Cover
Cover - shares | 9 Months Ended | |
Sep. 30, 2022 | Oct. 11, 2022 | |
Cover [Abstract] | ||
Document Quarterly Report | true | |
Document Transition Report | false | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2022 | |
Entity File Number | 001-34139 | |
Entity Registrant Name | Federal Home Loan Mortgage Corporation | |
Entity Incorporation, State or Country Code | X1 | |
Entity Tax Identification Number | 52-0904874 | |
Entity Address, Address Line One | 8200 Jones Branch Drive | |
Entity Address, City or Town | McLean, | |
Entity Address, State or Province | VA | |
Entity Address, Postal Zip Code | 22102-3110 | |
City Area Code | (703) | |
Local Phone Number | 903-2000 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 650,059,553 | |
Entity Central Index Key | 0001026214 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2022 | |
Document Fiscal Period Focus | Q3 | |
Amendment Flag | false |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income (Loss) - USD ($) shares in Thousands, $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Net interest income | ||||
Interest income | $ 21,894 | $ 15,791 | $ 59,642 | $ 44,923 |
Interest expense | (17,340) | (11,373) | (46,225) | (32,099) |
Net interest income | 4,554 | 4,418 | 13,417 | 12,824 |
Non-interest income (loss) | ||||
Guarantee income | 125 | 246 | 400 | 850 |
Investment gains (losses), net | 415 | 383 | 2,249 | 2,227 |
Other income (loss) | 87 | 200 | 365 | 485 |
Non-interest income (loss) | 627 | 829 | 3,014 | 3,562 |
Net revenues | 5,181 | 5,247 | 16,431 | 16,386 |
Benefit (provision) for credit losses | (1,796) | 243 | (1,266) | 1,179 |
Non-interest expense | ||||
Salaries and employee benefits | (387) | (352) | (1,119) | (1,042) |
Credit enhancement expense | (542) | (386) | (1,559) | (1,090) |
Benefit for (decrease in) credit enhancement recoveries | 210 | (60) | 192 | (510) |
Legislative assessments expense | (753) | (734) | (2,260) | (2,121) |
Other expense | (353) | (312) | (1,031) | (1,038) |
Non-interest expense | (1,825) | (1,844) | (5,777) | (5,801) |
Income (loss) before income tax (expense) benefit | 1,560 | 3,646 | 9,388 | 11,764 |
Income tax (expense) benefit | (247) | (727) | (1,824) | (2,399) |
Net income (loss) | 1,313 | 2,919 | 7,564 | 9,365 |
Other comprehensive income (loss), net of taxes and reclassification adjustments | ||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | (181) | (10) | (367) | (467) |
Comprehensive income (loss) | 1,132 | 2,909 | 7,197 | 8,898 |
Net income (loss) | 1,313 | 2,919 | 7,564 | 9,365 |
Future increase in senior preferred stock liquidation preference | (1,132) | (2,909) | (7,197) | (8,898) |
Net income (loss) attributable to common stockholders | $ 181 | $ 10 | $ 367 | $ 467 |
Net income (loss) per common share - basic (in dollars per share) | $ 0.06 | $ 0 | $ 0.11 | $ 0.14 |
Net income (loss) per common share - diluted (in dollars per share) | $ 0.06 | $ 0 | $ 0.11 | $ 0.14 |
Weighted average common shares outstanding - basic (in shares) | 3,234,000 | 3,234,000 | 3,234,000 | 3,234,000 |
Weighted average common shares outstanding - diluted (in shares) | 3,234,000 | 3,234,000 | 3,234,000 | 3,234,000 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Assets | ||
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents | $ 5,691 | $ 10,150 |
Securities purchased under agreements to resell | 97,643 | 71,203 |
Investment securities, at fair value | 43,270 | 53,015 |
Mortgage loans held-for-sale (includes $3,542 and $10,498 at fair value) | 9,365 | 19,778 |
Mortgage loans held-for-investment (net of allowance for credit losses of $6,851 and $4,947) | 2,998,008 | 2,828,331 |
Accrued interest receivable, net | 8,201 | 7,474 |
Deferred tax assets, net | 5,561 | 6,214 |
Other assets (includes $6,008 and $6,594 at fair value) | 22,917 | 29,421 |
Total assets | 3,190,656 | 3,025,586 |
Liabilities | ||
Accrued interest payable | 6,915 | 6,268 |
Debt (includes $4,252 and $2,478 at fair value) | 3,137,222 | 2,980,185 |
Other liabilities (includes $961 and $287 at fair value) | 11,289 | 11,100 |
Total liabilities | 3,155,426 | 2,997,553 |
Equity | ||
Senior preferred stock (liquidation preference of $106,746 and $97,959) | 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 outstanding | 0 | 0 |
Retained earnings (accumulated deficit) | (47,429) | (54,993) |
AOCI, net of taxes, related to: | ||
AOCI, Debt Securities, Available-for-sale, Adjustment, after Tax | (77) | 297 |
Accumulated Other Comprehensive (Income) Loss, Other, after Tax | (136) | (143) |
Accumulated Other Comprehensive Income (Loss), Net of Tax, Total | (213) | 154 |
Treasury stock, at cost, 75,804,333 shares | (3,885) | (3,885) |
Total equity | 35,230 | 28,033 |
Total liabilities and equity | 3,190,656 | 3,025,586 |
Held by consolidated trusts | ||
Assets | ||
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents | 678 | 1,596 |
Securities purchased under agreements to resell | 15,500 | 34,000 |
Investment securities, at fair value | 309 | 420 |
Mortgage loans held-for-investment (net of allowance for credit losses of $6,851 and $4,947) | 2,956,534 | 2,784,626 |
Accrued interest receivable, net | 7,721 | 7,019 |
Other assets (includes $6,008 and $6,594 at fair value) | 6,439 | 11,265 |
Total assets | 2,987,181 | 2,838,926 |
Liabilities | ||
Accrued interest payable | 6,449 | 5,823 |
Debt (includes $4,252 and $2,478 at fair value) | 2,973,973 | 2,803,054 |
Total liabilities | $ 2,980,422 | $ 2,808,877 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Assets | ||
Restricted cash and cash equivalents | $ 773 | $ 1,695 |
Mortgage loans held-for-sale, fair value | 3,542 | 10,498 |
Allowance for credit losses | 6,851 | 4,947 |
Other assets, fair value | 6,008 | 6,594 |
Equity | ||
Senior preferred stock, liquidation preference | $ 106,746 | $ 97,959 |
Common stock, par value (in dollars per share) | $ 0 | $ 0 |
Common stock, shares authorized | 4,000,000,000 | 4,000,000,000 |
Common stock, shares issued | 725,863,886 | 725,863,886 |
Common stock, shares outstanding | 650,059,553 | 650,059,553 |
Treasury stock, shares | 75,804,333 | 75,804,333 |
Liabilities | ||
Debt, fair value | $ 4,252 | $ 2,478 |
Other Liabilities, Fair Value Disclosure | 961 | 287 |
Held by consolidated trusts | ||
Assets | ||
Restricted cash and cash equivalents | 677 | 1,595 |
Liabilities | ||
Debt, fair value | $ 3,100 | $ 1,100 |
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 | Retained Earnings (Accumulated Deficit) | AOCI, Net of Tax | Treasury Stock, at Cost |
Beginning balance at Dec. 31, 2020 | $ 16,413 | $ 72,648 | $ 14,109 | $ 0 | $ (67,102) | $ 643 | $ (3,885) |
Beginning balance (in shares) at Dec. 31, 2020 | 1 | 464 | 650 | ||||
Comprehensive income (loss): | |||||||
Net income (loss) | 9,365 | 9,365 | |||||
OCI, Debt Securities, Available-for-Sale, Gain (Loss), before Adjustment, after Tax | (105) | (105) | |||||
Other Comprehensive Income (Loss), Available-for-sale Securities Adjustment, Net of Tax, Portion Attributable to Parent | (377) | (377) | |||||
Other Comprehensive Income (Loss), Other, Net of Tax, Portion Attributable to Parent | 15 | 15 | |||||
Comprehensive income (loss) | 8,898 | 9,365 | (467) | ||||
Ending balance at Sep. 30, 2021 | 25,311 | $ 72,648 | $ 14,109 | $ 0 | (57,737) | 176 | (3,885) |
Ending balance (in shares) at Sep. 30, 2021 | 1 | 464 | 650 | ||||
Comprehensive income (loss): | |||||||
Changes in net unrealized gains (losses) on available-for-sale securities, taxes | 28 | ||||||
Reclassification adjustment for gains on available-for-sale securities included in net income, taxes | 100 | ||||||
Other, taxes | 2 | ||||||
Beginning balance at Jun. 30, 2021 | 22,402 | $ 72,648 | $ 14,109 | $ 0 | (60,656) | 186 | (3,885) |
Beginning balance (in shares) at Jun. 30, 2021 | 1 | 464 | 650 | ||||
Comprehensive income (loss): | |||||||
Net income (loss) | 2,919 | 2,919 | |||||
OCI, Debt Securities, Available-for-Sale, Gain (Loss), before Adjustment, after Tax | (6) | (6) | |||||
Other Comprehensive Income (Loss), Available-for-sale Securities Adjustment, Net of Tax, Portion Attributable to Parent | (8) | (8) | |||||
Other Comprehensive Income (Loss), Other, Net of Tax, Portion Attributable to Parent | 4 | 4 | |||||
Comprehensive income (loss) | 2,909 | 2,919 | (10) | ||||
Ending balance at Sep. 30, 2021 | 25,311 | $ 72,648 | $ 14,109 | $ 0 | (57,737) | 176 | (3,885) |
Ending balance (in shares) at Sep. 30, 2021 | 1 | 464 | 650 | ||||
Comprehensive income (loss): | |||||||
Changes in net unrealized gains (losses) on available-for-sale securities, taxes | 2 | ||||||
Reclassification adjustment for gains on available-for-sale securities included in net income, taxes | 2 | ||||||
Other, taxes | 1 | ||||||
Beginning balance at Dec. 31, 2021 | 28,033 | $ 72,648 | $ 14,109 | $ 0 | (54,993) | 154 | (3,885) |
Beginning balance (in shares) at Dec. 31, 2021 | 1 | 464 | 650 | ||||
Comprehensive income (loss): | |||||||
Net income (loss) | 7,564 | 7,564 | |||||
OCI, Debt Securities, Available-for-Sale, Gain (Loss), before Adjustment, after Tax | (353) | (353) | |||||
Other Comprehensive Income (Loss), Available-for-sale Securities Adjustment, Net of Tax, Portion Attributable to Parent | (21) | (21) | |||||
Other Comprehensive Income (Loss), Other, Net of Tax, Portion Attributable to Parent | 7 | 7 | |||||
Comprehensive income (loss) | 7,197 | 7,564 | (367) | ||||
Ending balance at Sep. 30, 2022 | 35,230 | $ 72,648 | $ 14,109 | $ 0 | (47,429) | (213) | (3,885) |
Ending balance (in shares) at Sep. 30, 2022 | 1 | 464 | 650 | ||||
Comprehensive income (loss): | |||||||
Changes in net unrealized gains (losses) on available-for-sale securities, taxes | 94 | ||||||
Reclassification adjustment for gains on available-for-sale securities included in net income, taxes | 6 | ||||||
Other, taxes | 2 | ||||||
Beginning balance at Jun. 30, 2022 | 34,098 | $ 72,648 | $ 14,109 | $ 0 | (48,742) | (32) | (3,885) |
Beginning balance (in shares) at Jun. 30, 2022 | 1 | 464 | 650 | ||||
Comprehensive income (loss): | |||||||
Net income (loss) | 1,313 | 1,313 | |||||
OCI, Debt Securities, Available-for-Sale, Gain (Loss), before Adjustment, after Tax | (159) | (159) | |||||
Other Comprehensive Income (Loss), Available-for-sale Securities Adjustment, Net of Tax, Portion Attributable to Parent | (25) | (25) | |||||
Other Comprehensive Income (Loss), Other, Net of Tax, Portion Attributable to Parent | 3 | 3 | |||||
Comprehensive income (loss) | 1,132 | 1,313 | (181) | ||||
Ending balance at Sep. 30, 2022 | 35,230 | $ 72,648 | $ 14,109 | $ 0 | $ (47,429) | $ (213) | $ (3,885) |
Ending balance (in shares) at Sep. 30, 2022 | 1 | 464 | 650 | ||||
Comprehensive income (loss): | |||||||
Changes in net unrealized gains (losses) on available-for-sale securities, taxes | 42 | ||||||
Reclassification adjustment for gains on available-for-sale securities included in net income, taxes | 7 | ||||||
Other, taxes | $ 1 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2022 | Sep. 30, 2021 | |
Net cash provided by (used in) operating activities | $ 12,193 | $ 17,318 |
Cash flows from investing activities | ||
Purchases of investment securities | (107,222) | (96,169) |
Proceeds from sales of investment securities | 99,179 | 122,815 |
Proceeds from maturities and repayments of investment securities | 11,226 | 6,996 |
Purchases of mortgage loans acquired as held-for-investment | (130,568) | (463,273) |
Proceeds from sales of mortgage loans acquired as held-for-investment | 2,843 | 6,917 |
Proceeds from repayments of mortgage loans acquired as held-for-investment | 289,624 | 592,454 |
Advances under secured lending arrangements | (144,215) | (194,127) |
Repayments of secured lending arrangements | 369 | 478 |
Net proceeds from dispositions of real estate owned and other recoveries | 180 | 199 |
Net (increase) decrease in securities purchased under agreements to resell | (26,619) | 16,282 |
Derivative premiums and terminations, swap collateral, and exchange settlement payments, net | 4,276 | 1,105 |
Other, net | (544) | (488) |
Net cash provided by (used in) investing activities | (1,471) | (6,811) |
Cash flows from financing activities | ||
Net increase (decrease) in securities sold under agreements to repurchase | 179 | 3,455 |
Other, net | (5) | (4) |
Net Cash Provided by (Used in) Financing Activities, Total | (15,181) | (24,918) |
Net increase (decrease) in cash and cash equivalents (includes restricted cash and cash equivalents) | (4,459) | (14,411) |
Cash and cash equivalents (includes restricted cash and cash equivalents) at beginning of year | 10,150 | 23,889 |
Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period | 5,691 | 9,478 |
Cash paid for: | ||
Debt interest | 55,491 | 51,686 |
Income taxes | 2,500 | 3,124 |
Held by consolidated trusts | ||
Cash flows from financing activities | ||
Proceeds from Issuance of Debt | 310,836 | 669,060 |
Repayments and redemptions of debt | (319,703) | (608,468) |
Cash and cash equivalents (includes restricted cash and cash equivalents) at beginning of year | 1,596 | |
Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period | 678 | |
Held by Freddie Mac | ||
Cash flows from financing activities | ||
Proceeds from Issuance of Debt | 70,831 | 23,153 |
Repayments and redemptions of debt | $ (77,319) | $ (112,114) |
Consolidated Statements of Eq_2
Consolidated Statements of Equity (Parenthetical) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Statement of Stockholders' Equity [Abstract] | ||||
Changes in net unrealized gains (losses) on available-for-sale securities, taxes | $ 42 | $ 2 | $ 94 | $ 28 |
Reclassification adjustment for gains on available-for-sale securities included in net income, taxes | 7 | 2 | 6 | 100 |
Other, taxes | $ 1 | $ 1 | $ 2 | $ 2 |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2022 | |
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. The conservatorship and related matters significantly affect our management, business activities, financial condition, and results of operations. In connection with our entry into conservatorship, we entered into the Purchase Agreement with Treasury, under which we issued Treasury both senior preferred stock and a warrant to purchase common stock. Our Purchase Agreement with Treasury is critical to keeping us solvent and avoiding the appointment of a receiver by FHFA under statutory mandatory receivership provisions. We believe the support provided by Treasury pursuant to the Purchase Agreement currently enables us to have adequate liquidity to conduct normal business activities. For more information on the conservatorship, the roles of FHFA and Treasury, and the Purchase Agreement, see our 2021 Annual Report. Throughout our unaudited condensed consolidated financial statements and related notes, we use certain acronyms and terms which are defined in the Glossary of our 2021 Annual Report. The accompanying unaudited condensed consolidated financial statements should be read in conjunction with the audited consolidated financial statements and related notes in our 2021 Annual Report. Basis of Presentation The accompanying unaudited condensed consolidated financial statements have been prepared in accordance with GAAP and include our accounts as well as the accounts of other entities in which we have a controlling financial interest. All intercompany balances and transactions have been eliminated. We are operating under the basis that we will realize assets and satisfy liabilities in the normal course of business as a going concern and in accordance with the authority provided by FHFA to our Board of Directors to oversee management's conduct of our business operations. In the opinion of management, our unaudited consolidated financial statements contain all adjustments, which include only normal recurring adjustments, necessary for a fair statement of our results. We have reclassified certain amounts within non-interest expense in our condensed consolidated statement of operations to better present the significant drivers of our non-interest expense activity. Prior period amounts have been reclassified to conform to the current period presentation. These reclassifications did not change the total amounts of non-interest expense, net income, or comprehensive income in any period presented. Use of Estimates The preparation of our condensed consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses, and disclosure of contingent assets and liabilities at the date of the financial statements. Management has made significant estimates to report the allowance for credit losses on single-family mortgage loans. Actual results could be different from these estimates. Recently Issued Accounting Guidance Recently Adopted Accounting Guidance Standard Description Date of Effect on Consolidated Financial Statements ASU 2021-04, Earnings Per Share (Topic 260), Debt-Modifications and Extinguishments (Subtopic 470-50), Compensation-Stock Compensation (Topic 718), and Derivatives and Hedging-Contracts in Entity's Own Equity (Subtopic 815-40): Issuer's Accounting for Certain Modifications or Exchanges of Freestanding Equity-Classified Written Call Options The amendments in this Update require issuers to account for modifications or exchanges of freestanding equity-classified written call options based on the reason for the modification or exchange, to issue equity, to issue or modify debt, or for other reasons. January 1, 2022 The adoption of the amendments did not have a material effect on our consolidated financial statements. ASU 2022-02, Financial Instruments—Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures The amendments in this Update eliminate the recognition and measurement guidance related to TDRs in ASC Subtopic 310-40 for entities that have adopted ASC Topic 326. The amendments in this Update also require disclosure of current period gross write-offs by year of origination for financing receivables within the scope of ASC Subtopic 326-20. January 1, 2022 for the amendments related to the elimination of the recognition and measurement of TDRs; We elected to early adopt the amendments related to the elimination of the recognition and measurement of TDRs on January 1, 2022 on a prospective basis. This change did not have a material effect on our consolidated financial statements. See Note 3 for additional information on the adoption of these amendments and the new required disclosures. We do not expect the adoption of the amendments related to disclosure of gross write-offs by year of origination to have a material effect on our consolidated financial statements. Recently Issued Accounting Guidance, Not Yet Adopted Within Our Consolidated Financial Statements Standard Description Date of Effect on Consolidated Financial Statements ASU 2022-01, Derivatives and Hedging (Topic 815): Fair Value Hedging - Portfolio Layer Method The amendments in this Update provide clarifications of the guidance in ASC Topic 815 on fair value hedge accounting of interest rate risk for portfolios of financial assets. The ASU amends the guidance in ASU 2017-12 that, among other things, establishes the "last-of-layer" method for making the fair value hedge accounting for these portfolios more accessible by allowing the entities to apply the portfolio layer method to portfolios of all financial assets, including both prepayable and nonprepayable financial assets. January 1, 2023 We do not expect the adoption of these amendments to have a material effect on our consolidated financial statements. |
Securitization Activities and C
Securitization Activities and Consolidation | 9 Months Ended |
Sep. 30, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Securitization Activities and Consolidation | Securitization Activities and Consolidation Nonconsolidated VIEs The following table presents the carrying amounts and classification of the assets and liabilities recorded on our condensed 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 2.1 - Nonconsolidated VIEs (In millions) September 30, 2022 December 31, 2021 Assets and Liabilities Recorded on our Condensed Consolidated Balance Sheets (1) Assets: Investment securities, at fair value $14,685 $16,506 Accrued interest receivable, net 206 220 Other assets (2) 5,279 5,589 Liabilities: Debt 146 67 Other liabilities (2) 5,885 5,172 (1) Includes our variable interests in REMICs, Strips, commingled Supers, K Certificates, SB Certificates, certain senior subordinate securitization structures, and other securitization products that we do not consolidate. (2) Includes our guarantee asset in other assets and our guarantee obligation in other liabilities. The table below presents total assets and the maximum exposure to loss of the VIEs for which we are not the primary beneficiary and therefore do not consolidate. Table 2.2 - Total Assets and Maximum Exposure to Loss for our Nonconsolidated VIEs (1) September 30, 2022 December 31, 2021 (In millions) Total Assets Maximum Exposure (2) Total Assets Maximum Exposure (2) Securitization Activities Single-Family: Other securitization products (3) $32,116 $26,504 $33,603 $27,975 Multifamily: K Certificates 323,309 285,876 321,149 281,910 SB Certificates 24,280 21,726 24,944 22,389 Other securitization products 15,276 13,426 16,683 14,772 CRT Activities 32,651 76 23,605 44 (1) Excludes resecuritization products. (2) For securitization activities, the maximum exposure primarily 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 CRT activities, the maximum exposure represents our recorded expected recovery receivable. (3) Total assets excludes certain nonfinancial assets held by the VIEs. In addition, the UPB of Fannie Mae securities underlying commingled Freddie Mac resecuritization trusts for which we are not the primary beneficiary totaled $122.5 billion and $110.8 billion as of September 30, 2022 and December 31, 2021, respectively. As a result of the recently implemented ERCF, we charge a 50 basis point fee for any commingled security issued on or after July 1, 2022. We apply the fee to collateral issued by Fannie Mae, at the time that such collateral is used for a new commingled security. See Note 4 for additional information on our guarantee of Fannie Mae securities. We also obtain interests in various other entities created by third parties through the normal course of business that may be VIEs, such as through our investments in certain non-Freddie Mac mortgage-related securities, purchases of multifamily loans, guarantees of multifamily housing revenue bonds, as a derivative counterparty, or through other activities. To the extent that we were not involved in the design or creation of these VIEs, they are excluded from the tables above. Our interests in these VIEs are generally passive in nature and are not expected to result in us obtaining a controlling financial interest in these VIEs in the future. As a result, we do not consolidate these VIEs and we account for our interests in these VIEs in the same manner that we account for our interests in other third-party transactions. See Note 6 for additional information regarding our investments in non-Freddie Mac mortgage-related securities. See Note 3 for more information regarding multifamily loans. We do not believe the maximum exposure to loss from our involvement with VIEs for which we are not the primary beneficiary shown above 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 4 and generally reduce our exposure to these guarantees with unlimited interest rate exposure through separate derivative contracts with third parties. See Note 8 for additional information on derivatives. |
Mortgage Loans
Mortgage Loans | 9 Months Ended |
Sep. 30, 2022 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans | 60 to 80 145,978 426,339 183,723 28,502 7,845 10,671 803,058 > 80 to 90 61,350 86,815 3,898 546 148 459 153,216 > 90 to 100 61,850 5,333 383 52 22 155 67,795 > 100 213 5 1 3 5 173 400 Total 20- and 30-year or more, amortizing fixed-rate 329,472 931,012 696,106 119,531 48,335 430,526 2,554,982 15-year or less, amortizing fixed-rate ≤ 60 15,657 120,897 112,740 15,175 5,847 72,814 343,130 > 60 to 80 12,244 24,272 2,994 167 20 20 39,717 > 80 to 90 1,350 449 8 — 1 2 1,810 > 90 to 100 488 5 — — — 1 494 > 100 — — — — — 2 2 Total 15-year or less, amortizing fixed-rate 29,739 145,623 115,742 15,342 5,868 72,839 385,153 Adjustable-rate and other ≤ 60 1,110 2,918 1,585 665 452 15,889 22,619 > 60 to 80 2,004 1,954 208 75 29 436 4,706 > 80 to 90 778 169 4 1 1 36 989 > 90 to 100 517 7 — — — 13 537 > 100 1 — — — — 8 9 Total adjustable-rate and other 4,410 5,048 1,797 741 482 16,382 28,860 Total Single-Family loans $363,621 $1,081,683 $813,645 $135,614 $54,685 $519,747 $2,968,995 Total for all loan product types by current LTV ratio: ≤ 60 $76,848 $536,335 $622,426 $106,268 $46,614 $507,771 $1,896,262 > 60 to 80 160,226 452,565 186,925 28,744 7,894 11,127 847,481 > 80 to 90 63,478 87,433 3,910 547 150 497 156,015 > 90 to 100 62,855 5,345 383 52 22 169 68,826 > 100 214 5 1 3 5 183 411 Total Single-Family loans $363,621 $1,081,683 $813,645 $135,614 $54,685 $519,747 $2,968,995 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 or less, 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 or less, amortizing fixed-rate 150,640 130,903 18,478 7,302 13,660 78,045 399,028 Adjustable-rate and other ≤ 60 2,054 1,554 727 543 1,657 17,517 24,052 > 60 to 80 2,435 535 209 90 190 795 4,254 > 80 to 90 417 16 6 3 4 66 512 > 90 to 100 116 — — — — 30 146 > 100 1 — — — — 18 19 Total adjustable-rate and other 5,023 2,105 942 636 1,851 18,426 28,983 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 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 3.7 - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator and Vintage September 30, 2022 Year of Origination Total (In millions) 2022 2021 2020 2019 2018 Prior Revolving Loans Category: Pass $9,381 $7,852 $6,576 $5,177 $939 $3,108 $2,046 $35,079 Special mention — 39 65 443 7 56 — 610 Substandard — — 31 60 4 80 — 175 Doubtful — — — — — — — — Total $9,381 $7,891 $6,672 $5,680 $950 $3,244 $2,046 $35,864 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 The table below presents the amortized cost basis of our single-family and multifamily held-for-investment loans, by payment status. Table 3.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status September 30, 2022 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure (1) Total Three Months or More Past Due, and Accruing Interest Non-accrual With No Allowance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate $2,523,119 $16,055 $3,657 $12,151 $2,554,982 $3,067 $546 15-year or less, amortizing fixed-rate 383,084 1,233 223 613 385,153 170 10 Adjustable-rate and other 28,080 291 79 410 28,860 32 78 Total Single-Family 2,934,283 17,579 3,959 13,174 2,968,995 3,269 634 Total Multifamily 35,819 3 — 42 35,864 — 42 Total Single-Family and Multifamily $2,970,102 $17,582 $3,959 $13,216 $3,004,859 $3,269 $676 December 31, 2021 (In millions) Current One Two 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 $2,338,076 $14,833 $3,214 $22,401 $2,378,524 $5,784 $857 15-year or less, amortizing fixed-rate 396,030 1,550 230 1,218 399,028 392 13 Adjustable-rate and other 27,752 280 89 862 28,983 95 102 Total Single-Family 2,761,858 16,663 3,533 24,481 2,806,535 6,271 972 Total Multifamily 26,743 — — — 26,743 — — Total Single-Family and Multifamily $2,788,601 $16,663 $3,533 $24,481 $2,833,278 $6,271 $972 Referenced footnotes are on the next page. (1) Includes $1.5 billion and $0.7 billion of single-family loans that were in the process of foreclosure as of September 30, 2022 and December 31, 2021, respectively. (2) Loans with no allowance for loan losses primarily represent those loans that were previously charged off and therefore the collateral value is sufficiently in excess of the amortized cost to result in recovery of the entire amortized cost basis if the property were foreclosed upon or otherwise subject to disposition. We exclude the amounts of allowance for credit losses on accrued interest receivable and advances of pre-foreclosure costs when determining whether a loan has an allowance for credit losses. Loan Restructurings In 1Q 2022, we adopted accounting guidance in ASU 2022-02 that eliminates the recognition and measurement of TDRs. Upon adoption of this guidance, we no longer measure an allowance for credit losses for TDRs we reasonably expect will occur, and we evaluate all loan restructurings according to the accounting guidance for loan refinancing and restructuring to determine whether the restructuring should be accounted for as a new loan or a continuation of the existing loan. We derecognize the existing loan and account for the restructured loan as a new loan if the effective yield on the restructured loan is at least equal to the effective yield for comparable loans with similar collection risks and the modifications to the original loan are more than minor. If a loan restructuring does not meet these conditions, we carryforward the existing loan’s amortized cost basis and account for the restructured loan as a continuation of the existing loan. Substantially all of our loan restructurings involving borrowers experiencing financial difficulty are accounted for as a continuation of the existing loan. The discounted cash flow model we use in measuring our Single-Family allowance for credit losses forecasts cash flows we expect to collect using our historical experience, including the effects of our loss mitigation activities involving borrowers experiencing financial difficulty. When we account for a loan restructuring as a continuation of the existing loan, we update the loan’s effective interest rate based on the restructured terms and recognize interest income prospectively using the new effective rate. We also update the prepayment-adjusted effective interest rate used to discount cash flows in measuring our allowance for credit losses to reflect the loan’s restructured terms. As a result, subsequent to our adoption of the accounting guidance that eliminates the recognition and measurement of TDRs, we no longer recognize an allowance for credit losses for the economic concession granted to a borrower for changes in the timing and amount of contractual cash flows when a loan is restructured. However, because we adopted such guidance prospectively, we continue to use the loan's prepayment-adjusted effective interest rate just prior to the restructuring for loans that were restructured and accounted for as TDRs prior to our adoption of the guidance and that have not been subsequently modified after our adoption of the guidance. As a result, we continue to measure an allowance for credit losses for the economic concession granted to a borrower for changes in the timing and amount of contractual cash flows for such loans. Single-Family Loan Restructurings We offer several types of restructurings to single-family borrowers that may result in a payment delay, interest rate reduction, term extension, or combination thereof. We do not offer principal forgiveness. We offer the following types of restructurings to single-family borrowers that result in only a payment delay: n Forbearance plans - Arrangements that require reduced or no payments during a defined period that provides borrowers additional time to return to compliance with the original mortgage terms or to implement another type of loan workout option. Borrowers may exit forbearance by repaying all past due amounts and fully reinstating the loan, paying off the loan in full, or entering into a repayment plan, a payment deferral plan, or a trial period plan pursuant to a loan modification. We offer forbearance of up to 12 months to single-family borrowers experiencing financial difficulty (and up to 18 months to certain borrowers affected by the COVID-19 pandemic). Borrowers may receive an initial forbearance term of one to six months and, if necessary, one or more forbearance term extensions of one to six months, as long as the delinquency of the mortgage does not exceed 12 months. n Repayment plans - Contractual plans that allow borrowers a specific period of time to return to current status by paying the normal monthly payment plus additional agreed upon delinquent amounts. Repayment plans must have a term greater than one month and less than or equal to 12 months and the monthly repayment plan payment amount must not exceed 150% of the contractual mortgage payment amount. n Payment deferral plans - Arrangements that allow borrowers to return to current status by deferring delinquent principal and interest into a non-interest-bearing principal balance that is due at the earlier of the payoff date, maturity date, or sale of the property. The remaining mortgage term, interest rate, payment schedule, and maturity date remain unchanged, and no trial period plan is required. The number of months of payments deferred varies based upon the type of hardship the borrower is experiencing. In addition, we also offer single-family borrowers loan modifications, which are contractual plans that may involve changing the terms of the loan such as payment delays, interest rate reductions, term extensions, or a combination of these items. Payment delays in our loan modification programs most commonly consist of adding outstanding indebtedness, such as delinquent interest, to the UPB of the loan, and may also include principal forbearance, in which a portion of the principal balance becomes non-interest-bearing and is due at the earlier of the payoff date, maturity date, or sale of the property. Our modification programs generally require completion of a trial period of at least three months prior to receiving the modification. During the loan modification trial period, borrowers make payments that are an estimate of the anticipated modified payment amount, which is generally lower than the amount required by the loan's original contractual terms. As a result, loans in these modifications are granted a delay in the payment due under the original contractual terms during the trial period. We continue to report single-family loans in loan modification trial period plans as delinquent to the extent that payments are past due based on the loan’s original contractual terms. The amortized cost basis of loans in trial period modification plans was $1.6 billion as of September 30, 2022 . Most of these loans are 20- and 30-year or more, amortizing fixed-rate loans . Most of our modifications involve a combination of: (1) a payment delay in the form of adding outstanding indebtedness to the UPB of the loan, and (2) an interest rate reduction, a term extension, or both. The table below presents the amortized cost basis of single-family held-for-investment loan restructurings involving borrowers experiencing financial difficulty that we entered into during the periods presented. Table 3.9 - Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty (1) 3Q 2022 (Dollars in millions) Payment Delay (2) Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Total as % of Class of Financing Receivable (3) Single-Family: 20- and 30-year or more, amortizing fixed-rate $6,435 $750 $1,254 $8,439 0.3 % 15-year or less, amortizing fixed-rate 381 24 6 411 0.1 Adjustable-rate and other 98 12 22 132 0.5 Total Single-Family loan restructurings $6,914 $786 $1,282 $8,982 0.3 YTD 2022 (Dollars in millions) Payment Delay (2) Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Total as % of Class of Financing Receivable (3) Single-Family: 20- and 30-year or more, amortizing fixed-rate $18,207 $1,868 $6,554 $26,629 1.0 % 15-year or less, amortizing fixed-rate 1,130 24 6 1,160 0.3 Adjustable-rate and other 357 32 105 494 1.7 Total Single-Family loan restructurings $19,694 $1,924 $6,665 $28,283 1.0 (1) Type of loan restructurings reflects the cumulative effects of the loan restructurings received during the period. Includes loan modifications in the period in which the borrower completes the trial period and the loan is permanently modified. (2) Includes $2.8 billion and $10.8 billion related to payment deferral plans for 3Q 2022 and YTD 2022, respectively. Also includes forbearance plans, repayment plans, and loan modifications that only involve payment delays. (3) Based on the amortized cost basis as of period end, divided by the total period-end amortized cost basis of the corresponding financing receivable class of single-family held-for-investment loans. The table below shows the financial effect of single-family held-for-investment loan restructurings involving borrowers experiencing financial difficulty that we entered into during the periods presented. Table 3.10 – Financial Effects of Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty (1) 3Q 2022 (Dollars in thousands) Weighted-Average Interest Rate Reduction Weighted-Average Months of Term Extension Weighted-Average Payment Deferral or Principal Forbearance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate 1.1 % 183 $19 15-year or less, amortizing fixed-rate 0.6 366 21 Adjustable-rate and other 1.9 221 20 Referenced footnotes are included after the year-to-date table. YTD 2022 (Dollars in thousands) Weighted-Average Interest Rate Reduction Weighted-Average Months of Term Extension Weighted-Average Payment Deferral or Principal Forbearance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate 1.4 % 187 $22 15-year or less, amortizing fixed-rate 0.6 366 24 Adjustable-rate and other 2.3 225 26 (1) Averages are based on payment deferral plans and loan modifications completed during the periods presented. The financial effects of forbearance plans and repayment plans consist of a payment delay of between one and twelve months. In addition, the financial effect of a forbearance plan is included at the time the forbearance plan is completed if the borrower exits forbearance by entering into a payment deferral plan or loan modification. (2) Primarily related to payment deferral plans. Amounts are based on non-interest-bearing principal balances on the restructured loans. The following table provides the amortized cost basis of single-family held-for-investment loans restructured during YTD 2022 involving borrowers experiencing financial difficulty that subsequently defaulted (i.e., loans that became two months delinquent) during the periods presented. Table 3.11 - Subsequent Defaults of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty (1) 3Q 2022 (In millions) Payment Delay Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Single-Family: 20- and 30-year or more, amortizing fixed-rate $483 $53 $140 $676 15-year or less, amortizing fixed-rate 28 — — 28 Adjustable-rate and other 9 1 1 11 Total Single-Family $520 $54 $141 $715 YTD 2022 (In millions) Payment Delay Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Single-Family: 20- and 30-year or more, amortizing fixed-rate $1,194 $94 $216 $1,504 15-year or less, amortizing fixed-rate 67 — — 67 Adjustable-rate and other 31 3 3 37 Total Single-Family $1,292 $97 $219 $1,608 (1) Excludes forbearance plans and repayment plans as borrowers are typically past due based on the loan's original contractual terms at the time the borrowers enter into these plans. Table 3.12 - Payment Status of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty September 30, 2022 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due Total Single-Family: 20- and 30-year or more, amortizing fixed-rate $17,282 $2,289 $1,535 $5,523 $26,629 15-year or less, amortizing fixed-rate 696 107 81 276 1,160 Adjustable-rate and other 303 30 23 138 494 Total Single-Family $18,281 $2,426 $1,639 $5,937 $28,283 Multifamily Loan Restructurings We offer several types of restructurings to multifamily borrowers that may result in a payment delay, interest rate reduction, term extension, principal forgiveness, or combination thereof. In certain cases, we offer multifamily borrowers forbearance plans that allow borrowers to defer monthly payments during a defined period. After the forbearance period ends, the borrowers are required to repay forborne loan amounts in monthly installments. In addition, in certain cases, for maturing loans we may provide term extensions 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 interest rate reductions, term extensions, principal forbearance and/or forgiveness, or some combination of these items. There were no restructuring activities related to multifamily held-for-investment loans involving borrowers experiencing financial difficulty for the nine months ended September 30, 2022. The table below provides details of our single-family loan modifications that were classified as TDRs during the periods presented. Table 3.13 - Single-Family TDR Modification Metrics 3Q 2021 YTD 2021 Percentage of single-family loan modifications that were classified as TDRs with: Interest rate reductions and related term extensions 12 % 13 % Principal forbearance and related interest rate reductions and term extensions 34 35 Average coupon interest rate reduction 0.4 % 0.4 % Average months of term extension 154 151 The table below presents the volume of single-family and multifamily loans that were newly classified as TDRs during the periods presented. 