☒ | |||||
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934. |
☐ | |||||
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934. |
Federally chartered | 52-0904874 | 8200 Jones Branch Drive | 22102-3110 | (703) | 903-2000 | |||||||||||||||||||||||||||||||||||||||||
corporation | McLean, | Virginia | ||||||||||||||||||||||||||||||||||||||||||||
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | (Address of principal executive | (Zip Code) | ( | number, including area code) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||||||
None | N/A | N/A |
Large accelerated filer | ☐ | Accelerated filer | ☒ | |||||||||||||||||
Non-accelerated filer | ☐ | Smaller reporting company | ☐ | |||||||||||||||||
Emerging growth company | ☐ |
Table of Contents |
Page | |||||
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS | |||||
n Introduction | |||||
n Housing and Mortgage Market Conditions | |||||
n Consolidated Results of Operations | |||||
n Consolidated Balance Sheets Analysis | |||||
n Our Portfolios | |||||
n Our Business Segments | |||||
n Risk Management | |||||
l Credit Risk | |||||
l Market Risk | |||||
n Liquidity and Capital Resources | |||||
n Critical Accounting Estimates | |||||
n Regulation and Supervision | |||||
n Forward-Looking Statements | |||||
FINANCIAL STATEMENTS | |||||
OTHER INFORMATION | |||||
CONTROLS AND PROCEDURES | |||||
EXHIBIT INDEX | |||||
SIGNATURES | |||||
FORM 10-Q INDEX |
Freddie Mac 1Q 2024 Form 10-Q | i |
Table of Contents |
Table | Description | Page | ||||||
1 | Summary of Consolidated Statements of Income and Comprehensive Income | |||||||
2 | Components of Net Interest Income | |||||||
3 | Analysis of Net Interest Yield | |||||||
4 | Components of Non-Interest Income | |||||||
5 | (Provision) Benefit for Credit Losses | |||||||
6 | Components of Non-Interest Expense | |||||||
7 | Summarized Condensed Consolidated Balance Sheets | |||||||
8 | Mortgage Portfolio | |||||||
9 | Mortgage-Related Investments Portfolio | |||||||
10 | Other Investments Portfolio | |||||||
11 | Single-Family Segment Financial Results | |||||||
12 | Multifamily Segment Financial Results | |||||||
13 | Allowance for Credit Losses Activity | |||||||
14 | Allowance for Credit Losses Ratios | |||||||
15 | Single-Family New Business Activity | |||||||
16 | Single-Family Mortgage Portfolio Newly Acquired Credit Enhancements | |||||||
17 | Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding | |||||||
18 | Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio | |||||||
19 | Credit Quality Characteristics of Our Single-Family Mortgage Portfolio | |||||||
20 | Single-Family Mortgage Portfolio Attribute Combinations | |||||||
21 | Single-Family Completed Loan Workout Activity | |||||||
22 | Multifamily Mortgage Portfolio CRT Issuance | |||||||
23 | Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio | |||||||
24 | Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement | |||||||
25 | PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve | |||||||
26 | Duration Gap and PVS Results | |||||||
27 | PVS-L Results Before Derivatives and After Derivatives | |||||||
28 | Earnings Sensitivity to Changes in Interest Rates | |||||||
29 | Liquidity Sources | |||||||
30 | Funding Sources | |||||||
31 | Debt of Freddie Mac Activity | |||||||
32 | Maturity and Redemption Dates | |||||||
33 | Debt of Consolidated Trusts Activity | |||||||
34 | Net Worth Activity | |||||||
35 | Regulatory Capital Components | |||||||
36 | Statutory Capital Components | |||||||
37 | Capital Metrics Under ERCF | |||||||
38 | Forecasted House Price Growth Rates |
Freddie Mac 1Q 2024 Form 10-Q | ii |
Management's Discussion and Analysis | Introduction |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis | Introduction |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis |
Freddie Mac 1Q 2024 Form 10-Q | 3 |
Management's Discussion and Analysis | Housing and Mortgage Market Conditions |
3Q 2017 | 3Q 2016 | Change | YTD 2017 | YTD 2016 | Change | |||||||||||||||||||||||||
(Dollars in millions) | $ | % | $ | % | ||||||||||||||||||||||||||
Net interest income | $3,489 | $3,646 | ($157 | ) | (4 | )% | $10,663 | $10,494 | $169 | 2 | % | |||||||||||||||||||
Benefit (provision) for credit losses | (716 | ) | (113 | ) | (603 | ) | (534 | )% | (178 | ) | 1,129 | (1,307 | ) | (116 | )% | |||||||||||||||
Net interest income after benefit (provision) for credit losses | 2,773 | 3,533 | (760 | ) | (22 | )% | 10,485 | 11,623 | (1,138 | ) | (10 | )% | ||||||||||||||||||
Non-interest income (loss): | ||||||||||||||||||||||||||||||
Gains (losses) on extinguishment of debt | 27 | (92 | ) | 119 | 129 | % | 295 | (266 | ) | 561 | 211 | % | ||||||||||||||||||
Derivative gains (losses) | (678 | ) | (36 | ) | (642 | ) | (1,783 | )% | (2,076 | ) | (6,655 | ) | 4,579 | 69 | % | |||||||||||||||
Net impairment of available-for-sale securities recognized in earnings | (1 | ) | (9 | ) | 8 | 89 | % | (17 | ) | (138 | ) | 121 | 88 | % | ||||||||||||||||
Other gains on investment securities recognized in earnings | 723 | 309 | 414 | 134 | % | 840 | 1,062 | (222 | ) | (21 | )% | |||||||||||||||||||
Other income (loss) | 5,403 | 605 | 4,798 | 793 | % | 6,512 | 1,527 | 4,985 | 326 | % | ||||||||||||||||||||
Total non-interest income (loss) | 5,474 | 777 | 4,697 | 605 | % | 5,554 | (4,470 | ) | 10,024 | 224 | % | |||||||||||||||||||
Non-interest expense: | ||||||||||||||||||||||||||||||
Administrative expense | (524 | ) | (498 | ) | (26 | ) | (5 | )% | (1,548 | ) | (1,421 | ) | (127 | ) | (9 | )% | ||||||||||||||
REO operations expense | (35 | ) | (56 | ) | 21 | 38 | % | (128 | ) | (169 | ) | 41 | 24 | % | ||||||||||||||||
