivative Liability | 282 | 954 |
Netting Adjustment | (7,467) | (8,194) |
Guarantee obligation | 6,240 | 5,378 |
Non-derivative purchase commitments, at fair value | 105 | 308 |
Total Financial Liabilities | 2,992,730 | 2,680,371 |
Fair Value | Held by Freddie Mac | ||
Mortgage loans: | ||
Mortgage loans | 65,659 | 113,495 |
Financial Liabilities | ||
Debt, net | 182,417 | 290,722 |
Debt, netting adjustment | (7,333) | |
Fair Value | Held by consolidated trusts | ||
Mortgage loans: | ||
Mortgage loans | 2,801,721 | 2,342,996 |
Financial Liabilities | ||
Debt, net | 2,803,686 | 2,383,009 |
Fair Value | Level 1 | ||
Financial Assets | ||
Cash and Cash Equivalents | 10,150 | 23,889 |
Securities purchased under agreements to resell | 0 | 0 |
Investments in Securities [Abstract] | ||
Available-for-sale, at fair value | 0 | 0 |
Trading, at fair value | 31,780 | 26,255 |
Total investments in securities | 31,780 | 26,255 |
Mortgage loans: | ||
Mortgage loans | 0 | 0 |
Derivative assets, net | 33 | 0 |
Guarantee assets, at fair value | 0 | 0 |
Non-derivative purchase commitments, at fair value | 0 | 0 |
Advances to lenders | 0 | 0 |
Secured lending | 0 | 0 |
Total assets carried at fair value on a recurring basis | 41,963 | 50,144 |
Financial Liabilities | ||
Debt, net | 0 | 0 |
Derivative liabilities at fair value | 0 | 0 |
Guarantee obligation | 0 | 0 |
Non-derivative purchase commitments, at fair value | 0 | 0 |
Total Financial Liabilities | 0 | 0 |
Fair Value | Level 1 | Held by Freddie Mac | ||
Mortgage loans: | ||
Mortgage loans | 0 | 0 |
Financial Liabilities | ||
Debt, net | 0 | 0 |
Fair Value | Level 1 | Held by consolidated trusts | ||
Mortgage loans: | ||
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 agreements to resell | 78,536 | 105,003 |
Investments in Securities [Abstract] | ||
Available-for-sale, at fair value | 2,726 | 13,779 |
Trading, at fair value | 13,837 | 14,944 |
Total investments in securities | 16,563 | 28,723 |
Mortgage loans: | ||
Mortgage loans | 2,599,444 | 2,157,604 |
Derivative assets, net | 5,416 | 8,516 |
Guarantee assets, at fair value | 0 | 0 |
Non-derivative purchase commitments, at fair value | 217 | 246 |
Advances to lenders | 0 | 0 |
Secured lending | 1,187 | 1,427 |
Total assets carried at fair value on a recurring basis | 2,701,363 | 2,301,519 |
Financial Liabilities | ||
Debt, net | 2,988,823 | 2,668,791 |
Derivative liabilities at fair value | 7,726 | 9,132 |
Guarantee obligation | 0 | 0 |
Non-derivative purchase commitments, at fair value | 4 | 1 |
Total Financial Liabilities | 2,996,553 | 2,677,924 |
Fair Value | Level 2 | Held by Freddie Mac | ||
Mortgage loans: | ||
Mortgage loans | 35,856 | 76,917 |
Financial Liabilities | ||
Debt, net | 185,793 | 286,634 |
Fair Value | Level 2 | Held by consolidated trusts | ||
Mortgage loans: | ||
Mortgage loans | 2,563,588 | 2,080,687 |
Financial Liabilities | ||
Debt, net | 2,803,030 | 2,382,157 |
Fair Value | Level 3 | ||
Financial Assets | ||
Cash and Cash Equivalents | 0 | 0 |
Securities purchased under agreements to resell | 0 | 0 |
Investments in Securities [Abstract] | ||
Available-for-sale, at fair value | 1,286 | 1,588 |
Trading, at fair value | 3,386 | 3,259 |
Total investments in securities | 4,672 | 4,847 |
Mortgage loans: | ||
Mortgage loans | 267,936 | 298,887 |
Derivative assets, net | 17 | 63 |
Guarantee assets, at fair value | 5,923 | 5,515 |
Non-derivative purchase commitments, at fair value | 0 | 0 |
Advances to lenders | 4,932 | 4,162 |
Secured lending | 76 | 253 |
Total assets carried at fair value on a recurring basis | 283,556 | 313,727 |
Financial Liabilities | ||
Debt, net | 4,613 | 4,940 |
Derivative liabilities at fair value | 23 | 16 |
Guarantee obligation | 6,240 | 5,378 |
Non-derivative purchase commitments, at fair value | 101 | 307 |