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 3.14 - TDR Activity 3Q 2021 YTD 2021 (Dollars in millions) Number of Loans Post-TDR Amortized Cost Basis Number of Loans Post-TDR Single-Family: (1)(2) 20- and 30-year or more, amortizing fixed-rate 3,136 $562 10,647 $1,889 15-year or less, amortizing fixed-rate 365 37 1,262 131 Adjustable-rate and other 146 24 553 82 Total Single-Family 3,647 623 12,462 2,102 Multifamily — — — — (1) The pre-TDR amortized cost basis for single-family loans initially classified as TDRs during 3Q 2021 and YTD 2021 was $0.6 billion and $2.1 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 periods presented and had completed a modification during the year preceding the payment default. Table 3.15 - Payment Defaults of Completed TDR Modifications 3Q 2021 YTD 2021 (Dollars in millions) Number of Loans Post-TDR Amortized Cost Basis Number of Loans Post-TDR Amortized Cost Basis Single-Family: 20- and 30-year or more, amortizing fixed-rate 595 $103 2,408 $425 15-year or less, amortizing fixed-rate 15 2 101 11 Adjustable-rate and other 70 10 307 48 Total Single-Family 680 115 2,816 484 Multifamily — — — — " id="sjs-B4" xml:space="preserve">Mortgage Loans The table below provides details of the loans on our condensed consolidated balance sheets. Table 3.1 - Mortgage Loans September 30, 2022 December 31, 2021 (In millions) Single-Family Multifamily Total Single-Family Multifamily Total Held-for-sale UPB $3,722 $6,800 $10,522 $5,446 $14,871 $20,317 Cost basis and fair value adjustments, net (721) (436) (1,157) (813) 274 (539) Total held-for-sale loans, net 3,001 6,364 9,365 4,633 15,145 19,778 Held-for-investment UPB 2,926,244 35,788 2,962,032 2,742,851 26,657 2,769,508 Cost basis adjustments 42,751 76 42,827 63,684 86 63,770 Allowance for credit losses (6,802) (49) (6,851) (4,913) (34) (4,947) Total held-for-investment loans, net 2,962,193 35,815 2,998,008 2,801,622 26,709 2,828,331 Total mortgage loans, net $2,965,194 $42,179 $3,007,373 $2,806,255 $41,854 $2,848,109 For the purposes of certain single-family mortgage loan disclosures below, we present loans by class of financing receivable type. Financing receivable classes used for disclosure consist of: "20- and 30-year or more, amortizing fixed-rate," "15-year or less, amortizing fixed-rate," and "adjustable-rate and other." The "other" class consists of Alt-A, interest-only, and option ARM loans. The table below provides details of the UPB of loans we purchased and sold during the periods presented. Table 3.2 - Loans Purchased and Sold (In millions) 3Q 2022 3Q 2021 YTD 2022 YTD 2021 Single-Family: Purchases: Held-for-investment loans $121,215 $297,554 $465,815 $945,222 Sales of held-for-sale loans (1) 537 928 1,981 3,965 Multifamily: Purchases: Held-for-investment loans 5,617 2,959 11,139 5,879 Held-for-sale loans 8,835 13,744 32,474 37,580 Sales of held-for-sale loans (2) 11,475 13,390 40,666 52,221 (1) Our sales of single-family loans reflect the sale of single-family seasoned loans. (2) Our sales of multifamily loans occur primarily through the issuance of Multifamily K Certificates and SB Certificates. Reclassifications The table below presents the allowance for credit losses or valuation allowance that was reversed or established due to loan reclassifications between held-for-investment and held-for-sale during the periods presented. Table 3.3 - Loan Reclassifications 3Q 2022 3Q 2021 (In millions) UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed Single-Family reclassifications from: Held-for-investment to held-for-sale $361 $10 $— $388 $19 $— Held-for-sale to held-for-investment (1) 30 (3) 2 81 4 — Multifamily reclassifications from: Held-for-investment to held-for-sale 188 — — 445 — — Held-for-sale to held-for-investment — — — — — — Referenced footnote is included after the year-to-date table. YTD 2022 YTD 2021 (In millions) UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed Single-family reclassifications from: Held-for-investment to held-for-sale $934 $20 $— $1,358 $54 $— Held-for-sale to held-for-investment (1) 167 (10) 5 183 13 — Multifamily reclassifications from: Held-for-investment to held-for-sale 889 1 — 2,175 6 — Held-for-sale to held-for-investment 285 — — 21 — — Interest Income The table below presents the amortized cost basis of non-accrual loans as of the beginning and the end of the periods presented, including the interest income recognized for the period that is related to the loans on non-accrual status as of period end. Table 3.4 - Amortized Cost Basis of Held-for-Investment Loans on Non-Accrual Non-Accrual Amortized Cost Basis Interest Income Recognized (1) (In millions) June 30, 2022 September 30, 2022 3Q 2022 YTD 2022 Single-Family: 20- and 30-year or more, amortizing fixed-rate $11,021 $9,462 $37 $121 15-year or less, amortizing fixed-rate 562 457 1 4 Adjustable-rate and other 435 396 1 4 Total Single-Family 12,018 10,315 39 129 Total Multifamily 42 42 — — Total Single-Family and Multifamily $12,060 $10,357 $39 $129 Non-Accrual Amortized Cost Basis Interest Income Recognized (1) (In millions) June 30, 2021 September 30, 2021 3Q 2021 YTD 2021 Single-Family: 20- and 30-year or more, amortizing fixed-rate $19,431 $17,524 $35 $115 15-year or less, amortizing fixed-rate 914 862 1 4 Adjustable-rate and other 879 818 2 6 Total Single-Family 21,224 19,204 38 125 Total Multifamily — — — — Total Single-Family and Multifamily $21,224 $19,204 $38 $125 (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 condensed consolidated balance sheets and the amount of accrued interest receivable related to loans on non-accrual status at the end of the periods that was charged off. Table 3.5 - Accrued Interest Receivable, Net and Related Charge-Offs Accrued Interest Receivable, Net Accrued Interest Receivable Related Charge-Offs (In millions) September 30, 2022 December 31, 2021 3Q 2022 3Q 2021 YTD 2022 YTD 2021 Single-Family loans $7,752 $7,065 ($47) ($222) ($192) ($507) Multifamily loans 142 125 — — — — Credit Quality Single-Family The current LTV ratio is one key factor we consider when estimating our allowance for credit losses for single-family loans. As current LTV ratios increase, the borrower's equity in the home decreases, which may negatively affect the borrower's ability to refinance (outside of our relief refinance programs) or to sell the property for an amount at or above the balance of the outstanding loan. The table below presents the amortized cost basis of single-family held-for-investment loans by current LTV ratio. Our current LTV ratios are estimates based on available data through the end of each period presented. For reporting purposes: n Alt-A loans continue to be presented in the "adjustable-rate and other" category following modification, even though the borrower may have provided full documentation of assets and income to complete the modification and n Option ARM loans continue to be presented in the "adjustable-rate and other" category following modification, even though the modified loan no longer provides for optional payment provisions. Table 3.6 - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratio and Vintage September 30, 2022 Year of Origination Total (In millions) 2022 2021 2020 2019 2018 Prior Current LTV ratio: 20- and 30-year or more, amortizing fixed-rate ≤ 60 $60,081 $412,520 $508,101 $90,428 $40,315 $419,068 $1,530,513 > 60 to 80 145,978 426,339 183,723 28,502 7,845 10,671 803,058 > 80 to 90 61,350 86,815 3,898 546 148 459 153,216 > 90 to 100 61,850 5,333 383 52 22 155 67,795 > 100 213 5 1 3 5 173 400 Total 20- and 30-year or more, amortizing fixed-rate 329,472 931,012 696,106 119,531 48,335 430,526 2,554,982 15-year or less, amortizing fixed-rate ≤ 60 15,657 120,897 112,740 15,175 5,847 72,814 343,130 > 60 to 80 12,244 24,272 2,994 167 20 20 39,717 > 80 to 90 1,350 449 8 — 1 2 1,810 > 90 to 100 488 5 — — — 1 494 > 100 — — — — — 2 2 Total 15-year or less, amortizing fixed-rate 29,739 145,623 115,742 15,342 5,868 72,839 385,153 Adjustable-rate and other ≤ 60 1,110 2,918 1,585 665 452 15,889 22,619 > 60 to 80 2,004 1,954 208 75 29 436 4,706 > 80 to 90 778 169 4 1 1 36 989 > 90 to 100 517 7 — — — 13 537 > 100 1 — — — — 8 9 Total adjustable-rate and other 4,410 5,048 1,797 741 482 16,382 28,860 Total Single-Family loans $363,621 $1,081,683 $813,645 $135,614 $54,685 $519,747 $2,968,995 Total for all loan product types by current LTV ratio: ≤ 60 $76,848 $536,335 $622,426 $106,268 $46,614 $507,771 $1,896,262 > 60 to 80 160,226 452,565 186,925 28,744 7,894 11,127 847,481 > 80 to 90 63,478 87,433 3,910 547 150 497 156,015 > 90 to 100 62,855 5,345 383 52 22 169 68,826 > 100 214 5 1 3 5 183 411 Total Single-Family loans $363,621 $1,081,683 $813,645 $135,614 $54,685 $519,747 $2,968,995 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 or less, 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 or less, amortizing fixed-rate 150,640 130,903 18,478 7,302 13,660 78,045 399,028 Adjustable-rate and other ≤ 60 2,054 1,554 727 543 1,657 17,517 24,052 > 60 to 80 2,435 535 209 90 190 795 4,254 > 80 to 90 417 16 6 3 4 66 512 > 90 to 100 116 — — — — 30 146 > 100 1 — — — — 18 19 Total adjustable-rate and other 5,023 2,105 942 636 1,851 18,426 28,983 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 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 3.7 - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator and Vintage September 30, 2022 Year of Origination Total (In millions) 2022 2021 2020 2019 2018 Prior Revolving Loans Category: Pass $9,381 $7,852 $6,576 $5,177 $939 $3,108 $2,046 $35,079 Special mention — 39 65 443 7 56 — 610 Substandard — — 31 60 4 80 — 175 Doubtful — — — — — — — — Total $9,381 $7,891 $6,672 $5,680 $950 $3,244 $2,046 $35,864 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 The table below presents the amortized cost basis of our single-family and multifamily held-for-investment loans, by payment status. Table 3.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status September 30, 2022 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure (1) Total Three Months or More Past Due, and Accruing Interest Non-accrual With No Allowance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate $2,523,119 $16,055 $3,657 $12,151 $2,554,982 $3,067 $546 15-year or less, amortizing fixed-rate 383,084 1,233 223 613 385,153 170 10 Adjustable-rate and other 28,080 291 79 410 28,860 32 78 Total Single-Family 2,934,283 17,579 3,959 13,174 2,968,995 3,269 634 Total Multifamily 35,819 3 — 42 35,864 — 42 Total Single-Family and Multifamily $2,970,102 $17,582 $3,959 $13,216 $3,004,859 $3,269 $676 December 31, 2021 (In millions) Current One Two 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 $2,338,076 $14,833 $3,214 $22,401 $2,378,524 $5,784 $857 15-year or less, amortizing fixed-rate 396,030 1,550 230 1,218 399,028 392 13 Adjustable-rate and other 27,752 280 89 862 28,983 95 102 Total Single-Family 2,761,858 16,663 3,533 24,481 2,806,535 6,271 972 Total Multifamily 26,743 — — — 26,743 — — Total Single-Family and Multifamily $2,788,601 $16,663 $3,533 $24,481 $2,833,278 $6,271 $972 Referenced footnotes are on the next page. (1) Includes $1.5 billion and $0.7 billion of single-family loans that were in the process of foreclosure as of September 30, 2022 and December 31, 2021, respectively. (2) Loans with no allowance for loan losses primarily represent those loans that were previously charged off and therefore the collateral value is sufficiently in excess of the amortized cost to result in recovery of the entire amortized cost basis if the property were foreclosed upon or otherwise subject to disposition. We exclude the amounts of allowance for credit losses on accrued interest receivable and advances of pre-foreclosure costs when determining whether a loan has an allowance for credit losses. Loan Restructurings In 1Q 2022, we adopted accounting guidance in ASU 2022-02 that eliminates the recognition and measurement of TDRs. Upon adoption of this guidance, we no longer measure an allowance for credit losses for TDRs we reasonably expect will occur, and we evaluate all loan restructurings according to the accounting guidance for loan refinancing and restructuring to determine whether the restructuring should be accounted for as a new loan or a continuation of the existing loan. We derecognize the existing loan and account for the restructured loan as a new loan if the effective yield on the restructured loan is at least equal to the effective yield for comparable loans with similar collection risks and the modifications to the original loan are more than minor. If a loan restructuring does not meet these conditions, we carryforward the existing loan’s amortized cost basis and account for the restructured loan as a continuation of the existing loan. Substantially all of our loan restructurings involving borrowers experiencing financial difficulty are accounted for as a continuation of the existing loan. The discounted cash flow model we use in measuring our Single-Family allowance for credit losses forecasts cash flows we expect to collect using our historical experience, including the effects of our loss mitigation activities involving borrowers experiencing financial difficulty. When we account for a loan restructuring as a continuation of the existing loan, we update the loan’s effective interest rate based on the restructured terms and recognize interest income prospectively using the new effective rate. We also update the prepayment-adjusted effective interest rate used to discount cash flows in measuring our allowance for credit losses to reflect the loan’s restructured terms. As a result, subsequent to our adoption of the accounting guidance that eliminates the recognition and measurement of TDRs, we no longer recognize an allowance for credit losses for the economic concession granted to a borrower for changes in the timing and amount of contractual cash flows when a loan is restructured. However, because we adopted such guidance prospectively, we continue to use the loan's prepayment-adjusted effective interest rate just prior to the restructuring for loans that were restructured and accounted for as TDRs prior to our adoption of the guidance and that have not been subsequently modified after our adoption of the guidance. As a result, we continue to measure an allowance for credit losses for the economic concession granted to a borrower for changes in the timing and amount of contractual cash flows for such loans. Single-Family Loan Restructurings We offer several types of restructurings to single-family borrowers that may result in a payment delay, interest rate reduction, term extension, or combination thereof. We do not offer principal forgiveness. We offer the following types of restructurings to single-family borrowers that result in only a payment delay: n Forbearance plans - Arrangements that require reduced or no payments during a defined period that provides borrowers additional time to return to compliance with the original mortgage terms or to implement another type of loan workout option. Borrowers may exit forbearance by repaying all past due amounts and fully reinstating the loan, paying off the loan in full, or entering into a repayment plan, a payment deferral plan, or a trial period plan pursuant to a loan modification. We offer forbearance of up to 12 months to single-family borrowers experiencing financial difficulty (and up to 18 months to certain borrowers affected by the COVID-19 pandemic). Borrowers may receive an initial forbearance term of one to six months and, if necessary, one or more forbearance term extensions of one to six months, as long as the delinquency of the mortgage does not exceed 12 months. n Repayment plans - Contractual plans that allow borrowers a specific period of time to return to current status by paying the normal monthly payment plus additional agreed upon delinquent amounts. Repayment plans must have a term greater than one month and less than or equal to 12 months and the monthly repayment plan payment amount must not exceed 150% of the contractual mortgage payment amount. n Payment deferral plans - Arrangements that allow borrowers to return to current status by deferring delinquent principal and interest into a non-interest-bearing principal balance that is due at the earlier of the payoff date, maturity date, or sale of the property. The remaining mortgage term, interest rate, payment schedule, and maturity date remain unchanged, and no trial period plan is required. The number of months of payments deferred varies based upon the type of hardship the borrower is experiencing. In addition, we also offer single-family borrowers loan modifications, which are contractual plans that may involve changing the terms of the loan such as payment delays, interest rate reductions, term extensions, or a combination of these items. Payment delays in our loan modification programs most commonly consist of adding outstanding indebtedness, such as delinquent interest, to the UPB of the loan, and may also include principal forbearance, in which a portion of the principal balance becomes non-interest-bearing and is due at the earlier of the payoff date, maturity date, or sale of the property. Our modification programs generally require completion of a trial period of at least three months prior to receiving the modification. During the loan modification trial period, borrowers make payments that are an estimate of the anticipated modified payment amount, which is generally lower than the amount required by the loan's original contractual terms. As a result, loans in these modifications are granted a delay in the payment due under the original contractual terms during the trial period. We continue to report single-family loans in loan modification trial period plans as delinquent to the extent that payments are past due based on the loan’s original contractual terms. The amortized cost basis of loans in trial period modification plans was $1.6 billion as of September 30, 2022 . Most of these loans are 20- and 30-year or more, amortizing fixed-rate loans . Most of our modifications involve a combination of: (1) a payment delay in the form of adding outstanding indebtedness to the UPB of the loan, and (2) an interest rate reduction, a term extension, or both. The table below presents the amortized cost basis of single-family held-for-investment loan restructurings involving borrowers experiencing financial difficulty that we entered into during the periods presented. Table 3.9 - Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty (1) 3Q 2022 (Dollars in millions) Payment Delay (2) Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Total as % of Class of Financing Receivable (3) Single-Family: 20- and 30-year or more, amortizing fixed-rate $6,435 $750 $1,254 $8,439 0.3 % 15-year or less, amortizing fixed-rate 381 24 6 411 0.1 Adjustable-rate and other 98 12 22 132 0.5 Total Single-Family loan restructurings $6,914 $786 $1,282 $8,982 0.3 YTD 2022 (Dollars in millions) Payment Delay (2) Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Total as % of Class of Financing Receivable (3) Single-Family: 20- and 30-year or more, amortizing fixed-rate $18,207 $1,868 $6,554 $26,629 1.0 % 15-year or less, amortizing fixed-rate 1,130 24 6 1,160 0.3 Adjustable-rate and other 357 32 105 494 1.7 Total Single-Family loan restructurings $19,694 $1,924 $6,665 $28,283 1.0 (1) Type of loan restructurings reflects the cumulative effects of the loan restructurings received during the period. Includes loan modifications in the period in which the borrower completes the trial period and the loan is permanently modified. (2) Includes $2.8 billion and $10.8 billion related to payment deferral plans for 3Q 2022 and YTD 2022, respectively. Also includes forbearance plans, repayment plans, and loan modifications that only involve payment delays. (3) Based on the amortized cost basis as of period end, divided by the total period-end amortized cost basis of the corresponding financing receivable class of single-family held-for-investment loans. The table below shows the financial effect of single-family held-for-investment loan restructurings involving borrowers experiencing financial difficulty that we entered into during the periods presented. Table 3.10 – Financial Effects of Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty (1) 3Q 2022 (Dollars in thousands) Weighted-Average Interest Rate Reduction Weighted-Average Months of Term Extension Weighted-Average Payment Deferral or Principal Forbearance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate 1.1 % 183 $19 15-year or less, amortizing fixed-rate 0.6 366 21 Adjustable-rate and other 1.9 221 20 Referenced footnotes are included after the year-to-date table. YTD 2022 (Dollars in thousands) Weighted-Average Interest Rate Reduction Weighted-Average Months of Term Extension Weighted-Average Payment Deferral or Principal Forbearance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate 1.4 % 187 $22 15-year or less, amortizing fixed-rate 0.6 366 24 Adjustable-rate and other 2.3 225 26 (1) Averages are based on payment deferral plans and loan modifications completed during the periods presented. The financial effects of forbearance plans and repayment plans consist of a payment delay of between one and twelve months. In addition, the financial effect of a forbearance plan is included at the time the forbearance plan is completed if the borrower exits forbearance by entering into a payment deferral plan or loan modification. (2) Primarily related to payment deferral plans. Amounts are based on non-interest-bearing principal balances on the restructured loans. The following table provides the amortized cost basis of single-family held-for-investment loans restructured during YTD 2022 involving borrowers experiencing financial difficulty that subsequently defaulted (i.e., loans that became two months delinquent) during the periods presented. Table 3.11 - Subsequent Defaults of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty (1) 3Q 2022 (In millions) Payment Delay Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Single-Family: 20- and 30-year or more, amortizing fixed-rate $483 $53 $140 $676 15-year or less, amortizing fixed-rate 28 — — 28 Adjustable-rate and other 9 1 1 11 Total Single-Family $520 $54 $141 $715 YTD 2022 (In millions) Payment Delay Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Single-Family: 20- and 30-year or more, amortizing fixed-rate $1,194 $94 $216 $1,504 15-year or less, amortizing fixed-rate 67 — — 67 Adjustable-rate and other 31 3 3 37 Total Single-Family $1,292 $97 $219 $1,608 (1) Excludes forbearance plans and repayment plans as borrowers are typically past due based on the loan's original contractual terms at the time the borrowers enter into these plans. Table 3.12 - Payment Status of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty September 30, 2022 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due Total Single-Family: 20- and 30-year or more, amortizing fixed-rate $17,282 $2,289 $1,535 $5,523 $26,629 15-year or less, amortizing fixed-rate 696 107 81 276 1,160 Adjustable-rate and other 303 30 23 138 494 Total Single-Family $18,281 $2,426 $1,639 $5,937 $28,283 Multifamily Loan Restructurings We offer several types of restructurings to multifamily borrowers that may result in a payment delay, interest rate reduction, term extension, principal forgiveness, or combination thereof. In certain cases, we offer multifamily borrowers forbearance plans that allow borrowers to defer monthly payments during a defined period. After the forbearance period ends, the borrowers are required to repay forborne loan amounts in monthly installments. In addition, in certain cases, for maturing loans we may provide term extensions 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 interest rate reductions, term extensions, principal forbearance and/or forgiveness, or some combination of these items. There were no restructuring activities related to multifamily held-for-investment loans involving borrowers experiencing financial difficulty for the nine months ended September 30, 2022. The table below provides details of our single-family loan modifications that were classified as TDRs during the periods presented. Table 3.13 - Single-Family TDR Modification Metrics 3Q 2021 YTD 2021 Percentage of single-family loan modifications that were classified as TDRs with: Interest rate reductions and related term extensions 12 % 13 % Principal forbearance and related interest rate reductions and term extensions 34 35 Average coupon interest rate reduction 0.4 % 0.4 % Average months of term extension 154 151 The table below presents the volume of single-family and multifamily loans that were newly classified as TDRs during the periods presented. 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 3.14 - TDR Activity 3Q 2021 YTD 2021 (Dollars in millions) Number of Loans Post-TDR Amortized Cost Basis Number of Loans Post-TDR Single-Family: (1)(2) 20- and 30-year or more, amortizing fixed-rate 3,136 $562 10,647 $1,889 15-year or less, amortizing fixed-rate 365 37 1,262 131 Adjustable-rate and other 146 24 553 82 Total Single-Family 3,647 623 12,462 2,102 Multifamily — — — — (1) The pre-TDR amortized cost basis for single-family loans initially classified as TDRs during 3Q 2021 and YTD 2021 was $0.6 billion and $2.1 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 periods presented and had completed a modification during the year preceding the payment default. Table 3.15 - Payment Defaults of Completed TDR Modifications 3Q 2021 YTD 2021 (Dollars in millions) Number of Loans Post-TDR Amortized Cost Basis Number of Loans Post-TDR Amortized Cost Basis Single-Family: 20- and 30-year or more, amortizing fixed-rate 595 $103 2,408 $425 15-year or less, amortizing fixed-rate 15 2 101 11 Adjustable-rate and other 70 10 307 48 Total Single-Family 680 115 2,816 484 Multifamily — — — — |
Guarantees and Other Off-Balanc
Guarantees and Other Off-Balance Sheet Credit Exposures | 9 Months Ended |
Sep. 30, 2022 | |
Guarantees [Abstract] | |
Guarantees and Other Off-Balance Sheet Credit Exposures | Guarantees and Other Off-Balance Sheet Credit Exposures The table below shows our maximum exposure, recognized liability, and maximum remaining term of our guarantees to nonconsolidated VIEs and other third parties. This table does not include certain of our unrecognized guarantees, such as guarantees to consolidated VIEs or to resecuritization trusts that do not expose us to incremental credit risk. The maximum exposure disclosed in the table is not representative of the actual loss we are likely to incur, based on our historical loss experience and after consideration of proceeds from collateral liquidation, including possible credit enhancement recoveries. Table 4.1 - Financial Guarantees September 30, 2022 December 31, 2021 ( Dollars in millions , terms in years) Maximum (1) Recognized (2) Maximum Maximum (1) Recognized (2) Maximum Single-Family: Securitization activity guarantees $26,504 $395 40 $27,975 $398 39 Other mortgage-related guarantees 9,692 214 30 10,588 251 30 Guarantees of Fannie Mae securities 122,576 — 39 111,150 — 40 Total Single-Family $158,772 $609 $149,713 $649 Multifamily: Securitization activity guarantees $318,924 $4,826 38 $317,006 $4,663 38 Other mortgage-related guarantees 10,263 378 32 10,456 404 32 Total Multifamily $329,187 $5,204 $327,462 $5,067 Other guarantees: Written options $45,410 $2,005 9 $34,861 $1,596 10 CRT-related derivatives 39,434 130 30 33,188 35 30 Other 5,727 445 30 1,750 21 29 Total other guarantees $90,571 $2,580 $69,799 $1,652 (1) The maximum exposure represents the contractual amounts that could be lost if counterparties or borrowers defaulted, without consideration of proceeds from collateral liquidation, including possible credit enhancement recoveries. For other guarantees, this amount primarily represents the notional amount 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. The table below shows the payment status of the mortgage loans underlying our guarantees that are not measured at fair value. Table 4.2 – UPB of Loans Underlying Our Guarantees by Payment Status September 30, 2022 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure Total (1) Single-Family $36,983 $1,951 $729 $2,023 $41,686 Multifamily 370,636 47 67 426 371,176 Total $407,619 $1,998 $796 $2,449 $412,862 December 31, 2021 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure Total (1) Single-Family $38,964 $2,040 $692 $2,341 $44,037 Multifamily 370,541 47 7 317 370,912 Total $409,505 $2,087 $699 $2,658 $414,949 (1) Loan-level payment status is not available for certain guarantees totaling $0.2 billion and $0.4 billion as of September 30, 2022 and December 31, 2021, respectively, and therefore is not included in the table above. |
Allowance for Credit Losses
Allowance for Credit Losses | 9 Months Ended |
Sep. 30, 2022 | |
Credit Loss [Abstract] | |
Allowance for Credit Losses | Allowance for Credit Losses In 1Q 2022, we adopted accounting guidance that eliminates the recognition and measurement of TDRs. Upon adoption of this guidance, we no longer incorporate the expected credit losses for TDRs we reasonably expect will occur in our estimation of the allowance for credit losses. See Note 3 for more information on the adoption of the new accounting guidance. The table below summarizes changes in our allowance for credit losses. Table 5.1 - Details of the Allowance for Credit Losses 3Q 2022 3Q 2021 YTD 2022 YTD 2021 (In millions) Single-Family Multi-family Total Single-Family Multi-family Total Single-Family Multi-family Total Single-Family Multi-family Total Beginning balance $5,342 $81 $5,423 $5,513 $96 $5,609 $5,440 $78 $5,518 $6,353 $200 $6,553 Provision (benefit) for credit losses 1,784 12 1,796 (244) 1 (243) 1,251 15 1,266 (1,076) (103) (1,179) Charge-offs (108) — (108) (288) — (288) (388) — (388) (729) — (729) Recoveries collected 29 — 29 43 — 43 124 — 124 150 — 150 Other (1) 168 — 168 268 — 268 788 — 788 594 — 594 Ending balance $7,215 $93 $7,308 $5,292 $97 $5,389 $7,215 $93 $7,308 $5,292 $97 $5,389 Components of the ending balance of the allowance for credit losses: Mortgage loans held-for-investment $6,802 $49 $6,851 $4,490 $41 $4,531 Advances of pre-foreclosure costs 354 — 354 592 — 592 Accrued interest receivable on mortgage loans 6 — 6 157 — 157 Off-balance sheet credit exposures 53 44 97 53 56 109 Total ending balance $7,215 $93 $7,308 $5,292 $97 $5,389 (1) Primarily includes capitalization of past due interest related to non-accrual loans that receive payment deferral plans and loan modifications. n 3Q 2022 vs. 3Q 2021 and YTD 2022 vs. YTD 2021 - A provision for credit losses in the 2022 periods, primarily driven by deterioration in housing market conditions, including lower observed and forecasted house price appreciation. The benefit for credit losses in the 2021 periods was primarily driven by observed house price appreciation and reduced expected credit losses related to COVID-19. In addition, charge-offs decreased year-over-year due to a decrease in charge-offs of accrued interest receivable during the 2022 periods. |
Investment Securities
Investment Securities | 9 Months Ended |
Sep. 30, 2022 | |
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 6.1 - Investment Securities (In millions) September 30, 2022 December 31, 2021 Trading securities $37,221 $49,003 Available-for-sale securities 6,049 4,012 Total fair value of investment securities $43,270 $53,015 Trading Securities The table below presents the fair values of our trading securities by major security type. Our non-mortgage-related securities primarily consist of investments in U.S. Treasury securities. Table 6.2 - Trading Securities (In millions) September 30, 2022 December 31, 2021 Mortgage-related securities $10,651 $16,231 Non-mortgage-related securities 26,570 32,772 Total fair value of trading securities $37,221 $49,003 For trading securities held at September 30, 2022, we recorded net unrealized losses of $0.9 billion and $2.0 billion during 3Q 2022 and YTD 2022, respectively. For trading securities held at September 30, 2021, we recorded net unrealized losses of $0.5 billion and $1.2 billion during 3Q 2021 and YTD 2021, respectively. Available-for-Sale Securities The table below provides details of the securities classified as available-for-sale on our condensed consolidated balance sheets. Table 6.3 - Available-for-Sale Securities Amortized Gross Unrealized Gains in Other Comprehensive Income Gross Unrealized Fair Value Accrued Interest Receivable (In millions) September 30, 2022 $6,150 $192 ($293) $6,049 $14 December 31, 2021 3,638 376 (2) 4,012 10 The fair value of our available-for-sale securities held at September 30, 2022 scheduled to contractually mature after ten years was $1.5 billion, with $3.7 billion scheduled to contractually mature after five years through ten years. The table below summarizes the gross realized gains and gross realized losses from sales of available-for-sale securities. Table 6.4 - Gross Realized Gains and Gross Realized Losses from Sales of Available-for-Sale Securities (In millions) 3Q 2022 3Q 2021 YTD 2022 YTD 2021 Gross realized gains $33 $14 $34 $534 Gross realized losses (3) (4) (7) (57) Net realized gains (losses) $30 $10 $27 $477 Non-Cash Investing and Financing Activities During YTD 2022 and YTD 2021, we recognized $9.0 billion and $32.4 billion, respectively, of investment securities in exchange for the issuance of debt of consolidated trusts through partial sales of commingled single-class resecuritization products that were previously consolidated. |
Debt
Debt | 9 Months Ended |
Sep. 30, 2022 | |
Debt Disclosure [Abstract] | |
Debt | DebtThe table below summarizes the balances of total debt on our condensed consolidated balance sheets Table 7.1 - Total Debt (In millions) September 30, 2022 December 31, 2021 Debt of consolidated trusts $2,973,973 $2,803,054 Debt of Freddie Mac: Short-term debt 11,902 — Long-term debt 151,347 177,131 Total debt of Freddie Mac 163,249 177,131 Total debt $3,137,222 $2,980,185 As of September 30, 2022, our aggregate indebtedness pursuant to the Purchase Agreement was $175.2 billion, which was below the current $300.0 billion debt cap limit. Our aggregate indebtedness calculation primarily includes the par value of short- and long-term debt. Debt of Consolidated Trusts The table below summarizes the debt of consolidated trusts based on underlying loan product type. Table 7.2 - Debt of Consolidated Trusts September 30, 2022 December 31, 2021 (Dollars in millions) Contractual Maturity UPB Carrying Amount (1) Weighted Average Coupon (2) Contractual Maturity UPB Carrying Amount (1) Weighted Average Coupon (2) Single-Family (3) : 20- and 30-year or more, fixed-rate 2022 - 2061 $2,489,938 $2,535,520 2.71 % 2022 - 2061 $2,297,650 $2,358,397 2.62 % 15-year or less, fixed-rate 2022 - 2037 378,630 385,588 2.13 2022 - 2037 390,320 399,647 2.13 Adjustable-rate and other 2022 - 2052 23,520 24,152 2.73 2022 - 2052 24,248 24,921 2.31 Total Single-Family 2,892,088 2,945,260 2,712,218 2,782,965 Multifamily 2022 - 2052 28,957 28,713 2.52 2022 - 2051 19,838 20,089 2.17 Total debt of consolidated trusts $2,921,045 $2,973,973 $2,732,056 $2,803,054 (1) Includes $3.1 billion and $1.1 billion as of September 30, 2022 and December 31, 2021, respectively, of debt of consolidated trusts that represents the fair value of debt for which the fair value option was elected. (2) The effective interest rate for debt of consolidated trusts was 2.23% and 1.71% as of September 30, 2022 and December 31, 2021, respectively. (3) Prior period was revised to conform to the current period presentation. Debt of Freddie Mac The table below summarizes the balances and effective interest rates for debt of Freddie Mac. Table 7.3 - Total Debt of Freddie Mac September 30, 2022 December 31, 2021 (Dollars in millions) Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Short-term debt: Discount notes and Reference Bills $11,020 $11,012 2.51 % $— $— — % Medium-term notes 890 890 1.81 — — — Securities sold under agreements to repurchase 7,512 7,512 2.06 7,333 7,333 (0.10) Offsetting arrangements (3) (7,512) (7,512) (7,333) (7,333) Total short-term debt 11,910 11,902 2.46 — — — Long-term debt: Original maturities on or before December 31, 2022 4,990 4,996 0.25 48,625 48,641 0.18 2023 40,937 40,914 0.59 38,688 38,644 0.47 2024 23,917 23,900 1.80 13,274 13,257 0.46 2025 49,169 48,888 1.67 35,436 35,108 0.84 2026 5,194 5,192 1.12 4,717 4,715 0.83 Thereafter 34,262 32,736 3.00 31,736 30,052 2.91 STACR and SCR debt (4) 4,845 4,720 7.33 9,139 8,981 4.23 Hedging-related basis adjustments N/A (9,999) N/A (2,267) Total long-term debt 163,314 151,347 1.80 181,615 177,131 1.07 Total debt of Freddie Mac (5) $175,224 $163,249 $181,615 $177,131 (1) Represents par value, net of associated discounts or premiums and issuance cost. Includes $1.2 billion and $1.4 billion at September 30, 2022 and December 31, 2021, respectively, of long-term debt that represents the fair value of debt for which the fair value option was elected. (2) Based on carrying amount. (3) We offset payables related to securities sold under agreements to repurchase against receivables related to securities purchased under agreements to resell on our condensed consolidated balance sheets, when such amounts meet the conditions for offsetting in the accounting guidance. (4) 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 reference pool of mortgage assets that may be prepaid by the related mortgage borrower at any time, generally without penalty. (5) Carrying amount for debt of Freddie Mac includes callable debt of $97.9 billion and $68.5 billion at September 30, 2022 and December 31, 2021, respectively. |