Temporary Payroll Tax Cut Continuation Act of 2011 expense | (339 | ) | (293 | ) | (46 | ) | (16 | )% | (990 | ) | (845 | ) | (145 | ) | (17 | )% | ||||||||||||||
Other expense | (159 | ) | (138 | ) | (21 | ) | (15 | )% | (361 | ) | (442 | ) | 81 | 18 | % | |||||||||||||||
Total non-interest expense | (1,057 | ) | (985 | ) | (72 | ) | (7 | )% | (3,027 | ) | (2,877 | ) | (150 | ) | (5 | )% | ||||||||||||||
Income (loss) before income tax (expense) benefit | 7,190 | 3,325 | 3,865 | 116 | % | 13,012 | 4,276 | 8,736 | 204 | % | ||||||||||||||||||||
Income tax (expense) benefit | (2,519 | ) | (996 | ) | (1,523 | ) | (153 | )% | (4,466 | ) | (1,308 | ) | (3,158 | ) | (241 | )% | ||||||||||||||
Net income (loss) | 4,671 | 2,329 | 2,342 | 101 | % | 8,546 | 2,968 | 5,578 | 188 | % | ||||||||||||||||||||
Total other comprehensive income (loss), net of taxes and reclassification adjustments | (21 | ) | (19 | ) | (2 | ) | (11 | )% | 324 | 275 | 49 | 18 | % | |||||||||||||||||
Comprehensive income (loss) | $4,650 | $2,310 | $2,340 | 101 | % | $8,870 | $3,243 | $5,627 | 174 | % |
3Q 2017 | 3Q 2016 | |||||||||||||||||||||
(Dollars in millions) | Average Balance | Interest Income (Expense)(1) | Average Rate | Average Balance | Interest Income (Expense)(1) | Average Rate | ||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||||
Cash and cash equivalents | $10,064 | $14 | 0.53 | % | $21,664 | $15 | 0.28 | % | ||||||||||||||
Securities purchased under agreements to resell | 57,107 | 166 | 1.16 | 62,086 | 56 | 0.36 | ||||||||||||||||
Advances to lenders and other secured lending | 804 | 5 | 2.51 | 649 | 3 | 2.06 | ||||||||||||||||
Mortgage-related securities: | ||||||||||||||||||||||
Mortgage-related securities | 159,640 | 1,572 | 3.94 | 185,235 | 1,779 | 3.84 | ||||||||||||||||
Extinguishment of PCs held by Freddie Mac | (85,198 | ) | (811 | ) | (3.81 | ) | (88,066 | ) | (829 | ) | (3.76 | ) | ||||||||||
Total mortgage-related securities, net | 74,442 | 761 | 4.09 | 97,169 | 950 | 3.91 | ||||||||||||||||
Non-mortgage-related securities | 15,127 | 60 | 1.62 | 15,671 | 26 | 0.67 | ||||||||||||||||
Loans held by consolidated trusts(1) | 1,731,577 | 14,617 | 3.38 | 1,654,288 | 13,602 | 3.29 | ||||||||||||||||
Loans held by Freddie Mac(1) | 117,298 | 1,250 | 4.26 | 131,945 | 1,395 | 4.23 | ||||||||||||||||
Total interest-earning assets | $2,006,419 | $16,873 | 3.37 | $1,983,472 | $16,047 | 3.24 | ||||||||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||||
Debt securities of consolidated trusts including PCs held by Freddie Mac | $1,755,578 | ($12,663 | ) | (2.89 | ) | $1,680,388 | ($11,716 | ) | (2.79 | ) | ||||||||||||
Extinguishment of PCs held by Freddie Mac | (85,198 | ) | 811 | 3.81 | (88,066 | ) | 829 | 3.76 | ||||||||||||||
Total debt securities of consolidated trusts held by third parties | 1,670,380 | (11,852 | ) | (2.84 | ) | 1,592,322 | (10,887 | ) | (2.73 | ) | ||||||||||||
Other debt: | ||||||||||||||||||||||
Short-term debt | 68,868 | (173 | ) | (0.99 | ) | 81,057 | (83 | ) | (0.40 | ) | ||||||||||||
Long-term debt | 259,075 | (1,319 | ) | (2.02 | ) | 302,062 | (1,384 | ) | (1.82 | ) | ||||||||||||
Total other debt | 327,943 | (1,492 | ) | (1.80 | ) | 383,119 | (1,467 | ) | (1.53 | ) | ||||||||||||
Total interest-bearing liabilities | 1,998,323 | (13,344 | ) | (2.67 | ) | 1,975,441 | (12,354 | ) | (2.50 | ) | ||||||||||||
Expense related to derivatives | — | (40 | ) | (0.01 | ) | — | (47 | ) | (0.01 | ) | ||||||||||||
Impact of net non-interest-bearing funding | 8,096 | — | 0.01 | 8,031 | — | 0.01 | ||||||||||||||||
Total funding of interest-earning assets | $2,006,419 | ($13,384 | ) | (2.67 | ) | $1,983,472 | ($12,401 | ) | (2.50 | ) | ||||||||||||
Net interest income/yield | $3,489 | 0.70 | $3,646 | 0.74 | ||||||||||||||||||
(1) Loan fees, primarily consisting of amortization of delivery fees, included in interest income were $634 million and $737 million for loans held by consolidated trusts and $37 million and $53 million for loans held by Freddie Mac during 3Q 2017 and 3Q 2016, respectively. | ||||||||||||||||||||||
YTD 2017 | YTD 2016 | ||||||||||||||||||||
(Dollars in millions) | Average Balance | Interest Income (Expense)(1) | Average Rate | Average Balance | Interest Income (Expense)(1) | Average Rate | |||||||||||||||
Interest-earning assets: | |||||||||||||||||||||
Cash and cash equivalents | $11,417 | $38 | 0.44 | % | $16,112 | $31 | 0.26 | % | |||||||||||||
Securities purchased under agreements to resell | 55,903 | 386 | 0.92 | 57,348 | 149 | 0.35 | |||||||||||||||
Advances to lenders and other secured lending | 651 | 12 | 2.42 | 419 | 7 | 2.33 | |||||||||||||||
Mortgage-related securities: | |||||||||||||||||||||
Mortgage-related securities | 168,819 | 4,886 | 3.86 | 193,492 | 5,546 | 3.82 | |||||||||||||||
Extinguishment of PCs held by Freddie Mac | (87,883 | ) | (2,456 | ) | (3.73 | ) | (96,388 | ) | (2,679 | ) | (3.71 | ) | |||||||||
Total mortgage-related securities, net | 80,936 | 2,430 | 4.00 | 97,104 | 2,867 | 3.94 | |||||||||||||||
Non-mortgage-related securities | 18,049 | 207 | 1.54 | 14,219 | 56 | 0.53 | |||||||||||||||
Loans held by consolidated trusts(1) | 1,720,906 | 43,810 | 3.39 | 1,640,997 | 41,735 | 3.39 | |||||||||||||||
Loans held by Freddie Mac(1) | 119,843 | 3,870 | 4.31 | 138,648 | 4,318 | 4.15 | |||||||||||||||
Total interest-earning assets | $2,007,705 | $50,753 | 3.37 | $1,964,847 | $49,163 | 3.33 | |||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||||||
Debt securities of consolidated trusts including PCs held by Freddie Mac | $1,744,260 | ($38,023 | ) | (2.91 | ) | $1,665,226 | ($36,606 | ) | (2.93 | ) | |||||||||||
Extinguishment of PCs held by Freddie Mac | (87,883 | ) | 2,456 | 3.73 | (96,388 | ) | 2,679 | 3.71 | |||||||||||||