Total Financial Liabilities | 10,977 | 10,641 |
Fair Value | Level 3 | Held by Freddie Mac | ||
Mortgage loans: | ||
Mortgage loans | 29,803 | 36,578 |
Financial Liabilities | ||
Debt, net | 3,957 | 4,088 |
Fair Value | Level 3 | Held by consolidated trusts | ||
Mortgage loans: | ||
Mortgage loans | 238,133 | 262,309 |
Financial Liabilities | ||
Debt, net | $ 656 | $ 852 |
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 | Dec. 31, 2021 | Dec. 31, 2020 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Loans Held For Sale, Fair Value | $ 10,498 | $ 14,199 |
Loans Held For Sale, Unpaid Principal Balance, With Fair Value Option Elected | 10,224 | 13,400 |
Fair Value, Option, Aggregate Differences, Loans and Long-term Receivables | 274 | 799 |
Non Derivative HFS Purchase Commitment net | 127 | 157 |
Held by Freddie Mac | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-Term Debt, Fair Value | 1,252 | 2,216 |
Long-Term Debt, Unpaid Principal Balance, with Fair Value Option Elected | 1,220 | 2,189 |
Fair Value, Option, Aggregate Differences, Long-term Debt Instruments | 32 | 27 |
Held by consolidated trusts | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-Term Debt, Fair Value | 958 | 203 |
Long-Term Debt, Unpaid Principal Balance, with Fair Value Option Elected | 958 | 200 |
Fair Value, Option, Aggregate Differences, Long-term Debt Instruments | 0 | 3 |
Interest-Only-Strip | Held by consolidated trusts | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-Term Debt, Fair Value | $ 268 | $ 173 |
Fair Value Disclosures - Change
Fair Value Disclosures - Changes in Fair Value under the FVO option (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Loans Receivable | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ (407) | $ 1,247 | $ 853 |
HFS loan purchase commitments | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 1,271 | 2,288 | 1,913 |
Long-term Debt | Held by Freddie Mac | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 50 | 335 | 136 |
Long-term Debt | Held by consolidated trusts | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ 17 | $ 4 | $ (4) |
Legal Contingencies (Details)
Legal Contingencies (Details) $ in Millions | Jul. 29, 2013claim | Mar. 14, 2013defendant | Sep. 20, 2013USD ($) |
Loss Contingencies [Line Items] | |||
Number of claims filed | claim | 3 | ||
LIBOR Lawsuit | |||
Loss Contingencies [Line Items] | |||
Number of defendants | defendant | 16 | ||
Arrowood lawsuit | Arrowood Indemnity Company | |||
Loss Contingencies [Line Items] | |||
Preferred stock value | $ | $ 42 |
Regulatory Capital (Details)
Regulatory Capital (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2021 | Sep. 08, 2008 | |
Mortgage Banking [Abstract] | ||
Capital Requirement For On Balance Sheet Assets | 2.50% | |
Capital Requirement For Off Balance Sheet Obligations | 0.45% | |
Critical Capital Requirement For On Balance Sheet Assets | 1.25% | |
Critical Capital Requirement For Off Balance Sheet Obligations | 0.25% | |
Number of days of net worth deficit requiring FHFA to place us into receivership | 60 days | |
Aggregate Funding Received From Treasury Under Purchase Agreement | $ 71,600,000,000 | |
Initial liquidation preference of senior preferred stock | $ 1,000,000,000 | |
Cash amount received as a result of issuing the initial liquidation preference | $ 0 |
Regulatory Capital - Net Worth
Regulatory Capital - Net Worth and Minimum Capital (Details) - USD ($) $ in Millions | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Net Worth and Minimum Capital [Abstract] | ||||
GAAP net worth (deficit) | $ 28,033 | $ 16,413 | $ 9,122 | $ 4,477 |
Core capital (deficit) | (44,769) | (56,878) | ||
Minimum capital requirement | 24,302 | 22,694 | ||
Minimum capital surplus (deficit) | $ (69,071) | $ (79,572) |