Derivatives
Derivatives | 9 Months Ended |
Sep. 30, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives | 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 risk, and our overall risk management strategy. We apply fair value hedge accounting to certain single-family mortgage loans and certain issuances of debt where we hedge the changes in fair value of these items attributable to the designated benchmark interest rate, using interest-rate swaps. Derivative Assets and Liabilities at Fair Value The table below presents the notional value and fair value of derivatives reported on our condensed consolidated balance sheets. Table 8.1 - Derivative Assets and Liabilities at Fair Value September 30, 2022 December 31, 2021 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 $520,850 $1,827 ($547) $561,393 $1,748 ($3,319) Written options 45,410 — (2,005) 34,861 — (1,597) Purchased options (1) 88,005 4,356 — 137,873 3,585 — Futures 169,676 — — 126,528 — — Total interest-rate management derivatives 823,941 6,183 (2,552) 860,655 5,333 (4,916) Mortgage commitment derivatives: Forward contracts to purchase mortgage loans 2,054 2 (31) 7,582 15 (5) Forward contracts to purchase mortgage-related securities 16,422 — (120) 16,605 26 (8) Forward contracts to sell mortgage-related securities 24,088 43 (1) 59,469 38 (73) Total mortgage commitment derivatives 42,564 45 (152) 83,656 79 (86) CRT-related derivatives 39,565 1 (132) 33,351 15 (37) Other 8,184 2 (445) 4,335 2 (21) Total derivatives not designated as hedges 914,254 6,231 (3,281) 981,997 5,429 (5,060) Designated as fair value hedges Interest-rate risk management derivatives: Swaps 171,180 324 (8,069) 154,819 37 (2,689) Total derivatives designated as fair value hedges 171,180 324 (8,069) 154,819 37 (2,689) Derivative interest receivable (payable) (2) 806 (725) 360 (413) Netting adjustments (3) (6,910) 11,265 (5,366) 7,880 Total derivative portfolio, net $1,085,434 $451 ($810) $1,136,816 $460 ($282) (1) Includes swaptions on credit indices with a notional or contractual amount of $8.8 billion and $9.4 billion at September 30, 2022 and December 31, 2021, respectively, and a fair value of $5.0 million and $1.0 million at September 30, 2022 and December 31, 2021, respectively. (2) Includes other derivative receivables and payables. (3) Represents counterparty netting and cash collateral netting. See Note 9 for information related to our derivative counterparties and collateral held and posted. Gains and Losses on Derivatives The table below presents the gains and losses on derivatives, including the accrual of periodic cash settlements, while not designated in qualifying hedge relationships and reported on our condensed consolidated statements of operations and comprehensive income (loss) as investment gains (losses), net. Table 8.2 - Gains and Losses on Derivatives (In millions) 3Q 2022 3Q 2021 YTD 2022 YTD 2021 Not designated as hedges Interest-rate risk management derivatives: Swaps $954 $649 $1,708 $2,303 Written options (278) (9) (962) (165) Purchased options 579 (225) 1,685 (859) Futures 788 30 2,212 189 Total interest-rate risk management derivatives fair value gains (losses) 2,043 445 4,643 1,468 Mortgage commitment derivatives 203 46 2,922 662 CRT-related derivatives (222) (2) (189) (29) Other (115) 14 (150) 22 Total derivatives not designated as hedges fair value gains (losses) 1,909 503 7,226 2,123 Accrual of periodic cash settlements on swaps (1) (233) (471) (619) (1,283) Total $1,676 $32 $6,607 $840 (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 condensed consolidated statements of operations and comprehensive income (loss) line item, including the gains and losses on derivatives and hedged items designated in qualifying hedge relationships and other components due to the application of hedge accounting. Table 8.3 - Gains and Losses on Fair Value Hedges 3Q 2022 3Q 2021 (In millions) Interest Income Interest Expense Interest Income Interest Expense Total amounts of income and expense line items presented in our condensed consolidated statements of operations and comprehensive income in which the effects of fair value hedges are recorded: $21,894 ($17,340) $15,791 ($11,373) Interest contracts on mortgage loans held-for-investment: Gain (loss) on fair value hedging relationships: Hedged items (1,839) — 38 — Derivatives designated as hedging instruments 1,731 — (58) — Interest accruals on hedging instruments (5) — (14) — Discontinued hedge-related basis adjustments amortization 12 — (332) — Interest contracts on debt: Gain (loss) on fair value hedging relationships: Hedged items — 2,558 — 211 Derivatives designated as hedging instruments — (2,586) — (256) Interest accruals on hedging instruments — (353) — 236 Discontinued hedge-related basis adjustments amortization — 1 — 6 YTD 2022 YTD 2021 (In millions) Interest Income Interest Expense Interest Income Interest Expense Total amounts of income and expense line items presented in our condensed consolidated statements of operations and comprehensive income in which the effects of fair value hedges are recorded: $59,642 ($46,225) $44,923 ($32,099) Interest contracts on mortgage loans held-for-investment: Gain (loss) on fair value hedging relationships: Hedged items (5,989) — (399) — Derivatives designated as hedging instruments 5,194 — 379 — Interest accruals on hedging instruments (421) — (267) — Discontinued hedge-related basis adjustments amortization (116) — (1,624) — Interest contracts on debt: Gain (loss) on fair value hedging relationships: Hedged items — 7,719 — 1,725 Derivatives designated as hedging instruments — (7,810) — (1,876) Interest accruals on hedging instruments — (253) — 739 Discontinued hedge-related basis adjustments amortization — 13 — 14 The table below presents the cumulative basis adjustments and the carrying amounts of the hedged item by its respective balance sheet line item. Table 8.4 - Cumulative Basis Adjustments Due to Fair Value Hedging September 30, 2022 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount Closed Portfolio Under the Last-of-Layer Method (In millions) Total Under the Last-of-Layer Method Discontinued - Hedge Related Total Amount by Amortized Cost Basis Designated Amount by UPB Mortgage loans held-for-investment $1,076,474 ($3,331) ($1,026) ($2,305) $81,446 $11,516 Mortgage loans held-for-sale 56 1 — 1 — — Debt (133,271) 9,999 — 11 — — December 31, 2021 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount Closed Portfolio Under the Last-of-Layer Method (In millions) Total Under the Last-of-Layer Method Discontinued - Hedge Related Total Amount by Amortized Cost Basis Designated Amount by UPB Mortgage loans held-for-investment $855,173 $2,774 $— $2,774 $— $— Debt (124,235) 2,267 — (30) — — |
Collateral and Offsetting of As
Collateral and Offsetting of Assets and Liabilities | 9 Months Ended |
Sep. 30, 2022 | |
Offsetting [Abstract] | |
Collateralized Agreements and Offsetting Arrangements | Collateralized Agreements and Offsetting Arrangements Offsetting of Financial Assets and Liabilities The table below presents offsetting and collateral information related to derivatives, securities purchased under agreements to resell, and securities sold under agreements to repurchase which are subject to enforceable master netting agreements or similar arrangements. In June 2022, the FICC amended the MBSD clearing rules to provide that variation margin payments constitute daily settlement of exposure and not a component of the required fund deposit. As a result, for our forward purchase and sale commitments of mortgage-related securities transacted with MBSD/FICC, we changed the characterization of variation margin payments from posting of margin collateral to settlements. This change did not materially affect our financial condition or result of operations. Table 9.1 - Offsetting and Collateral Information of Financial Assets and Liabilities September 30, 2022 Gross Amount Recognized Amount Net Amount Gross Amount Not Offset in the Condensed Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $7,168 ($5,337) ($1,604) $227 ($125) $102 Cleared and exchange-traded derivatives 120 (20) 46 146 — 146 Mortgage commitment derivatives 70 — 5 75 (1) 74 Other 3 — — 3 — 3 Total derivatives 7,361 (5,357) (1,553) 451 (126) 325 Securities purchased under agreements to resell 105,155 (7,512) — 97,643 (97,643) — Total $112,516 ($12,869) ($1,553) $98,094 ($97,769) $325 Liabilities: Derivatives: OTC derivatives ($11,304) $5,336 $5,903 ($65) $15 ($50) Cleared and exchange-traded derivatives (42) 20 6 (16) 16 — Mortgage commitment derivatives (152) — — (152) 17 (135) Other (577) — — (577) — (577) Total derivatives (12,075) 5,356 5,909 (810) 48 (762) Securities sold under agreements to repurchase (7,512) 7,512 — — — — Total ($19,587) $12,868 $5,909 ($810) $48 ($762) Referenced footnotes are included after the next table. December 31, 2021 Gross Amount Recognized Amount Net Amount Gross Amount Not Offset in the Condensed Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $5,670 ($4,437) ($963) $270 ($250) $20 Cleared and exchange-traded derivatives 60 (4) 38 94 — 94 Mortgage commitment derivatives 79 — — 79 — 79 Other 17 — — 17 — 17 Total derivatives 5,826 (4,441) (925) 460 (250) 210 Securities purchased under agreements to resell 78,536 (7,333) — 71,203 (71,203) — Total $84,362 ($11,774) ($925) $71,663 ($71,453) $210 Liabilities: Derivatives: OTC derivatives ($7,979) $4,437 $3,417 ($125) $— ($125) Cleared and exchange-traded derivatives (39) 4 22 (13) 13 — Mortgage commitment derivatives (86) — — (86) — (86) Other (58) — — (58) — (58) Total derivatives (8,162) 4,441 3,439 (282) 13 (269) Securities sold under agreements to repurchase (7,333) 7,333 — — — — Total ($15,495) $11,774 $3,439 ($282) $13 ($269) (1) Excess cash collateral held is presented as a derivative liability, while excess cash collateral posted is presented as a derivative asset. (2) Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability, netted by counterparty, presented on the condensed consolidated balance sheets. Mortgage commitment derivatives exclude collateral posted totaling $0.8 billion as of December 31, 2021. There was no variation margin collateral for mortgage commitment derivatives as of September 30, 2022, as a result of the MBSD/FICC clearing rules change. Collateral Pledged Collateral Pledged to Freddie Mac We have cash pledged to us as collateral primarily related to OTC derivative transactions. We had $2.4 billion and $1.2 billion pledged to us as collateral that was invested as part of our other investments portfolio as of September 30, 2022 and December 31, 2021, respectively. We 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. At September 30, 2022 and December 31, 2021, we had $27.6 billion and $32.7 billion, respectively, of securities pledged to us in these transactions. In addition, as of September 30, 2022 and December 31, 2021, we had $1.2 billion and $0.8 billion, respectively, 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. At September 30, 2022, we repledged collateral with fair value of $0.1 billion. 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 September 30, 2022 and December 31, 2021. 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 9.2 - Collateral in the Form of Securities Pledged September 30, 2022 (In millions) Derivatives Securities Sold Under Agreements to Repurchase Other (1) Total Trading securities $1,363 $7,403 $697 $9,463 Total securities pledged $1,363 $7,403 $697 $9,463 December 31, 2021 (In millions) Derivatives Securities Sold Under Agreements to Repurchase Other (1) Total Debt of consolidated trusts (2) $— $— $161 $161 Trading securities 1,542 7,333 1,115 9,990 Total securities pledged $1,542 $7,333 $1,276 $10,151 (1) Includes other collateralized borrowings and collateral related to transactions with certain clearinghouses. The table below summarizes the underlying collateral pledged and the remaining contractual maturity of our gross obligations under securities sold under agreements to repurchase. Table 9.3 - Underlying Collateral Pledged September 30, 2022 (In millions) Overnight and Continuous 30 Days or Less After 30 Days Through 90 Days Greater Than 90 Days Total U.S. Treasury securities and other $— $4,054 $3,349 $— $7,403 |
Net Interest Income
Net Interest Income | 9 Months Ended |
Sep. 30, 2022 | |
Components of Net Interest Income [Abstract] | |
Net Interest Income | The table below presents the components of net interest income per our condensed consolidated statements of operations and comprehensive income (loss). Table 10.1 - Components of Net Interest Income (In millions) 3Q 2022 3Q 2021 YTD 2022 YTD 2021 Interest income Mortgage loans $20,843 $15,124 $57,477 $42,969 Investment securities 416 627 1,264 1,854 Other 635 40 901 100 Total interest income 21,894 15,791 59,642 44,923 Interest expense Debt of consolidated trusts (16,166) (10,954) (44,010) (30,742) Debt of Freddie Mac: Short-term debt (82) — (102) (2) Long-term debt (1,092) (419) (2,113) (1,355) Total interest expense (17,340) (11,373) (46,225) (32,099) Net interest income 4,554 4,418 13,417 12,824 Benefit (provision) for credit losses (1,796) 243 (1,266) 1,179 Net interest income after benefit (provision) for credit losses $2,758 $4,661 $12,151 $14,003 |
Segment Reporting
Segment Reporting | 9 Months Ended |
Sep. 30, 2022 | |
Segment Reporting [Abstract] | |
Segment Reporting | Segment Reporting As shown in the table below, we have two reportable segments, Single-Family and Multifamily. Segment Description Single-Family Reflects results from our purchase, securitization, and guarantee of single-family loans, our investments in single-family loans and mortgage-related securities, the management of Single-Family mortgage credit risk and market risk, and any results of our treasury function that are not allocated to each segment. Multifamily Reflects results from our purchase, securitization, and guarantee of multifamily loans, our investments in multifamily loans and mortgage-related securities, and the management of Multifamily mortgage credit risk and market risk. Segment 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. On June 22, 2022, we updated our funds transfer pricing methodologies to allocate gains and losses on derivative instruments to Multifamily to offset interest rate-related changes in fair value on guarantee assets. 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. 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. The table below presents the financial results for our Single-Family and Multifamily segments. Table 11.1 - Segment Financial Results 3Q 2022 3Q 2021 (In millions) Single-Family Multifamily Total Single-Family Multifamily Total Net interest income $4,363 $191 $4,554 $4,080 $338 $4,418 Non-interest income (loss) Guarantee income 16 109 125 (20) 266 246 Investment gains (losses), net (13) 428 415 (247) 630 383 Other income (loss) 55 32 87 148 52 200 Non-interest income (loss) 58 569 627 (119) 948 829 Net revenues 4,421 760 5,181 3,961 1,286 5,247 Benefit (provision) for credit losses (1,784) (12) (1,796) 244 (1) 243 Non-interest expense (1,653) (172) (1,825) (1,672) (172) (1,844) Income (loss) before income tax (expense) benefit 984 576 1,560 2,533 1,113 3,646 Income tax (expense) benefit (141) (106) (247) (505) (222) (727) Net income (loss) 843 470 1,313 2,028 891 2,919 Other comprehensive income (loss), net of taxes and reclassification adjustments (39) (142) (181) 18 (28) (10) Comprehensive income (loss) $804 $328 $1,132 $2,046 $863 $2,909 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 11.2 - Segment Assets (In millions) September 30, 2022 December 31, 2021 Single-Family $2,971,542 $2,792,224 Multifamily 415,946 414,663 Total segment assets 3,387,488 3,206,887 Reconciling items (1) (196,832) (181,301) Total assets per condensed consolidated balance sheets $3,190,656 $3,025,586 |
Concentration of Credit and Oth
Concentration of Credit and Other Risks | 9 Months Ended |
Sep. 30, 2022 | |
Risks and Uncertainties [Abstract] | |
Concentration of Credit and Other Risks | Concentration of Credit and Other Risks Single-Family Mortgage Portfolio The table below summarizes the concentration by geographic area of our Single-Family mortgage portfolio. See Note 3 , Note 4 , and Note 5 for more information about credit risk associated with single-family loans that we hold or guarantee. Table 12.1 - Concentration of Credit Risk of Our Single-Family Mortgage Portfolio (1) September 30, 2022 December 31, 2021 (Dollars in millions) Portfolio UPB (2) % of Portfolio SDQ Rate Portfolio UPB (2) % of Portfolio SDQ Rate Region: (3) West $905,490 30 % 0.49 % $858,535 31 % 0.92 % Northeast 693,755 23 0.86 660,103 24 1.37 North Central 434,486 15 0.67 416,214 15 0.98 Southeast 507,228 17 0.70 461,084 16 1.21 Southwest 430,300 15 0.65 395,953 14 1.14 Total $2,971,259 100 % 0.67 $2,791,889 100 % 1.12 State: California $518,053 17 % 0.52 $497,521 18 % 0.99 Texas 197,278 7 0.66 176,501 6 1.23 Florida 188,785 6 0.72 168,572 6 1.36 New York 129,042 4 1.26 120,655 4 2.07 Illinois 112,624 4 0.94 109,171 4 1.44 All other 1,825,477 62 0.64 1,719,469 62 1.03 Total $2,971,259 100 % 0.67 $2,791,889 100 % 1.12 (1) Credit loss amounts related to our Single-Family mortgage portfolio were insignificant during both the 2022 periods and the 2021 periods. (2) Excludes UPB of loans underlying certain securitization products for which data was not available. (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). |
Fair Value Disclosures
Fair Value Disclosures | 9 Months Ended |
Sep. 30, 2022 | |
Fair Value Disclosures [Abstract] | |
Fair Value Disclosures | Fair Value Disclosures We use fair value measurements for the initial recording of certain assets and liabilities and periodic remeasurement of certain assets and liabilities on a recurring or non-recurring basis. Assets and Liabilities Measured at Fair Value on a Recurring Basis The table below presents our assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments where we have elected the fair value option. Table 13.1 - Assets and Liabilities Measured at Fair Value on a Recurring Basis September 30, 2022 (In millions) Level 1 Level 2 Level 3 Netting Adjustments (1) Total Assets: Investment securities: Available-for-sale $— $4,947 $1,102 $— $6,049 Trading: Mortgage-related securities — 7,793 2,858 — 10,651 Non-mortgage-related securities 25,982 588 — — 26,570 Total trading securities 25,982 8,381 2,858 — 37,221 Total investment securities 25,982 13,328 3,960 — 43,270 Mortgage loans held-for-sale — 3,230 312 — 3,542 Other assets: Guarantee assets — — 5,432 — 5,432 Derivative assets, net — 6,552 3 — 6,555 Netting adjustments (1) — — — (6,104) (6,104) Total derivative assets, net — 6,552 3 (6,104) 451 Other assets — 1 124 — 125 Total other assets — 6,553 5,559 (6,104) 6,008 Total assets carried at fair value on a recurring basis $25,982 $23,111 $9,831 ($6,104) $52,820 Liabilities: Debt: Debt of consolidated trusts $— $2,785 $277 $— $3,062 Debt of Freddie Mac — 1,086 104 — 1,190 Total debt — 3,871 381 — 4,252 Other liabilities: Derivative liabilities, net 35 11,211 104 — 11,350 Netting adjustments (1) — — — (10,540) (10,540) Total derivative liabilities, net 35 11,211 104 (10,540) 810 Other liabilities — 151 — — 151 Total other liabilities 35 11,362 104 (10,540) 961 Total liabilities carried at fair value on a recurring basis $35 $15,233 $485 ($10,540) $5,213 Referenced footnote is included after the prior period table. December 31, 2021 (In millions) Level 1 Level 2 Level 3 Netting Adjustments (1) Total Assets: Investment securities: Available-for-sale $— $2,726 $1,286 $— $4,012 Trading: Mortgage-related securities: — 12,845 3,386 — 16,231 Non-mortgage-related securities 31,780 992 — — 32,772 Total trading securities 31,780 13,837 3,386 — 49,003 Total investment securities 31,780 16,563 4,672 — 53,015 Mortgage loans held-for-sale — 10,498 — — 10,498 Other assets: Guarantee assets — — 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 Other assets — 131 84 — 215 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: Debt of consolidated trusts $— $910 $184 $— $1,094 Debt of Freddie Mac — 1,274 110 — 1,384 Total debt — 2,184 294 — 2,478 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 Other liabilities — 4 1 — 5 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 (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 condensed consolidated balance sheets at fair value on a recurring basis using significant unobservable inputs (Level 3), including transfers into and out of Level 3. The table also presents gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our condensed consolidated statements of operations and comprehensive income (loss) for Level 3 assets and liabilities. Table 13.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs 3Q 2022 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 September 30, 2022 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2022 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale $1,124 $30 ($55) $169 $— ($120) ($46) $— $— $1,102 $— ($11) Trading 3,319 (334) — 260 — — (122) — (265) 2,858 (154) — Total investment securities 4,443 (304) (55) 429 — (120) (168) — (265) 3,960 (154) (11) Mortgage loans held-for-sale 339 (42) — — — (36) (1) 52 — 312 (42) — Other assets: Guarantee assets 5,649 (264) — — 272 — (225) — — 5,432 (264) — Other assets 132 9 — (6) 3 (3) (8) — — 127 9 — Total other assets 5,781 (255) — (6) 275 (3) (233) — — 5,559 (255) — Total assets $10,563 ($601) ($55) $423 $275 ($159) ($402) $52 ($265) $9,831 ($451) ($11) 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 September 30, 2022 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2022 Included in Included in Other Liabilities Debt $457 ($18) $— ($14) $6 $— ($50) $— $— $381 ($7) $— Other liabilities 58 47 — — — — (1) — — 104 46 — Total liabilities $515 $29 $— ($14) $6 $— ($51) $— $— $485 $39 $— Referenced footnotes are included after the prior period table. YTD 2022 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 September 30, 2022 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2022 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale $1,286 $30 ($98) $168 $— ($78) ($236) $30 $— $1,102 ($1) ($38) Trading 3,386 (993) — 641 — — (156) — (20) 2,858 (468) — Total investment securities 4,672 (963) (98) 809 — (78) (392) 30 (20) 3,960 (469) (38) Mortgage loans held-for-sale — (56) — — — (41) (25) 434 — 312 (56) — Other assets: Guarantee assets 5,919 (774) — — 980 — (693) — — 5,432 (774) — Other assets 101 58 — (15) 11 (8) (20) — — 127 58 — Total other assets 6,020 (716) — (15) 991 (8) (713) — — 5,559 (716) — Total assets $10,692 ($1,735) ($98) $794 $991 ($127) ($1,130) $464 ($20) $9,831 ($1,241) ($38) 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 September 30, 2022 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2022 Included in Included in Other Liabilities Debt $294 $18 $— ($21) $148 $— ($58) $— $— $381 $48 $— Other liabilities 24 85 — 1 — — (6) — — 104 81 — Total liabilities $318 $103 $— ($20) $148 $— ($64) $— $— $485 $129 $— Referenced footnotes are included after the prior period table. 3Q 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 September 30, 2021 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2021 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale $1,474 $6 $12 $— $— $— ($103) $— $— $1,389 $6 $10 Trading 3,523 (210) — 344 — (96) (23) — (75) 3,463 (207) — Total investment securities 4,997 (204) 12 344 — (96) (126) — (75) 4,852 (201) 10 Other assets: Guarantee assets 5,869 (113) — — 333 — (246) — — 5,843 (113) — Other assets 95 9 — (4) 4 — (4) — — 100 9 — Total other assets 5,964 (104) — (4) 337 — (250) — — 5,943 (104) — Total assets $10,961 ($308) $12 $340 $337 ($96) ($376) $— ($75) $10,795 ($305) $10 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 September 30, 2021 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2021 Included in Included in Other Liabilities Debt $368 ($11) $— ($8) $61 $— ($19) $— $— $391 ($7) $— Other liabilities 23 2 — 2 — — (2) — — 25 (1) — Total liabilities $391 ($9) $— ($6) $61 $— ($21) $— $— $416 ($8) $— Referenced footnotes are included after the prior period table. YTD 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 September 30, 2021 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2021 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale $1,588 $18 $16 $— $— $— ($233) $— $— $1,389 $18 $12 Trading 3,259 (563) — 1,284 — (276) (61) — (180) 3,463 (565) — Total investment securities 4,847 (545) 16 1,284 — (276) (294) — (180) 4,852 (547) 12 Other assets: — Guarantee assets 5,509 (196) — — 1,238 — (708) — — 5,843 (196) — Other assets 171 (59) — (3) 14 (9) (14) — — 100 (59) — Total other assets 5,680 (255) — (3) 1,252 (9) (722) — — 5,943 (255) — Total assets $10,527 ($800) $16 $1,281 $1,252 ($285) ($1,016) $— ($180) $10,795 ($802) $12 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 September 30, 2021 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2021 Included in Included in Other Liabilities Debt $323 ($21) $— ($8) $151 $— ($54) $— $— $391 ($15) $— Other liabilities 19 9 — 3 2 1 (9) — — 25 1 — Total liabilities $342 ($12) $— ($5) $153 $1 ($63) $— $— $416 ($14) $— (1) Transfers out of Level 3 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 agency 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 September 30, 2022 and September 30, 2021. The table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis. Table 13.3 - Quantitative Information about Recurring Level 3 Fair Value Measurements September 30, 2022 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average (1) Assets Investment securities: Available-for-sale $587 Median of external sources External pricing sources $66.4 - $76.5 $71.2 515 Other Trading 2,460 Single external source External pricing source $0.0 - $6,031.4 $238.2 398 Other Mortgage loans held-for-sale 312 Single external source External pricing source $39.6 - $98.3 $77.0 Guarantee assets 5,067 Discounted cash flows OAS 17 - 186 bps 45 bps 365 Other Insignificant Level 3 assets (2) 127 Total level 3 assets $9,831 Liabilities Insignificant Level 3 liabilities (2) 485 Total level 3 liabilities $485 December 31, 2021 Level 3 Predominant Unobservable Inputs (Dollars in millions, except for certain unobservable inputs as shown) Type Range Weighted Average (1) Assets Investment securities: Available-for-sale $839 Median of external sources External pricing sources $72.8 - $83.7 $77.0 446 Other Trading 2,846 Single external source External pricing source $0.0 - $7,343.1 $396.7 541 Other Guarantee assets 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 Insignificant Level 3 liabilities (2) 318 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 and 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 measurement of impairment based on the fair value of the underlying collateral. Certain of the fair values in the tables below were not obtained as of period end, but were obtained during the period. The table below presents assets measured on our condensed consolidated balance sheets at fair value on a non-recurring basis. Table 13.4 - Assets Measured at Fair Value on a Non-Recurring Basis September 30, 2022 December 31, 2021 (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) $— $146 $1,620 $1,766 $— $12 $797 $809 (1) Includes loans that are classified as held-for-investment and have an allowance for credit losses based on the fair value of the underlying collateral and held-for-sale loans where the fair value is below cost. The table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets measured on our condensed consolidated balance sheets at fair value on a non-recurring basis. Table 13.5 - Quantitative Information About Non-Recurring Level 3 Fair Value Measurements September 30, 2022 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions, except for unobservable inputs as shown) Type Range Weighted Average (1) Non-recurring fair value measurements Mortgage loans $1,466 Median of external sources External pricing sources $75.1 - $100.6 $88.1 154 Other Total $1,620 December 31, 2021 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions, except for unobservable inputs as shown) Type Range Weighted Average (1) Non-recurring fair value measurements Mortgage loans $625 Median of external sources External pricing sources $61.9 - $107.1 $97.3 172 Other Total $797 (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 condensed consolidated balance sheets approximates fair value, as these assets and liabilities are short-term in nature and have limited fair value volatility. Table 13.6 - Fair Value of Financial Instruments September 30, 2022 GAAP Measurement Category (1) Carrying Amount Fair Value (In millions) Level 1 Level 2 Level 3 Netting Adjustments (2) Total Financial Assets Cash and cash equivalents Amortized cost $5,691 $5,691 $— $— $— $5,691 Securities purchased under agreements to resell Amortized cost 97,643 — 105,155 — (7,512) 97,643 Investment securities: Available-for-sale FV - OCI 6,049 — 4,947 1,102 — 6,049 Trading FV - NI 37,221 25,982 8,381 2,858 — 37,221 Total investment securities 43,270 25,982 13,328 3,960 — 43,270 Mortgage loans: Loans held by consolidated trusts 2,956,534 — 2,303,717 219,637 — 2,523,354 Loans held by Freddie Mac 50,839 — 15,579 30,964 — 46,543 Total mortgage loans Various (3) 3,007,373 — 2,319,296 250,601 — 2,569,897 Guarantee assets FV - NI 5,432 — — 5,434 — 5,434 Derivative assets, net FV - NI 451 — 6,552 3 (6,104) 451 Non-derivative purchase and other commitments FV - NI 1 — 27 — — 27 Advances to lenders Amortized cost 2,520 — — 2,520 — 2,520 Secured lending Amortized cost 894 — 894 — — 894 Total financial assets $3,163,275 $31,673 $2,445,252 $262,518 ($13,616) $2,725,827 Financial Liabilities Debt: Debt of consolidated trusts $2,973,973 $— $2,520,957 $703 $— $2,521,660 Debt of Freddie Mac 163,249 — 167,801 3,175 (7,512) 163,464 Total debt Various (4) 3,137,222 — 2,688,758 3,878 (7,512) 2,685,124 Guarantee obligations Amortized cost 5,813 — — 5,998 — 5,998 Derivative liabilities, net FV - NI 810 35 11,211 104 (10,540) 810 Non-derivative purchase and other commitments FV - NI 162 — 171 2,104 — 2,275 Total financial liabilities $3,144,007 $35 $2,700,140 $12,084 ($18,052) $2,694,207 (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 September 30, 2022, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $3.0 trillion, $5.8 billion, and $3.5 billion, respectively. (4) As of September 30, 2022, the GAAP carrying amounts measured at amortized cost and FV - NI were $3.1 trillion and $4.3 billion, respectively. December 31, 2021 GAAP Measurement Category (1) Carrying Amount Fair Value (In millions) Level 1 Level 2 Level 3 Netting Adjustments (2) Total Financial Assets Cash and cash equivalents Amortized cost $10,150 $10,150 $— $— $— $10,150 Securities purchased under agreements to resell Amortized cost 71,203 — 78,536 — (7,333) 71,203 Investment securities: Available-for-sale FV - OCI 4,012 — 2,726 1,286 — 4,012 Trading FV - NI 49,003 31,780 13,837 3,386 — 49,003 Total investment 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 of consolidated trusts $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. Table 13.7 - Difference between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected September 30, 2022 December 31, 2021 (In millions) Multifamily Multifamily Held-For-Sale Loans Debt of Freddie Mac Debt of Consolidated Trusts Multifamily Multifamily Held-For-Sale Loans Debt of Freddie Mac Debt of Consolidated Trusts Fair value ($150) $3,542 $968 $2,783 $127 $10,498 $1,252 $958 UPB N/A 3,961 956 2,993 N/A 10,224 1,220 958 Difference N/A ($419) $12 ($210) N/A $274 $32 $— Changes in Fair Value Under the Fair Value Option Election The table below presents the changes in fair value included in investment gains (losses), net, on our condensed consolidated statements of operations and comprehensive income (loss), related to items for which we have elected the fair value option. Table 13.8 - Changes in Fair Value Under the Fair Value Option Election 3Q 2022 3Q 2021 YTD 2022 YTD 2021 (In millions) Gains (Losses) Gains (Losses) Multifamily held-for-sale loans ($333) ($100) ($1,282) ($330) Multifamily held-for-sale loan purchase commitments (86) 423 (292) 960 Debt of Freddie Mac (18) 6 (44) 36 Debt of consolidated trusts 182 7 425 16 Changes in fair value attributable to instrument-specific credit risk were not material for the periods presented for assets or liabilities for which we elected the fair value option. |
Legal Contingencies
Legal Contingencies | 9 Months Ended |
Sep. 30, 2022 | |
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 may apply to Freddie Mac’s claims. In January 2022, in a related case, the Second Circuit reversed the District Court’s dismissal of certain class plaintiffs’ state law fraud claims on personal jurisdiction and statutes of limitations grounds. While Freddie Mac was not a party to that appeal, this ruling may 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. The court has established a process to determine the impact of the appellate decisions on the previously dismissed claims. 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 is a consolidated class action lawsuit filed by private individual and institutional investors (collectively, “Class Plaintiffs”) against FHFA, Fannie Mae, and Freddie Mac. Fairholme Funds, Inc., et al. v. FHFA, et al. This is an individual plaintiffs’ lawsuit filed by certain institutional investors (“Individual Plaintiffs”) against FHFA and its Director, Treasury, Fannie Mae, and Freddie Mac. Plaintiffs in each of the District of Columbia lawsuits filed an amended complaint on November 1, 2017 alleging claims for breach of contract, breach of the implied covenant of good faith and fair dealing, breach of fiduciary duties, and violation of Delaware and Virginia corporate law. Additionally, the Class Plaintiffs brought derivative claims against FHFA for breach of fiduciary duties and the Individual Plaintiffs brought claims under the Administrative Procedure Act. Both sets of claims are generally based on allegations that the net worth sweep dividend provisions of the senior preferred stock that were implemented pursuant to the August 2012 amendments nullified certain of the shareholders’ rights, including the rights to receive dividends and a liquidation preference. Class Plaintiffs and Individual Plaintiffs seek unspecified damages, equitable and injunctive relief, and costs and expenses, including attorneys’ fees. On January 10, 2018, FHFA and its Director, Fannie Mae, and Freddie Mac moved to dismiss the amended complaints. On September 28, 2018, the District Court dismissed all of the claims except those for breach of the implied covenant of good faith and fair dealing. 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. The parties filed motions for summary judgment on March 21, 2022 in both the In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations and the Fairholme Funds lawsuit. On September 23 and October 11, 2022, the District Court ruled on the motions for summary judgment and related matters. The rulings limited the Plaintiffs’ remaining damages theories to those based on the decline in Freddie Mac’s and Fannie Mae’s share value after the Third Amendment. The Plaintiffs have asserted losses based on the decline in value of Freddie Mac’s common and junior preferred stock from August 16 to August 17, 2012. During the trial, the Plaintiffs requested that the jury award $832 million plus pre-judgment interest as damages against Freddie Mac. The trial ran from October 17, 2022 through November 1, 2022, after which the jury began deliberations. The jury was not able to reach a unanimous verdict and on November 7, 2022 the judge declared a mistrial. We expect the court to set a new trial date. At this time, we do not believe the likelihood of loss is probable; therefore, we have not established an accrual in connection with these lawsuits. However, it is reasonably possible that the Plaintiffs could prevail in this matter and, if so, we may incur a loss up to $832 million plus pre-judgment interest as discussed above. 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 final resolution of the Fairholme Funds appeals discussed below. 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 remained. 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 and, on February 22, 2022, held that all of the plaintiffs' claims should be dismissed. On July 22, 2022, plaintiffs filed a petition for writ of certiorari with the U.S. Supreme Court seeking review of the Federal Circuit's decision. 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 final resolution of the Fairholme Funds appeals discussed in the paragraph immediately above. 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 resolution of any appeals) 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 matters pending in the U.S. Court of Federal Claims due to a number of factors, including the inherent uncertainty of litigation. |
Regulatory Capital
Regulatory Capital | 9 Months Ended |
Sep. 30, 2022 | |
Compliance with Regulatory Capital Requirements - ERCF [Abstract] | |