Total debt securities of consolidated trusts held by third parties | 1,656,377 | (35,567 | ) | (2.86 | ) | 1,568,838 | (33,927 | ) | (2.88 | ) | |||||||||||
Other debt: | |||||||||||||||||||||
Short-term debt | 72,292 | (414 | ) | (0.76 | ) | 85,995 | (258 | ) | (0.39 | ) | |||||||||||
Long-term debt | 270,251 | (3,984 | ) | (1.96 | ) | 301,791 | (4,338 | ) | (1.91 | ) | |||||||||||
Total other debt | 342,543 | (4,398 | ) | (1.71 | ) | 387,786 | (4,596 | ) | (1.58 | ) | |||||||||||
Total interest-bearing liabilities | 1,998,920 | (39,965 | ) | (2.66 | ) | 1,956,624 | (38,523 | ) | (2.62 | ) | |||||||||||
Expense related to derivatives | — | (125 | ) | (0.01 | ) | — | (146 | ) | (0.01 | ) | |||||||||||
Impact of net non-interest-bearing funding | 8,785 | — | 0.01 | 8,223 | — | 0.01 | |||||||||||||||
Total funding of interest-earning assets | $2,007,705 | ($40,090 | ) | (2.66 | ) | $1,964,847 | ($38,669 | ) | (2.62 | ) | |||||||||||
Net interest income/yield | $10,663 | 0.71 | $10,494 | 0.71 | |||||||||||||||||
(1) Loan fees, primarily consisting of amortization of delivery fees, included in interest income were $1.7 billion and $1.9 billion for loans held by consolidated trusts and $132 million and $184 million for loans held by Freddie Mac during YTD 2017 and YTD 2016, respectively. |
3Q 2017 | 3Q 2016 | Change | YTD 2017 | YTD 2016 | Change | ||||||||||||||||||||||||
(Dollars in millions) | $ | % | $ | % | |||||||||||||||||||||||||
Contractual net interest income: | |||||||||||||||||||||||||||||
Guarantee fee income | $808 | $822 | ($14 | ) | (2 | )% | $2,495 | $2,212 | $283 | 13 | % | ||||||||||||||||||
Guarantee fee income related to the Temporary Payroll Tax Cut Continuation Act of 2011 | 333 | 292 | 41 | 14 | % | 974 | 838 | 136 | 16 | % | |||||||||||||||||||
Other contractual net interest income | 1,604 | 1,635 | (31 | ) | (2 | )% | 4,900 | 5,219 | (319 | ) | (6 | )% | |||||||||||||||||
Total contractual net interest income | 2,745 | 2,749 | (4 | ) | — | % | 8,369 | 8,269 | 100 | 1 | % | ||||||||||||||||||
Net amortization - loans and debt securities of consolidated trusts | 822 | 884 | (62 | ) | (7 | )% | 2,442 | 2,191 | 251 | 11 | % | ||||||||||||||||||
Net amortization - other assets and debt | (38 | ) | 60 | (98 | ) | (163 | )% | (23 | ) | 180 | (203 | ) | (113 | )% | |||||||||||||||
Expense related to derivatives | (40 | ) | (47 | ) | 7 | 15 | % | (125 | ) | (146 | ) | 21 | 14 | % | |||||||||||||||
Net interest income | $3,489 | $3,646 | ($157 | ) | (4 | )% | $10,663 | $10,494 | $169 | 2 | % |
3Q 2017 | 3Q 2016 | Change | YTD 2017 | YTD 2016 | Change | |||||||||||||||||||||||||
(Dollars in billions) | $ | % | $ | % | ||||||||||||||||||||||||||
Benefit (provision) for newly impaired loans | ($0.2 | ) | ($0.2 | ) | $— | — | % | ($0.5 | ) | ($0.6 | ) | $0.1 | 17 | % | ||||||||||||||||
Amortization of interest rate concessions | 0.1 | 0.2 | (0.1 | ) | (50 | )% | 0.5 | 0.7 | (0.2 | ) | (29 | )% | ||||||||||||||||||
Reclassifications of held-for-investment loans to held-for-sale loans | — | — | — | N/A | 0.3 | 0.6 | (0.3 | ) | (50 | )% | ||||||||||||||||||||
Other, including changes in estimated default probability and loss severity | (0.6 | ) | (0.1 | ) | (0.5 | ) | (500 | )% | (0.5 | ) | 0.4 | (0.9 | ) | (225 | )% | |||||||||||||||
Benefit (provision) for credit losses | ($0.7 | ) | ($0.1 | ) | ($0.6 | ) | (600 | )% | ($0.2 | ) | $1.1 | ($1.3 | ) | (118 | )% |
3Q 2017 | 3Q 2016 | Change | YTD 2017 | YTD 2016 | Change | |||||||||||||||||||||||||
(Dollars in millions) | $ | % | $ | % | ||||||||||||||||||||||||||
Fair value change in interest-rate swaps | $23 | $541 | ($518 | ) | (96 | )% | $116 | ($7,513 | ) | $7,629 | 102 | % | ||||||||||||||||||
Fair value change in option-based derivatives | (198 | ) | (235 | ) | 37 | 16 | % | (519 | ) | 2,841 | (3,360 | ) | (118 | )% | ||||||||||||||||
Fair value change in other derivatives | (105 | ) | 74 | (179 | ) | (242 | )% | (379 | ) | (657 | ) | 278 | 42 | % | ||||||||||||||||
Accrual of periodic cash settlements | (398 | ) | (416 | ) | 18 | 4 | % | (1,294 | ) | (1,326 | ) | 32 | 2 | % | ||||||||||||||||
Derivative gains (losses) | ($678 | ) | ($36 | ) | ($642 | ) | (1,783 | )% | ($2,076 | ) | ($6,655 | ) | $4,579 | 69 | % |
3Q 2017 | 3Q 2016 | Change | YTD 2017 | YTD 2016 | Change | ||||||||||||||||||||||||
(Dollars in millions) | $ | % | $ | % | |||||||||||||||||||||||||
Other income (loss) | |||||||||||||||||||||||||||||
Non-agency mortgage-related securities settlements | $4,525 | $— | $4,525 | N/A | $4,525 | $— | $4,525 | N/A | |||||||||||||||||||||
Gains (losses) on loans | 203 | 139 | $64 | 46 | % | 410 | 136 | 274 | 201 | % | |||||||||||||||||||
Gains (losses) on held-for-sale loan purchase commitments | 271 | 391 | (120 | ) | (31 | )% | 826 | 635 | 191 | 30 | % | ||||||||||||||||||
(Losses) gains on debt where we elected the fair value option | 62 | (174 | ) | 236 | 136 | % | (129 | ) | (268 | ) | 139 | 52 | % | ||||||||||||||||
All other | 272 | 249 | 23 | 9 | % | 744 | 1,024 | (280 | ) | (27 | )% | ||||||||||||||||||
Fair value hedge accounting | |||||||||||||||||||||||||||||
Change in fair value of derivatives in qualifying hedge relationships | 85 | — | 85 | N/A | (215 | ) | — | (215 | ) | N/A | |||||||||||||||||||
Change in fair value of hedged items in qualifying hedge relationships | (15 | ) | — | (15 | ) | N/A | 351 | — | 351 | N/A | |||||||||||||||||||
Ineffectiveness related to fair value hedge accounting | 70 | — | 70 | N/A | 136 | — | 136 | N/A | |||||||||||||||||||||
Total other income (loss) | $5,403 | $605 | $4,798 | 793 | % | $6,512 | $1,527 | $4,985 | 326 | % |
3Q 2017 | 3Q 2016 | Change | YTD 2017 | YTD 2016 | Change | ||||||||||||||||||||||||
(Dollars in millions) | $ | % | $ | % | |||||||||||||||||||||||||
Other comprehensive income, excluding certain items | $504 | $336 | $168 | 50 | % | $1,090 | $948 | $142 | 15 | % | |||||||||||||||||||
Excluded items: | |||||||||||||||||||||||||||||
Accretion due to significant increases in expected cash flows on previously impaired available-for-sale securities | (34 | ) | (66 | ) | 32 | 48 | % | (137 | ) | (235 | ) | 98 | 42 | % | |||||||||||||||
Realized (gains) losses reclassified from AOCI | (491 | ) | (289 | ) | (202 | ) | (70 | )% | (629 | ) | (438 | ) | (191 | ) | (44 | )% | |||||||||||||
Total excluded items | (525 | ) | (355 | ) | (170 | ) | (48 | )% | (766 | ) | (673 | ) | (93 | ) | (14 | )% | |||||||||||||
Total other comprehensive income (loss) | ($21 | ) | ($19 | ) | ($2 | ) | (11 | )% | $324 | $275 | $49 | 18 | % |
3Q 2017 | 3Q 2016 | Change | YTD 2017 | YTD 2016 | Change | |||||||||||||||||||||||||
(Dollars in millions) | $ | % | $ | % | ||||||||||||||||||||||||||
Benefit (provision) for credit losses | $52 | $59 | ($7 | ) | (12 | )% | $352 | $632 | ($280 | ) | (44 | )% | ||||||||||||||||||
Other income (loss) - lower-of-cost-or-fair-value adjustment | — | (65 | ) | 65 | 100 | % | — | (799 | ) | 799 | 100 | % | ||||||||||||||||||
Other expense - property taxes and insurance associated with these loans | — | (10 | ) | 10 | 100 | % | — | (150 | ) | 150 | 100 | % | ||||||||||||||||||
Effect on income before income tax (expense) benefit | $52 | ($16 | ) | $68 | 425 | % | $352 | ($317 | ) | $669 | 211 | % |
September 30, 2017 | December 31, 2016 | Change | |||||||||||||
(Dollars in millions) | $ | % | |||||||||||||
Assets: | |||||||||||||||
Cash and cash equivalents | $8,183 | $12,369 | ($4,186 | ) | (34 | )% | |||||||||
Restricted cash and cash equivalents | 7,684 | 9,851 | (2,167 | ) | (22 | )% | |||||||||
Securities purchased under agreements to resell | 47,202 | 51,548 | (4,346 | ) | (8 | )% | |||||||||
Subtotal | 63,069 | 73,768 | (10,699 | ) | (15 | )% | |||||||||
Investments in securities, at fair value | 87,148 | 111,547 | (24,399 | ) | (22 | )% | |||||||||
Mortgage loans, net | 1,844,892 | 1,803,003 | 41,889 | 2 | % | ||||||||||
Accrued interest receivable | 6,268 | 6,135 | 133 | 2 | % | ||||||||||
Derivative assets, net | 705 | 747 | (42 | ) | (6 | )% | |||||||||
Deferred tax assets, net | 14,576 | 15,818 | (1,242 | ) | (8 | )% | |||||||||
Other assets | 13,998 | 12,358 | 1,640 | 13 | % | ||||||||||
Total assets | $2,030,656 | $2,023,376 | $7,280 | — | % | ||||||||||
Liabilities and Equity: | |||||||||||||||
Liabilities: | |||||||||||||||
Accrued interest payable | $5,990 | $6,015 | ($25 | ) | — | % | |||||||||
Debt, net | 2,009,578 | 2,002,004 | 7,574 | — | % | ||||||||||
Derivative liabilities, net | 212 | 795 | (583 | ) | (73 | )% | |||||||||
Other liabilities | 9,626 | 9,487 | 139 | 1 | % | ||||||||||
Total liabilities | 2,025,406 | 2,018,301 | 7,105 | — | % | ||||||||||
Total equity | 5,250 | 5,075 | 175 | 3 | % | ||||||||||
Total liabilities and equity | $2,030,656 | $2,023,376 | $7,280 | — | % |
Freddie Mac 1Q 2024 Form 10-Q | 4 |
Management's Discussion and Analysis | Housing and Mortgage Market Conditions |
Freddie Mac 1Q 2024 Form 10-Q | 5 |
Management's Discussion and Analysis | Consolidated Results of Operations |
Change | ||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 1Q 2024 | 1Q 2023 | $ | % | ||||||||||||||||||||||||||||||||||
Net interest income | $4,759 | $4,501 | $258 | 6 | % | |||||||||||||||||||||||||||||||||
Non-interest income | 998 | 326 | 672 | 206 | ||||||||||||||||||||||||||||||||||
Net revenues | 5,757 | 4,827 | 930 | 19 | ||||||||||||||||||||||||||||||||||
(Provision) benefit for credit losses | (181) | (395) | 214 | 54 | ||||||||||||||||||||||||||||||||||
Non-interest expense | (2,122) | (1,932) | (190) | (10) | ||||||||||||||||||||||||||||||||||
Income before income tax expense | 3,454 | 2,500 | 954 | 38 | ||||||||||||||||||||||||||||||||||
Income tax expense | (688) | (505) | (183) | (36) | ||||||||||||||||||||||||||||||||||
Net income | 2,766 | 1,995 | 771 | 39 | ||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | (25) | 54 | (79) | (146) | ||||||||||||||||||||||||||||||||||
Comprehensive income | $2,741 | $2,049 | $692 | 34 | % |
Change | ||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 1Q 2024 | 1Q 2023 | $ | % | ||||||||||||||||||||||||||||||||||
Guarantee net interest income: | ||||||||||||||||||||||||||||||||||||||
Contractual net interest income | $3,772 | $3,666 | $106 | 3 | % | |||||||||||||||||||||||||||||||||
Deferred fee income | 166 | 207 | (41) | (20) | ||||||||||||||||||||||||||||||||||
Total guarantee net interest income | 3,938 | 3,873 | 65 | 2 | ||||||||||||||||||||||||||||||||||
Investments net interest income | 1,514 | 1,432 | 82 | 6 | ||||||||||||||||||||||||||||||||||
Impact on net interest income from hedge accounting | (693) | (804) | 111 | 14 | ||||||||||||||||||||||||||||||||||
Net interest income | $4,759 | $4,501 | $258 | 6 | % |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis |
1Q 2024 | 1Q 2023 | |||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | Average Balance | Interest Income (Expense) | Average Rate | Average Balance | Interest Income (Expense) | Average Rate | ||||||||||||||||||||||||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | $12,141 | $125 | 4.09 | % | $13,758 | $121 | 3.51 | % | ||||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | 111,796 | 1,532 | 5.48 | 107,516 | 1,220 | 4.54 | ||||||||||||||||||||||||||||||||||||||
Investment securities | 41,293 | 470 | 4.56 | 38,126 | 316 | 3.31 | ||||||||||||||||||||||||||||||||||||||