Regulatory Capital | Regulatory Capital ERCF 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 has established the ERCF as a new enterprise regulatory capital framework for Freddie Mac and Fannie Mae. Our current capital levels are significantly below the levels that would be required under the ERCF. The ERCF has a transition period for compliance, and we are not required to comply with the regulatory capital requirements or the buffer requirements while in conservatorship. 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 transition order, and the compliance date for buffer requirements in the ERCF will be the date of termination of our conservatorship. Pursuant to the final rule, we are required to comply with the regulatory capital reporting requirements under the ERCF in 2022, and we filed with FHFA our initial quarterly capital report on May 27, 2022. The ERCF establishes risk-based and leverage capital requirements and includes supplemental capital requirements relating to the amount and form of the capital we hold, based largely on definitions of capital used in U.S. banking regulators' regulatory capital framework. The ERCF capital requirements contain both statutory capital elements (total capital and core capital) and regulatory capital elements (CET1 capital, Tier 1 capital, and adjusted total capital). The ERCF also includes a requirement that we hold prescribed capital buffers that can be drawn down in periods of financial stress and then rebuilt over time as economic conditions improve. If we fall below the prescribed buffer amounts, we must restrict capital distributions such as stock repurchases and dividends, as well as discretionary bonus payments to executives, until the buffer amounts are restored. Risk-Based Capital Requirements Under the ERCF risk-based capital requirements, we must maintain our CET1 capital, Tier 1 capital, and adjusted total capital ratios equal to at least 4.5%, 6%, and 8%, respectively, of risk-weighted assets. We must also maintain statutory total capital equal to at least 8% of risk-weighted assets. To avoid limits on capital distributions and discretionary bonus payments, we also must maintain CET1 capital that exceeds the risk-based capital requirements by at least the amount of the prescribed capital conservation buffer amount (PCCBA). Leverage Capital Requirements Capital Metrics The table below presents our capital metrics under the ERCF. Table 15.1 - ERCF Available Capital and Capital Requirements (In billions) September 30, 2022 Adjusted total assets $3,695 Risk-weighted assets (standardized approach) 855 September 30, 2022 (Dollars in billions) Minimum Capital Requirement (Including Buffer (1) ) Available Risk-based capital amounts: Total capital (statutory) (2) $68 $68 ($30) CET1 capital (3) 38 88 (57) Tier 1 capital (3) 51 101 (43) Adjusted total capital (3) 68 118 (43) Risk-based capital ratios (4) : Total capital (statutory) 8.0 % 8.0 % (3.5) % CET1 capital 4.5 10.3 (6.7) Tier 1 capital 6.0 11.8 (5.0) Adjusted total capital 8.0 13.8 (5.0) Leverage capital amounts: Core capital (statutory) (5) $92 $92 ($37) Tier 1 capital (3) 92 103 (43) Leverage capital ratios (6) : Core capital (statutory) 2.5 % 2.5 % (1.0) % Tier 1 capital 2.5 2.8 (1.2) (1) PCCBA for risk-based capital and PLBA for leverage capital. (2) Total capital is equal to core capital plus certain allowances for credit losses. (3) Regulatory capital amounts exclude senior preferred stock, deferred tax assets arising from temporary differences that exceed 10% of CET1 capital, and certain other items. (4) As a percentage of risk-weighted assets. (5) 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. (6) As a percentage of adjusted total assets. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2022 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The accompanying unaudited condensed consolidated financial statements have been prepared in accordance with GAAP and include our accounts as well as the accounts of other entities in which we have a controlling financial interest. All intercompany balances and transactions have been eliminated. We are operating under the basis that we will realize assets and satisfy liabilities in the normal course of business as a going concern and in accordance with the authority provided by FHFA to our Board of Directors to oversee management's conduct of our business operations. In the opinion of management, our unaudited consolidated financial statements contain all adjustments, which include only normal recurring adjustments, necessary for a fair statement of our results. We have reclassified certain amounts within non-interest expense in our condensed consolidated statement of operations to better present the significant drivers of our non-interest expense activity. Prior period amounts have been reclassified to conform to the current period presentation. These reclassifications did not change the total amounts of non-interest expense, net income, or comprehensive income in any period presented. |
Use of Estimates | Use of Estimates The preparation of our condensed consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses, and disclosure of contingent assets and liabilities at the date of the financial statements. Management has made significant estimates to report the allowance for credit losses on single-family mortgage loans. Actual results could be different from these estimates. |
Other Significant Accounting Policies | Recently Issued Accounting Guidance Recently Adopted Accounting Guidance Standard Description Date of Effect on Consolidated Financial Statements ASU 2021-04, Earnings Per Share (Topic 260), Debt-Modifications and Extinguishments (Subtopic 470-50), Compensation-Stock Compensation (Topic 718), and Derivatives and Hedging-Contracts in Entity's Own Equity (Subtopic 815-40): Issuer's Accounting for Certain Modifications or Exchanges of Freestanding Equity-Classified Written Call Options The amendments in this Update require issuers to account for modifications or exchanges of freestanding equity-classified written call options based on the reason for the modification or exchange, to issue equity, to issue or modify debt, or for other reasons. January 1, 2022 The adoption of the amendments did not have a material effect on our consolidated financial statements. ASU 2022-02, Financial Instruments—Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures The amendments in this Update eliminate the recognition and measurement guidance related to TDRs in ASC Subtopic 310-40 for entities that have adopted ASC Topic 326. The amendments in this Update also require disclosure of current period gross write-offs by year of origination for financing receivables within the scope of ASC Subtopic 326-20. January 1, 2022 for the amendments related to the elimination of the recognition and measurement of TDRs; We elected to early adopt the amendments related to the elimination of the recognition and measurement of TDRs on January 1, 2022 on a prospective basis. This change did not have a material effect on our consolidated financial statements. See Note 3 for additional information on the adoption of these amendments and the new required disclosures. We do not expect the adoption of the amendments related to disclosure of gross write-offs by year of origination to have a material effect on our consolidated financial statements. Recently Issued Accounting Guidance, Not Yet Adopted Within Our Consolidated Financial Statements Standard Description Date of Effect on Consolidated Financial Statements ASU 2022-01, Derivatives and Hedging (Topic 815): Fair Value Hedging - Portfolio Layer Method The amendments in this Update provide clarifications of the guidance in ASC Topic 815 on fair value hedge accounting of interest rate risk for portfolios of financial assets. The ASU amends the guidance in ASU 2017-12 that, among other things, establishes the "last-of-layer" method for making the fair value hedge accounting for these portfolios more accessible by allowing the entities to apply the portfolio layer method to portfolios of all financial assets, including both prepayable and nonprepayable financial assets. January 1, 2023 We do not expect the adoption of these amendments to have a material effect on our consolidated financial statements. |
Loan Restructurings | Loan Restructurings In 1Q 2022, we adopted accounting guidance in ASU 2022-02 that eliminates the recognition and measurement of TDRs. Upon adoption of this guidance, we no longer measure an allowance for credit losses for TDRs we reasonably expect will occur, and we evaluate all loan restructurings according to the accounting guidance for loan refinancing and restructuring to determine whether the restructuring should be accounted for as a new loan or a continuation of the existing loan. We derecognize the existing loan and account for the restructured loan as a new loan if the effective yield on the restructured loan is at least equal to the effective yield for comparable loans with similar collection risks and the modifications to the original loan are more than minor. If a loan restructuring does not meet these conditions, we carryforward the existing loan’s amortized cost basis and account for the restructured loan as a continuation of the existing loan. Substantially all of our loan restructurings involving borrowers experiencing financial difficulty are accounted for as a continuation of the existing loan. The discounted cash flow model we use in measuring our Single-Family allowance for credit losses forecasts cash flows we expect to collect using our historical experience, including the effects of our loss mitigation activities involving borrowers experiencing financial difficulty. When we account for a loan restructuring as a continuation of the existing loan, we update the loan’s effective interest rate based on the restructured terms and recognize interest income prospectively using the new effective rate. We also update the prepayment-adjusted effective interest rate used to discount cash flows in measuring our allowance for credit losses to reflect the loan’s restructured terms. As a result, subsequent to our adoption of the accounting guidance that eliminates the recognition and measurement of TDRs, we no longer recognize an allowance for credit losses for the economic concession granted to a borrower for changes in the timing and amount of contractual cash flows when a loan is restructured. However, because we adopted such guidance prospectively, we continue to use the loan's prepayment-adjusted effective interest rate just prior to the restructuring for loans that were restructured and accounted for as TDRs prior to our adoption of the guidance and that have not been subsequently modified after our adoption of the guidance. As a result, we continue to measure an allowance for credit losses for the economic concession granted to a borrower for changes in the timing and amount of contractual cash flows for such loans. |
Hedge Accounting | We apply fair value hedge accounting to certain single-family mortgage loans and certain issuances of debt where we hedge the changes in fair value of these items attributable to the designated benchmark interest rate, using interest-rate swaps. |
Fair Value of Financial Instruments | 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. |
Securitization Activities and_2
Securitization Activities and Consolidation (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Table - Schedule of Various Interest Entities | The following table presents the carrying amounts and classification of the assets and liabilities recorded on our condensed 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 2.1 - Nonconsolidated VIEs (In millions) September 30, 2022 December 31, 2021 Assets and Liabilities Recorded on our Condensed Consolidated Balance Sheets (1) Assets: Investment securities, at fair value $14,685 $16,506 Accrued interest receivable, net 206 220 Other assets (2) 5,279 5,589 Liabilities: Debt 146 67 Other liabilities (2) 5,885 5,172 (1) Includes our variable interests in REMICs, Strips, commingled Supers, K Certificates, SB Certificates, certain senior subordinate securitization structures, and other securitization products that we do not consolidate. (2) Includes our guarantee asset in other assets and our guarantee obligation in other liabilities. The table below presents total assets and the maximum exposure to loss of the VIEs for which we are not the primary beneficiary and therefore do not consolidate. Table 2.2 - Total Assets and Maximum Exposure to Loss for our Nonconsolidated VIEs (1) September 30, 2022 December 31, 2021 (In millions) Total Assets Maximum Exposure (2) Total Assets Maximum Exposure (2) Securitization Activities Single-Family: Other securitization products (3) $32,116 $26,504 $33,603 $27,975 Multifamily: K Certificates 323,309 285,876 321,149 281,910 SB Certificates 24,280 21,726 24,944 22,389 Other securitization products 15,276 13,426 16,683 14,772 CRT Activities 32,651 76 23,605 44 (1) Excludes resecuritization products. (2) For securitization activities, the maximum exposure primarily 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 CRT activities, the maximum exposure represents our recorded expected recovery receivable. (3) Total assets excludes certain nonfinancial assets held by the VIEs. |
Mortgage Loans (Tables)
Mortgage Loans (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Table - Mortgage Loans | The table below provides details of the loans on our condensed consolidated balance sheets. Table 3.1 - Mortgage Loans September 30, 2022 December 31, 2021 (In millions) Single-Family Multifamily Total Single-Family Multifamily Total Held-for-sale UPB $3,722 $6,800 $10,522 $5,446 $14,871 $20,317 Cost basis and fair value adjustments, net (721) (436) (1,157) (813) 274 (539) Total held-for-sale loans, net 3,001 6,364 9,365 4,633 15,145 19,778 Held-for-investment UPB 2,926,244 35,788 2,962,032 2,742,851 26,657 2,769,508 Cost basis adjustments 42,751 76 42,827 63,684 86 63,770 Allowance for credit losses (6,802) (49) (6,851) (4,913) (34) (4,947) Total held-for-investment loans, net 2,962,193 35,815 2,998,008 2,801,622 26,709 2,828,331 Total mortgage loans, net $2,965,194 $42,179 $3,007,373 $2,806,255 $41,854 $2,848,109 The table below provides details of the UPB of loans we purchased and sold during the periods presented. Table 3.2 - Loans Purchased and Sold (In millions) 3Q 2022 3Q 2021 YTD 2022 YTD 2021 Single-Family: Purchases: Held-for-investment loans $121,215 $297,554 $465,815 $945,222 Sales of held-for-sale loans (1) 537 928 1,981 3,965 Multifamily: Purchases: Held-for-investment loans 5,617 2,959 11,139 5,879 Held-for-sale loans 8,835 13,744 32,474 37,580 Sales of held-for-sale loans (2) 11,475 13,390 40,666 52,221 (1) Our sales of single-family loans reflect the sale of single-family seasoned loans. (2) Our sales of multifamily loans occur primarily through the issuance of Multifamily K Certificates 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 3.3 - Loan Reclassifications 3Q 2022 3Q 2021 (In millions) UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed Single-Family reclassifications from: Held-for-investment to held-for-sale $361 $10 $— $388 $19 $— Held-for-sale to held-for-investment (1) 30 (3) 2 81 4 — Multifamily reclassifications from: Held-for-investment to held-for-sale 188 — — 445 — — Held-for-sale to held-for-investment — — — — — — Referenced footnote is included after the year-to-date table. YTD 2022 YTD 2021 (In millions) UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed Single-family reclassifications from: Held-for-investment to held-for-sale $934 $20 $— $1,358 $54 $— Held-for-sale to held-for-investment (1) 167 (10) 5 183 13 — Multifamily reclassifications from: Held-for-investment to held-for-sale 889 1 — 2,175 6 — Held-for-sale to held-for-investment 285 — — 21 — — |
Table - 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 period end. Table 3.4 - Amortized Cost Basis of Held-for-Investment Loans on Non-Accrual Non-Accrual Amortized Cost Basis Interest Income Recognized (1) (In millions) June 30, 2022 September 30, 2022 3Q 2022 YTD 2022 Single-Family: 20- and 30-year or more, amortizing fixed-rate $11,021 $9,462 $37 $121 15-year or less, amortizing fixed-rate 562 457 1 4 Adjustable-rate and other 435 396 1 4 Total Single-Family 12,018 10,315 39 129 Total Multifamily 42 42 — — Total Single-Family and Multifamily $12,060 $10,357 $39 $129 Non-Accrual Amortized Cost Basis Interest Income Recognized (1) (In millions) June 30, 2021 September 30, 2021 3Q 2021 YTD 2021 Single-Family: 20- and 30-year or more, amortizing fixed-rate $19,431 $17,524 $35 $115 15-year or less, amortizing fixed-rate 914 862 1 4 Adjustable-rate and other 879 818 2 6 Total Single-Family 21,224 19,204 38 125 Total Multifamily — — — — Total Single-Family and Multifamily $21,224 $19,204 $38 $125 (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 condensed consolidated balance sheets and the amount of accrued interest receivable related to loans on non-accrual status at the end of the periods that was charged off. Table 3.5 - Accrued Interest Receivable, Net and Related Charge-Offs Accrued Interest Receivable, Net Accrued Interest Receivable Related Charge-Offs (In millions) September 30, 2022 December 31, 2021 3Q 2022 3Q 2021 YTD 2022 YTD 2021 Single-Family loans $7,752 $7,065 ($47) ($222) ($192) ($507) Multifamily loans 142 125 — — — — |
Table - Amortized Cost Basis of Held-For-Investment Mortgage Loans, by Credit Quality Indicator and Vintage | 60 to 80 145,978 426,339 183,723 28,502 7,845 10,671 803,058 > 80 to 90 61,350 86,815 3,898 546 148 459 153,216 > 90 to 100 61,850 5,333 383 52 22 155 67,795 > 100 213 5 1 3 5 173 400 Total 20- and 30-year or more, amortizing fixed-rate 329,472 931,012 696,106 119,531 48,335 430,526 2,554,982 15-year or less, amortizing fixed-rate ≤ 60 15,657 120,897 112,740 15,175 5,847 72,814 343,130 > 60 to 80 12,244 24,272 2,994 167 20 20 39,717 > 80 to 90 1,350 449 8 — 1 2 1,810 > 90 to 100 488 5 — — — 1 494 > 100 — — — — — 2 2 Total 15-year or less, amortizing fixed-rate 29,739 145,623 115,742 15,342 5,868 72,839 385,153 Adjustable-rate and other ≤ 60 1,110 2,918 1,585 665 452 15,889 22,619 > 60 to 80 2,004 1,954 208 75 29 436 4,706 > 80 to 90 778 169 4 1 1 36 989 > 90 to 100 517 7 — — — 13 537 > 100 1 — — — — 8 9 Total adjustable-rate and other 4,410 5,048 1,797 741 482 16,382 28,860 Total Single-Family loans $363,621 $1,081,683 $813,645 $135,614 $54,685 $519,747 $2,968,995 Total for all loan product types by current LTV ratio: ≤ 60 $76,848 $536,335 $622,426 $106,268 $46,614 $507,771 $1,896,262 > 60 to 80 160,226 452,565 186,925 28,744 7,894 11,127 847,481 > 80 to 90 63,478 87,433 3,910 547 150 497 156,015 > 90 to 100 62,855 5,345 383 52 22 169 68,826 > 100 214 5 1 3 5 183 411 Total Single-Family loans $363,621 $1,081,683 $813,645 $135,614 $54,685 $519,747 $2,968,995 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 or less, 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 or less, amortizing fixed-rate 150,640 130,903 18,478 7,302 13,660 78,045 399,028 Adjustable-rate and other ≤ 60 2,054 1,554 727 543 1,657 17,517 24,052 > 60 to 80 2,435 535 209 90 190 795 4,254 > 80 to 90 417 16 6 3 4 66 512 > 90 to 100 116 — — — — 30 146 > 100 1 — — — — 18 19 Total adjustable-rate and other 5,023 2,105 942 636 1,851 18,426 28,983 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 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 3.7 - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator and Vintage September 30, 2022 Year of Origination Total (In millions) 2022 2021 2020 2019 2018 Prior Revolving Loans Category: Pass $9,381 $7,852 $6,576 $5,177 $939 $3,108 $2,046 $35,079 Special mention — 39 65 443 7 56 — 610 Substandard — — 31 60 4 80 — 175 Doubtful — — — — — — — — Total $9,381 $7,891 $6,672 $5,680 $950 $3,244 $2,046 $35,864 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 " id="sjs-B6" xml:space="preserve">The table below presents the amortized cost basis of single-family held-for-investment loans by current LTV ratio. Our current LTV ratios are estimates based on available data through the end of each period presented. For reporting purposes: n Alt-A loans continue to be presented in the "adjustable-rate and other" category following modification, even though the borrower may have provided full documentation of assets and income to complete the modification and n Option ARM loans continue to be presented in the "adjustable-rate and other" category following modification, even though the modified loan no longer provides for optional payment provisions. Table 3.6 - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratio and Vintage September 30, 2022 Year of Origination Total (In millions) 2022 2021 2020 2019 2018 Prior Current LTV ratio: 20- and 30-year or more, amortizing fixed-rate ≤ 60 $60,081 $412,520 $508,101 $90,428 $40,315 $419,068 $1,530,513 > 60 to 80 145,978 426,339 183,723 28,502 7,845 10,671 803,058 > 80 to 90 61,350 86,815 3,898 546 148 459 153,216 > 90 to 100 61,850 5,333 383 52 22 155 67,795 > 100 213 5 1 3 5 173 400 Total 20- and 30-year or more, amortizing fixed-rate 329,472 931,012 696,106 119,531 48,335 430,526 2,554,982 15-year or less, amortizing fixed-rate ≤ 60 15,657 120,897 112,740 15,175 5,847 72,814 343,130 > 60 to 80 12,244 24,272 2,994 167 20 20 39,717 > 80 to 90 1,350 449 8 — 1 2 1,810 > 90 to 100 488 5 — — — 1 494 > 100 — — — — — 2 2 Total 15-year or less, amortizing fixed-rate 29,739 145,623 115,742 15,342 5,868 72,839 385,153 Adjustable-rate and other ≤ 60 1,110 2,918 1,585 665 452 15,889 22,619 > 60 to 80 2,004 1,954 208 75 29 436 4,706 > 80 to 90 778 169 4 1 1 36 989 > 90 to 100 517 7 — — — 13 537 > 100 1 — — — — 8 9 Total adjustable-rate and other 4,410 5,048 1,797 741 482 16,382 28,860 Total Single-Family loans $363,621 $1,081,683 $813,645 $135,614 $54,685 $519,747 $2,968,995 Total for all loan product types by current LTV ratio: ≤ 60 $76,848 $536,335 $622,426 $106,268 $46,614 $507,771 $1,896,262 > 60 to 80 160,226 452,565 186,925 28,744 7,894 11,127 847,481 > 80 to 90 63,478 87,433 3,910 547 150 497 156,015 > 90 to 100 62,855 5,345 383 52 22 169 68,826 > 100 214 5 1 3 5 183 411 Total Single-Family loans $363,621 $1,081,683 $813,645 $135,614 $54,685 $519,747 $2,968,995 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 or less, 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 or less, amortizing fixed-rate 150,640 130,903 18,478 7,302 13,660 78,045 399,028 Adjustable-rate and other ≤ 60 2,054 1,554 727 543 1,657 17,517 24,052 > 60 to 80 2,435 535 209 90 190 795 4,254 > 80 to 90 417 16 6 3 4 66 512 > 90 to 100 116 — — — — 30 146 > 100 1 — — — — 18 19 Total adjustable-rate and other 5,023 2,105 942 636 1,851 18,426 28,983 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 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 3.7 - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator and Vintage September 30, 2022 Year of Origination Total (In millions) 2022 2021 2020 2019 2018 Prior Revolving Loans Category: Pass $9,381 $7,852 $6,576 $5,177 $939 $3,108 $2,046 $35,079 Special mention — 39 65 443 7 56 — 610 Substandard — — 31 60 4 80 — 175 Doubtful — — — — — — — — Total $9,381 $7,891 $6,672 $5,680 $950 $3,244 $2,046 $35,864 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 |
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. Table 3.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status September 30, 2022 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure (1) Total Three Months or More Past Due, and Accruing Interest Non-accrual With No Allowance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate $2,523,119 $16,055 $3,657 $12,151 $2,554,982 $3,067 $546 15-year or less, amortizing fixed-rate 383,084 1,233 223 613 385,153 170 10 Adjustable-rate and other 28,080 291 79 410 28,860 32 78 Total Single-Family 2,934,283 17,579 3,959 13,174 2,968,995 3,269 634 Total Multifamily 35,819 3 — 42 35,864 — 42 Total Single-Family and Multifamily $2,970,102 $17,582 $3,959 $13,216 $3,004,859 $3,269 $676 December 31, 2021 (In millions) Current One Two 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 $2,338,076 $14,833 $3,214 $22,401 $2,378,524 $5,784 $857 15-year or less, amortizing fixed-rate 396,030 1,550 230 1,218 399,028 392 13 Adjustable-rate and other 27,752 280 89 862 28,983 95 102 Total Single-Family 2,761,858 16,663 3,533 24,481 2,806,535 6,271 972 Total Multifamily 26,743 — — — 26,743 — — Total Single-Family and Multifamily $2,788,601 $16,663 $3,533 $24,481 $2,833,278 $6,271 $972 Referenced footnotes are on the next page. (1) Includes $1.5 billion and $0.7 billion of single-family loans that were in the process of foreclosure as of September 30, 2022 and December 31, 2021, 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 - Loan Restructuring | The table below presents the amortized cost basis of single-family held-for-investment loan restructurings involving borrowers experiencing financial difficulty that we entered into during the periods presented. Table 3.9 - Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty (1) 3Q 2022 (Dollars in millions) Payment Delay (2) Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Total as % of Class of Financing Receivable (3) Single-Family: 20- and 30-year or more, amortizing fixed-rate $6,435 $750 $1,254 $8,439 0.3 % 15-year or less, amortizing fixed-rate 381 24 6 411 0.1 Adjustable-rate and other 98 12 22 132 0.5 Total Single-Family loan restructurings $6,914 $786 $1,282 $8,982 0.3 YTD 2022 (Dollars in millions) Payment Delay (2) Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Total as % of Class of Financing Receivable (3) Single-Family: 20- and 30-year or more, amortizing fixed-rate $18,207 $1,868 $6,554 $26,629 1.0 % 15-year or less, amortizing fixed-rate 1,130 24 6 1,160 0.3 Adjustable-rate and other 357 32 105 494 1.7 Total Single-Family loan restructurings $19,694 $1,924 $6,665 $28,283 1.0 (1) Type of loan restructurings reflects the cumulative effects of the loan restructurings received during the period. Includes loan modifications in the period in which the borrower completes the trial period and the loan is permanently modified. (2) Includes $2.8 billion and $10.8 billion related to payment deferral plans for 3Q 2022 and YTD 2022, respectively. Also includes forbearance plans, repayment plans, and loan modifications that only involve payment delays. (3) Based on the amortized cost basis as of period end, divided by the total period-end amortized cost basis of the corresponding financing receivable class of single-family held-for-investment loans. The table below shows the financial effect of single-family held-for-investment loan restructurings involving borrowers experiencing financial difficulty that we entered into during the periods presented. Table 3.10 – Financial Effects of Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty (1) 3Q 2022 (Dollars in thousands) Weighted-Average Interest Rate Reduction Weighted-Average Months of Term Extension Weighted-Average Payment Deferral or Principal Forbearance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate 1.1 % 183 $19 15-year or less, amortizing fixed-rate 0.6 366 21 Adjustable-rate and other 1.9 221 20 Referenced footnotes are included after the year-to-date table. YTD 2022 (Dollars in thousands) Weighted-Average Interest Rate Reduction Weighted-Average Months of Term Extension Weighted-Average Payment Deferral or Principal Forbearance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate 1.4 % 187 $22 15-year or less, amortizing fixed-rate 0.6 366 24 Adjustable-rate and other 2.3 225 26 (1) Averages are based on payment deferral plans and loan modifications completed during the periods presented. The financial effects of forbearance plans and repayment plans consist of a payment delay of between one and twelve months. In addition, the financial effect of a forbearance plan is included at the time the forbearance plan is completed if the borrower exits forbearance by entering into a payment deferral plan or loan modification. (2) Primarily related to payment deferral plans. Amounts are based on non-interest-bearing principal balances on the restructured loans. The following table provides the amortized cost basis of single-family held-for-investment loans restructured during YTD 2022 involving borrowers experiencing financial difficulty that subsequently defaulted (i.e., loans that became two months delinquent) during the periods presented. Table 3.11 - Subsequent Defaults of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty (1) 3Q 2022 (In millions) Payment Delay Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Single-Family: 20- and 30-year or more, amortizing fixed-rate $483 $53 $140 $676 15-year or less, amortizing fixed-rate 28 — — 28 Adjustable-rate and other 9 1 1 11 Total Single-Family $520 $54 $141 $715 YTD 2022 (In millions) Payment Delay Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Single-Family: 20- and 30-year or more, amortizing fixed-rate $1,194 $94 $216 $1,504 15-year or less, amortizing fixed-rate 67 — — 67 Adjustable-rate and other 31 3 3 37 Total Single-Family $1,292 $97 $219 $1,608 (1) Excludes forbearance plans and repayment plans as borrowers are typically past due based on the loan's original contractual terms at the time the borrowers enter into these plans. Table 3.12 - Payment Status of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty September 30, 2022 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due Total Single-Family: 20- and 30-year or more, amortizing fixed-rate $17,282 $2,289 $1,535 $5,523 $26,629 15-year or less, amortizing fixed-rate 696 107 81 276 1,160 Adjustable-rate and other 303 30 23 138 494 Total Single-Family $18,281 $2,426 $1,639 $5,937 $28,283 |
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 3.13 - Single-Family TDR Modification Metrics 3Q 2021 YTD 2021 Percentage of single-family loan modifications that were classified as TDRs with: Interest rate reductions and related term extensions 12 % 13 % Principal forbearance and related interest rate reductions and term extensions 34 35 Average coupon interest rate reduction 0.4 % 0.4 % Average months of term extension 154 151 |
Table - TDR Activity | The table below presents the volume of single-family and multifamily loans that were newly classified as TDRs during the periods presented. 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 3.14 - TDR Activity 3Q 2021 YTD 2021 (Dollars in millions) Number of Loans Post-TDR Amortized Cost Basis Number of Loans Post-TDR Single-Family: (1)(2) 20- and 30-year or more, amortizing fixed-rate 3,136 $562 10,647 $1,889 15-year or less, amortizing fixed-rate 365 37 1,262 131 Adjustable-rate and other 146 24 553 82 Total Single-Family 3,647 623 12,462 2,102 Multifamily — — — — (1) The pre-TDR amortized cost basis for single-family loans initially classified as TDRs during 3Q 2021 and YTD 2021 was $0.6 billion and $2.1 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 periods presented and had completed a modification during the year preceding the payment default. Table 3.15 - Payment Defaults of Completed TDR Modifications 3Q 2021 YTD 2021 (Dollars in millions) Number of Loans Post-TDR Amortized Cost Basis Number of Loans Post-TDR Amortized Cost Basis Single-Family: 20- and 30-year or more, amortizing fixed-rate 595 $103 2,408 $425 15-year or less, amortizing fixed-rate 15 2 101 11 Adjustable-rate and other 70 10 307 48 Total Single-Family 680 115 2,816 484 Multifamily — — — — |
Guarantees and Other Off-Bala_2
Guarantees and Other Off-Balance Sheet Credit Exposures (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Guarantees [Abstract] | |
Table - Financial Guarantees | The table below shows our maximum exposure, recognized liability, and maximum remaining term of our guarantees to nonconsolidated VIEs and other third parties. This table does not include certain of our unrecognized guarantees, such as guarantees to consolidated VIEs or to resecuritization trusts that do not expose us to incremental credit risk. The maximum exposure disclosed in the table is not representative of the actual loss we are likely to incur, based on our historical loss experience and after consideration of proceeds from collateral liquidation, including possible credit enhancement recoveries. Table 4.1 - Financial Guarantees September 30, 2022 December 31, 2021 ( Dollars in millions , terms in years) Maximum (1) Recognized (2) Maximum Maximum (1) Recognized (2) Maximum Single-Family: Securitization activity guarantees $26,504 $395 40 $27,975 $398 39 Other mortgage-related guarantees 9,692 214 30 10,588 251 30 Guarantees of Fannie Mae securities 122,576 — 39 111,150 — 40 Total Single-Family $158,772 $609 $149,713 $649 Multifamily: Securitization activity guarantees $318,924 $4,826 38 $317,006 $4,663 38 Other mortgage-related guarantees 10,263 378 32 10,456 404 32 Total Multifamily $329,187 $5,204 $327,462 $5,067 Other guarantees: Written options $45,410 $2,005 9 $34,861 $1,596 10 CRT-related derivatives 39,434 130 30 33,188 35 30 Other 5,727 445 30 1,750 21 29 Total other guarantees $90,571 $2,580 $69,799 $1,652 (1) The maximum exposure represents the contractual amounts that could be lost if counterparties or borrowers defaulted, without consideration of proceeds from collateral liquidation, including possible credit enhancement recoveries. For other guarantees, this amount primarily represents the notional amount 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. The table below shows the payment status of the mortgage loans underlying our guarantees that are not measured at fair value. Table 4.2 – UPB of Loans Underlying Our Guarantees by Payment Status September 30, 2022 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure Total (1) Single-Family $36,983 $1,951 $729 $2,023 $41,686 Multifamily 370,636 47 67 426 371,176 Total $407,619 $1,998 $796 $2,449 $412,862 December 31, 2021 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure Total (1) Single-Family $38,964 $2,040 $692 $2,341 $44,037 Multifamily 370,541 47 7 317 370,912 Total $409,505 $2,087 $699 $2,658 $414,949 (1) Loan-level payment status is not available for certain guarantees totaling $0.2 billion and $0.4 billion as of September 30, 2022 and December 31, 2021, respectively, and therefore is not included in the table above. |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Credit Loss [Abstract] | |
Table - Details of the Allowance for Credit Losses | The table below summarizes changes in our allowance for credit losses. Table 5.1 - Details of the Allowance for Credit Losses 3Q 2022 3Q 2021 YTD 2022 YTD 2021 (In millions) Single-Family Multi-family Total Single-Family Multi-family Total Single-Family Multi-family Total Single-Family Multi-family Total Beginning balance $5,342 $81 $5,423 $5,513 $96 $5,609 $5,440 $78 $5,518 $6,353 $200 $6,553 Provision (benefit) for credit losses 1,784 12 1,796 (244) 1 (243) 1,251 15 1,266 (1,076) (103) (1,179) Charge-offs (108) — (108) (288) — (288) (388) — (388) (729) — (729) Recoveries collected 29 — 29 43 — 43 124 — 124 150 — 150 Other (1) 168 — 168 268 — 268 788 — 788 594 — 594 Ending balance $7,215 $93 $7,308 $5,292 $97 $5,389 $7,215 $93 $7,308 $5,292 $97 $5,389 Components of the ending balance of the allowance for credit losses: Mortgage loans held-for-investment $6,802 $49 $6,851 $4,490 $41 $4,531 Advances of pre-foreclosure costs 354 — 354 592 — 592 Accrued interest receivable on mortgage loans 6 — 6 157 — 157 Off-balance sheet credit exposures 53 44 97 53 56 109 Total ending balance $7,215 $93 $7,308 $5,292 $97 $5,389 (1) Primarily includes capitalization of past due interest related to non-accrual loans that receive payment deferral plans and loan modifications. |
Investment Securities (Tables)
Investment Securities (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Table - Investment Securities | The table below summarizes the fair values of our investments in debt securities by classification. Table 6.1 - Investment Securities (In millions) September 30, 2022 December 31, 2021 Trading securities $37,221 $49,003 Available-for-sale securities 6,049 4,012 Total fair value of investment securities $43,270 $53,015 |
Table - Trading Securities | The table below presents the fair values of our trading securities by major security type. Our non-mortgage-related securities primarily consist of investments in U.S. Treasury securities. Table 6.2 - Trading Securities (In millions) September 30, 2022 December 31, 2021 Mortgage-related securities $10,651 $16,231 Non-mortgage-related securities 26,570 32,772 Total fair value of trading securities $37,221 $49,003 |
Table - Available-For-Sale Securities | The table below provides details of the securities classified as available-for-sale on our condensed consolidated balance sheets. Table 6.3 - Available-for-Sale Securities Amortized Gross Unrealized Gains in Other Comprehensive Income Gross Unrealized Fair Value Accrued Interest Receivable (In millions) September 30, 2022 $6,150 $192 ($293) $6,049 $14 December 31, 2021 3,638 376 (2) 4,012 10 |
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 sales of available-for-sale securities. Table 6.4 - Gross Realized Gains and Gross Realized Losses from Sales of Available-for-Sale Securities (In millions) 3Q 2022 3Q 2021 YTD 2022 YTD 2021 Gross realized gains $33 $14 $34 $534 Gross realized losses (3) (4) (7) (57) Net realized gains (losses) $30 $10 $27 $477 |
Debt (Tables)
Debt (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Debt Disclosure [Abstract] | |
Table - Total Debt | The table below summarizes the balances of total debt on our condensed consolidated balance sheets Table 7.1 - Total Debt (In millions) September 30, 2022 December 31, 2021 Debt of consolidated trusts $2,973,973 $2,803,054 Debt of Freddie Mac: Short-term debt 11,902 — Long-term debt 151,347 177,131 Total debt of Freddie Mac 163,249 177,131 Total debt $3,137,222 $2,980,185 |
Table - Debt of Consolidated Trusts | The table below summarizes the debt of consolidated trusts based on underlying loan product type. Table 7.2 - Debt of Consolidated Trusts September 30, 2022 December 31, 2021 (Dollars in millions) Contractual Maturity UPB Carrying Amount (1) Weighted Average Coupon (2) Contractual Maturity UPB Carrying Amount (1) Weighted Average Coupon (2) Single-Family (3) : 20- and 30-year or more, fixed-rate 2022 - 2061 $2,489,938 $2,535,520 2.71 % 2022 - 2061 $2,297,650 $2,358,397 2.62 % 15-year or less, fixed-rate 2022 - 2037 378,630 385,588 2.13 2022 - 2037 390,320 399,647 2.13 Adjustable-rate and other 2022 - 2052 23,520 24,152 2.73 2022 - 2052 24,248 24,921 2.31 Total Single-Family 2,892,088 2,945,260 2,712,218 2,782,965 Multifamily 2022 - 2052 28,957 28,713 2.52 2022 - 2051 19,838 20,089 2.17 Total debt of consolidated trusts $2,921,045 $2,973,973 $2,732,056 $2,803,054 (1) Includes $3.1 billion and $1.1 billion as of September 30, 2022 and December 31, 2021, respectively, of debt of consolidated trusts that represents the fair value of debt for which the fair value option was elected. (2) The effective interest rate for debt of consolidated trusts was 2.23% and 1.71% as of September 30, 2022 and December 31, 2021, respectively. (3) Prior period was revised to conform to the current period presentation. |
Table - Total Debt of Freddie Mac | The table below summarizes the balances and effective interest rates for debt of Freddie Mac. Table 7.3 - Total Debt of Freddie Mac September 30, 2022 December 31, 2021 (Dollars in millions) Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Par Value Carrying Amount (1) Weighted Average Effective Rate (2) Short-term debt: Discount notes and Reference Bills $11,020 $11,012 2.51 % $— $— — % Medium-term notes 890 890 1.81 — — — Securities sold under agreements to repurchase 7,512 7,512 2.06 7,333 7,333 (0.10) Offsetting arrangements (3) (7,512) (7,512) (7,333) (7,333) Total short-term debt 11,910 11,902 2.46 — — — Long-term debt: Original maturities on or before December 31, 2022 4,990 4,996 0.25 48,625 48,641 0.18 2023 40,937 40,914 0.59 38,688 38,644 0.47 2024 23,917 23,900 1.80 13,274 13,257 0.46 2025 49,169 48,888 1.67 35,436 35,108 0.84 2026 5,194 5,192 1.12 4,717 4,715 0.83 Thereafter 34,262 32,736 3.00 31,736 30,052 2.91 STACR and SCR debt (4) 4,845 4,720 7.33 9,139 8,981 4.23 Hedging-related basis adjustments N/A (9,999) N/A (2,267) Total long-term debt 163,314 151,347 1.80 181,615 177,131 1.07 Total debt of Freddie Mac (5) $175,224 $163,249 $181,615 $177,131 (1) Represents par value, net of associated discounts or premiums and issuance cost. Includes $1.2 billion and $1.4 billion at September 30, 2022 and December 31, 2021, respectively, of long-term debt that represents the fair value of debt for which the fair value option was elected. (2) Based on carrying amount. (3) We offset payables related to securities sold under agreements to repurchase against receivables related to securities purchased under agreements to resell on our condensed consolidated balance sheets, when such amounts meet the conditions for offsetting in the accounting guidance. (4) 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 reference pool of mortgage assets that may be prepaid by the related mortgage borrower at any time, generally without penalty. (5) Carrying amount for debt of Freddie Mac includes callable debt of $97.9 billion and $68.5 billion at September 30, 2022 and December 31, 2021, respectively. |
Derivatives (Tables)
Derivatives (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Table - Derivative Assets and Liabilities at Fair Value | The table below presents the notional value and fair value of derivatives reported on our condensed consolidated balance sheets. Table 8.1 - Derivative Assets and Liabilities at Fair Value September 30, 2022 December 31, 2021 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 $520,850 $1,827 ($547) $561,393 $1,748 ($3,319) Written options 45,410 — (2,005) 34,861 — (1,597) Purchased options (1) 88,005 4,356 — 137,873 3,585 — Futures 169,676 — — 126,528 — — Total interest-rate management derivatives 823,941 6,183 (2,552) 860,655 5,333 (4,916) Mortgage commitment derivatives: Forward contracts to purchase mortgage loans 2,054 2 (31) 7,582 15 (5) Forward contracts to purchase mortgage-related securities 16,422 — (120) 16,605 26 (8) Forward contracts to sell mortgage-related securities 24,088 43 (1) 59,469 38 (73) Total mortgage commitment derivatives 42,564 45 (152) 83,656 79 (86) CRT-related derivatives 39,565 1 (132) 33,351 15 (37) Other 8,184 2 (445) 4,335 2 (21) Total derivatives not designated as hedges 914,254 6,231 (3,281) 981,997 5,429 (5,060) Designated as fair value hedges Interest-rate risk management derivatives: Swaps 171,180 324 (8,069) 154,819 37 (2,689) Total derivatives designated as fair value hedges 171,180 324 (8,069) 154,819 37 (2,689) Derivative interest receivable (payable) (2) 806 (725) 360 (413) Netting adjustments (3) (6,910) 11,265 (5,366) 7,880 Total derivative portfolio, net $1,085,434 $451 ($810) $1,136,816 $460 ($282) (1) Includes swaptions on credit indices with a notional or contractual amount of $8.8 billion and $9.4 billion at September 30, 2022 and December 31, 2021, respectively, and a fair value of $5.0 million and $1.0 million at September 30, 2022 and December 31, 2021, respectively. (2) Includes other derivative receivables and payables. (3) Represents counterparty netting and cash collateral netting. |
Table - Gains and Losses on Derivatives | The table below presents the gains and losses on derivatives, including the accrual of periodic cash settlements, while not designated in qualifying hedge relationships and reported on our condensed consolidated statements of operations and comprehensive income (loss) as investment gains (losses), net. Table 8.2 - Gains and Losses on Derivatives (In millions) 3Q 2022 3Q 2021 YTD 2022 YTD 2021 Not designated as hedges Interest-rate risk management derivatives: Swaps $954 $649 $1,708 $2,303 Written options (278) (9) (962) (165) Purchased options 579 (225) 1,685 (859) Futures 788 30 2,212 189 Total interest-rate risk management derivatives fair value gains (losses) 2,043 445 4,643 1,468 Mortgage commitment derivatives 203 46 2,922 662 CRT-related derivatives (222) (2) (189) (29) Other (115) 14 (150) 22 Total derivatives not designated as hedges fair value gains (losses) 1,909 503 7,226 2,123 Accrual of periodic cash settlements on swaps (1) (233) (471) (619) (1,283) Total $1,676 $32 $6,607 $840 (1) Includes interest on variation margin on cleared interest-rate swaps. |
Table - Gains and Losses on Fair Value Hedge | The table below presents the effects of fair value hedge accounting by condensed consolidated statements of operations and comprehensive income (loss) line item, including the gains and losses on derivatives and hedged items designated in qualifying hedge relationships and other components due to the application of hedge accounting. Table 8.3 - Gains and Losses on Fair Value Hedges 3Q 2022 3Q 2021 (In millions) Interest Income Interest Expense Interest Income Interest Expense Total amounts of income and expense line items presented in our condensed consolidated statements of operations and comprehensive income in which the effects of fair value hedges are recorded: $21,894 ($17,340) $15,791 ($11,373) Interest contracts on mortgage loans held-for-investment: Gain (loss) on fair value hedging relationships: Hedged items (1,839) — 38 — Derivatives designated as hedging instruments 1,731 — (58) — Interest accruals on hedging instruments (5) — (14) — Discontinued hedge-related basis adjustments amortization 12 — (332) — Interest contracts on debt: Gain (loss) on fair value hedging relationships: Hedged items — 2,558 — 211 Derivatives designated as hedging instruments — (2,586) — (256) Interest accruals on hedging instruments — (353) — 236 Discontinued hedge-related basis adjustments amortization — 1 — 6 YTD 2022 YTD 2021 (In millions) Interest Income Interest Expense Interest Income Interest Expense Total amounts of income and expense line items presented in our condensed consolidated statements of operations and comprehensive income in which the effects of fair value hedges are recorded: $59,642 ($46,225) $44,923 ($32,099) Interest contracts on mortgage loans held-for-investment: Gain (loss) on fair value hedging relationships: Hedged items (5,989) — (399) — Derivatives designated as hedging instruments 5,194 — 379 — Interest accruals on hedging instruments (421) — (267) — Discontinued hedge-related basis adjustments amortization (116) — (1,624) — Interest contracts on debt: Gain (loss) on fair value hedging relationships: Hedged items — 7,719 — 1,725 Derivatives designated as hedging instruments — (7,810) — (1,876) Interest accruals on hedging instruments — (253) — 739 Discontinued hedge-related basis adjustments amortization — 13 — 14 |
Table - Cumulative Basis Adjustments Due to Fair Value Hedging | The table below presents the cumulative basis adjustments and the carrying amounts of the hedged item by its respective balance sheet line item. Table 8.4 - Cumulative Basis Adjustments Due to Fair Value Hedging September 30, 2022 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount Closed Portfolio Under the Last-of-Layer Method (In millions) Total Under the Last-of-Layer Method Discontinued - Hedge Related Total Amount by Amortized Cost Basis Designated Amount by UPB Mortgage loans held-for-investment $1,076,474 ($3,331) ($1,026) ($2,305) $81,446 $11,516 Mortgage loans held-for-sale 56 1 — 1 — — Debt (133,271) 9,999 — 11 — — December 31, 2021 Carrying Amount Assets / (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount Closed Portfolio Under the Last-of-Layer Method (In millions) Total Under the Last-of-Layer Method Discontinued - Hedge Related Total Amount by Amortized Cost Basis Designated Amount by UPB Mortgage loans held-for-investment $855,173 $2,774 $— $2,774 $— $— Debt (124,235) 2,267 — (30) — — |
Collateral and Offsetting of _2
Collateral and Offsetting of Assets and Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Offsetting [Abstract] | |
Table - Offsetting of Financial Assets and Liabilities | The table below presents offsetting and collateral information related to derivatives, securities purchased under agreements to resell, and securities sold under agreements to repurchase which are subject to enforceable master netting agreements or similar arrangements. In June 2022, the FICC amended the MBSD clearing rules to provide that variation margin payments constitute daily settlement of exposure and not a component of the required fund deposit. As a result, for our forward purchase and sale commitments of mortgage-related securities transacted with MBSD/FICC, we changed the characterization of variation margin payments from posting of margin collateral to settlements. This change did not materially affect our financial condition or result of operations. Table 9.1 - Offsetting and Collateral Information of Financial Assets and Liabilities September 30, 2022 Gross Amount Recognized Amount Net Amount Gross Amount Not Offset in the Condensed Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $7,168 ($5,337) ($1,604) $227 ($125) $102 Cleared and exchange-traded derivatives 120 (20) 46 146 — 146 Mortgage commitment derivatives 70 — 5 75 (1) 74 Other 3 — — 3 — 3 Total derivatives 7,361 (5,357) (1,553) 451 (126) 325 Securities purchased under agreements to resell 105,155 (7,512) — 97,643 (97,643) — Total $112,516 ($12,869) ($1,553) $98,094 ($97,769) $325 Liabilities: Derivatives: OTC derivatives ($11,304) $5,336 $5,903 ($65) $15 ($50) Cleared and exchange-traded derivatives (42) 20 6 (16) 16 — Mortgage commitment derivatives (152) — — (152) 17 (135) Other (577) — — (577) — (577) Total derivatives (12,075) 5,356 5,909 (810) 48 (762) Securities sold under agreements to repurchase (7,512) 7,512 — — — — Total ($19,587) $12,868 $5,909 ($810) $48 ($762) Referenced footnotes are included after the next table. December 31, 2021 Gross Amount Recognized Amount Net Amount Gross Amount Not Offset in the Condensed Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $5,670 ($4,437) ($963) $270 ($250) $20 Cleared and exchange-traded derivatives 60 (4) 38 94 — 94 Mortgage commitment derivatives 79 — — 79 — 79 Other 17 — — 17 — 17 Total derivatives 5,826 (4,441) (925) 460 (250) 210 Securities purchased under agreements to resell 78,536 (7,333) — 71,203 (71,203) — Total $84,362 ($11,774) ($925) $71,663 ($71,453) $210 Liabilities: Derivatives: OTC derivatives ($7,979) $4,437 $3,417 ($125) $— ($125) Cleared and exchange-traded derivatives (39) 4 22 (13) 13 — Mortgage commitment derivatives (86) — — (86) — (86) Other (58) — — (58) — (58) Total derivatives (8,162) 4,441 3,439 (282) 13 (269) Securities sold under agreements to repurchase (7,333) 7,333 — — — — Total ($15,495) $11,774 $3,439 ($282) $13 ($269) (1) Excess cash collateral held is presented as a derivative liability, while excess cash collateral posted is presented as a derivative asset. (2) Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability, netted by counterparty, presented on the condensed consolidated balance sheets. Mortgage commitment derivatives exclude collateral posted totaling $0.8 billion as of December 31, 2021. There was no variation margin collateral for mortgage commitment derivatives as of September 30, 2022, as a result of the MBSD/FICC clearing rules change. |
Table - Offsetting of Financial Assets and Liabilities | The table below presents offsetting and collateral information related to derivatives, securities purchased under agreements to resell, and securities sold under agreements to repurchase which are subject to enforceable master netting agreements or similar arrangements. In June 2022, the FICC amended the MBSD clearing rules to provide that variation margin payments constitute daily settlement of exposure and not a component of the required fund deposit. As a result, for our forward purchase and sale commitments of mortgage-related securities transacted with MBSD/FICC, we changed the characterization of variation margin payments from posting of margin collateral to settlements. This change did not materially affect our financial condition or result of operations. Table 9.1 - Offsetting and Collateral Information of Financial Assets and Liabilities September 30, 2022 Gross Amount Recognized Amount Net Amount Gross Amount Not Offset in the Condensed Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $7,168 ($5,337) ($1,604) $227 ($125) $102 Cleared and exchange-traded derivatives 120 (20) 46 146 — 146 Mortgage commitment derivatives 70 — 5 75 (1) 74 Other 3 — — 3 — 3 Total derivatives 7,361 (5,357) (1,553) 451 (126) 325 Securities purchased under agreements to resell 105,155 (7,512) — 97,643 (97,643) — Total $112,516 ($12,869) ($1,553) $98,094 ($97,769) $325 Liabilities: Derivatives: OTC derivatives ($11,304) $5,336 $5,903 ($65) $15 ($50) Cleared and exchange-traded derivatives (42) 20 6 (16) 16 — Mortgage commitment derivatives (152) — — (152) 17 (135) Other (577) — — (577) — (577) Total derivatives (12,075) 5,356 5,909 (810) 48 (762) Securities sold under agreements to repurchase (7,512) 7,512 — — — — Total ($19,587) $12,868 $5,909 ($810) $48 ($762) Referenced footnotes are included after the next table. December 31, 2021 Gross Amount Recognized Amount Net Amount Gross Amount Not Offset in the Condensed Consolidated Balance Sheets (2) Net Amount (In millions) Counterparty Netting Cash Collateral Netting (1) Assets: Derivatives: OTC derivatives $5,670 ($4,437) ($963) $270 ($250) $20 Cleared and exchange-traded derivatives 60 (4) 38 94 — 94 Mortgage commitment derivatives 79 — — 79 — 79 Other 17 — — 17 — 17 Total derivatives 5,826 (4,441) (925) 460 (250) 210 Securities purchased under agreements to resell 78,536 (7,333) — 71,203 (71,203) — Total $84,362 ($11,774) ($925) $71,663 ($71,453) $210 Liabilities: Derivatives: OTC derivatives ($7,979) $4,437 $3,417 ($125) $— ($125) Cleared and exchange-traded derivatives (39) 4 22 (13) 13 — Mortgage commitment derivatives (86) — — (86) — (86) Other (58) — — (58) — (58) Total derivatives (8,162) 4,441 3,439 (282) 13 (269) Securities sold under agreements to repurchase (7,333) 7,333 — — — — Total ($15,495) $11,774 $3,439 ($282) $13 ($269) (1) Excess cash collateral held is presented as a derivative liability, while excess cash collateral posted is presented as a derivative asset. (2) Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability, netted by counterparty, presented on the condensed consolidated balance sheets. Mortgage commitment derivatives exclude collateral posted totaling $0.8 billion as of December 31, 2021. There was no variation margin collateral for mortgage commitment derivatives as of September 30, 2022, as a result of the MBSD/FICC clearing rules change. |
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 9.2 - Collateral in the Form of Securities Pledged September 30, 2022 (In millions) Derivatives Securities Sold Under Agreements to Repurchase Other (1) Total Trading securities $1,363 $7,403 $697 $9,463 Total securities pledged $1,363 $7,403 $697 $9,463 December 31, 2021 (In millions) Derivatives Securities Sold Under Agreements to Repurchase Other (1) Total Debt of consolidated trusts (2) $— $— $161 $161 Trading securities 1,542 7,333 1,115 9,990 Total securities pledged $1,542 $7,333 $1,276 $10,151 (1) Includes other collateralized borrowings and collateral related to transactions with certain clearinghouses. (2) Represents debt of consolidated trusts held by us in our mortgage-related investments portfolio which are recorded as a reduction to debt of consolidated trusts on our condensed consolidated balance sheets. |
Table - Underlying Collateral Pledged | The table below summarizes the underlying collateral pledged and the remaining contractual maturity of our gross obligations under securities sold under agreements to repurchase. Table 9.3 - Underlying Collateral Pledged September 30, 2022 (In millions) Overnight and Continuous 30 Days or Less After 30 Days Through 90 Days Greater Than 90 Days Total U.S. Treasury securities and other $— $4,054 $3,349 $— $7,403 |
Net Interest Income (Tables)
Net Interest Income (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Components of Net Interest Income [Abstract] | |
Components of Net Interest Income | The table below presents the components of net interest income per our condensed consolidated statements of operations and comprehensive income (loss). Table 10.1 - Components of Net Interest Income (In millions) 3Q 2022 3Q 2021 YTD 2022 YTD 2021 Interest income Mortgage loans $20,843 $15,124 $57,477 $42,969 Investment securities 416 627 1,264 1,854 Other 635 40 901 100 Total interest income 21,894 15,791 59,642 44,923 Interest expense Debt of consolidated trusts (16,166) (10,954) (44,010) (30,742) Debt of Freddie Mac: Short-term debt (82) — (102) (2) Long-term debt (1,092) (419) (2,113) (1,355) Total interest expense (17,340) (11,373) (46,225) (32,099) Net interest income 4,554 4,418 13,417 12,824 Benefit (provision) for credit losses (1,796) 243 (1,266) 1,179 Net interest income after benefit (provision) for credit losses $2,758 $4,661 $12,151 $14,003 |
Segment Reporting (Tables)
Segment Reporting (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Segment Reporting [Abstract] | |
Table - Segment Earnings and Reconciliation to GAAP Condensed Consolidated Statements of Comprehensive Income | The table below presents the financial results for our Single-Family and Multifamily segments. Table 11.1 - Segment Financial Results 3Q 2022 3Q 2021 (In millions) Single-Family Multifamily Total Single-Family Multifamily Total Net interest income $4,363 $191 $4,554 $4,080 $338 $4,418 Non-interest income (loss) Guarantee income 16 109 125 (20) 266 246 Investment gains (losses), net (13) 428 415 (247) 630 383 Other income (loss) 55 32 87 148 52 200 Non-interest income (loss) 58 569 627 (119) 948 829 Net revenues 4,421 760 5,181 3,961 1,286 5,247 Benefit (provision) for credit losses (1,784) (12) (1,796) 244 (1) 243 Non-interest expense (1,653) (172) (1,825) (1,672) (172) (1,844) Income (loss) before income tax (expense) benefit 984 576 1,560 2,533 1,113 3,646 Income tax (expense) benefit (141) (106) (247) (505) (222) (727) Net income (loss) 843 470 1,313 2,028 891 2,919 Other comprehensive income (loss), net of taxes and reclassification adjustments (39) (142) (181) 18 (28) (10) Comprehensive income (loss) $804 $328 $1,132 $2,046 $863 $2,909 |
Reconciliation of Assets from Segment to Consolidated | The table below presents total assets for our Single-Family and Multifamily segments. Table 11.2 - Segment Assets (In millions) September 30, 2022 December 31, 2021 Single-Family $2,971,542 $2,792,224 Multifamily 415,946 414,663 Total segment assets 3,387,488 3,206,887 Reconciling items (1) (196,832) (181,301) Total assets per condensed consolidated balance sheets $3,190,656 $3,025,586 |
Concentration of Credit and O_2
Concentration of Credit and Other Risks (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Risks and Uncertainties [Abstract] | |
Table - Concentration of Credit Risk | The table below summarizes the concentration by geographic area of our Single-Family mortgage portfolio. See Note 3 , Note 4 , and Note 5 for more information about credit risk associated with single-family loans that we hold or guarantee. Table 12.1 - Concentration of Credit Risk of Our Single-Family Mortgage Portfolio (1) September 30, 2022 December 31, 2021 (Dollars in millions) Portfolio UPB (2) % of Portfolio SDQ Rate Portfolio UPB (2) % of Portfolio SDQ Rate Region: (3) West $905,490 30 % 0.49 % $858,535 31 % 0.92 % Northeast 693,755 23 0.86 660,103 24 1.37 North Central 434,486 15 0.67 416,214 15 0.98 Southeast 507,228 17 0.70 461,084 16 1.21 Southwest 430,300 15 0.65 395,953 14 1.14 Total $2,971,259 100 % 0.67 $2,791,889 100 % 1.12 State: California $518,053 17 % 0.52 $497,521 18 % 0.99 Texas 197,278 7 0.66 176,501 6 1.23 Florida 188,785 6 0.72 168,572 6 1.36 New York 129,042 4 1.26 120,655 4 2.07 Illinois 112,624 4 0.94 109,171 4 1.44 All other 1,825,477 62 0.64 1,719,469 62 1.03 Total $2,971,259 100 % 0.67 $2,791,889 100 % 1.12 (1) Credit loss amounts related to our Single-Family mortgage portfolio were insignificant during both the 2022 periods and the 2021 periods. (2) Excludes UPB of loans underlying certain securitization products for which data was not available. (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). |
Fair Value Disclosures (Tables)
Fair Value Disclosures (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Fair Value Disclosures [Abstract] | |
Table - Assets and Liabilities Measured at Fair Value on a Recurring Basis | The table below presents our assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments where we have elected the fair value option. Table 13.1 - Assets and Liabilities Measured at Fair Value on a Recurring Basis September 30, 2022 (In millions) Level 1 Level 2 Level 3 Netting Adjustments (1) Total Assets: Investment securities: Available-for-sale $— $4,947 $1,102 $— $6,049 Trading: Mortgage-related securities — 7,793 2,858 — 10,651 Non-mortgage-related securities 25,982 588 — — 26,570 Total trading securities 25,982 8,381 2,858 — 37,221 Total investment securities 25,982 13,328 3,960 — 43,270 Mortgage loans held-for-sale — 3,230 312 — 3,542 Other assets: Guarantee assets — — 5,432 — 5,432 Derivative assets, net — 6,552 3 — 6,555 Netting adjustments (1) — — — (6,104) (6,104) Total derivative assets, net — 6,552 3 (6,104) 451 Other assets — 1 124 — 125 Total other assets — 6,553 5,559 (6,104) 6,008 Total assets carried at fair value on a recurring basis $25,982 $23,111 $9,831 ($6,104) $52,820 Liabilities: Debt: Debt of consolidated trusts $— $2,785 $277 $— $3,062 Debt of Freddie Mac — 1,086 104 — 1,190 Total debt — 3,871 381 — 4,252 Other liabilities: Derivative liabilities, net 35 11,211 104 — 11,350 Netting adjustments (1) — — — (10,540) (10,540) Total derivative liabilities, net 35 11,211 104 (10,540) 810 Other liabilities — 151 — — 151 Total other liabilities 35 11,362 104 (10,540) 961 Total liabilities carried at fair value on a recurring basis $35 $15,233 $485 ($10,540) $5,213 Referenced footnote is included after the prior period table. December 31, 2021 (In millions) Level 1 Level 2 Level 3 Netting Adjustments (1) Total Assets: Investment securities: Available-for-sale $— $2,726 $1,286 $— $4,012 Trading: Mortgage-related securities: — 12,845 3,386 — 16,231 Non-mortgage-related securities 31,780 992 — — 32,772 Total trading securities 31,780 13,837 3,386 — 49,003 Total investment securities 31,780 16,563 4,672 — 53,015 Mortgage loans held-for-sale — 10,498 — — 10,498 Other assets: Guarantee assets — — 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 Other assets — 131 84 — 215 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: Debt of consolidated trusts $— $910 $184 $— $1,094 Debt of Freddie Mac — 1,274 110 — 1,384 Total debt — 2,184 294 — 2,478 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 Other liabilities — 4 1 — 5 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 (1) Represents counterparty netting, cash collateral netting, and net derivative interest receivable or payable. |
Table - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs | The table below presents a reconciliation of all assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis using significant unobservable inputs (Level 3), including transfers into and out of Level 3. The table also presents gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our condensed consolidated statements of operations and comprehensive income (loss) for Level 3 assets and liabilities. Table 13.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs 3Q 2022 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 September 30, 2022 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2022 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale $1,124 $30 ($55) $169 $— ($120) ($46) $— $— $1,102 $— ($11) Trading 3,319 (334) — 260 — — (122) — (265) 2,858 (154) — Total investment securities 4,443 (304) (55) 429 — (120) (168) — (265) 3,960 (154) (11) Mortgage loans held-for-sale 339 (42) — — — (36) (1) 52 — 312 (42) — Other assets: Guarantee assets 5,649 (264) — — 272 — (225) — — 5,432 (264) — Other assets 132 9 — (6) 3 (3) (8) — — 127 9 — Total other assets 5,781 (255) — (6) 275 (3) (233) — — 5,559 (255) — Total assets $10,563 ($601) ($55) $423 $275 ($159) ($402) $52 ($265) $9,831 ($451) ($11) 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 September 30, 2022 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2022 Included in Included in Other Liabilities Debt $457 ($18) $— ($14) $6 $— ($50) $— $— $381 ($7) $— Other liabilities 58 47 — — — — (1) — — 104 46 — Total liabilities $515 $29 $— ($14) $6 $— ($51) $— $— $485 $39 $— Referenced footnotes are included after the prior period table. YTD 2022 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 September 30, 2022 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2022 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale $1,286 $30 ($98) $168 $— ($78) ($236) $30 $— $1,102 ($1) ($38) Trading 3,386 (993) — 641 — — (156) — (20) 2,858 (468) — Total investment securities 4,672 (963) (98) 809 — (78) (392) 30 (20) 3,960 (469) (38) Mortgage loans held-for-sale — (56) — — — (41) (25) 434 — 312 (56) — Other assets: Guarantee assets 5,919 (774) — — 980 — (693) — — 5,432 (774) — Other assets 101 58 — (15) 11 (8) (20) — — 127 58 — Total other assets 6,020 (716) — (15) 991 (8) (713) — — 5,559 (716) — Total assets $10,692 ($1,735) ($98) $794 $991 ($127) ($1,130) $464 ($20) $9,831 ($1,241) ($38) 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 September 30, 2022 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2022 Included in Included in Other Liabilities Debt $294 $18 $— ($21) $148 $— ($58) $— $— $381 $48 $— Other liabilities 24 85 — 1 — — (6) — — 104 81 — Total liabilities $318 $103 $— ($20) $148 $— ($64) $— $— $485 $129 $— Referenced footnotes are included after the prior period table. 3Q 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 September 30, 2021 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2021 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale $1,474 $6 $12 $— $— $— ($103) $— $— $1,389 $6 $10 Trading 3,523 (210) — 344 — (96) (23) — (75) 3,463 (207) — Total investment securities 4,997 (204) 12 344 — (96) (126) — (75) 4,852 (201) 10 Other assets: Guarantee assets 5,869 (113) — — 333 — (246) — — 5,843 (113) — Other assets 95 9 — (4) 4 — (4) — — 100 9 — Total other assets 5,964 (104) — (4) 337 — (250) — — 5,943 (104) — Total assets $10,961 ($308) $12 $340 $337 ($96) ($376) $— ($75) $10,795 ($305) $10 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 September 30, 2021 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2021 Included in Included in Other Liabilities Debt $368 ($11) $— ($8) $61 $— ($19) $— $— $391 ($7) $— Other liabilities 23 2 — 2 — — (2) — — 25 (1) — Total liabilities $391 ($9) $— ($6) $61 $— ($21) $— $— $416 ($8) $— Referenced footnotes are included after the prior period table. YTD 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 September 30, 2021 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2021 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale $1,588 $18 $16 $— $— $— ($233) $— $— $1,389 $18 $12 Trading 3,259 (563) — 1,284 — (276) (61) — (180) 3,463 (565) — Total investment securities 4,847 (545) 16 1,284 — (276) (294) — (180) 4,852 (547) 12 Other assets: — Guarantee assets 5,509 (196) — — 1,238 — (708) — — 5,843 (196) — Other assets 171 (59) — (3) 14 (9) (14) — — 100 (59) — Total other assets 5,680 (255) — (3) 1,252 (9) (722) — — 5,943 (255) — Total assets $10,527 ($800) $16 $1,281 $1,252 ($285) ($1,016) $— ($180) $10,795 ($802) $12 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 September 30, 2021 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2021 Included in Included in Other Liabilities Debt $323 ($21) $— ($8) $151 $— ($54) $— $— $391 ($15) $— Other liabilities 19 9 — 3 2 1 (9) — — 25 1 — Total liabilities $342 ($12) $— ($5) $153 $1 ($63) $— $— $416 ($14) $— (1) Transfers out of Level 3 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 agency securities are classified as Level 3 at issuance and generally are classified as Level 2 when they begin trading. |
Table - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs | The table below presents a reconciliation of all assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis using significant unobservable inputs (Level 3), including transfers into and out of Level 3. The table also presents gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our condensed consolidated statements of operations and comprehensive income (loss) for Level 3 assets and liabilities. Table 13.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs 3Q 2022 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 September 30, 2022 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2022 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale $1,124 $30 ($55) $169 $— ($120) ($46) $— $— $1,102 $— ($11) Trading 3,319 (334) — 260 — — (122) — (265) 2,858 (154) — Total investment securities 4,443 (304) (55) 429 — (120) (168) — (265) 3,960 (154) (11) Mortgage loans held-for-sale 339 (42) — — — (36) (1) 52 — 312 (42) — Other assets: Guarantee assets 5,649 (264) — — 272 — (225) — — 5,432 (264) — Other assets 132 9 — (6) 3 (3) (8) — — 127 9 — Total other assets 5,781 (255) — (6) 275 (3) (233) — — 5,559 (255) — Total assets $10,563 ($601) ($55) $423 $275 ($159) ($402) $52 ($265) $9,831 ($451) ($11) 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 September 30, 2022 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2022 Included in Included in Other Liabilities Debt $457 ($18) $— ($14) $6 $— ($50) $— $— $381 ($7) $— Other liabilities 58 47 — — — — (1) — — 104 46 — Total liabilities $515 $29 $— ($14) $6 $— ($51) $— $— $485 $39 $— Referenced footnotes are included after the prior period table. YTD 2022 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 September 30, 2022 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2022 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale $1,286 $30 ($98) $168 $— ($78) ($236) $30 $— $1,102 ($1) ($38) Trading 3,386 (993) — 641 — — (156) — (20) 2,858 (468) — Total investment securities 4,672 (963) (98) 809 — (78) (392) 30 (20) 3,960 (469) (38) Mortgage loans held-for-sale — (56) — — — (41) (25) 434 — 312 (56) — Other assets: Guarantee assets 5,919 (774) — — 980 — (693) — — 5,432 (774) — Other assets 101 58 — (15) 11 (8) (20) — — 127 58 — Total other assets 6,020 (716) — (15) 991 (8) (713) — — 5,559 (716) — Total assets $10,692 ($1,735) ($98) $794 $991 ($127) ($1,130) $464 ($20) $9,831 ($1,241) ($38) 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 September 30, 2022 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2022 Included in Included in Other Liabilities Debt $294 $18 $— ($21) $148 $— ($58) $— $— $381 $48 $— Other liabilities 24 85 — 1 — — (6) — — 104 81 — Total liabilities $318 $103 $— ($20) $148 $— ($64) $— $— $485 $129 $— Referenced footnotes are included after the prior period table. 3Q 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 September 30, 2021 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2021 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale $1,474 $6 $12 $— $— $— ($103) $— $— $1,389 $6 $10 Trading 3,523 (210) — 344 — (96) (23) — (75) 3,463 (207) — Total investment securities 4,997 (204) 12 344 — (96) (126) — (75) 4,852 (201) 10 Other assets: Guarantee assets 5,869 (113) — — 333 — (246) — — 5,843 (113) — Other assets 95 9 — (4) 4 — (4) — — 100 9 — Total other assets 5,964 (104) — (4) 337 — (250) — — 5,943 (104) — Total assets $10,961 ($308) $12 $340 $337 ($96) ($376) $— ($75) $10,795 ($305) $10 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 September 30, 2021 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2021 Included in Included in Other Liabilities Debt $368 ($11) $— ($8) $61 $— ($19) $— $— $391 ($7) $— Other liabilities 23 2 — 2 — — (2) — — 25 (1) — Total liabilities $391 ($9) $— ($6) $61 $— ($21) $— $— $416 ($8) $— Referenced footnotes are included after the prior period table. YTD 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 September 30, 2021 (2) Change in Unrealized Gains (Losses), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2021 (In millions) Included in Included in Other Assets Investment securities: Available-for-sale $1,588 $18 $16 $— $— $— ($233) $— $— $1,389 $18 $12 Trading 3,259 (563) — 1,284 — (276) (61) — (180) 3,463 (565) — Total investment securities 4,847 (545) 16 1,284 — (276) (294) — (180) 4,852 (547) 12 Other assets: — Guarantee assets 5,509 (196) — — 1,238 — (708) — — 5,843 (196) — Other assets 171 (59) — (3) 14 (9) (14) — — 100 (59) — Total other assets 5,680 (255) — (3) 1,252 (9) (722) — — 5,943 (255) — Total assets $10,527 ($800) $16 $1,281 $1,252 ($285) ($1,016) $— ($180) $10,795 ($802) $12 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 September 30, 2021 (2) Change in Unrealized (Gains) Losses, Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2021 Included in Included in Other Liabilities Debt $323 ($21) $— ($8) $151 $— ($54) $— $— $391 ($15) $— Other liabilities 19 9 — 3 2 1 (9) — — 25 1 — Total liabilities $342 ($12) $— ($5) $153 $1 ($63) $— $— $416 ($14) $— (1) Transfers out of Level 3 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 agency securities are classified as Level 3 at issuance and generally are classified as Level 2 when they begin trading. |
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 condensed consolidated balance sheets at fair value on a recurring basis. Table 13.3 - Quantitative Information about Recurring Level 3 Fair Value Measurements September 30, 2022 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions , except for certain unobservable inputs as shown) Type Range Weighted Average (1) Assets Investment securities: Available-for-sale $587 Median of external sources External pricing sources $66.4 - $76.5 $71.2 515 Other Trading 2,460 Single external source External pricing source $0.0 - $6,031.4 $238.2 398 Other Mortgage loans held-for-sale 312 Single external source External pricing source $39.6 - $98.3 $77.0 Guarantee assets 5,067 Discounted cash flows OAS 17 - 186 bps 45 bps 365 Other Insignificant Level 3 assets (2) 127 Total level 3 assets $9,831 Liabilities Insignificant Level 3 liabilities (2) 485 Total level 3 liabilities $485 December 31, 2021 Level 3 Predominant Unobservable Inputs (Dollars in millions, except for certain unobservable inputs as shown) Type Range Weighted Average (1) Assets Investment securities: Available-for-sale $839 Median of external sources External pricing sources $72.8 - $83.7 $77.0 446 Other Trading 2,846 Single external source External pricing source $0.0 - $7,343.1 $396.7 541 Other Guarantee assets 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 Insignificant Level 3 liabilities (2) 318 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 and liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant. |
Table - Assets Measured at Fair Value on a Nonrecurring Basis | The table below presents assets measured on our condensed consolidated balance sheets at fair value on a non-recurring basis. Table 13.4 - Assets Measured at Fair Value on a Non-Recurring Basis September 30, 2022 December 31, 2021 (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) $— $146 $1,620 $1,766 $— $12 $797 $809 (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 condensed consolidated balance sheets at fair value on a non-recurring basis. Table 13.5 - Quantitative Information About Non-Recurring Level 3 Fair Value Measurements September 30, 2022 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions, except for unobservable inputs as shown) Type Range Weighted Average (1) Non-recurring fair value measurements Mortgage loans $1,466 Median of external sources External pricing sources $75.1 - $100.6 $88.1 154 Other Total $1,620 December 31, 2021 Level 3 Fair Value Predominant Valuation Technique(s) Unobservable Inputs ( Dollars in millions, except for unobservable inputs as shown) Type Range Weighted Average (1) Non-recurring fair value measurements Mortgage loans $625 Median of external sources External pricing sources $61.9 - $107.1 $97.3 172 Other Total $797 (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 condensed consolidated balance sheets approximates fair value, as these assets and liabilities are short-term in nature and have limited fair value volatility. Table 13.6 - Fair Value of Financial Instruments September 30, 2022 GAAP Measurement Category (1) Carrying Amount Fair Value (In millions) Level 1 Level 2 Level 3 Netting Adjustments (2) Total Financial Assets Cash and cash equivalents Amortized cost $5,691 $5,691 $— $— $— $5,691 Securities purchased under agreements to resell Amortized cost 97,643 — 105,155 — (7,512) 97,643 Investment securities: Available-for-sale FV - OCI 6,049 — 4,947 1,102 — 6,049 Trading FV - NI 37,221 25,982 8,381 2,858 — 37,221 Total investment securities 43,270 25,982 13,328 3,960 — 43,270 Mortgage loans: Loans held by consolidated trusts 2,956,534 — 2,303,717 219,637 — 2,523,354 Loans held by Freddie Mac 50,839 — 15,579 30,964 — 46,543 Total mortgage loans Various (3) 3,007,373 — 2,319,296 250,601 — 2,569,897 Guarantee assets FV - NI 5,432 — — 5,434 — 5,434 Derivative assets, net FV - NI 451 — 6,552 3 (6,104) 451 Non-derivative purchase and other commitments FV - NI 1 — 27 — — 27 Advances to lenders Amortized cost 2,520 — — 2,520 — 2,520 Secured lending Amortized cost 894 — 894 — — 894 Total financial assets $3,163,275 $31,673 $2,445,252 $262,518 ($13,616) $2,725,827 Financial Liabilities Debt: Debt of consolidated trusts $2,973,973 $— $2,520,957 $703 $— $2,521,660 Debt of Freddie Mac 163,249 — 167,801 3,175 (7,512) 163,464 Total debt Various (4) 3,137,222 — 2,688,758 3,878 (7,512) 2,685,124 Guarantee obligations Amortized cost 5,813 — — 5,998 — 5,998 Derivative liabilities, net FV - NI 810 35 11,211 104 (10,540) 810 Non-derivative purchase and other commitments FV - NI 162 — 171 2,104 — 2,275 Total financial liabilities $3,144,007 $35 $2,700,140 $12,084 ($18,052) $2,694,207 (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 September 30, 2022, the GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $3.0 trillion, $5.8 billion, and $3.5 billion, respectively. (4) As of September 30, 2022, the GAAP carrying amounts measured at amortized cost and FV - NI were $3.1 trillion and $4.3 billion, respectively. December 31, 2021 GAAP Measurement Category (1) Carrying Amount Fair Value (In millions) Level 1 Level 2 Level 3 Netting Adjustments (2) Total Financial Assets Cash and cash equivalents Amortized cost $10,150 $10,150 $— $— $— $10,150 Securities purchased under agreements to resell Amortized cost 71,203 — 78,536 — (7,333) 71,203 Investment securities: Available-for-sale FV - OCI 4,012 — 2,726 1,286 — 4,012 Trading FV - NI 49,003 31,780 13,837 3,386 — 49,003 Total investment 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 of consolidated trusts $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. |