Mortgage loans(1) | 3,100,111 | 26,229 | 3.38 | 3,042,128 | 23,304 | 3.06 | ||||||||||||||||||||||||||||||||||||||
Other assets | 1,784 | 29 | 6.48 | 1,930 | 26 | 5.30 | ||||||||||||||||||||||||||||||||||||||
Total interest-earning assets | 3,267,125 | 28,385 | 3.47 | 3,203,458 | 24,987 | 3.12 | ||||||||||||||||||||||||||||||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||||||||||||||||||||||||||
Debt of consolidated trusts | 3,035,073 | (21,122) | (2.78) | 2,975,417 | (18,261) | (2.45) | ||||||||||||||||||||||||||||||||||||||
Debt of Freddie Mac | 180,850 | (2,504) | (5.53) | 187,599 | (2,225) | (4.74) | ||||||||||||||||||||||||||||||||||||||
Total interest-bearing liabilities | 3,215,923 | (23,626) | (2.94) | 3,163,016 | (20,486) | (2.59) | ||||||||||||||||||||||||||||||||||||||
Impact of net non-interest-bearing funding | 51,202 | — | 0.05 | 40,442 | — | 0.03 | ||||||||||||||||||||||||||||||||||||||
Total funding of interest-earning assets | 3,267,125 | (23,626) | (2.89) | 3,203,458 | (20,486) | (2.56) | ||||||||||||||||||||||||||||||||||||||
Net interest income/yield | $4,759 | 0.58 | % | $4,501 | 0.56 | % | ||||||||||||||||||||||||||||||||||||||
Change | ||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 1Q 2024 | 1Q 2023 | $ | % | ||||||||||||||||||||||||||||||||||
Guarantee income | $496 | $466 | $30 | 6 | % | |||||||||||||||||||||||||||||||||
Investment gains, net | 405 | (225) | 630 | 280 | ||||||||||||||||||||||||||||||||||
Other income | 97 | 85 | 12 | 14 | ||||||||||||||||||||||||||||||||||
Non-interest income | $998 | $326 | $672 | 206 | % |
Freddie Mac 1Q 2024 Form 10-Q |
Change | ||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 1Q 2024 | 1Q 2023 | $ | % | ||||||||||||||||||||||||||||||||||
Single-Family | ($120) | ($318) | $198 | 62 | % | |||||||||||||||||||||||||||||||||
Multifamily | (61) | (77) | 16 | 21 | ||||||||||||||||||||||||||||||||||
(Provision) benefit for credit losses | ($181) | ($395) | $214 | 54 | % |
Change | ||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 1Q 2024 | 1Q 2023 | $ | % | ||||||||||||||||||||||||||||||||||
Salaries and employee benefits | ($421) | ($374) | ($47) | (13) | % | |||||||||||||||||||||||||||||||||
Credit enhancement expense | (597) | (530) | (67) | (13) | ||||||||||||||||||||||||||||||||||
Benefit for (decrease in) credit enhancement recoveries | 1 | 49 | (48) | (98) | ||||||||||||||||||||||||||||||||||
Legislative assessments expense: | ||||||||||||||||||||||||||||||||||||||
Legislated guarantee fees expense | (724) | (708) | (16) | (2) | ||||||||||||||||||||||||||||||||||
Affordable housing funds allocation | (30) | (27) | (3) | (11) | ||||||||||||||||||||||||||||||||||
Total legislative assessments expense | (754) | (735) | (19) | (3) | ||||||||||||||||||||||||||||||||||
Other expense | (351) | (342) | (9) | (3) | ||||||||||||||||||||||||||||||||||
Non-interest expense | ($2,122) | ($1,932) | ($190) | (10) | % |
Freddie Mac 1Q 2024 Form 10-Q | 8 |
Management's Discussion and Analysis | Consolidated Balance Sheets Analysis |
Change | ||||||||||||||||||||
(Dollars in millions) | March 31, 2024 | December 31, 2023 | $ | % | ||||||||||||||||
Assets: | ||||||||||||||||||||
Cash and cash equivalents | $3,531 | $6,019 | ($2,488) | (41) | % | |||||||||||||||
Securities purchased under agreements to resell | 102,257 | 95,148 | 7,109 | 7 | ||||||||||||||||
Investment securities, at fair value | 41,400 | 43,275 | (1,875) | (4) | ||||||||||||||||
Mortgage loans held-for-sale | 12,034 | 12,941 | (907) | (7) | ||||||||||||||||
Mortgage loans held-for-investment | 3,088,687 | 3,083,665 | 5,022 | — | ||||||||||||||||
Accrued interest receivable, net | 10,047 | 9,925 | 122 | 1 | ||||||||||||||||
Deferred tax assets, net | 4,227 | 4,076 | 151 | 4 | ||||||||||||||||
Other assets | 25,190 | 25,927 | (737) | (3) | ||||||||||||||||
Total assets | $3,287,373 | $3,280,976 | $6,397 | — | % | |||||||||||||||
Liabilities and Equity: | ||||||||||||||||||||
Liabilities: | ||||||||||||||||||||
Accrued interest payable | $8,712 | $8,812 | ($100) | (1) | % | |||||||||||||||
Debt | 3,211,742 | 3,208,346 | 3,396 | — | ||||||||||||||||
Other liabilities | 16,456 | 16,096 | 360 | 2 | ||||||||||||||||
Total liabilities | 3,236,910 | 3,233,254 | 3,656 | — | ||||||||||||||||
Total equity | 50,463 | 47,722 | 2,741 | 6 | ||||||||||||||||
Total liabilities and equity | $3,287,373 | $3,280,976 | $6,397 | — | % |
Freddie Mac 1Q 2024 Form 10-Q | 9 |
Management's Discussion and Analysis | Our Portfolios |
March 31, 2024 | December 31, 2023 | |||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||
Mortgage loans held-for-investment: | ||||||||||||||||||||||||||
By consolidated trusts | $2,965,370 | $51,757 | $3,017,127 | $2,963,296 | $47,433 | $3,010,729 | ||||||||||||||||||||
By Freddie Mac | 35,643 | 10,000 | 45,643 | 33,213 | 11,770 | 44,983 | ||||||||||||||||||||
Total mortgage loans held-for-investment | 3,001,013 | 61,757 | 3,062,770 | 2,996,509 | 59,203 | 3,055,712 | ||||||||||||||||||||
Mortgage loans held-for-sale | 3,104 | 9,446 | 12,550 | 3,527 | 9,905 | 13,432 | ||||||||||||||||||||
Total mortgage loans | 3,004,117 | 71,203 | 3,075,320 | 3,000,036 | 69,108 | 3,069,144 | ||||||||||||||||||||
Mortgage-related guarantees: | ||||||||||||||||||||||||||
Mortgage loans held by nonconsolidated trusts | 30,324 | 361,164 | 391,488 | 30,182 | 360,928 | 391,110 | ||||||||||||||||||||
Other mortgage-related guarantees | 8,511 | 10,720 | 19,231 | 8,692 | 10,761 | 19,453 | ||||||||||||||||||||
Total mortgage-related guarantees | 38,835 | 371,884 | 410,719 | 38,874 | 371,689 | 410,563 | ||||||||||||||||||||
Total mortgage portfolio | $3,042,952 | $443,087 | $3,486,039 | $3,038,910 | $440,797 | $3,479,707 | ||||||||||||||||||||
Guaranteed mortgage-related securities: | ||||||||||||||||||||||||||
Issued by consolidated trusts | $2,975,161 | $51,811 | $3,026,972 | $2,970,707 | $47,436 | $3,018,143 | ||||||||||||||||||||
Issued by nonconsolidated trusts | 24,762 | 321,905 | 346,667 | 24,600 | 321,262 | 345,862 | ||||||||||||||||||||
Total guaranteed mortgage-related securities | $2,999,923 | $373,716 | $3,373,639 | $2,995,307 | $368,698 | $3,364,005 |
Freddie Mac 1Q 2024 Form 10-Q | 10 |
Management's Discussion and Analysis | Our Portfolios |
March 31, 2024 | December 31, 2023 | |||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||
Unsecuritized mortgage loans: | ||||||||||||||||||||||||||
Securitization pipeline loans(1) | $9,749 | $13,057 | $22,806 | $8,225 | $15,197 | $23,422 | ||||||||||||||||||||
Other loans(2) | 28,998 | 6,389 | 35,387 | 28,515 | 6,478 | 34,993 | ||||||||||||||||||||
Total unsecuritized mortgage loans | 38,747 | 19,446 | 58,193 | 36,740 | 21,675 | 58,415 | ||||||||||||||||||||
Mortgage-related securities: | ||||||||||||||||||||||||||
Investment securities | 2,916 | 4,486 | 7,402 | 2,667 | 4,613 | 7,280 | ||||||||||||||||||||
Debt of consolidated trusts | 18,367 | 684 | 19,051 | 18,639 | 660 | 19,299 | ||||||||||||||||||||
Total mortgage-related securities | 21,283 | 5,170 | 26,453 | 21,306 | 5,273 | 26,579 | ||||||||||||||||||||
Mortgage-related investments portfolio | $60,030 | $24,616 | $84,646 | $58,046 | $26,948 | $84,994 | ||||||||||||||||||||
10% of notional amount of interest-only securities | $23,126 | $22,186 | ||||||||||||||||||||||||
Mortgage-related investments portfolio for purposes of Purchase Agreement cap | 107,772 | 107,180 |
March 31, 2024 | December 31, 2023 | |||||||||||||||||||||||||||||||
(In millions) | Liquidity and Contingency Operating Portfolio | Custodial Account | Other | Total Other Investments Portfolio (1) | Liquidity and Contingency Operating Portfolio | Custodial Account | Other | Total Other Investments Portfolio (1) | ||||||||||||||||||||||||
Cash and cash equivalents | $1,947 | $1,483 | $101 | $3,531 | $5,041 | $890 | $88 | $6,019 | ||||||||||||||||||||||||
Securities purchased under agreements to resell | 104,243 | 10,777 | 1,037 | 116,057 | 94,904 | 9,396 | 1,093 | 105,393 | ||||||||||||||||||||||||
Non-mortgage related securities(2) | 22,960 | — | 5,593 | 28,553 | 24,153 | — | 6,119 | 30,272 | ||||||||||||||||||||||||
Other assets | — | — | 6,479 | 6,479 | — | — | 5,555 | 5,555 | ||||||||||||||||||||||||
Other investments portfolio | $129,150 | $12,260 | $13,210 | $154,620 | $124,098 | $10,286 | $12,855 | $147,239 |
Freddie Mac 1Q 2024 Form 10-Q | 11 |
Management's Discussion and Analysis | Our Business Segments |
Segment | Description | ||||
Single-Family | Reflects results from our purchase, securitization, and guarantee of single-family loans, our investments in single-family loans and mortgage-related securities, the management of Single-Family mortgage credit risk and market risk, and any results of our treasury function that are not allocated to each segment. | ||||
Multifamily | Reflects results from our purchase, securitization, and guarantee of multifamily loans, our investments in multifamily loans and mortgage-related securities, and the management of Multifamily mortgage credit risk and market risk. | ||||
Freddie Mac 1Q 2024 Form 10-Q | 12 |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis | Our Business Segments | Single-Family |
Change | ||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 1Q 2024 | 1Q 2023 | $ | % | ||||||||||||||||||||||||||||||||||
Net interest income | $4,488 | $4,296 | $192 | 4 | % | |||||||||||||||||||||||||||||||||
Non-interest income | (14) | (93) | 79 | 85 | ||||||||||||||||||||||||||||||||||
Net revenues | 4,474 | 4,203 | 271 | 6 | ||||||||||||||||||||||||||||||||||
(Provision) benefit for credit losses | (120) | (318) | 198 | 62 | ||||||||||||||||||||||||||||||||||
Non-interest expense | (1,925) | (1,783) | (142) | (8) | ||||||||||||||||||||||||||||||||||
Income before Income tax expense | 2,429 | 2,102 | 327 | 16 | ||||||||||||||||||||||||||||||||||
Income tax expense | (484) | (425) | (59) | (14) | ||||||||||||||||||||||||||||||||||
Net income | 1,945 | 1,677 | 268 | 16 | ||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | (5) | (1) | (4) | (400) | ||||||||||||||||||||||||||||||||||
Comprehensive income | $1,940 | $1,676 | $264 | 16 | % |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis | Our Business Segments | |
September 30, 2017 | |||||||||||||||||||||||||||
CLTV ≤ 80 | CLTV > 80 to 100 | CLTV > 100 | All Loans | ||||||||||||||||||||||||
(Credit score) | % Portfolio | SDQ Rate(1) | % Portfolio | SDQ Rate(1) | % Portfolio | SDQ Rate(1) | % Portfolio | SDQ Rate(1) | % Modified | ||||||||||||||||||
Core single-family loan portfolio: | |||||||||||||||||||||||||||
< 620 | 0.3 | % | 1.89 | % | — | % | NM | — | % | NM | 0.3 | % | 2.11 | % | 3.3 | % | |||||||||||
620 to 659 | 1.7 | 0.98 | % | 0.4 | 1.11 | % | — | NM | 2.1 | 1.00 | % | 1.4 | % | ||||||||||||||
≥ 660 | 64.8 | 0.15 | % | 9.4 | 0.21 | % | — | NM | 74.2 | 0.16 | % | 0.2 | % | ||||||||||||||
Not available | — | NM | — | NM | — | NM | — | NM | 3.7 | % | |||||||||||||||||
Total | 66.8 | % | 0.18 | % | 9.8 | % | 0.25 | % | — | % | NM | 76.6 | % | 0.19 | % | 0.3 | % | ||||||||||
Legacy and relief refinance single-family loan portfolio: | |||||||||||||||||||||||||||
< 620 | 1.2 | % | 4.46 | % | 0.3 | % | 8.49 | % | 0.2 | % | 14.35 | % | 1.7 | % | 5.55 | % | 24.2 | % | |||||||||
620 to 659 | 2.0 | 3.32 | % | 0.5 | 6.65 | % | 0.2 | 12.07 | % | 2.7 | 4.18 | % | 20.8 | % | |||||||||||||