Table - Difference between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected | The table below presents the fair value and UPB related to certain loans and debt for which we have elected the fair value option. This table does not include interest-only securities related to debt of consolidated trusts and debt of Freddie Mac with a fair value of $0.5 billion and $0.3 billion as of September 30, 2022 and December 31, 2021, respectively. Table 13.7 - Difference between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected September 30, 2022 December 31, 2021 (In millions) Multifamily Multifamily Held-For-Sale Loans Debt of Freddie Mac Debt of Consolidated Trusts Multifamily Multifamily Held-For-Sale Loans Debt of Freddie Mac Debt of Consolidated Trusts Fair value ($150) $3,542 $968 $2,783 $127 $10,498 $1,252 $958 UPB N/A 3,961 956 2,993 N/A 10,224 1,220 958 Difference N/A ($419) $12 ($210) N/A $274 $32 $— The table below presents the changes in fair value included in investment gains (losses), net, on our condensed consolidated statements of operations and comprehensive income (loss), related to items for which we have elected the fair value option. Table 13.8 - Changes in Fair Value Under the Fair Value Option Election 3Q 2022 3Q 2021 YTD 2022 YTD 2021 (In millions) Gains (Losses) Gains (Losses) Multifamily held-for-sale loans ($333) ($100) ($1,282) ($330) Multifamily held-for-sale loan purchase commitments (86) 423 (292) 960 Debt of Freddie Mac (18) 6 (44) 36 Debt of consolidated trusts 182 7 425 16 |
Regulatory Capital (Tables)
Regulatory Capital (Tables) | 3 Months Ended |
Sep. 30, 2022 | |
Compliance with Regulatory Capital Requirements - ERCF [Abstract] | |
Table - ERCF Capital Requirements | The table below presents our capital metrics under the ERCF. Table 15.1 - ERCF Available Capital and Capital Requirements (In billions) September 30, 2022 Adjusted total assets $3,695 Risk-weighted assets (standardized approach) 855 September 30, 2022 (Dollars in billions) Minimum Capital Requirement (Including Buffer (1) ) Available Risk-based capital amounts: Total capital (statutory) (2) $68 $68 ($30) CET1 capital (3) 38 88 (57) Tier 1 capital (3) 51 101 (43) Adjusted total capital (3) 68 118 (43) Risk-based capital ratios (4) : Total capital (statutory) 8.0 % 8.0 % (3.5) % CET1 capital 4.5 10.3 (6.7) Tier 1 capital 6.0 11.8 (5.0) Adjusted total capital 8.0 13.8 (5.0) Leverage capital amounts: Core capital (statutory) (5) $92 $92 ($37) Tier 1 capital (3) 92 103 (43) Leverage capital ratios (6) : Core capital (statutory) 2.5 % 2.5 % (1.0) % Tier 1 capital 2.5 2.8 (1.2) (1) PCCBA for risk-based capital and PLBA for leverage capital. (2) Total capital is equal to core capital plus certain allowances for credit losses. (3) Regulatory capital amounts exclude senior preferred stock, deferred tax assets arising from temporary differences that exceed 10% of CET1 capital, and certain other items. (4) As a percentage of risk-weighted assets. (5) Core capital excludes certain components of GAAP total equity (i.e., AOCI and senior preferred stock) as these items do not meet the statutory definition of core capital. |
Securitization Activities and_3
Securitization Activities and Consolidation (Details) - Guarantees of Fannie Mae securities - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Variable Interest Entity [Line Items] | ||
Maximum Exposure to Loss | $ 122,576 | $ 111,150 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Maximum Exposure to Loss | $ 122,500 | $ 110,800 |
Securitization Activities and_4
Securitization Activities and Consolidation - Non-Consolidated VIEs (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Assets | ||
Marketable Securities | $ 43,270 | $ 53,015 |
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 8,201 | 7,474 |
Other assets | 22,917 | 29,421 |
Liabilities | ||
Other Liabilities | 11,289 | 11,100 |
Variable Interest Entity, Not Primary Beneficiary | ||
Assets | ||
Marketable Securities | 14,685 | 16,506 |
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 206 | 220 |
Other assets | 5,279 | 5,589 |
Liabilities | ||
Debt | 146 | 67 |
Other Liabilities | $ 5,885 | $ 5,172 |
Securitization Activities and_5
Securitization Activities and Consolidation - Total Assets and Maximum Exposure to Loss for our Nonconsolidated VIEs (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Variable Interest Entity [Line Items] | ||
Total Assets | $ 3,190,656 | $ 3,025,586 |
Variable Interest Entity, Not Primary Beneficiary | CRT Activities | ||
Variable Interest Entity [Line Items] | ||
Maximum Exposure | 76 | 44 |
Total Assets | 32,651 | 23,605 |
Variable Interest Entity, Not Primary Beneficiary | Single-Family | Other Securitization Product | ||
Variable Interest Entity [Line Items] | ||
Maximum Exposure | 26,504 | 27,975 |
Total Assets | 32,116 | 33,603 |
Variable Interest Entity, Not Primary Beneficiary | Multifamily | K Certificates | ||
Variable Interest Entity [Line Items] | ||
Maximum Exposure | 285,876 | 281,910 |
Total Assets | 323,309 | 321,149 |
Variable Interest Entity, Not Primary Beneficiary | Multifamily | SB Certificate | ||
Variable Interest Entity [Line Items] | ||
Maximum Exposure | 21,726 | 22,389 |
Total Assets | 24,280 | 24,944 |
Variable Interest Entity, Not Primary Beneficiary | Multifamily | Other Securitization Product | ||
Variable Interest Entity [Line Items] | ||
Maximum Exposure | 13,426 | 14,772 |
Total Assets | $ 15,276 | $ 16,683 |
Mortgage Loans (Details)
Mortgage Loans (Details) - USD ($) $ in Billions | 9 Months Ended | |
Sep. 30, 2022 | Sep. 30, 2021 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | ||
Amortized cost basis of SF HFI loans in trial period modification plans | $ 1.6 | |
Noncash acquisition, mortgage loans held-for-investment acquired in exchange for issuance of debt securities of consolidated trusts | 339.6 | $ 507.4 |
Transfers from advances to lenders to loans HFI | $ 146.6 | $ 189.3 |
Mortgage Loans - Mortgage Loans
Mortgage Loans - Mortgage Loans (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
UPB of mortgage loans - HFS | $ 10,522 | $ 20,317 |
Cost basis and fair value adjustments, net HFS | (1,157) | (539) |
Total held-for-sale loans, net | 9,365 | 19,778 |
UPB of mortgage loans - HFI | 2,962,032 | 2,769,508 |
Cost basis adjustment HFI | 42,827 | 63,770 |
Allowance for credit losses | (6,851) | (4,947) |
Total held-for-investment mortgage loans, net | 2,998,008 | 2,828,331 |
Total mortgage loans, net | 3,007,373 | 2,848,109 |
Single-family | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
UPB of mortgage loans - HFS | 3,722 | 5,446 |
Cost basis and fair value adjustments, net HFS | (721) | (813) |
Total held-for-sale loans, net | 3,001 | 4,633 |
UPB of mortgage loans - HFI | 2,926,244 | 2,742,851 |
Cost basis adjustment HFI | 42,751 | 63,684 |
Allowance for credit losses | (6,802) | (4,913) |
Total held-for-investment mortgage loans, net | 2,962,193 | 2,801,622 |
Total mortgage loans, net | 2,965,194 | 2,806,255 |
Multifamily | ||
Accounts, Notes, Loans and Financing Receivables [Line Items] | ||
UPB of mortgage loans - HFS | 6,800 | 14,871 |
Cost basis and fair value adjustments, net HFS | (436) | 274 |
Total held-for-sale loans, net | 6,364 | 15,145 |
UPB of mortgage loans - HFI | 35,788 | 26,657 |
Cost basis adjustment HFI | 76 | 86 |
Allowance for credit losses | (49) | (34) |
Total held-for-investment mortgage loans, net | 35,815 | 26,709 |
Total mortgage loans, net | $ 42,179 | $ 41,854 |
Mortgage Loans - Loans Purchase
Mortgage Loans - Loans Purchased and Sold (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Single-family | Mortgage loans held-for-investment | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Purchases | $ 121,215 | $ 297,554 | $ 465,815 | $ 945,222 |
Single-family | Held-for-Sale | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Sales | 537 | 928 | 1,981 | 3,965 |
Multifamily | Mortgage loans held-for-investment | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Purchases | 5,617 | 2,959 | 11,139 | 5,879 |
Multifamily | Held-for-Sale | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Purchases | 8,835 | 13,744 | 32,474 | 37,580 |
Sales | $ 11,475 | $ 13,390 | $ 40,666 | $ 52,221 |
Mortgage Loans - Loan Reclassif
Mortgage Loans - Loan Reclassifications (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Mortgage loans held-for-investment | Single-family | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Single-family reclassifications from held-for-investment to held-for sale, UPB | $ 361 | $ 388 | $ 934 | $ 1,358 |
Single-family reclassifications from held-for-investment to held-for sale, allowance for credit losses reverse or (established) | 10 | 19 | 20 | 54 |
Single-family reclassifications from held-for-sale to held-for-investment, valuation allowance (established) or reversed | 0 | 0 | 0 | 0 |
Mortgage loans held-for-investment | Multifamily | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Single-family reclassifications from held-for-investment to held-for sale, UPB | 188 | 445 | 889 | 2,175 |
Single-family reclassifications from held-for-investment to held-for sale, allowance for credit losses reverse or (established) | 0 | 0 | 1 | 6 |
Single-family reclassifications from held-for-sale to held-for-investment, valuation allowance (established) or reversed | 0 | 0 | 0 | 0 |
Held-for-Sale | Single-family | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Single-family reclassifications from held-for-sale to held-for-investment, UPB | 30 | 81 | 167 | 183 |
Single-family reclassifications from held-for-investment to held-for sale, allowance for credit losses reverse or (established) | (3) | 4 | (10) | 13 |
Single-family reclassifications from held-for-sale to held-for-investment, valuation allowance (established) or reversed | 2 | 0 | 5 | 0 |
Held-for-Sale | Multifamily | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Single-family reclassifications from held-for-sale to held-for-investment, UPB | 0 | 0 | 285 | 21 |
Single-family reclassifications from held-for-investment to held-for sale, allowance for credit losses reverse or (established) | 0 | 0 | 0 | 0 |
Single-family reclassifications from held-for-sale to held-for-investment, valuation allowance (established) or reversed | $ 0 | $ 0 | $ 0 | $ 0 |
Mortgage Loans - Amortized Cost
Mortgage Loans - Amortized Cost Basis of Held-for-Investment Loans on Nonaccrual (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | |
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||||
Non-Accrual Amortized Cost Basis | $ 10,357 | $ 19,204 | $ 10,357 | $ 19,204 | $ 12,060 | $ 21,224 |
Interest Income Recognized | 39 | 38 | 129 | 125 | ||
Single family | ||||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||||
Non-Accrual Amortized Cost Basis | 10,315 | 19,204 | 10,315 | 19,204 | 12,018 | 21,224 |
Interest Income Recognized | 39 | 38 | 129 | 125 | ||
20- and 30-year or more, amortizing fixed-rate | ||||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||||
Non-Accrual Amortized Cost Basis | 9,462 | 17,524 | 9,462 | 17,524 | 11,021 | 19,431 |
Interest Income Recognized | 37 | 35 | 121 | 115 | ||
15-year or less, amortizing fixed-rate | ||||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||||
Non-Accrual Amortized Cost Basis | 457 | 862 | 457 | 862 | 562 | 914 |
Interest Income Recognized | 1 | 1 | 4 | 4 | ||
Adjustable-rate and other | ||||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||||
Non-Accrual Amortized Cost Basis | 396 | 818 | 396 | 818 | 435 | 879 |
Interest Income Recognized | 1 | 2 | 4 | 6 | ||
Multifamily | ||||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||||
Non-Accrual Amortized Cost Basis | 42 | 0 | 42 | 0 | $ 42 | $ 0 |
Interest Income Recognized | $ 0 | $ 0 | $ 0 | $ 0 |
Mortgage Loans - Accrued Intere
Mortgage Loans - Accrued Interest Receivable and Related Charge-Offs (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Single family | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Accrued Interest Receivable, Net | $ 7,752 | $ 7,752 | $ 7,065 | ||
Accrued Interest Receivable Related Charge-Offs | (47) | $ (222) | (192) | $ (507) | |
Multifamily | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Accrued Interest Receivable, Net | 142 | 142 | $ 125 | ||
Accrued Interest Receivable Related Charge-Offs | $ 0 | $ 0 | $ 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 | Sep. 30, 2022 | Dec. 31, 2021 |
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Total | $ 3,004,859 | $ 2,833,278 |
Single-Family serious delinquency rate | 0.67% | 1.12% |
Single family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | $ 363,621 | $ 1,074,100 |
One year before current fiscal year | 1,081,683 | 895,277 |
Two years before current fiscal year | 813,645 | 159,966 |
Three years before current fiscal year | 135,614 | 66,530 |
Four years before current fiscal year | 54,685 | 89,915 |
Five years before current fiscal year | 519,747 | 520,747 |
Total | 2,968,995 | 2,806,535 |
20- and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 329,472 | 918,437 |
One year before current fiscal year | 931,012 | 762,269 |
Two years before current fiscal year | 696,106 | 140,546 |
Three years before current fiscal year | 119,531 | 58,592 |
Four years before current fiscal year | 48,335 | 74,404 |
Five years before current fiscal year | 430,526 | 424,276 |
Total | 2,554,982 | 2,378,524 |
15-year or less, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 29,739 | 150,640 |
One year before current fiscal year | 145,623 | 130,903 |
Two years before current fiscal year | 115,742 | 18,478 |
Three years before current fiscal year | 15,342 | 7,302 |
Four years before current fiscal year | 5,868 | 13,660 |
Five years before current fiscal year | 72,839 | 78,045 |
Total | 385,153 | 399,028 |
Adjustable-rate and other | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 4,410 | 5,023 |
One year before current fiscal year | 5,048 | 2,105 |
Two years before current fiscal year | 1,797 | 942 |
Three years before current fiscal year | 741 | 636 |
Four years before current fiscal year | 482 | 1,851 |
Five years before current fiscal year | 16,382 | 18,426 |
Total | 28,860 | 28,983 |
CLTV ratio less than or equal to 60 percent | Single family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 76,848 | 356,030 |
One year before current fiscal year | 536,335 | 511,133 |
Two years before current fiscal year | 622,426 | 95,874 |
Three years before current fiscal year | 106,268 | 46,847 |
Four years before current fiscal year | 46,614 | 76,693 |
Five years before current fiscal year | 507,771 | 500,985 |
Total | 1,896,262 | 1,587,562 |
CLTV ratio less than or equal to 60 percent | 20- and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 60,081 | 260,244 |
One year before current fiscal year | 412,520 | 397,680 |
Two years before current fiscal year | 508,101 | 77,812 |
Three years before current fiscal year | 90,428 | 39,143 |
Four years before current fiscal year | 40,315 | 61,434 |
Five years before current fiscal year | 419,068 | 405,467 |
Total | 1,530,513 | 1,241,780 |
CLTV ratio less than or equal to 60 percent | 15-year or less, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 15,657 | 93,732 |
One year before current fiscal year | 120,897 | 111,899 |
Two years before current fiscal year | 112,740 | 17,335 |
Three years before current fiscal year | 15,175 | 7,161 |
Four years before current fiscal year | 5,847 | 13,602 |
Five years before current fiscal year | 72,814 | 78,001 |
Total | 343,130 | 321,730 |
CLTV ratio less than or equal to 60 percent | Adjustable-rate and other | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 1,110 | 2,054 |
One year before current fiscal year | 2,918 | 1,554 |
Two years before current fiscal year | 1,585 | 727 |
Three years before current fiscal year | 665 | 543 |
Four years before current fiscal year | 452 | 1,657 |
Five years before current fiscal year | 15,889 | 17,517 |
Total | 22,619 | 24,052 |
CLTV ratio greater than 60 to 80 percent | Single family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 160,226 | 522,149 |
One year before current fiscal year | 452,565 | 353,929 |
Two years before current fiscal year | 186,925 | 61,915 |
Three years before current fiscal year | 28,744 | 19,141 |
Four years before current fiscal year | 7,894 | 12,959 |
Five years before current fiscal year | 11,127 | 18,185 |
Total | 847,481 | 988,278 |
CLTV ratio greater than 60 to 80 percent | 20- and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 145,978 | 467,193 |
One year before current fiscal year | 426,339 | 334,560 |
Two years before current fiscal year | 183,723 | 60,570 |
Three years before current fiscal year | 28,502 | 18,914 |
Four years before current fiscal year | 7,845 | 12,715 |
Five years before current fiscal year | 10,671 | 17,354 |
Total | 803,058 | 911,306 |
CLTV ratio greater than 60 to 80 percent | 15-year or less, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 12,244 | 52,521 |
One year before current fiscal year | 24,272 | 18,834 |
Two years before current fiscal year | 2,994 | 1,136 |
Three years before current fiscal year | 167 | 137 |
Four years before current fiscal year | 20 | 54 |
Five years before current fiscal year | 20 | 36 |
Total | 39,717 | 72,718 |
CLTV ratio greater than 60 to 80 percent | Adjustable-rate and other | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 2,004 | 2,435 |
One year before current fiscal year | 1,954 | 535 |
Two years before current fiscal year | 208 | 209 |
Three years before current fiscal year | 75 | 90 |
Four years before current fiscal year | 29 | 190 |
Five years before current fiscal year | 436 | 795 |
Total | 4,706 | 4,254 |
CLTV ratio greater than 80 to 90 Percent | Single family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 63,478 | 128,276 |
One year before current fiscal year | 87,433 | 29,128 |
Two years before current fiscal year | 3,910 | 2,046 |
Three years before current fiscal year | 547 | 487 |
Four years before current fiscal year | 150 | 214 |
Five years before current fiscal year | 497 | 887 |
Total | 156,015 | 161,038 |
CLTV ratio greater than 80 to 90 Percent | 20- and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 61,350 | 124,074 |
One year before current fiscal year | 86,815 | 28,944 |
Two years before current fiscal year | 3,898 | 2,034 |
Three years before current fiscal year | 546 | 482 |
Four years before current fiscal year | 148 | 208 |
Five years before current fiscal year | 459 | 818 |
Total | 153,216 | 156,560 |
CLTV ratio greater than 80 to 90 Percent | 15-year or less, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 1,350 | 3,785 |
One year before current fiscal year | 449 | 168 |
Two years before current fiscal year | 8 | 6 |
Three years before current fiscal year | 0 | 2 |
Four years before current fiscal year | 1 | 2 |
Five years before current fiscal year | 2 | 3 |
Total | 1,810 | 3,966 |
CLTV ratio greater than 80 to 90 Percent | Adjustable-rate and other | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 778 | 417 |
One year before current fiscal year | 169 | 16 |
Two years before current fiscal year | 4 | 6 |
Three years before current fiscal year | 1 | 3 |
Four years before current fiscal year | 1 | 4 |
Five years before current fiscal year | 36 | 66 |
Total | 989 | 512 |
CLTV ratio greater than 90 to 100 percent | Single family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 62,855 | 67,565 |
One year before current fiscal year | 5,345 | 1,085 |
Two years before current fiscal year | 383 | 127 |
Three years before current fiscal year | 52 | 46 |
Four years before current fiscal year | 22 | 30 |
Five years before current fiscal year | 169 | 341 |
Total | 68,826 | 69,194 |
CLTV ratio greater than 90 to 100 percent | 20- and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 61,850 | 66,851 |
One year before current fiscal year | 5,333 | 1,083 |
Two years before current fiscal year | 383 | 126 |
Three years before current fiscal year | 52 | 45 |
Four years before current fiscal year | 22 | 29 |
Five years before current fiscal year | 155 | 309 |
Total | 67,795 | 68,443 |
CLTV ratio greater than 90 to 100 percent | 15-year or less, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 488 | 598 |
One year before current fiscal year | 5 | 2 |
Two years before current fiscal year | 0 | 1 |
Three years before current fiscal year | 0 | 1 |
Four years before current fiscal year | 0 | 1 |
Five years before current fiscal year | 1 | 2 |
Total | 494 | 605 |
CLTV ratio greater than 90 to 100 percent | Adjustable-rate and other | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 517 | 116 |
One year before current fiscal year | 7 | 0 |
Two years before current fiscal year | 0 | 0 |
Three years before current fiscal year | 0 | 0 |
Four years before current fiscal year | 0 | 0 |
Five years before current fiscal year | 13 | 30 |
Total | 537 | 146 |
CLTV ratio greater than 100 percent | Single family | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 214 | 80 |
One year before current fiscal year | 5 | 2 |
Two years before current fiscal year | 1 | 4 |
Three years before current fiscal year | 3 | 9 |
Four years before current fiscal year | 5 | 19 |
Five years before current fiscal year | 183 | 349 |
Total | 411 | 463 |
CLTV ratio greater than 100 percent | 20- and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 213 | 75 |
One year before current fiscal year | 5 | 2 |
Two years before current fiscal year | 1 | 4 |
Three years before current fiscal year | 3 | 8 |
Four years before current fiscal year | 5 | 18 |
Five years before current fiscal year | 173 | 328 |
Total | 400 | 435 |
CLTV ratio greater than 100 percent | 15-year or less, amortizing fixed-rate | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 0 | 4 |
One year before current fiscal year | 0 | 0 |
Two years before current fiscal year | 0 | 0 |
Three years before current fiscal year | 0 | 1 |
Four years before current fiscal year | 0 | 1 |
Five years before current fiscal year | 2 | 3 |
Total | 2 | 9 |
CLTV ratio greater than 100 percent | Adjustable-rate and other | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 1 | 1 |
One year before current fiscal year | 0 | 0 |
Two years before current fiscal year | 0 | 0 |
Three years before current fiscal year | 0 | 0 |
Four years before current fiscal year | 0 | 0 |
Five years before current fiscal year | 8 | 18 |
Total | $ 9 | $ 19 |
Mortgage Loans - Amortized Co_3
Mortgage Loans - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator by Vintage (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Total | $ 3,004,859 | $ 2,833,278 |
Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 9,381 | 6,955 |
One year before current fiscal year | 7,891 | 7,218 |
Two years before current fiscal year | 6,672 | 5,816 |
Three years before current fiscal year | 5,680 | 983 |
Four years before current fiscal year | 950 | 615 |
Five years before current fiscal year | 3,244 | 2,881 |
Revolving Loans | 2,046 | 2,275 |
Total | 35,864 | 26,743 |
Pass | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 9,381 | 6,955 |
One year before current fiscal year | 7,852 | 7,116 |
Two years before current fiscal year | 6,576 | 5,273 |
Three years before current fiscal year | 5,177 | 979 |
Four years before current fiscal year | 939 | 610 |
Five years before current fiscal year | 3,108 | 2,795 |
Revolving Loans | 2,046 | 2,275 |
Total | 35,079 | 26,003 |
Special mention | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 0 | 0 |
One year before current fiscal year | 39 | 40 |
Two years before current fiscal year | 65 | 372 |
Three years before current fiscal year | 443 | 0 |
Four years before current fiscal year | 7 | 3 |
Five years before current fiscal year | 56 | 42 |
Revolving Loans | 0 | 0 |
Total | 610 | 457 |
Substandard | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 0 | 0 |
One year before current fiscal year | 0 | 62 |
Two years before current fiscal year | 31 | 171 |
Three years before current fiscal year | 60 | 4 |
Four years before current fiscal year | 4 | 2 |
Five years before current fiscal year | 80 | 44 |
Revolving Loans | 0 | 0 |
Total | 175 | 283 |
Doubtful | Multifamily | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 0 | 0 |
One year before current fiscal year | 0 | 0 |
Two years before current fiscal year | 0 | 0 |
Three years before current fiscal year | 0 | 0 |
Four years before current fiscal year | 0 | 0 |
Five years before current fiscal year | 0 | 0 |
Revolving Loans | 0 | 0 |
Total | $ 0 | $ 0 |
Mortgage Loans - Amortized Co_4
Mortgage Loans - Amortized Cost Basis of Held-for-Investment Loans by Payment Status (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Financing Receivable, Past Due [Line Items] | ||
Total | $ 3,004,859 | $ 2,833,278 |
Non-Accrual with no allowance | 676 | 972 |
Mortgage Loans in Process of Foreclosure, Amount | 1,500 | 700 |
20- and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 2,554,982 | 2,378,524 |
Three months or more past due and accruing | 3,067 | 5,784 |
Non-Accrual with no allowance | 546 | 857 |
15-year or less, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 385,153 | 399,028 |
Three months or more past due and accruing | 170 | 392 |
Non-Accrual with no allowance | 10 | 13 |
Adjustable-rate and other | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 28,860 | 28,983 |
Three months or more past due and accruing | 32 | 95 |
Non-Accrual with no allowance | 78 | 102 |
Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 2,968,995 | 2,806,535 |
Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 35,864 | 26,743 |
Three months or more past due and accruing | 0 | 0 |
Non-Accrual with no allowance | 42 | 0 |
Current | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 2,970,102 | 2,788,601 |
Current | 20- and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 2,523,119 | 2,338,076 |
Current | 15-year or less, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 383,084 | 396,030 |
Current | Adjustable-rate and other | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 28,080 | 27,752 |
Current | Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 2,934,283 | 2,761,858 |
Current | Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 35,819 | 26,743 |
One month past due | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 17,582 | 16,663 |
One month past due | 20- and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 16,055 | 14,833 |
One month past due | 15-year or less, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 1,233 | 1,550 |
One month past due | Adjustable-rate and other | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 291 | 280 |
One month past due | Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 17,579 | 16,663 |
One month past due | Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 3 | 0 |
Two months past due | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 3,959 | 3,533 |
Two months past due | 20- and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 3,657 | 3,214 |
Two months past due | 15-year or less, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 223 | 230 |
Two months past due | Adjustable-rate and other | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 79 | 89 |
Two months past due | Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 3,959 | 3,533 |
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 | 13,216 | 24,481 |
Three months or more past due and accruing | 3,269 | 6,271 |
Three months or more past due or in foreclosure | 20- and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 12,151 | 22,401 |
Three months or more past due or in foreclosure | 15-year or less, amortizing fixed-rate | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 613 | 1,218 |
Three months or more past due or in foreclosure | Adjustable-rate and other | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 410 | 862 |
Three months or more past due or in foreclosure | Single-family | ||
Financing Receivable, Past Due [Line Items] | ||
Total | 13,174 | 24,481 |
Three months or more past due and accruing | 3,269 | 6,271 |
Non-Accrual with no allowance | 634 | 972 |
Three months or more past due or in foreclosure | Multifamily | ||
Financing Receivable, Past Due [Line Items] | ||
Total | $ 42 | $ 0 |
Mortgage Loans - Single-Family
Mortgage Loans - Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended |
Sep. 30, 2022 | Sep. 30, 2022 | |
Single family | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | $ 8,982 | $ 28,283 |
Percentage of class of financing receivable | 0.30% | 1% |
Amortized cost basis of loans in payment deferral plans | $ 2,800 | $ 10,800 |
20- and 30-year or more, amortizing fixed-rate | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | $ 8,439 | $ 26,629 |
Percentage of class of financing receivable | 0.30% | 1% |
15-year or less, amortizing fixed-rate | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | $ 411 | $ 1,160 |
Percentage of class of financing receivable | 0.10% | 0.30% |
Adjustable-rate and other | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | $ 132 | $ 494 |
Percentage of class of financing receivable | 0.50% | 1.70% |
payment delay [Member] | Single family | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | $ 6,914 | $ 19,694 |
payment delay [Member] | 20- and 30-year or more, amortizing fixed-rate | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 6,435 | 18,207 |
payment delay [Member] | 15-year or less, amortizing fixed-rate | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 381 | 1,130 |
payment delay [Member] | Adjustable-rate and other | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 98 | 357 |
payment delay and term extension [Member] | Single family | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 786 | 1,924 |
payment delay and term extension [Member] | 20- and 30-year or more, amortizing fixed-rate | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 750 | 1,868 |
payment delay and term extension [Member] | 15-year or less, amortizing fixed-rate | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 24 | 24 |
payment delay and term extension [Member] | Adjustable-rate and other | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 12 | 32 |
payment delay, interest rate reduction, and term extension [Member] | Single family | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 1,282 | 6,665 |
payment delay, interest rate reduction, and term extension [Member] | 20- and 30-year or more, amortizing fixed-rate | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 1,254 | 6,554 |
payment delay, interest rate reduction, and term extension [Member] | 15-year or less, amortizing fixed-rate | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 6 | 6 |
payment delay, interest rate reduction, and term extension [Member] | Adjustable-rate and other | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | $ 22 | $ 105 |
Mortgage Loans - Financial Effe
Mortgage Loans - Financial Effects of Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty (Details) - USD ($) | 3 Months Ended | 9 Months Ended |
Sep. 30, 2022 | Sep. 30, 2022 | |
20- and 30-year or more, amortizing fixed-rate | ||
financing receivable, loan restructuring [Line Items] | ||
Weighted average interest rate reduction | 1.10% | 1.40% |
Weighted average term extension | 183 | 187 |
Weighted average payment deferral or principal forbearance | $ 19,000 | $ 22,000 |
15-year or less, amortizing fixed-rate | ||
financing receivable, loan restructuring [Line Items] | ||
Weighted average interest rate reduction | 0.60% | 0.60% |
Weighted average term extension | 366 | 366 |
Weighted average payment deferral or principal forbearance | $ 21,000 | $ 24,000 |
Adjustable-rate and other | ||
financing receivable, loan restructuring [Line Items] | ||
Weighted average interest rate reduction | 1.90% | 2.30% |
Weighted average term extension | 221 | 225 |
Weighted average payment deferral or principal forbearance | $ 20,000 | $ 26,000 |
Mortgage Loans - Subsequent Def
Mortgage Loans - Subsequent Defaults of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended |
Sep. 30, 2022 | Sep. 30, 2022 | |
Single family | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, restructured loans that defaulted, amortized cost basis | $ 715 | $ 1,608 |
Single family | payment delay [Member] | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, restructured loans that defaulted, amortized cost basis | 520 | 1,292 |
Single family | payment delay and term extension [Member] | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, restructured loans that defaulted, amortized cost basis | 54 | 97 |
Single family | payment delay, interest rate reduction, and term extension [Member] | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, restructured loans that defaulted, amortized cost basis | 141 | 219 |
20- and 30-year or more, amortizing fixed-rate | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, restructured loans that defaulted, amortized cost basis | 676 | 1,504 |
20- and 30-year or more, amortizing fixed-rate | payment delay [Member] | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, restructured loans that defaulted, amortized cost basis | 483 | 1,194 |
20- and 30-year or more, amortizing fixed-rate | payment delay and term extension [Member] | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, restructured loans that defaulted, amortized cost basis | 53 | 94 |
20- and 30-year or more, amortizing fixed-rate | payment delay, interest rate reduction, and term extension [Member] | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, restructured loans that defaulted, amortized cost basis | 140 | 216 |
15-year or less, amortizing fixed-rate | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, restructured loans that defaulted, amortized cost basis | 28 | 67 |
15-year or less, amortizing fixed-rate | payment delay [Member] | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, restructured loans that defaulted, amortized cost basis | 28 | 67 |
15-year or less, amortizing fixed-rate | payment delay and term extension [Member] | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, restructured loans that defaulted, amortized cost basis | 0 | 0 |
15-year or less, amortizing fixed-rate | payment delay, interest rate reduction, and term extension [Member] | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, restructured loans that defaulted, amortized cost basis | 0 | 0 |
Adjustable-rate and other | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, restructured loans that defaulted, amortized cost basis | 11 | 37 |
Adjustable-rate and other | payment delay [Member] | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, restructured loans that defaulted, amortized cost basis | 9 | 31 |
Adjustable-rate and other | payment delay and term extension [Member] | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, restructured loans that defaulted, amortized cost basis | 1 | 3 |
Adjustable-rate and other | payment delay, interest rate reduction, and term extension [Member] | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, restructured loans that defaulted, amortized cost basis | $ 1 | $ 3 |
Mortgage Loans - Payment Status
Mortgage Loans - Payment Status of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty (Details) $ in Millions | 3 Months Ended | 9 Months Ended |
Sep. 30, 2022 USD ($) | Sep. 30, 2022 USD ($) | |
financing receivable, loan restructuring [Line Items] | ||
Amortized cost basis of SF HFI loans in trial period modification plans | $ 1,600 | $ 1,600 |
Single family | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 8,982 | 28,283 |
Single family | Current | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 18,281 | |
Single family | One month past due | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 2,426 | |
Single family | Two months past due | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 1,639 | |
Single family | Three months or more past due or in foreclosure | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 5,937 | |
20- and 30-year or more, amortizing fixed-rate | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 8,439 | 26,629 |
20- and 30-year or more, amortizing fixed-rate | Current | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 17,282 | |
20- and 30-year or more, amortizing fixed-rate | One month past due | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 2,289 | |
20- and 30-year or more, amortizing fixed-rate | Two months past due | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 1,535 | |
20- and 30-year or more, amortizing fixed-rate | Three months or more past due or in foreclosure | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 5,523 | |
15-year or less, amortizing fixed-rate | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 411 | 1,160 |
15-year or less, amortizing fixed-rate | Current | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 696 | |
15-year or less, amortizing fixed-rate | One month past due | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 107 | |
15-year or less, amortizing fixed-rate | Two months past due | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 81 | |
15-year or less, amortizing fixed-rate | Three months or more past due or in foreclosure | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 276 | |