≥ 660 | 15.5 | 1.16 | % | 2.5 | 3.37 | % | 0.9 | 5.87 | % | 18.9 | 1.49 | % | 7.5 | % | |||||||||||||
Not available | 0.1 | 4.85 | % | — | NM | — | NM | 0.1 | 5.32 | % | 17.5 | % | |||||||||||||||
Total | 18.8 | % | 1.66 | % | 3.3 | % | 4.42 | % | 1.3 | % | 7.97 | % | 23.4 | % | 2.14 | % | 10.3 | % |
September 30, 2017 | December 31, 2016 | |||||||||||||||||||||||||
(Dollars in billions) | UPB | CLTV | % Modified | SDQ Rate | UPB | CLTV | % Modified | SDQ Rate | ||||||||||||||||||
Alt-A | $28.2 | 68 | % | 25.8 | % | 5.00 | % | $32.6 | 72 | % | 25.9 | % | 5.21 | % |
(Dollars in millions) | 3Q 2017 | 3Q 2016 | YTD 2017 | YTD 2016 | |||||||||||
Charge-offs, gross(1) | $1,140 | $461 | $4,033 | $1,516 | |||||||||||
Recoveries | (145 | ) | (115 | ) | (327 | ) | (395 | ) | |||||||
Charge-offs, net | 995 | 346 | 3,706 | 1,121 | |||||||||||
REO operations expense | 35 | 56 | 128 | 169 | |||||||||||
Total credit losses | $1,030 | $402 | $3,834 | $1,290 | |||||||||||
Total credit losses(1) (in bps) | 22.7 | 9.2 | 28.4 | 9.9 |
September 30, 2017 | September 30, 2016 | |||||||||||||
(Dollars in millions) | Loan Count | Amount | Loan Count | Amount | ||||||||||
TDRs, at January 1 | 485,709 | $78,869 | 512,253 | $85,960 | ||||||||||
New additions | 29,867 | 4,130 | 32,581 | 4,482 | ||||||||||
Repayments and reclassifications to held-for-sale | (113,933 | ) | (21,828 | ) | (45,334 | ) | (8,863 | ) | ||||||
Foreclosure transfers and foreclosure alternatives | (8,169 | ) | (1,122 | ) | (8,856 | ) | (1,261 | ) | ||||||
TDRs, at September 30 | 393,474 | 60,049 | 490,644 | 80,318 | ||||||||||
Loans impaired upon purchase | 5,782 | 380 | 8,266 | 583 | ||||||||||
Total impaired loans with specific reserve | 399,256 | 60,429 | 498,910 | 80,901 | ||||||||||
Allowance for loan losses | (7,706 | ) | (11,910 | ) | ||||||||||
Net investment, at September 30 | $52,723 | $68,991 |
(In millions) | September 30, 2017 | December 31, 2016 | ||||||
TDRs on accrual status | $58,065 | $77,122 | ||||||
Non-accrual loans | 13,899 | 16,164 | ||||||
Total TDRs and non-accrual loans | $71,964 | $93,286 | ||||||
Loan loss reserves associated with: | ||||||||
TDRs on accrual status | $6,326 | $10,295 | ||||||
Non-accrual loans | 1,830 | 2,290 | ||||||
Total | $8,156 | $12,585 | ||||||
(In millions) | YTD 2017 | YTD 2016 | ||||||
Foregone interest income on TDRs and non-accrual loans(1) | $1,325 | $1,720 |
3Q 2017 | 3Q 2016 | YTD 2017 | YTD 2016 | |||||||||||||||||||||||||
(Dollars in millions) | Number of Properties | Amount | Number of Properties | Amount | Number of Properties | Amount | Number of Properties | Amount | ||||||||||||||||||||
Beginning balance — REO | 9,915 | $1,046 | 13,284 | $1,394 | 11,418 | $1,215 | 17,004 | $1,774 | ||||||||||||||||||||
Additions | 2,853 | 282 | 3,986 | 397 | 9,697 | 949 | 12,770 | 1,229 | ||||||||||||||||||||
Dispositions | (3,622 | ) | (348 | ) | (5,085 | ) | (503 | ) | (11,969 | ) | (1,184 | ) | (17,589 | ) | (1,715 | ) | ||||||||||||
Ending balance — REO | 9,146 | 980 | 12,185 | 1,288 | 9,146 | 980 | 12,185 | 1,288 | ||||||||||||||||||||
Beginning balance, valuation allowance | (10 | ) | (17 | ) | (17 | ) | (52 | ) | ||||||||||||||||||||
Change in valuation allowance | (4 | ) | 1 | 3 | 36 | |||||||||||||||||||||||
Ending balance, valuation allowance | (14 | ) | (16 | ) | (14 | ) | (16 | ) | ||||||||||||||||||||
Ending balance — REO, net | $966 | $1,272 | $966 | $1,272 |
3Q 2017 | 3Q 2016 | Change | YTD 2017 | YTD 2016 | Change | |||||||||||||||||||||||||
(Dollars in millions) | $ | % | $ | % | ||||||||||||||||||||||||||
Guarantee fee income | $1,581 | $1,641 | ($60 | ) | (4 | )% | $4,505 | $4,427 | $78 | 2 | % | |||||||||||||||||||
Benefit (provision) for credit losses | (826 | ) | (297 | ) | (529 | ) | (178 | )% | (775 | ) | 113 | (888 | ) | (786 | )% | |||||||||||||||
Other non-interest income (loss) | 403 | 6 | 397 | 6,617 | % | 1,081 | 131 | 950 | 725 | % | ||||||||||||||||||||
Administrative expense | (353 | ) | (330 | ) | (23 | ) | (7 | )% | (1,018 | ) | (939 | ) | (79 | ) | (8 | )% | ||||||||||||||
REO operations expense | (38 | ) | (59 | ) | 21 | 36 | % | (138 | ) | (177 | ) | 39 | 22 | % | ||||||||||||||||
Other non-interest expense | (348 | ) | (311 | ) | (37 | ) | (12 | )% | (1,001 | ) | (832 | ) | (169 | ) | (20 | )% | ||||||||||||||
Segment Earnings before income tax expense | 419 | 650 | (231 | ) | (36 | )% | 2,654 | 2,723 | (69 | ) | (3 | )% | ||||||||||||||||||
Income tax expense | (164 | ) | (153 | ) | (11 | ) | (7 | )% | (911 | ) | (833 | ) | (78 | ) | (9 | )% | ||||||||||||||
Segment Earnings, net of taxes | 255 | 497 | (242 | ) | (49 | )% | 1,743 | 1,890 | (147 | ) | (8 | )% | ||||||||||||||||||
Total other comprehensive income (loss), net of tax | — | (1 | ) | 1 | 100 | % | (2 | ) | (1 | ) | (1 | ) | (100 | )% | ||||||||||||||||
Total comprehensive income | $255 | $496 | ($241 | ) | (49 | )% | $1,741 | $1,889 | ($148 | ) | (8 | )% |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis | Our Business Segments |Multifamily |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis | Our Business Segments |Multifamily |
(UPB in millions) | September 30, 2017 | December 31, 2016 | |||||
Unsecuritized mortgage loans held-for-sale | $19,118 | $16,544 | |||||
Unsecuritized mortgage loans held-for-investment | 20,019 | 25,874 | |||||
Unsecuritized non-mortgage loans | 303 | — | |||||
Mortgage-related securities | 9,172 | 12,517 | |||||
Guarantee portfolio | 184,200 | 157,992 | |||||
Total multifamily portfolio | 232,812 | 212,927 | |||||
Add: Unguaranteed securities(1) | 28,376 | 24,573 | |||||
Less: Acquired mortgage-related securities(2) | (5,413 | ) | (5,793 | ) | |||