Adjustable-rate and other | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | $ 132 | 494 |
Adjustable-rate and other | Current | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 303 | |
Adjustable-rate and other | One month past due | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 30 | |
Adjustable-rate and other | Two months past due | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | 23 | |
Adjustable-rate and other | Three months or more past due or in foreclosure | ||
financing receivable, loan restructuring [Line Items] | ||
Financing receivable, loan restructuring, amortized cost basis | $ 138 |
Mortgage Loans - Single-Famil_2
Mortgage Loans - Single-Family TDR Modification Metrics (Details) - Single family | 3 Months Ended | 9 Months Ended |
Sep. 30, 2021 | Sep. 30, 2021 | |
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Interest rate reductions and related term extensions | 12% | 13% |
Principal forbearance and related interest rate reductions and term extensions | 34% | 35% |
Average coupon interest rate reduction | 0.40% | 0.40% |
Average months of term extension | 154 months | 151 months |
Mortgage Loans - TDR Activity (
Mortgage Loans - TDR Activity (Details) $ in Millions | 3 Months Ended | 9 Months Ended |
Sep. 30, 2021 USD ($) loan | Sep. 30, 2021 USD ($) loan | |
Single-family | ||
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Number of Loans | loan | 3,647 | 12,462 |
Post TDR Amortized Cost Basis | $ 623 | $ 2,102 |
Pre-TDR Amortized Cost Basis | $ 600 | $ 2,100 |
20- and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Number of Loans | loan | 3,136 | 10,647 |
Post TDR Amortized Cost Basis | $ 562 | $ 1,889 |
15-year or less, amortizing fixed-rate | ||
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Number of Loans | loan | 365 | 1,262 |
Post TDR Amortized Cost Basis | $ 37 | $ 131 |
Adjustable-rate and other | ||
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Number of Loans | loan | 146 | 553 |
Post TDR Amortized Cost Basis | $ 24 | $ 82 |
Multifamily | ||
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Number of Loans | loan | 0 | 0 |
Post TDR Amortized Cost Basis | $ 0 | $ 0 |
Mortgage Loans - Payment Defaul
Mortgage Loans - Payment Defaults of Completed TDR Modifications (Details) $ in Millions | 3 Months Ended | 9 Months Ended |
Sep. 30, 2021 USD ($) loan | Sep. 30, 2021 USD ($) loan | |
Single-family | ||
Financing Receivable, Modifications and Other Loss Mitigation Activities | ||
Financing Receivable, Troubled Debt Restructuring, Subsequent Default, Number of Contracts | loan | 680 | 2,816 |
Financing Receivable, Troubled Debt Restructuring, Subsequent Default | $ | $ 115 | $ 484 |
20- and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, Modifications and Other Loss Mitigation Activities | ||
Financing Receivable, Troubled Debt Restructuring, Subsequent Default, Number of Contracts | loan | 595 | 2,408 |
Financing Receivable, Troubled Debt Restructuring, Subsequent Default | $ | $ 103 | $ 425 |
15-year or less, amortizing fixed-rate | ||
Financing Receivable, Modifications and Other Loss Mitigation Activities | ||
Financing Receivable, Troubled Debt Restructuring, Subsequent Default, Number of Contracts | loan | 15 | 101 |
Financing Receivable, Troubled Debt Restructuring, Subsequent Default | $ | $ 2 | $ 11 |
Adjustable-rate and other | ||
Financing Receivable, Modifications and Other Loss Mitigation Activities | ||
Financing Receivable, Troubled Debt Restructuring, Subsequent Default, Number of Contracts | loan | 70 | 307 |
Financing Receivable, Troubled Debt Restructuring, Subsequent Default | $ | $ 10 | $ 48 |
Multifamily | ||
Financing Receivable, Modifications and Other Loss Mitigation Activities | ||
Financing Receivable, Troubled Debt Restructuring, Subsequent Default, Number of Contracts | loan | 0 | 0 |
Financing Receivable, Troubled Debt Restructuring, Subsequent Default | $ | $ 0 | $ 0 |
Financial Guarantees (Details)
Financial Guarantees (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
Written options | ||
Guarantor Obligations [Line Items] | ||
Maximum exposure | $ 45,410 | $ 34,861 |
Recognized Liability | $ 2,005 | $ 1,596 |
Maximum Remaining Term | 9 years | 10 years |
CRT-related derivatives | ||
Guarantor Obligations [Line Items] | ||
Maximum exposure | $ 39,434 | $ 33,188 |
Recognized Liability | $ 130 | $ 35 |
Maximum Remaining Term | 30 years | 30 years |
Other | ||
Guarantor Obligations [Line Items] | ||
Maximum exposure | $ 5,727 | $ 1,750 |
Recognized Liability | $ 445 | $ 21 |
Maximum Remaining Term | 30 years | 29 years |
Guarantees of Fannie Mae securities | ||
Guarantor Obligations [Line Items] | ||
Maximum exposure | $ 122,576 | $ 111,150 |
Recognized Liability | $ 0 | $ 0 |
Maximum Remaining Term | 39 years | 40 years |
Total other guarantees | ||
Guarantor Obligations [Line Items] | ||
Maximum exposure | $ 90,571 | $ 69,799 |
Recognized Liability | $ 2,580 | $ 1,652 |
Maximum Remaining Term | ||
Single-family | ||
Guarantor Obligations [Line Items] | ||
Maximum exposure | $ 158,772 | $ 149,713 |
Recognized Liability | 609 | 649 |
Single-family | Securitization activity guarantees | ||
Guarantor Obligations [Line Items] | ||
Maximum exposure | 26,504 | 27,975 |
Recognized Liability | $ 395 | $ 398 |
Maximum Remaining Term | 40 years | 39 years |
Single-family | Other mortgage-related guarantees | ||
Guarantor Obligations [Line Items] | ||
Maximum exposure | $ 9,692 | $ 10,588 |
Recognized Liability | $ 214 | $ 251 |
Maximum Remaining Term | 30 years | 30 years |
Multifamily | ||
Guarantor Obligations [Line Items] | ||
Maximum exposure | $ 329,187 | $ 327,462 |
Recognized Liability | 5,204 | 5,067 |
Multifamily | Securitization activity guarantees | ||
Guarantor Obligations [Line Items] | ||
Maximum exposure | 318,924 | 317,006 |
Recognized Liability | $ 4,826 | $ 4,663 |
Maximum Remaining Term | 38 years | 38 years |
Multifamily | Other mortgage-related guarantees | ||
Guarantor Obligations [Line Items] | ||
Maximum exposure | $ 10,263 | $ 10,456 |
Recognized Liability | $ 378 | $ 404 |
Maximum Remaining Term | 32 years | 32 years |
UPB of Loans Underlying Our Gua
UPB of Loans Underlying Our Guarantees by Payment Status (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Guarantor Obligations [Line Items] | ||
Current | $ 407,619 | $ 409,505 |
One Month Past Due | 1,998 | 2,087 |
Two Months Past Due | 796 | 699 |
Three Months or More Past Due, or in Foreclosure | 2,449 | 2,658 |
Total | 412,862 | 414,949 |
UPB of loan-level payment status unavailable | 200 | 400 |
Single family | ||
Guarantor Obligations [Line Items] | ||
Current | 36,983 | 38,964 |
One Month Past Due | 1,951 | 2,040 |
Two Months Past Due | 729 | 692 |
Three Months or More Past Due, or in Foreclosure | 2,023 | 2,341 |
Total | 41,686 | 44,037 |
Multifamily | ||
Guarantor Obligations [Line Items] | ||
Current | 370,636 | 370,541 |
One Month Past Due | 47 | 47 |
Two Months Past Due | 67 | 7 |
Three Months or More Past Due, or in Foreclosure | 426 | 317 |
Total | $ 371,176 | $ 370,912 |
Allowance for Credit Losses - S
Allowance for Credit Losses - Schedule (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Ending balance | $ 7,308 | $ 5,389 | $ 7,308 | $ 5,389 |
Allowance for credit loss | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Beginning balance | 5,423 | 5,609 | 5,518 | 6,553 |
Provision (benefit) for credit losses | 1,796 | (243) | 1,266 | (1,179) |
Charge-offs | (108) | (288) | (388) | (729) |
Recoveries collected | 29 | 43 | 124 | 150 |
Other(1) | 168 | 268 | 788 | 594 |
Mortgage loans held-for-investment | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Ending balance | 6,851 | 4,531 | 6,851 | 4,531 |
Advances of pre-foreclosure costs | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Ending balance | 354 | 592 | 354 | 592 |
Accrued interest receivable on mortgage loans | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Ending balance | 6 | 157 | 6 | 157 |
Off-balance sheet credit exposures | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Ending balance | 97 | 109 | 97 | 109 |
Single family | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Ending balance | 7,215 | 5,292 | 7,215 | 5,292 |
Single family | Allowance for credit loss | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Beginning balance | 5,342 | 5,513 | 5,440 | 6,353 |
Provision (benefit) for credit losses | 1,784 | (244) | 1,251 | (1,076) |
Charge-offs | (108) | (288) | (388) | (729) |
Recoveries collected | 29 | 43 | 124 | 150 |
Other(1) | 168 | 268 | 788 | 594 |
Single family | Mortgage loans held-for-investment | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Ending balance | 6,802 | 4,490 | 6,802 | 4,490 |
Single family | Advances of pre-foreclosure costs | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Ending balance | 354 | 592 | 354 | 592 |
Single family | Accrued interest receivable on mortgage loans | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Ending balance | 6 | 157 | 6 | 157 |
Single family | Off-balance sheet credit exposures | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Ending balance | 53 | 53 | 53 | 53 |
Multifamily | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Ending balance | 93 | 97 | 93 | 97 |
Multifamily | Allowance for credit loss | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Beginning balance | 81 | 96 | 78 | 200 |
Provision (benefit) for credit losses | 12 | 1 | 15 | (103) |
Charge-offs | 0 | 0 | 0 | 0 |
Recoveries collected | 0 | 0 | 0 | 0 |
Other(1) | 0 | 0 | 0 | 0 |
Multifamily | Mortgage loans held-for-investment | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Ending balance | 49 | 41 | 49 | 41 |
Multifamily | Advances of pre-foreclosure costs | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Ending balance | 0 | 0 | 0 | 0 |
Multifamily | Accrued interest receivable on mortgage loans | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Ending balance | 0 | 0 | 0 | 0 |
Multifamily | Off-balance sheet credit exposures | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Ending balance | $ 44 | $ 56 | $ 44 | $ 56 |
Investment Securities (Details)
Investment Securities (Details) - USD ($) $ in Billions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Net unrealized gains (losses) on trading securities held at balance sheets date | $ (0.9) | $ (0.5) | $ (2) | $ (1.2) |
Available-for-sale securities scheduled to contractually mature after ten years | 1.5 | 1.5 | ||
Available-for-sale securities scheduled to contractually mature after five years through ten years | $ 3.7 | 3.7 | ||
Investment securities in exchange for issuance of debt securities of consolidated trusts | 9 | $ 32.4 | ||
Deconsolidation Of Investments | $ 10.5 |
Investment Securities - Investm
Investment Securities - Investment Securities (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Investments, Debt and Equity Securities [Abstract] | ||
Trading securities | $ 37,221 | $ 49,003 |
Available-for-Sale, at fair value | 6,049 | 4,012 |
Total fair value of investment securities | $ 43,270 | $ 53,015 |
Investment Securities - Trading
Investment Securities - Trading Securities (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Trading Securities [Line Items] | ||
Total fair value of trading securities | $ 37,221 | $ 49,003 |
Mortage-related securities | ||
Trading Securities [Line Items] | ||
Total fair value of trading securities | 10,651 | 16,231 |
Non-mortgage-related securities | ||
Trading Securities [Line Items] | ||
Total fair value of trading securities | $ 26,570 | $ 32,772 |
Investment Securities - Availab
Investment Securities - Available-For-Sale Securities (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Investments, Debt and Equity Securities [Abstract] | ||
Amortized Cost Basis | $ 6,150 | $ 3,638 |
Gross Unrealized Gains in Other Comprehensive Income | 192 | 376 |
Gross Unrealized Losses in Other Comprehensive Income | (293) | (2) |
Available-for-Sale, at fair value | 6,049 | 4,012 |
Accrued Interest Receivable | $ 14 | $ 10 |
Investment Securities - Gross R
Investment Securities - Gross Realized Gains and Gross Realized Losses on Sales of Available-For-Sale Securities (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Gross realized gains | $ 33 | $ 14 | $ 34 | $ 534 |
Gross realized losses | (3) | (4) | (7) | (57) |
Net realized gains (losses) | $ 30 | $ 10 | $ 27 | $ 477 |
Debt Text (Details)
Debt Text (Details) $ in Billions | Sep. 30, 2022 USD ($) |
Debt Disclosure [Abstract] | |
Aggregate indebtedness | $ 175.2 |
Debt cap limit under Purchase Agreement | $ 300 |
Debt - Total Debt (Details)
Debt - Total Debt (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Debt Net [Abstract] | ||
Total debt | $ 3,137,222 | $ 2,980,185 |
Held by consolidated trusts | ||
Debt Net [Abstract] | ||
Total debt | 2,973,973 | 2,803,054 |
Held by Freddie Mac | ||
Debt Net [Abstract] | ||
Short-term Debt | 11,902 | 0 |
Long-term debt carrying amount | 151,347 | 177,131 |
Total debt | $ 163,249 | $ 177,131 |
Debt - Debt of Consolidated Tru
Debt - Debt of Consolidated Trusts (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Debt Instrument [Line Items] | ||
Carrying Amount | $ 3,137,222 | $ 2,980,185 |
Debt instrument recorded at fair value | 4,252 | 2,478 |
Held by Freddie Mac | ||
Debt Instrument [Line Items] | ||
UPB | 2,921,045 | 2,732,056 |
Carrying Amount | 2,973,973 | 2,803,054 |
Debt instrument recorded at fair value | $ 3,100 | $ 1,100 |
Effective rate for debt securities of consolidated trusts held by third parties | 2.23% | 1.71% |
Held by Freddie Mac | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 2,892,088 | $ 2,712,218 |
Carrying Amount | 2,945,260 | 2,782,965 |
Held by Freddie Mac | Multifamily | ||
Debt Instrument [Line Items] | ||
UPB | 28,957 | 19,838 |
Carrying Amount | $ 28,713 | $ 20,089 |
Weighted Average Coupon | 2.52% | 2.17% |
Held by Freddie Mac | Single-family 20- and 30-year or more, fixed-rate | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 2,489,938 | $ 2,297,650 |
Carrying Amount | $ 2,535,520 | $ 2,358,397 |
Weighted Average Coupon | 2.71% | 2.62% |
Held by Freddie Mac | Single-family 15-year or less, fixed-rate | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 378,630 | $ 390,320 |
Carrying Amount | $ 385,588 | $ 399,647 |
Weighted Average Coupon | 2.13% | 2.13% |
Held by Freddie Mac | Adjustable-rate and other | Single-family | ||
Debt Instrument [Line Items] | ||
UPB | $ 23,520 | $ 24,248 |
Carrying Amount | $ 24,152 | $ 24,921 |
Weighted Average Coupon | 2.73% | 2.31% |
Debt - Total Debt of Freddie Ma
Debt - Total Debt of Freddie Mac (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Long-term Debt [Abstract] | ||
Debt instrument recorded at fair value | $ 4,252 | $ 2,478 |
Held by Freddie Mac | ||
Short-term Debt [Abstract] | ||
Short-term debt par value | 11,910 | 0 |
Short-term Debt | $ 11,902 | $ 0 |
Short-term debt weighted average effective rate | 2.46% | 0% |
Long-term Debt [Abstract] | ||
Long-term debt par value | $ 163,314 | $ 181,615 |
Long-term debt carrying amount | $ 151,347 | $ 177,131 |
Long-term debt weighted average effective rate | 1.80% | 1.07% |
Total par value | $ 175,224 | $ 181,615 |
Total debt of Freddie Mac | 163,249 | 177,131 |
Debt instrument recorded at fair value | 1,200 | 1,400 |
Callable debt | 97,900 | 68,500 |
Held by Freddie Mac | Long-term debt | 2022 | ||
Long-term Debt [Abstract] | ||
Long-term debt par value | 4,990 | 48,625 |
Long-term debt carrying amount | $ 4,996 | $ 48,641 |
Long-term debt weighted average effective rate | 0.25% | 0.18% |
Held by Freddie Mac | Long-term debt | 2023 | ||
Long-term Debt [Abstract] | ||
Long-term debt par value | $ 40,937 | $ 38,688 |
Long-term debt carrying amount | $ 40,914 | $ 38,644 |
Long-term debt weighted average effective rate | 0.59% | 0.47% |
Held by Freddie Mac | Long-term debt | 2024 | ||
Long-term Debt [Abstract] | ||
Long-term debt par value | $ 23,917 | $ 13,274 |
Long-term debt carrying amount | $ 23,900 | $ 13,257 |
Long-term debt weighted average effective rate | 1.80% | 0.46% |
Held by Freddie Mac | Long-term debt | 2025 | ||
Long-term Debt [Abstract] | ||
Long-term debt par value | $ 49,169 | $ 35,436 |
Long-term debt carrying amount | $ 48,888 | $ 35,108 |
Long-term debt weighted average effective rate | 1.67% | 0.84% |
Held by Freddie Mac | Long-term debt | 2026 | ||
Long-term Debt [Abstract] | ||
Long-term debt par value | $ 5,194 | $ 4,717 |
Long-term debt carrying amount | $ 5,192 | $ 4,715 |
Long-term debt weighted average effective rate | 1.12% | 0.83% |
Held by Freddie Mac | Long-term debt | Thereafter | ||
Long-term Debt [Abstract] | ||
Long-term debt par value | $ 34,262 | $ 31,736 |
Long-term debt carrying amount | $ 32,736 | $ 30,052 |
Long-term debt weighted average effective rate | 3% | 2.91% |
Held by Freddie Mac | STACR and SCR debt | ||
Long-term Debt [Abstract] | ||
Long-term debt par value | $ 4,845 | $ 9,139 |
Long-term debt carrying amount | $ 4,720 | $ 8,981 |
Long-term debt weighted average effective rate | 7.33% | 4.23% |
Held by Freddie Mac | Hedging-Related Basis Adjustments | ||
Long-term Debt [Abstract] | ||
Long-term debt carrying amount | $ (9,999) | $ (2,267) |
Held by Freddie Mac | Discount notes and Reference Bills | ||
Short-term Debt [Abstract] | ||
Short-term debt par value | 11,020 | 0 |
Short-term Debt | $ 11,012 | $ 0 |
Short-term debt weighted average effective rate | 2.51% | 0% |
Held by Freddie Mac | Medium-term notes | ||
Short-term Debt [Abstract] | ||
Short-term debt par value | $ 890 | $ 0 |
Short-term Debt | $ 890 | $ 0 |
Short-term debt weighted average effective rate | 1.81% | 0% |
Held by Freddie Mac | Securities sold under agreements to repurchase | ||
Short-term Debt [Abstract] | ||
Short-term debt par value | $ 7,512 | $ 7,333 |
Short-term Debt | $ 7,512 | $ 7,333 |
Short-term debt weighted average effective rate | 2.06% | (0.10%) |
Held by Freddie Mac | Offsetting arrangements | ||
Short-term Debt [Abstract] | ||
Short-term debt par value | $ (7,512) | $ (7,333) |
Short-term Debt | $ (7,512) | $ (7,333) |
Derivatives - Derivative Assets
Derivatives - Derivative Assets and Liabilities at Fair Value (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Derivative [Line Items] | ||
Notional or contractual amount | $ 1,085,434 | $ 1,136,816 |
Derivative interest receivable and other | 806 | 360 |
Netting adjustments to derivative assets | (6,910) | (5,366) |
Derivative Asset | 451 | 460 |
Derivative interest payable and other | (725) | (413) |
Netting adjustments to derivative liabilities | 11,265 | 7,880 |
Derivative liabilities, net | (810) | (282) |
Other | ||
Derivative [Line Items] | ||
Derivative Asset | 3 | 17 |
Derivative liabilities, net | (577) | (58) |
Not Designated as Hedging Instrument, Economic Hedge | ||
Derivative [Line Items] | ||
Notional or contractual amount | 914,254 | 981,997 |
Derivative assets at fair value | 6,231 | 5,429 |
Derivative liabilities at fair value | (3,281) | (5,060) |
Not Designated as Hedging Instrument, Economic Hedge | CDX swaption | ||
Derivative [Line Items] | ||
Notional or contractual amount | 8,800 | 9,400 |
Derivative assets at fair value | 5 | 1 |
Not Designated as Hedging Instrument, Economic Hedge | Interest-rate management derivatives | ||
Derivative [Line Items] | ||
Notional or contractual amount | 823,941 | 860,655 |
Derivative assets at fair value | 6,183 | 5,333 |
Derivative liabilities at fair value | (2,552) | (4,916) |
Not Designated as Hedging Instrument, Economic Hedge | Swaps | ||
Derivative [Line Items] | ||
Notional or contractual amount | 520,850 | 561,393 |
Derivative assets at fair value | 1,827 | 1,748 |
Derivative liabilities at fair value | (547) | (3,319) |
Not Designated as Hedging Instrument, Economic Hedge | Written options | Written | ||
Derivative [Line Items] | ||
Notional or contractual amount | 45,410 | 34,861 |
Derivative assets at fair value | 0 | 0 |
Derivative liabilities at fair value | (2,005) | (1,597) |
Not Designated as Hedging Instrument, Economic Hedge | Purchased options | Purchased | ||
Derivative [Line Items] | ||
Notional or contractual amount | 88,005 | 137,873 |
Derivative assets at fair value | 4,356 | 3,585 |
Derivative liabilities at fair value | 0 | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Futures | ||
Derivative [Line Items] | ||
Notional or contractual amount | 169,676 | 126,528 |
Derivative assets at fair value | 0 | 0 |
Derivative liabilities at fair value | 0 | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Mortgage commitment derivatives | ||
Derivative [Line Items] | ||
Notional or contractual amount | 42,564 | 83,656 |
Derivative assets at fair value | 45 | 79 |
Derivative liabilities at fair value | (152) | (86) |
Not Designated as Hedging Instrument, Economic Hedge | Forward contracts to purchase mortgage loans | ||
Derivative [Line Items] | ||
Notional or contractual amount | 2,054 | 7,582 |
Derivative assets at fair value | 2 | 15 |
Derivative liabilities at fair value | (31) | (5) |
Not Designated as Hedging Instrument, Economic Hedge | Forward contracts to purchase mortgage-related securities | ||
Derivative [Line Items] | ||
Notional or contractual amount | 16,422 | 16,605 |
Derivative assets at fair value | 0 | 26 |
Derivative liabilities at fair value | (120) | (8) |
Not Designated as Hedging Instrument, Economic Hedge | Forward contracts to sell mortgage-related securities | ||
Derivative [Line Items] | ||
Notional or contractual amount | 24,088 | 59,469 |
Derivative assets at fair value | 43 | 38 |
Derivative liabilities at fair value | (1) | (73) |
Not Designated as Hedging Instrument, Economic Hedge | CRT-related derivatives | ||
Derivative [Line Items] | ||
Notional or contractual amount | 39,565 | 33,351 |
Derivative assets at fair value | 1 | 15 |
Derivative liabilities at fair value | (132) | (37) |
Not Designated as Hedging Instrument, Economic Hedge | Other | ||
Derivative [Line Items] | ||
Notional or contractual amount | 8,184 | 4,335 |
Derivative assets at fair value | 2 | 2 |
Derivative liabilities at fair value | (445) | (21) |
Designated as Hedging Instrument | Fair Value Hedging | ||
Derivative [Line Items] | ||
Notional or contractual amount | 171,180 | 154,819 |
Derivative assets at fair value | 324 | 37 |
Derivative liabilities at fair value | (8,069) | (2,689) |
Designated as Hedging Instrument | Fair Value Hedging | Swaps | ||
Derivative [Line Items] | ||
Notional or contractual amount | 171,180 | 154,819 |
Derivative assets at fair value | 324 | 37 |
Derivative liabilities at fair value | $ (8,069) | $ (2,689) |
Derivatives - Derivative Gains
Derivatives - Derivative Gains and Losses (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative gains (losses) | $ 1,676 | $ 32 | $ 6,607 | $ 840 |
Accrual of periodic cash settlements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative gains (losses) | (233) | (471) | (619) | (1,283) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Interest-rate management derivatives | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative gains (losses) | 2,043 | 445 | 4,643 | 1,468 |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative gains (losses) | 954 | 649 | 1,708 | 2,303 |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Written options | Written | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative gains (losses) | (278) | (9) | (962) | (165) |
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) | 579 | (225) | 1,685 | (859) |
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) | 788 | 30 | 2,212 | 189 |
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) | 1,909 | 503 | 7,226 | 2,123 |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Mortgage commitment derivatives | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative gains (losses) | 203 | 46 | 2,922 | 662 |
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) | (222) | (2) | (189) | (29) |
Not Designated as Hedging Instrument, Economic Hedge | Derivative gains (losses) excluding accrual of periodic settlements | Other | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative gains (losses) | $ (115) | $ 14 | $ (150) | $ 22 |
Derivatives Derivatives - Gains
Derivatives Derivatives - Gains and Losses on Fair Value Hedge (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Interest income | $ 21,894 | $ 15,791 | $ 59,642 | $ 44,923 |
Total interest expense | (17,340) | (11,373) | (46,225) | (32,099) |
Interest rate risk on held-for-investment mortgage loans | Interest income | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (loss) on fair value hedging relationships - hedged items | (1,839) | 38 | (5,989) | (399) |
Gain (loss) on fair value hedging relationships - derivatives designated as hedging instruments | 1,731 | (58) | 5,194 | 379 |
Interest accrual on fair value hedging derivatives for held-for-investment loan | (5) | (14) | (421) | (267) |
Discontinued hedge-related basis adjustments amortization | 12 | (332) | (116) | (1,624) |
Interest rate risk on debt | Interest expense | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (loss) on fair value hedging relationships - hedged items | 2,558 | 211 | 7,719 | 1,725 |
Gain (loss) on fair value hedging relationships - derivatives designated as hedging instruments | (2,586) | (256) | (7,810) | (1,876) |
Interest accrual on fair value hedging derivatives for debt | (353) | 236 | (253) | 739 |
Discontinued hedge-related basis adjustments amortization | $ 1 | $ 6 | $ 13 | $ 14 |
Derivatives Derivatives - Cumul
Derivatives Derivatives - Cumulative Basis Adjustment due to Fair Value Hedges (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Cumulative Basis Adjustments Due to Fair Value Hedging [Line Items] | ||
Carrying amount mortgage loans held-for-investment hedged asset | $ 855,173 | |
Carrying amount debt hedged liability | $ (133,271) | (124,235) |
Total basis adjustment cumulative amount for hedged asset | 2,774 | |
Total basis adjustment cumulative amount for hedged liability | 9,999 | 2,267 |
Hedged Asset, Fair Value Hedge, Last-of-Layer, Cumulative Increase (Decrease) | 0 | |
Basis adjustment amount for hedged asset - discontinued hedge | 2,774 | |
Basis adjustment amount for hedged liability - discontinued hedge | 11 | (30) |
Closed Portfolio and Beneficial Interest, Last-of-Layer, Amortized Cost | 0 | |
Hedged Asset, Fair Value Hedge, Last-of-Layer, Amount | $ 0 | |
Mortgage loans held-for-investment | ||
Cumulative Basis Adjustments Due to Fair Value Hedging [Line Items] | ||
Carrying amount mortgage loans held-for-investment hedged asset | 1,076,474 | |
Total basis adjustment cumulative amount for hedged asset | (3,331) | |
Hedged Asset, Fair Value Hedge, Last-of-Layer, Cumulative Increase (Decrease) | (1,026) | |
Basis adjustment amount for hedged asset - discontinued hedge | (2,305) | |
Closed Portfolio and Beneficial Interest, Last-of-Layer, Amortized Cost | 81,446 | |
Hedged Asset, Fair Value Hedge, Last-of-Layer, Amount | 11,516 | |
Mortgage loans held-for-sale | ||
Cumulative Basis Adjustments Due to Fair Value Hedging [Line Items] | ||
Carrying amount mortgage loans held-for-investment hedged asset | 56 | |
Total basis adjustment cumulative amount for hedged asset | 1 | |
Hedged Asset, Fair Value Hedge, Last-of-Layer, Cumulative Increase (Decrease) | 0 | |
Basis adjustment amount for hedged asset - discontinued hedge | 1 | |
Closed Portfolio and Beneficial Interest, Last-of-Layer, Amortized Cost | 0 | |
Hedged Asset, Fair Value Hedge, Last-of-Layer, Amount | $ 0 |
Collateral and Offsetting of _3
Collateral and Offsetting of Assets and Liabilities (Details) - USD ($) $ in Billions | Sep. 30, 2022 | Dec. 31, 2021 |
Offsetting Assets [Line Items] | ||
Fair Value of Securities Received as Collateral that Have Been Repledged | $ 0.1 | |
OTC derivatives | ||
Offsetting Assets [Line Items] | ||
Cash pledged to us as collateral that was invested as part of our other investments portfolio | 2.4 | $ 1.2 |
Securities purchased under agreements to resell | ||
Offsetting Assets [Line Items] | ||
Securities pledged to us | 27.6 | 32.7 |
Aggregate fair value of cash collateral posted | 0.1 | 0.1 |
Securities purchased under agreements to resell not executed with clearinghouse | ||
Offsetting Assets [Line Items] | ||
Securities pledged to us | 1.2 | 0.8 |
Commitment securities | ||
Offsetting Assets [Line Items] | ||
Aggregate fair value of cash collateral posted | $ 0 | $ 0.8 |
Collateral and Offsetting of _4
Collateral and Offsetting of Assets and Liabilities - Offsetting of Financial Assets (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Derivative Assets: | ||
Gross Amount Recognized | $ 7,361 | $ 5,826 |
Counterparty netting | (5,357) | (4,441) |
Cash Collateral netting | (1,553) | (925) |
Total derivative assets, net | 451 | 460 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (126) | (250) |
Net Amount | 325 | 210 |
Securities purchased under agreements to resell: | ||
Gross Amount Recognized | 105,155 | 78,536 |
Counterparty netting | (7,512) | (7,333) |
Net Amount Presented in the Consolidated Balance Sheets | 97,643 | 71,203 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (97,643) | (71,203) |
Net Amount | 0 | 0 |
Total: | ||
Gross Amount Recognized | 112,516 | 84,362 |
Counterparty netting | (12,869) | (11,774) |
Cash collateral netting | (1,553) | (925) |
Net Amount Presented in the Consolidated Balance Sheets | 98,094 | 71,663 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (97,769) | (71,453) |
Net Amount | 325 | 210 |
Other | ||
Derivative Assets: | ||
Gross Amount Recognized | 3 | 17 |
Counterparty netting | 0 | 0 |
Cash Collateral netting | 0 | 0 |
Total derivative assets, net | 3 | 17 |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 3 | 17 |
OTC derivatives | ||
Derivative Assets: | ||
Gross Amount Recognized | 7,168 | 5,670 |
Counterparty netting | (5,337) | (4,437) |
Cash Collateral netting | (1,604) | (963) |
Total derivative assets, net | 227 | 270 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (125) | (250) |
Net Amount | 102 | 20 |
Cleared and exchange-traded derivatives | ||
Derivative Assets: | ||
Gross Amount Recognized | 120 | 60 |
Counterparty netting | (20) | (4) |
Cash Collateral netting | 46 | 38 |
Total derivative assets, net | 146 | 94 |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 146 | 94 |
Mortgage commitment derivatives | ||
Derivative Assets: | ||
Gross Amount Recognized | 70 | 79 |
Counterparty netting | 0 | 0 |
Cash Collateral netting | 5 | 0 |
Total derivative assets, net | 75 | 79 |
Gross Amount Not Offset in the Consolidated Balance Sheets | (1) | 0 |
Net Amount | 74 | 79 |
Securities purchased under agreements to resell | ||
Securities purchased under agreements to resell: | ||
Cash Collateral Netting | 0 | 0 |
Total: | ||
Aggregate fair value of cash collateral posted | 100 | 100 |
Commitment securities | ||
Total: | ||
Aggregate fair value of cash collateral posted | $ 0 | $ 800 |
Collateral and Offsetting of _5
Collateral and Offsetting of Assets and Liabilities - Offsetting of Financial Liabilities (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Derivative Liabilities: | ||
Gross Amount Recognized | $ (12,075) | $ (8,162) |
Counterparty netting | 5,356 | 4,441 |
Cash collateral netting | 5,909 | 3,439 |
Derivative liabilities, net | (810) | (282) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 48 | 13 |
Net Amount | (762) | (269) |
Securities Sold under Agreements to Repurchase [Abstract] | ||
Gross Amount Recognized | (7,512) | (7,333) |
Counterparty netting | 7,512 | 7,333 |
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 | (19,587) | (15,495) |
Counterparty netting | 12,868 | 11,774 |
Cash collateral netting | 5,909 | 3,439 |
Net Amount Presented in the Consolidated Balance Sheets | (810) | (282) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 48 | 13 |
Net Amount | (762) | (269) |
Other | ||
Derivative Liabilities: | ||
Gross Amount Recognized | (577) | (58) |
Counterparty netting | 0 | 0 |
Cash collateral netting | 0 | 0 |
Derivative liabilities, net | (577) | (58) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | (577) | (58) |
OTC derivatives | ||
Derivative Liabilities: | ||
Gross Amount Recognized | (11,304) | (7,979) |
Counterparty netting | 5,336 | 4,437 |
Cash collateral netting | 5,903 | 3,417 |
Derivative liabilities, net | (65) | (125) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 15 | 0 |
Net Amount | (50) | (125) |
Cleared and exchange-traded derivatives | ||
Derivative Liabilities: | ||
Gross Amount Recognized | (42) | (39) |
Counterparty netting | 20 | 4 |
Cash collateral netting | 6 | 22 |
Derivative liabilities, net | (16) | (13) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 16 | 13 |
Net Amount | 0 | 0 |
Mortgage commitment derivatives | ||
Derivative Liabilities: | ||
Gross Amount Recognized | (152) | (86) |
Counterparty netting | 0 | 0 |
Cash collateral netting | 0 | 0 |
Derivative liabilities, net | (152) | (86) |
Gross Amount Not Offset in the Consolidated Balance Sheets | 17 | 0 |
Net Amount | (135) | (86) |
Securities purchased under agreements to resell | ||
Derivative Liabilities: | ||
Aggregate fair value of collateral posted | 100 | 100 |
Securities sold under agreements to repurchase | ||
Offsetting Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned [Abstract] | ||
Cash collateral netting | 0 | 0 |
Commitment securities | ||
Derivative Liabilities: | ||
Aggregate fair value of collateral posted | $ 0 | $ 800 |
Collateral and Offsetting of _6
Collateral and Offsetting of Assets and Liabilities - Collateral in the Form of Securities Pledged (Details) - Asset Pledged as Collateral - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | $ 9,463 | $ 10,151 |
Derivative | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | 1,363 | 1,542 |
Securities sold under agreements to repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | 7,403 | 7,333 |
Other | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | 697 | 1,276 |
Debt of consolidated trusts | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | 161 | |
Debt of consolidated trusts | Derivative | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | 0 | |
Debt of consolidated trusts | Securities sold under agreements to repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | 0 | |
Debt of consolidated trusts | Other | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | 161 | |
Trading securities | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | 9,463 | 9,990 |
Trading securities | Derivative | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | 1,363 | 1,542 |
Trading securities | Securities sold under agreements to repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | 7,403 | 7,333 |
Trading securities | Other | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | $ 697 | $ 1,115 |
Collateral and Offsetting of _7
Collateral and Offsetting of Assets and Liabilities - Underlying Collateral Pledged (Details) - Asset Pledged as Collateral - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | $ 9,463 | $ 10,151 |
Securities sold under agreements to repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | 7,403 | $ 7,333 |
U.S Treasury securities and other | Securities sold under agreements to repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | 7,403 | |
U.S Treasury securities and other | Overnight and continuous | Securities sold under agreements to repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | 0 | |
U.S Treasury securities and other | 30 days or less | Securities sold under agreements to repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | 4,054 | |
U.S Treasury securities and other | After 30 days through 90 days | Securities sold under agreements to repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | 3,349 | |
U.S Treasury securities and other | Greater than 90 days | Securities sold under agreements to repurchase | ||
Collateral in the Form of Securities Pledged [Line Items] | ||
Financial Instruments, Owned, at Fair Value | $ 0 |
Net Interest Income (Details)
Net Interest Income (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Interest income | ||||
Mortgage loans | $ 20,843 | $ 15,124 | $ 57,477 | $ 42,969 |
Investment securities | 416 | 627 | 1,264 | 1,854 |
Other | 635 | 40 | 901 | 100 |
Interest income | 21,894 | 15,791 | 59,642 | 44,923 |
Interest expense | ||||
Total interest expense | (17,340) | (11,373) | (46,225) | (32,099) |
Net interest income | 4,554 | 4,418 | 13,417 | 12,824 |
Benefit (provision) for credit losses | (1,796) | 243 | (1,266) | 1,179 |
Net interest income after benefit (provision) for credit losses | 2,758 | 4,661 | 12,151 | 14,003 |
Held by consolidated trusts | ||||
Interest expense | ||||
Debt of consolidated trusts | (16,166) | (10,954) | (44,010) | (30,742) |
Held by Freddie Mac | ||||
Interest expense | ||||
Short-term debt | (82) | 0 | (102) | (2) |
Long-term debt | $ (1,092) | $ (419) | $ (2,113) | $ (1,355) |
Segment Reporting (Details)
Segment Reporting (Details) | 9 Months Ended |
Sep. 30, 2022 segment | |
Segment Reporting [Abstract] | |
Number of reportable segments | 2 |
Segment Reporting - Segment Ear
Segment Reporting - Segment Earnings and Reconciliation to GAAP Condensed Consolidated Statements of Comprehensive Income (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | ||||
Net interest income | $ 4,554 | $ 4,418 | $ 13,417 | $ 12,824 |
Non-interest income (loss) | ||||
Guarantee income | 125 | 246 | 400 | 850 |
Investment gains (losses), net | 415 | 383 | 2,249 | 2,227 |
Other income (loss) | 87 | 200 | 365 | 485 |
Non-interest income (loss) | 627 | 829 | 3,014 | 3,562 |
Net revenues | 5,181 | 5,247 | 16,431 | 16,386 |
Benefit (provision) for credit losses | (1,796) | 243 | (1,266) | 1,179 |
Non-interest expense | ||||
Non-interest expense | (1,825) | (1,844) | (5,777) | (5,801) |
Income (loss) before income tax (expense) benefit | 1,560 | 3,646 | 9,388 | 11,764 |
Income tax (expense) benefit | (247) | (727) | (1,824) | (2,399) |
Net income (loss) | 1,313 | 2,919 | 7,564 | 9,365 |
Other comprehensive income (loss), net of taxes and reclassification adjustments | (181) | (10) | (367) | (467) |
Comprehensive income (loss) | 1,132 | 2,909 | 7,197 | 8,898 |
Single-Family | Operating segments | ||||
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | ||||
Net interest income | 4,363 | 4,080 | 12,704 | 11,848 |
Non-interest income (loss) | ||||
Guarantee income | 16 | (20) | 81 | 79 |
Investment gains (losses), net | (13) | (247) | 1,471 | 190 |
Other income (loss) | 55 | 148 | 250 | 408 |
Non-interest income (loss) | 58 | (119) | 1,802 | 677 |
Net revenues | 4,421 | 3,961 | 14,506 | 12,525 |
Benefit (provision) for credit losses | (1,784) | 244 | (1,251) | 1,076 |
Non-interest expense | ||||
Non-interest expense | (1,653) | (1,672) | (5,285) | (5,284) |
Income (loss) before income tax (expense) benefit | 984 | 2,533 | 7,970 | 8,317 |
Income tax (expense) benefit | (141) | (505) | (1,548) | (1,696) |
Net income (loss) | 843 | 2,028 | 6,422 | 6,621 |
Other comprehensive income (loss), net of taxes and reclassification adjustments | (39) | 18 | (46) | (384) |
Comprehensive income (loss) | 804 | 2,046 | 6,376 | 6,237 |
Multifamily | Operating segments | ||||
Segment Reporting, Reconciling Item for Operating Profit (Loss) from Segment to Consolidated [Line Items] | ||||
Net interest income | 191 | 338 | 713 | 976 |
Non-interest income (loss) | ||||
Guarantee income | 109 | 266 | 319 | 771 |
Investment gains (losses), net | 428 | 630 | 778 | 2,037 |
Other income (loss) | 32 | 52 | 115 | 77 |
Non-interest income (loss) | 569 | 948 | 1,212 | 2,885 |
Net revenues | 760 | 1,286 | 1,925 | 3,861 |
Benefit (provision) for credit losses | (12) | (1) | (15) | 103 |
Non-interest expense | ||||
Non-interest expense | (172) | (172) | (492) | (517) |
Income (loss) before income tax (expense) benefit | 576 | 1,113 | 1,418 | 3,447 |
Income tax (expense) benefit | (106) | (222) | (276) | (703) |
Net income (loss) | 470 | 891 | 1,142 | 2,744 |
Other comprehensive income (loss), net of taxes and reclassification adjustments | (142) | (28) | (321) | (83) |
Comprehensive income (loss) | $ 328 | $ 863 | $ 821 | $ 2,661 |
Segment Reporting - Segment Ass
Segment Reporting - Segment Assets (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Segment Reporting, Asset Reconciling Item [Line Items] | ||
Total Assets | $ 3,190,656 | $ 3,025,586 |
Reconciling items | ||
Segment Reporting, Asset Reconciling Item [Line Items] | ||
Total Assets | (196,832) | (181,301) |
Single-Family | Operating segments | ||
Segment Reporting, Asset Reconciling Item [Line Items] | ||
Total Assets | 2,971,542 | 2,792,224 |
Multifamily | Operating segments | ||
Segment Reporting, Asset Reconciling Item [Line Items] | ||
Total Assets | 415,946 | 414,663 |
Operating segments | Operating segments | ||
Segment Reporting, Asset Reconciling Item [Line Items] | ||
Total Assets | $ 3,387,488 | $ 3,206,887 |
Concentration of Credit and O_3
Concentration of Credit and Other Risks - Concentration of Credit Risk - Single-Family Mortgage Portfolio (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 0.67% | 1.12% |
West | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 0.49% | 0.92% |
Northeast | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 0.86% | 1.37% |
North Central | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 0.67% | 0.98% |
Southeast | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 0.70% | 1.21% |
Southwest | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 0.65% | 1.14% |
California | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 0.52% | 0.99% |
Texas | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 0.66% | 1.23% |
Florida | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 0.72% | 1.36% |
New York | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 1.26% | 2.07% |
Illinois | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 0.94% | 1.44% |
All Other | ||
Concentration Risk [Line Items] | ||
Single-Family serious delinquency rate | 0.64% | 1.03% |
Single-family UPB | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Portfolio UPB | $ 2,971,259 | $ 2,791,889 |
Concentration risk percentage | 100% | 100% |
Single-family UPB | West | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Portfolio UPB | $ 905,490 | $ 858,535 |
Concentration risk percentage | 30% | 31% |
Single-family UPB | Northeast | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Portfolio UPB | $ 693,755 | $ 660,103 |
Concentration risk percentage | 23% | 24% |
Single-family UPB | North Central | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Portfolio UPB | $ 434,486 | $ 416,214 |
Concentration risk percentage | 15% | 15% |
Single-family UPB | Southeast | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Portfolio UPB | $ 507,228 | $ 461,084 |
Concentration risk percentage | 17% | 16% |
Single-family UPB | Southwest | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Portfolio UPB | $ 430,300 | $ 395,953 |
Concentration risk percentage | 15% | 14% |
Single-family UPB | California | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Portfolio UPB | $ 518,053 | $ 497,521 |
Concentration risk percentage | 17% | 18% |
Single-family UPB | Texas | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Portfolio UPB | $ 197,278 | $ 176,501 |
Concentration risk percentage | 7% | 6% |
Single-family UPB | Florida | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Portfolio UPB | $ 188,785 | $ 168,572 |
Concentration risk percentage | 6% | 6% |
Single-family UPB | New York | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Portfolio UPB | $ 129,042 | $ 120,655 |
Concentration risk percentage | 4% | 4% |
Single-family UPB | Illinois | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Portfolio UPB | $ 112,624 | $ 109,171 |
Concentration risk percentage | 4% | 4% |
Single-family UPB | All Other | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Portfolio UPB | $ 1,825,477 | $ 1,719,469 |
Concentration risk percentage | 62% | 62% |
Fair Value Disclosures - Assets
Fair Value Disclosures - Assets and Liabilities Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Mortgage Loans [Abstract] | ||
Held-for-sale, at fair value | $ 3,542 | $ 10,498 |
Derivative Assets Net [Abstract] | ||
Total derivative assets, net | 451 | 460 |
Other Assets [Abstract] | ||
Total derivative assets, net | 451 | 460 |
Total other assets | 6,008 | 6,594 |
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 4,252 | 2,478 |
Other liabilities | ||
Total derivative liabilities, net | 810 | 282 |
Other Liabilities, Fair Value Disclosure | 961 | 287 |
Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 3,100 | 1,100 |
Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 1,200 | 1,400 |
Fair Value, Measurements, Recurring | ||
Available-For-Sale, at Fair Value: | ||
Debt Securities, Available-for-sale | 6,049 | 4,012 |
Trading, at Fair Value: | ||
Trading securities, at fair value | 37,221 | 49,003 |
Total investments in securities | 43,270 | 53,015 |
Mortgage Loans [Abstract] | ||
Held-for-sale, at fair value | 3,542 | 10,498 |
Derivative Assets Net [Abstract] | ||
Total derivative assets, net | 451 | 460 |
Derivative assets, net | 6,555 | 5,466 |
Other Assets [Abstract] | ||
Guarantee Assets | 5,432 | 5,919 |
Derivative assets, net | 6,555 | 5,466 |
Netting adjustments | (6,104) | (5,006) |
Total derivative assets, net | 451 | 460 |
All Other Assets Fair Value Disclosure | 125 | 215 |
Total other assets | 6,008 | 6,594 |
Total assets carried at fair value on a recurring basis | 52,820 | 70,107 |
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 4,252 | 2,478 |
Other liabilities | ||
Derivative liabilities, net | 11,350 | 7,749 |
Netting Adjustment | (10,540) | (7,467) |
Total derivative liabilities, net | 810 | 282 |
All other, at fair value | 151 | 5 |
Other Liabilities, Fair Value Disclosure | 961 | 287 |
Total liabilities carried at fair value on a recurring basis | 5,213 | 2,765 |
Fair Value, Measurements, Recurring | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 3,062 | 1,094 |
Fair Value, Measurements, Recurring | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 1,190 | 1,384 |
Fair Value, Measurements, Recurring | Mortage-related securities | ||
Trading, at Fair Value: | ||
Trading securities, at fair value | 10,651 | 16,231 |
Fair Value, Measurements, Recurring | Non-mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading securities, at fair value | 26,570 | 32,772 |
Fair Value, Measurements, Recurring | Level 1 | ||
Available-For-Sale, at Fair Value: | ||
Debt Securities, Available-for-sale | 0 | 0 |
Trading, at Fair Value: | ||
Trading securities, at fair value | 25,982 | 31,780 |
Total investments in securities | 25,982 | 31,780 |
Mortgage Loans [Abstract] | ||
Held-for-sale, at fair value | 0 | 0 |
Derivative Assets Net [Abstract] | ||
Total derivative assets, net | 0 | 33 |
Derivative assets, net | 0 | 33 |
Other Assets [Abstract] | ||
Guarantee Assets | 0 | 0 |
Derivative assets, net | 0 | 33 |
Total derivative assets, net | 0 | 33 |
All Other Assets Fair Value Disclosure | 0 | 0 |
Total other assets | 0 | 33 |
Total assets carried at fair value on a recurring basis | 25,982 | 31,813 |
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 0 | 0 |
Other liabilities | ||
Derivative liabilities, net | 35 | 0 |
Total derivative liabilities, net | 35 | 0 |
All other, at fair value | 0 | 0 |
Other Liabilities, Fair Value Disclosure | 35 | 0 |
Total liabilities carried at fair value on a recurring basis | 35 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Mortage-related securities | ||
Trading, at Fair Value: | ||
Trading securities, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | Non-mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading securities, at fair value | 25,982 | 31,780 |
Fair Value, Measurements, Recurring | Level 2 | ||
Available-For-Sale, at Fair Value: | ||
Debt Securities, Available-for-sale | 4,947 | 2,726 |
Trading, at Fair Value: | ||
Trading securities, at fair value | 8,381 | 13,837 |
Total investments in securities | 13,328 | 16,563 |
Mortgage Loans [Abstract] | ||
Held-for-sale, at fair value | 3,230 | 10,498 |
Derivative Assets Net [Abstract] | ||
Total derivative assets, net | 6,552 | 5,416 |
Derivative assets, net | 6,552 | 5,416 |
Other Assets [Abstract] | ||
Guarantee Assets | 0 | 0 |
Derivative assets, net | 6,552 | 5,416 |
Total derivative assets, net | 6,552 | 5,416 |
All Other Assets Fair Value Disclosure | 1 | 131 |
Total other assets | 6,553 | 5,547 |
Total assets carried at fair value on a recurring basis | 23,111 | 32,608 |
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 3,871 | 2,184 |
Other liabilities | ||
Derivative liabilities, net | 11,211 | 7,726 |
Total derivative liabilities, net | 11,211 | 7,726 |
All other, at fair value | 151 | 4 |
Other Liabilities, Fair Value Disclosure | 11,362 | 7,730 |
Total liabilities carried at fair value on a recurring basis | 15,233 | 9,914 |
Fair Value, Measurements, Recurring | Level 2 | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 2,785 | 910 |
Fair Value, Measurements, Recurring | Level 2 | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 1,086 | 1,274 |
Fair Value, Measurements, Recurring | Level 2 | Mortage-related securities | ||
Trading, at Fair Value: | ||
Trading securities, at fair value | 7,793 | 12,845 |
Fair Value, Measurements, Recurring | Level 2 | Non-mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading securities, at fair value | 588 | 992 |
Fair Value, Measurements, Recurring | Level 3 | ||
Available-For-Sale, at Fair Value: | ||
Debt Securities, Available-for-sale | 1,102 | 1,286 |
Trading, at Fair Value: | ||
Trading securities, at fair value | 2,858 | 3,386 |
Total investments in securities | 3,960 | 4,672 |
Mortgage Loans [Abstract] | ||
Held-for-sale, at fair value | 312 | 0 |
Derivative Assets Net [Abstract] | ||
Total derivative assets, net | 3 | 17 |
Derivative assets, net | 3 | 17 |
Other Assets [Abstract] | ||
Guarantee Assets | 5,432 | 5,919 |
Derivative assets, net | 3 | 17 |
Total derivative assets, net | 3 | 17 |
All Other Assets Fair Value Disclosure | 124 | 84 |
Total other assets | 5,559 | 6,020 |
Total assets carried at fair value on a recurring basis | 9,831 | 10,692 |
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 381 | 294 |
Other liabilities | ||
Derivative liabilities, net | 104 | 23 |
Total derivative liabilities, net | 104 | 23 |
All other, at fair value | 0 | 1 |
Other Liabilities, Fair Value Disclosure | 104 | 24 |
Total liabilities carried at fair value on a recurring basis | 485 | 318 |
Fair Value, Measurements, Recurring | Level 3 | Held by consolidated trusts | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 277 | 184 |
Fair Value, Measurements, Recurring | Level 3 | Held by Freddie Mac | ||
Liabilities, Fair Value Disclosure [Abstract] | ||
Debt instrument recorded at fair value | 104 | 110 |
Fair Value, Measurements, Recurring | Level 3 | Mortage-related securities | ||
Trading, at Fair Value: | ||
Trading securities, at fair value | 2,858 | 3,386 |
Fair Value, Measurements, Recurring | Level 3 | Non-mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading securities, at fair value | $ 0 | $ 0 |
Fair Value Disclosures - Fair V
Fair Value Disclosures - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Liabilities: | ||||
Beginning Balance | $ 515 | $ 391 | $ 318 | $ 342 |
Included in Earnings | 29 | (9) | 103 | (12) |
Included in Other Comprehensive Income | 0 | 0 | 0 | 0 |
Purchases | (14) | (6) | (20) | (5) |
Issues | 6 | 61 | 148 | 153 |
Sales | 0 | 0 | 0 | 1 |
Settlements, Net | (51) | (21) | (64) | (63) |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Ending Balance | 485 | 416 | 485 | 416 |
Unrealized Gains (Losses) Still Held - Liabilities | 39 | (8) | 129 | (14) |
Fair Value, Liability, Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | 0 | 0 | 0 | 0 |
Assets: | ||||
Beginning Balance | 10,563 | 10,961 | 10,692 | 10,527 |
Included in Earnings | (601) | (308) | (1,735) | (800) |
Included in Other Comprehensive Income | (55) | 12 | (98) | 16 |
Purchases | 423 | 340 | 794 | 1,281 |
Issues | 275 | 337 | 991 | 1,252 |
Sales | (159) | (96) | (127) | (285) |
Settlements, net | (402) | (376) | (1,130) | (1,016) |
Transfers into Level 3 | 52 | 0 | 464 | 0 |
Transfers out of Level 3 | (265) | (75) | (20) | (180) |
Ending Balance | 9,831 | 10,795 | 9,831 | 10,795 |
Unrealized Gains (Losses) Still Held - Assets | (451) | (305) | (1,241) | (802) |
Unrealized Gains (Losses) Still Held, Assets, OCI | (11) | 10 | (38) | 12 |
Debt | ||||
Liabilities: | ||||
Beginning Balance | 457 | 368 | 294 | 323 |
Included in Earnings | (18) | (11) | 18 | (21) |
Included in Other Comprehensive Income | 0 | 0 | 0 | 0 |
Purchases | (14) | (8) | (21) | (8) |
Issues | 6 | 61 | 148 | 151 |
Sales | 0 | 0 | 0 | 0 |
Settlements, Net | (50) | (19) | (58) | (54) |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Ending Balance | 381 | 391 | 381 | 391 |
Unrealized Gains (Losses) Still Held - Liabilities | (7) | (7) | 48 | (15) |
Fair Value, Liability, Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | 0 | 0 | 0 | 0 |
Other Liabilities | ||||
Liabilities: | ||||
Beginning Balance | 58 | 23 | 24 | 19 |
Included in Earnings | 47 | 2 | 85 | 9 |
Included in Other Comprehensive Income | 0 | 0 | 0 | 0 |
Purchases | 0 | 2 | 1 | 3 |
Issues | 0 | 0 | 0 | 2 |
Sales | 0 | 0 | 0 | 1 |
Settlements, Net | (1) | (2) | (6) | (9) |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Ending Balance | 104 | 25 | 104 | 25 |
Unrealized Gains (Losses) Still Held - Liabilities | 46 | (1) | 81 | 1 |
Fair Value, Liability, Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | 0 | 0 | 0 | 0 |
Available-for-sale securities | ||||
Assets: | ||||
Beginning Balance | 1,124 | 1,474 | 1,286 | 1,588 |
Included in Earnings | 30 | 6 | 30 | 18 |
Included in Other Comprehensive Income | (55) | 12 | (98) | 16 |
Purchases | 169 | 0 | 168 | 0 |
Issues | 0 | 0 | 0 | 0 |
Sales | (120) | 0 | (78) | 0 |
Settlements, net | (46) | (103) | (236) | (233) |
Transfers into Level 3 | 0 | 0 | 30 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Ending Balance | 1,102 | 1,389 | 1,102 | 1,389 |
Unrealized Gains (Losses) Still Held - Assets | 0 | 6 | (1) | 18 |
Unrealized Gains (Losses) Still Held, Assets, OCI | (11) | 10 | (38) | 12 |
Trading securities | ||||
Assets: | ||||
Beginning Balance | 3,319 | 3,523 | 3,386 | 3,259 |
Included in Earnings | (334) | (210) | (993) | (563) |
Included in Other Comprehensive Income | 0 | 0 | 0 | 0 |
Purchases | 260 | 344 | 641 | 1,284 |
Issues | 0 | 0 | 0 | 0 |
Sales | 0 | (96) | 0 | (276) |
Settlements, net | (122) | (23) | (156) | (61) |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | (265) | (75) | (20) | (180) |
Ending Balance | 2,858 | 3,463 | 2,858 | 3,463 |
Unrealized Gains (Losses) Still Held - Assets | (154) | (207) | (468) | (565) |
Unrealized Gains (Losses) Still Held, Assets, OCI | 0 | 0 | 0 | 0 |
Investments in securities | ||||
Assets: | ||||
Beginning Balance | 4,443 | 4,997 | 4,672 | 4,847 |
Included in Earnings | (304) | (204) | (963) | (545) |
Included in Other Comprehensive Income | (55) | 12 | (98) | 16 |
Purchases | 429 | 344 | 809 | 1,284 |
Issues | 0 | 0 | 0 | 0 |
Sales | (120) | (96) | (78) | (276) |
Settlements, net | (168) | (126) | (392) | (294) |
Transfers into Level 3 | 0 | 0 | 30 | 0 |
Transfers out of Level 3 | (265) | (75) | (20) | (180) |
Ending Balance | 3,960 | 4,852 | 3,960 | 4,852 |
Unrealized Gains (Losses) Still Held - Assets | (154) | (201) | (469) | (547) |
Unrealized Gains (Losses) Still Held, Assets, OCI | (11) | 10 | (38) | 12 |
Mortgage loans held-for-sale | ||||
Assets: | ||||
Beginning Balance | 339 | 0 | ||
Included in Earnings | (42) | (56) | ||
Included in Other Comprehensive Income | 0 | 0 | ||
Purchases | 0 | 0 | ||
Issues | 0 | 0 | ||
Sales | (36) | (41) | ||
Settlements, net | (1) | (25) | ||
Transfers into Level 3 | 52 | 434 | ||
Transfers out of Level 3 | 0 | 0 | ||
Ending Balance | 312 | 312 | ||
Unrealized Gains (Losses) Still Held - Assets | (42) | (56) | ||
Unrealized Gains (Losses) Still Held, Assets, OCI | 0 | 0 | ||
Other Asset | ||||
Assets: | ||||
Beginning Balance | 5,781 | 5,964 | 6,020 | 5,680 |
Included in Earnings | (255) | (104) | (716) | (255) |
Included in Other Comprehensive Income | 0 | 0 | 0 | 0 |
Purchases | (6) | (4) | (15) | (3) |
Issues | 275 | 337 | 991 | 1,252 |
Sales | (3) | 0 | (8) | (9) |
Settlements, net | (233) | (250) | (713) | (722) |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Ending Balance | 5,559 | 5,943 | 5,559 | 5,943 |
Unrealized Gains (Losses) Still Held - Assets | (255) | (104) | (716) | (255) |
Unrealized Gains (Losses) Still Held, Assets, OCI | 0 | 0 | 0 | 0 |
Guarantee Asset | ||||
Assets: | ||||
Beginning Balance | 5,649 | 5,869 | 5,919 | 5,509 |
Included in Earnings | (264) | (113) | (774) | (196) |
Included in Other Comprehensive Income | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Issues | 272 | 333 | 980 | 1,238 |
Sales | 0 | 0 | 0 | 0 |
Settlements, net | (225) | (246) | (693) | (708) |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Ending Balance | 5,432 | 5,843 | 5,432 | 5,843 |
Unrealized Gains (Losses) Still Held - Assets | (264) | (113) | (774) | (196) |
Unrealized Gains (Losses) Still Held, Assets, OCI | 0 | 0 | 0 | 0 |
All Other, at fair value | ||||
Assets: | ||||
Beginning Balance | 132 | 95 | 101 | 171 |
Included in Earnings | 9 | 9 | 58 | (59) |
Included in Other Comprehensive Income | 0 | 0 | 0 | 0 |
Purchases | (6) | (4) | (15) | (3) |
Issues | 3 | 4 | 11 | 14 |
Sales | (3) | 0 | (8) | (9) |
Settlements, net | (8) | (4) | (20) | (14) |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Ending Balance | 127 | 100 | 127 | 100 |
Unrealized Gains (Losses) Still Held - Assets | 9 | 9 | 58 | (59) |
Unrealized Gains (Losses) Still Held, Assets, OCI | $ 0 | $ 0 | $ 0 | $ 0 |
Fair Value Disclosures - Quanti
Fair Value Disclosures - Quantitative Information about Recurring Level 3 Fair Value Measurements (Details) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 USD ($) | Dec. 31, 2021 USD ($) | |
Mortgage Loans [Abstract] | ||
Mortgage loans held-for-sale | $ 3,542 | $ 10,498 |
Liabilities | ||
Debt instrument recorded at fair value | 4,252 | 2,478 |
Held by consolidated trusts | ||
Liabilities | ||
Debt instrument recorded at fair value | 3,100 | 1,100 |
Fair Value, Measurements, Recurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt Securities, Available-for-sale | 6,049 | 4,012 |
Trading, at Fair Value: | ||
Trading securities, at fair value | 37,221 | 49,003 |
Mortgage Loans [Abstract] | ||
Mortgage loans held-for-sale | 3,542 | 10,498 |
Other assets: | ||
Guarantee Assets | 5,432 | 5,919 |
Total Assets carried at fair value on a recurring basis | 52,820 | 70,107 |
Liabilities | ||
Debt instrument recorded at fair value | 4,252 | 2,478 |
Total liabilities carried at fair value on a recurring basis | 5,213 | 2,765 |
Fair Value, Measurements, Recurring | Held by consolidated trusts | ||
Liabilities | ||
Debt instrument recorded at fair value | 3,062 | 1,094 |
Fair Value, Measurements, Recurring | Mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading securities, at fair value | 10,651 | 16,231 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt Securities, Available-for-sale | 1,102 | 1,286 |
Trading, at Fair Value: | ||
Trading securities, at fair value | 2,858 | 3,386 |
Mortgage Loans [Abstract] | ||
Mortgage loans held-for-sale | 312 | 0 |
Other assets: | ||
Guarantee Assets | 5,432 | 5,919 |
Insignificant level3 assets | 127 | 101 |
Total Assets carried at fair value on a recurring basis | 9,831 | 10,692 |
Liabilities | ||
Debt instrument recorded at fair value | 381 | 294 |
Insignificant level3 liabilities | 485 | 318 |
Total liabilities carried at fair value on a recurring basis | 485 | 318 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Median of external sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt Securities, Available-for-sale | 587 | 839 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Single External Source | ||
Trading, at Fair Value: | ||
Trading securities, at fair value | 2,460 | 2,846 |
Mortgage Loans [Abstract] | ||
Mortgage loans held-for-sale | 312 | |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Discounted Cash Flows | ||
Other assets: | ||
Guarantee Assets | 5,067 | 5,531 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Other | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt Securities, Available-for-sale | 515 | 446 |
Trading, at Fair Value: | ||
Trading securities, at fair value | 398 | 541 |
Other assets: | ||
Guarantee Assets | 365 | 388 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Held by consolidated trusts | ||
Liabilities | ||
Debt instrument recorded at fair value | 277 | 184 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | Mortgage-related securities | ||
Trading, at Fair Value: | ||
Trading securities, at fair value | $ 2,858 | $ 3,386 |
Fair Value, Measurements, Recurring | Available-for-sale securities | Fair Value, Inputs, Level 3 | Weighted Average | Median of external sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 71.2 | 77 |
Fair Value, Measurements, Recurring | Available-for-sale securities | Fair Value, Inputs, Level 3 | Minimum | Median of external sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 66.4 | 72.8 |
Fair Value, Measurements, Recurring | Available-for-sale securities | Fair Value, Inputs, Level 3 | Maximum | Median of external sources | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 76.5 | 83.7 |
Fair Value, Measurements, Recurring | Trading securities | Fair Value, Inputs, Level 3 | Weighted Average | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 238.2 | 396.7 |
Fair Value, Measurements, Recurring | Trading securities | Fair Value, Inputs, Level 3 | Minimum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 0 | 0 |
Fair Value, Measurements, Recurring | Trading securities | Fair Value, Inputs, Level 3 | Maximum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 6,031.4 | 7,343.1 |
Fair Value, Measurements, Recurring | Mortgage loans held-for-sale | Fair Value, Inputs, Level 3 | Weighted Average | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 77 | |
Fair Value, Measurements, Recurring | Mortgage loans held-for-sale | Fair Value, Inputs, Level 3 | Minimum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 39.6 | |
Fair Value, Measurements, Recurring | Mortgage loans held-for-sale | Fair Value, Inputs, Level 3 | Maximum | Single External Source | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
External Pricing Source(s) | 98.3 | |
Fair Value, Measurements, Recurring | Guarantee Asset | Fair Value, Inputs, Level 3 | Weighted Average | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 0.45% | 0.45% |
Fair Value, Measurements, Recurring | Guarantee Asset | Fair Value, Inputs, Level 3 | Minimum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 0.17% | 0.17% |
Fair Value, Measurements, Recurring | Guarantee Asset | Fair Value, Inputs, Level 3 | Maximum | Discounted Cash Flows | ||
Fair Value Measurement Inputs and Valuation Techniques [Abstract] | ||
OAS | 1.86% | 1.86% |
Fair Value Disclosures - Asse_2
Fair Value Disclosures - Assets Measured at Fair Value on a Non-Recurring Basis (Details) - Fair Value, Measurements, Nonrecurring - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage loans | $ 1,766 | $ 809 |
Level 1 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage loans | 0 | 0 |
Level 2 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage loans | 146 | 12 |
Level 3 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage loans | $ 1,620 | $ 797 |
Fair Value Disclosures - Fair_2
Fair Value Disclosures - Fair Value Assets Measured on Nonrecurring Basis Valuation Techniques (Details) - Fair Value, Measurements, Nonrecurring $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 USD ($) | Dec. 31, 2021 USD ($) | |
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage Loans Fair Value Disclosure | $ 1,766 | $ 809 |
Level 3 | ||
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage Loans Fair Value Disclosure | 1,620 | 797 |
Level 3 | Mortgage loans | Median of external sources | ||
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage Loans Fair Value Disclosure | 1,466 | 625 |
Level 3 | Mortgage loans | Other Valuation Techniques | ||
Assets, Fair Value Disclosure [Abstract] | ||
Mortgage Loans Fair Value Disclosure | $ 154 | $ 172 |
Level 3 | Mortgage loans | Minimum | Median of external sources | ||
Assets, Fair Value Disclosure [Abstract] | ||
External Pricing Source(s) | 75.1 | 61.9 |
Level 3 | Mortgage loans | Maximum | Median of external sources | ||
Assets, Fair Value Disclosure [Abstract] | ||
External Pricing Source(s) | 100.6 | 107.1 |
Level 3 | Mortgage loans | Weighted Average | Median of external sources | ||
Assets, Fair Value Disclosure [Abstract] | ||
External Pricing Source(s) | 88.1 | 97.3 |
Fair Value Disclosures - Fair_3
Fair Value Disclosures - Fair Value of Financial Instruments (Details) - USD ($) $ in Millions | Sep. 30, 2022 | Dec. 31, 2021 |
Financial Assets | ||
Securities Purchased under Agreements to Resell | $ 97,643 | $ 71,203 |
Counterparty netting | (7,512) | (7,333) |
Mortgage Loans [Abstract] | ||
Derivative Asset | 451 | 460 |
Other Assets | 6,008 | 6,594 |
Financial Liabilities | ||
Debt, net | 4,252 | 2,478 |
Counterparty netting | (7,512) | (7,333) |
Derivative Liability | 810 | 282 |
Other Liabilities | 11,289 | 11,100 |
Held by Freddie Mac | ||
Financial Liabilities | ||
Debt, net | 1,200 | 1,400 |
Held by consolidated trusts | ||
Financial Assets | ||
Securities Purchased under Agreements to Resell | 15,500 | 34,000 |
Financial Liabilities | ||
Debt, net | 3,100 | 1,100 |
GAAP Carrying Amount | ||
Financial Assets | ||
Cash and Cash Equivalents | 5,691 | 10,150 |
Securities Purchased under Agreements to Resell | 97,643 | 71,203 |
Investments in Securities [Abstract] | ||
Debt Securities, Available-for-sale | 6,049 | 4,012 |
Trading, at fair value | 37,221 | 49,003 |
Total investments in securities | 43,270 | 53,015 |
Mortgage Loans [Abstract] | ||
Mortgage loans | 3,007,373 | 2,848,109 |
Derivative Asset | 451 | 460 |
Guarantee assets | 5,432 | 5,919 |
Non Derivative Purchase Commitments Assets | 1 | 131 |
Advances to lenders | 2,520 | 4,932 |
Secured Lending and Other | 894 | 1,263 |
Total assets carried at fair value on a recurring basis | 3,163,275 | 2,995,182 |
Financial Liabilities | ||
Debt, net | 3,137,222 | 2,980,185 |
Derivative Liability | 810 | 282 |
Guarantee obligation | 5,813 | 5,716 |
Non Derivative Purchase Commitment Liabilities | 162 | 13 |
Total Financial Liabilities | 3,144,007 | 2,986,196 |
GAAP Carrying Amount | Held by Freddie Mac | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 50,839 | 63,483 |
Financial Liabilities | ||
Debt, net | 163,249 | 177,131 |
GAAP Carrying Amount | Held by consolidated trusts | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 2,956,534 | 2,784,626 |
Financial Liabilities | ||
Debt, net | 2,973,973 | 2,803,054 |
GAAP Carrying Amount | AmortizedCost | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 3,000,000 | 2,800,000 |
Financial Liabilities | ||
Debt, net | 3,100,000 | 3,000,000 |
GAAP Carrying Amount | Lower Of Cost Or Fair Value | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 5,800 | 9,300 |
GAAP Carrying Amount | FV - NI | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 3,500 | 10,500 |
Financial Liabilities | ||
Debt, net | 4,300 | 2,500 |
Fair Value | ||
Financial Assets | ||
Cash and Cash Equivalents | 5,691 | 10,150 |
Securities Purchased under Agreements to Resell | 97,643 | 71,203 |
Counterparty netting | (7,512) | (7,333) |
Investments in Securities [Abstract] | ||
Debt Securities, Available-for-sale | 6,049 | 4,012 |
Trading, at fair value | 37,221 | 49,003 |
Total investments in securities | 43,270 | 53,015 |
Mortgage Loans [Abstract] | ||
Mortgage loans | 2,569,897 | 2,867,380 |
Derivative Asset | 451 | 460 |
Netting adjustments | (6,104) | (5,006) |
Guarantee assets | 5,434 | 5,923 |
Non Derivative Purchase Commitments Assets | 27 | 217 |
Advances to lenders | 2,520 | 4,932 |
Secured Lending and Other | 894 | 1,263 |
Total Asset Netting Adjustment | (13,616) | (12,339) |
Total assets carried at fair value on a recurring basis | 2,725,827 | 3,014,543 |
Financial Liabilities | ||
Debt, net | 2,685,124 | 2,986,103 |
Counterparty netting | (7,512) | (7,333) |
Derivative Liability | 810 | 282 |
Netting Adjustment | (10,540) | (7,467) |
Guarantee obligation | 5,998 | 6,240 |
Non Derivative Purchase Commitment Liabilities | 2,275 | 105 |
Total Liability Netting Adjustment | (18,052) | (14,800) |
Total Financial Liabilities | 2,694,207 | 2,992,730 |
Fair Value | Held by Freddie Mac | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 46,543 | 65,659 |
Financial Liabilities | ||
Debt, net | 163,464 | 182,417 |
Fair Value | Held by consolidated trusts | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 2,523,354 | 2,801,721 |
Financial Liabilities | ||
Debt, net | 2,521,660 | 2,803,686 |
Fair Value | Level 1 | ||
Financial Assets | ||
Cash and Cash Equivalents | 5,691 | 10,150 |
Securities Purchased under Agreements to Resell | 0 | 0 |
Investments in Securities [Abstract] | ||
Debt Securities, Available-for-sale | 0 | 0 |
Trading, at fair value | 25,982 | 31,780 |
Total investments in securities | 25,982 | 31,780 |
Mortgage Loans [Abstract] | ||
Mortgage loans | 0 | 0 |
Derivative assets, net | 0 | 33 |
Guarantee assets | 0 | 0 |
Non Derivative Purchase Commitments Assets | 0 | 0 |
Advances to lenders | 0 | 0 |
Secured Lending and Other | 0 | 0 |
Total assets carried at fair value on a recurring basis | 31,673 | 41,963 |
Financial Liabilities | ||
Debt, net | 0 | 0 |
Derivative liabilities, net | 35 | 0 |
Guarantee obligation | 0 | 0 |
Non Derivative Purchase Commitment Liabilities | 0 | 0 |
Total Financial Liabilities | 35 | 0 |
Fair Value | Level 1 | Held by Freddie Mac | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 0 | 0 |
Financial Liabilities | ||
Debt, net | 0 | 0 |
Fair Value | Level 1 | Held by consolidated trusts | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 0 | 0 |
Financial Liabilities | ||
Debt, net | 0 | 0 |
Fair Value | Level 2 | ||
Financial Assets | ||
Cash and Cash Equivalents | 0 | 0 |
Securities Purchased under Agreements to Resell | 105,155 | 78,536 |
Investments in Securities [Abstract] | ||
Debt Securities, Available-for-sale | 4,947 | 2,726 |
Trading, at fair value | 8,381 | 13,837 |
Total investments in securities | 13,328 | 16,563 |
Mortgage Loans [Abstract] | ||
Mortgage loans | 2,319,296 | 2,599,444 |
Derivative assets, net | 6,552 | 5,416 |
Guarantee assets | 0 | 0 |
Non Derivative Purchase Commitments Assets | 27 | 217 |
Advances to lenders | 0 | 0 |
Secured Lending and Other | 894 | 1,187 |
Total assets carried at fair value on a recurring basis | 2,445,252 | 2,701,363 |
Financial Liabilities | ||
Debt, net | 2,688,758 | 2,988,823 |
Derivative liabilities, net | 11,211 | 7,726 |
Guarantee obligation | 0 | 0 |
Non Derivative Purchase Commitment Liabilities | 171 | 4 |
Total Financial Liabilities | 2,700,140 | 2,996,553 |
Fair Value | Level 2 | Held by Freddie Mac | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 15,579 | 35,856 |
Financial Liabilities | ||
Debt, net | 167,801 | 185,793 |
Fair Value | Level 2 | Held by consolidated trusts | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 2,303,717 | 2,563,588 |
Financial Liabilities | ||
Debt, net | 2,520,957 | 2,803,030 |
Fair Value | Level 3 | ||
Financial Assets | ||
Cash and Cash Equivalents | 0 | 0 |
Securities Purchased under Agreements to Resell | 0 | 0 |
Investments in Securities [Abstract] | ||
Debt Securities, Available-for-sale | 1,102 | 1,286 |
Trading, at fair value | 2,858 | 3,386 |
Total investments in securities | 3,960 | 4,672 |
Mortgage Loans [Abstract] | ||
Mortgage loans | 250,601 | 267,936 |
Derivative assets, net | 3 | 17 |
Guarantee assets | 5,434 | 5,923 |
Non Derivative Purchase Commitments Assets | 0 | 0 |
Advances to lenders | 2,520 | 4,932 |
Secured Lending and Other | 0 | 76 |
Total assets carried at fair value on a recurring basis | 262,518 | 283,556 |
Financial Liabilities | ||
Debt, net | 3,878 | 4,613 |
Derivative liabilities, net | 104 | 23 |
Guarantee obligation | 5,998 | 6,240 |
Non Derivative Purchase Commitment Liabilities | 2,104 | 101 |
Total Financial Liabilities | 12,084 | 10,977 |
Fair Value | Level 3 | Held by Freddie Mac | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 30,964 | 29,803 |
Financial Liabilities | ||
Debt, net | 3,175 | 3,957 |
Fair Value | Level 3 | Held by consolidated trusts | ||
Mortgage Loans [Abstract] | ||
Mortgage loans | 219,637 | 238,133 |
Financial Liabilities | ||
Debt, net | $ 703 | $ 656 |
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 | Sep. 30, 2022 | Dec. 31, 2021 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Loans Held For Sale, Fair Value | $ 3,542 | $ 10,498 |
Loans Held For Sale, Unpaid Principal Balance, With Fair Value Option Elected | 3,961 | 10,224 |
Fair Value, Option, Aggregate Differences, Loans and Long-term Receivables | (419) | 274 |
Non Derivative HFS Purchase Commitment net | (150) | 127 |
Held by Freddie Mac | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-Term Debt, Fair Value | 968 | 1,252 |
Long-Term Debt, Unpaid Principal Balance, with Fair Value Option Elected | 956 | 1,220 |
Fair Value, Option, Aggregate Differences, Long-term Debt Instruments | 12 | 32 |
Held by consolidated trusts | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-Term Debt, Fair Value | 2,783 | 958 |
Long-Term Debt, Unpaid Principal Balance, with Fair Value Option Elected | 2,993 | 958 |
Fair Value, Option, Aggregate Differences, Long-term Debt Instruments | (210) | 0 |
Interest-Only | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-Term Debt, Fair Value | $ 500 | $ 300 |
Fair Value Disclosures Fair Val
Fair Value Disclosures Fair Value Disclosures - Changes in Fair Value under the FVO option (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Loans Receivable | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ (333) | $ (100) | $ (1,282) | $ (330) |
HFS loan purchase commitments | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | (86) | 423 | (292) | 960 |
Long-term Debt | Held by Freddie Mac | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | (18) | 6 | (44) | 36 |
Long-term Debt | Held by consolidated trusts | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ 182 | $ 7 | $ 425 | $ 16 |
Legal Contingencies (Details)
Legal Contingencies (Details) $ in Millions | 3 Months Ended | |
Mar. 14, 2013 numberofentities | Sep. 30, 2022 USD ($) | |
Loss Contingencies [Line Items] | ||
Loss Contingency, Damages Sought, Value | $ | $ 832 | |
LIBOR Lawsuit | ||
Loss Contingencies [Line Items] | ||
Number of defendants | numberofentities | 16 |
Regulatory Capital (Details)
Regulatory Capital (Details) | Sep. 30, 2022 |
Compliance with Regulatory Capital Requirements - ERCF [Abstract] | |
Minimum CET1 capital ratio | 4.50% |
Minimum tier 1 capital (risk-based) ratio | 6% |
Minimum adjusted total capital ratio | 8% |
Minimum total capital (statutory) ratio | 8% |
Minimum tier 1 capital (leverage) ratio | 2.50% |
Minimum core capital (statutory) ratio | 2.50% |
Regulatory Capital Table - ERCF
Regulatory Capital Table - ERCF Capital Requirements (Details) $ in Billions | Sep. 30, 2022 USD ($) Rate |
Compliance with Regulatory Capital Requirements - ERCF [Abstract] | |
Adjusted total assets | $ 3,695 |
Risk-weighted assets (standardized approach) | 855 |
Minimum Capital Requirement [Member] | |
Risk-based capital amounts [Abstract] | |
Total capital (statutory) | 68 |
CET1 capital | 38 |
Tier 1 capital | 51 |
Adjusted total capital | $ 68 |
Risk-based capital ratios [Abstract] | |
Total capital (statutory) | Rate | 8% |
CET1 capital | Rate | 4.50% |
Tier 1 capital | Rate | 6% |
Adjusted total capital | Rate | 8% |
Leverage capital amounts: [Abstract] | |
Core capital (statutory) | $ 92 |
Tier 1 capital | $ 92 |
Leverage capital ratios [Abstract] | |
Core capital (statutory) | Rate | 2.50% |
Tier 1 capital | Rate | 2.50% |
Capital Requirement Including Buffer [Member] | |
Risk-based capital amounts [Abstract] | |
Total capital (statutory) | $ 68 |
CET1 capital | 88 |
Tier 1 capital | 101 |
Adjusted total capital | $ 118 |
Risk-based capital ratios [Abstract] | |
Total capital (statutory) | Rate | 8% |
CET1 capital | Rate | 10.30% |
Tier 1 capital | Rate | 11.80% |
Adjusted total capital | Rate | 13.80% |
Leverage capital amounts: [Abstract] | |
Core capital (statutory) | $ 92 |
Tier 1 capital | $ 103 |
Leverage capital ratios [Abstract] | |
Core capital (statutory) | Rate | 2.50% |
Tier 1 capital | Rate | 2.80% |
Available Capital (Deficit) [Member] | |
Risk-based capital amounts [Abstract] | |
Total capital (statutory) | $ (30) |
CET1 capital | (57) |
Tier 1 capital | (43) |
Adjusted total capital | $ (43) |
Risk-based capital ratios [Abstract] | |
Total capital (statutory) | Rate | (3.50%) |
CET1 capital | Rate | (6.70%) |
Tier 1 capital | Rate | (5.00%) |
Adjusted total capital | Rate | (5.00%) |
Leverage capital amounts: [Abstract] | |
Core capital (statutory) | $ (37) |
Tier 1 capital | $ (43) |
Leverage capital ratios [Abstract] | |
Core capital (statutory) | Rate | (1.00%) |
Tier 1 capital | Rate | (1.20%) |