Total multifamily market support | $255,775 | $231,707 |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis | Our Business Segments |Multifamily |
Change | ||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 1Q 2024 | 1Q 2023 | $ | % | ||||||||||||||||||||||||||||||||||
Net interest income | $271 | $205 | $66 | 32 | % | |||||||||||||||||||||||||||||||||
Non-interest income | 1,012 | 419 | 593 | 142 | ||||||||||||||||||||||||||||||||||
Net revenues | 1,283 | 624 | 659 | 106 | ||||||||||||||||||||||||||||||||||
(Provision) benefit for credit losses | (61) | (77) | 16 | 21 | ||||||||||||||||||||||||||||||||||
Non-interest expense | (197) | (149) | (48) | (32) | ||||||||||||||||||||||||||||||||||
Income before income tax expense | 1,025 | 398 | 627 | 158 | ||||||||||||||||||||||||||||||||||
Income tax expense | (204) | (80) | (124) | (155) | ||||||||||||||||||||||||||||||||||
Net income | 821 | 318 | 503 | 158 | ||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | (20) | 55 | (75) | (136) | ||||||||||||||||||||||||||||||||||
Comprehensive income | $801 | $373 | $428 | 115 | % |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis |
3Q 2017 | 3Q 2016 | Change | YTD 2017 | YTD 2016 | Change | |||||||||||||||||||||||||
(Dollars in millions) | $ | % | $ | % | ||||||||||||||||||||||||||
Net interest income | $342 | $255 | $87 | 34 | % | $905 | $791 | $114 | 14 | % | ||||||||||||||||||||
Guarantee fee income | 170 | 134 | 36 | 27 | % | 483 | 366 | 117 | 32 | % | ||||||||||||||||||||
Benefit (provision) for credit losses | (22 | ) | 8 | (30 | ) | (375 | )% | (10 | ) | 19 | (29 | ) | (153 | )% | ||||||||||||||||
Gains (losses) on loans and other non-interest income | 183 | 551 | (368 | ) | (67 | )% | 831 | 1,666 | (835 | ) | (50 | )% | ||||||||||||||||||
Derivative gains (losses) | 22 | 205 | (183 | ) | (89 | )% | (31 | ) | (878 | ) | 847 | 96 | % | |||||||||||||||||
Administrative expense | (98 | ) | (89 | ) | (9 | ) | (10 | )% | (288 | ) | (255 | ) | (33 | ) | (13 | )% | ||||||||||||||
Other non-interest expense | (11 | ) | (10 | ) | (1 | ) | (10 | )% | (44 | ) | (43 | ) | (1 | ) | (2 | )% | ||||||||||||||
Segment Earnings before income tax (expense) benefit | 586 | 1,054 | (468 | ) | (44 | )% | 1,846 | 1,666 | 180 | 11 | % | |||||||||||||||||||
Income tax (expense) benefit | (212 | ) | (310 | ) | 98 | 32 | % | (634 | ) | (510 | ) | (124 | ) | (24 | )% | |||||||||||||||
Segment Earnings, net of taxes | 374 | 744 | (370 | ) | (50 | )% | 1,212 | 1,156 | 56 | 5 | % | |||||||||||||||||||
Total other comprehensive income (loss), net of tax | (4 | ) | 46 | (50 | ) | (109 | )% | 65 | 56 | 9 | 16 | % | ||||||||||||||||||
Total comprehensive income (loss) | $370 | $790 | ($420 | ) | (53 | )% | $1,277 | $1,212 | $65 | 5 | % |
3Q 2017 | 3Q 2016 | Change | YTD 2017 | YTD 2016 | Change | ||||||||||||||||||||||||
(Dollars in millions) | $ | % | $ | % | |||||||||||||||||||||||||
Net interest income | $804 | $933 | ($129 | ) | (14 | )% | $2,608 | $2,887 | ($279 | ) | (10 | )% | |||||||||||||||||
Net impairment of available-for-sale securities recognized in earnings | 50 | 94 | (44 | ) | (47 | )% | 194 | 224 | (30 | ) | (13 | )% | |||||||||||||||||
Derivative gains (losses) | (324 | ) | 212 | (536 | ) | (253 | )% | (757 | ) | (4,386 | ) | 3,629 | 83 | % | |||||||||||||||
Gains (losses) on trading securities | (26 | ) | (203 | ) | 177 | 87 | % | (207 | ) | (12 | ) | (195 | ) | (1,625 | )% | ||||||||||||||
Other non-interest income | 5,754 | 664 | 5,090 | 767 | % | 6,916 | 1,401 | 5,515 | 394 | % | |||||||||||||||||||
Administrative expense | (73 | ) | (79 | ) | 6 | 8 | % | (242 | ) | (227 | ) | (15 | ) | (7 | )% | ||||||||||||||
Segment Earnings before income tax (expense) benefit | 6,185 | 1,621 | 4,564 | 282 | % | 8,512 | (113 | ) | 8,625 | 7,633 | % | ||||||||||||||||||
Income tax (expense) benefit | (2,143 | ) | (533 | ) | (1,610 | ) | (302 | )% | (2,921 | ) | 35 | (2,956 | ) | (8,446 | )% | ||||||||||||||
Segment Earnings, net of taxes | 4,042 | 1,088 | 2,954 | 272 | % | 5,591 | (78 | ) | 5,669 | 7,268 | % | ||||||||||||||||||
Total other comprehensive income (loss), net of tax | (17 | ) | (64 | ) | 47 | 73 | % | 261 | 220 | 41 | 19 | % | |||||||||||||||||
Total comprehensive income (loss) | $4,025 | $1,024 | $3,001 | 293 | % | $5,852 | $142 | $5,710 | 4,021 | % |
3Q 2017 | 3Q 2016 | Change | YTD 2017 | YTD 2016 | Change | ||||||||||||||||||||||||
(Dollars in billions) | $ | % | $ | % | |||||||||||||||||||||||||
Interest rate-related | $— | $— | $— | — | % | ($0.1 | ) | ($1.9 | ) | $1.8 | 95 | % | |||||||||||||||||
Market spread-related | 0.5 | 0.4 | 0.1 | 25 | % | 0.8 | 0.1 | 0.7 | 700 | % |
1Q 2024 | 1Q 2023 | |||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||||||||||||||||||||
Allowance for credit losses: | ||||||||||||||||||||||||||||||||||||||||||||
Beginning balance | $6,402 | $447 | $6,849 | $7,746 | $147 | $7,893 | ||||||||||||||||||||||||||||||||||||||
Provision (benefit) for credit losses | 120 | 61 | 181 | 318 | 77 | 395 | ||||||||||||||||||||||||||||||||||||||
Charge-offs | (123) | — | (123) | (90) | — | (90) | ||||||||||||||||||||||||||||||||||||||
Recoveries collected | 26 | — | 26 | 32 | — | 32 | ||||||||||||||||||||||||||||||||||||||
Net charge-offs | (97) | — | (97) | (58) | — | (58) | ||||||||||||||||||||||||||||||||||||||
Other(1) | 83 | — | 83 | 91 | — | 91 | ||||||||||||||||||||||||||||||||||||||
Ending balance | $6,508 | $508 | $7,016 | $8,097 | $224 | $8,321 | ||||||||||||||||||||||||||||||||||||||
Average loans outstanding during the period(2) | $3,030,531 | $58,504 | $3,089,035 | $2,985,726 | $47,748 | $3,033,474 | ||||||||||||||||||||||||||||||||||||||
Net charge-offs to average loans outstanding | — | % | — | % | — | % | — | % | — | % | — | % | ||||||||||||||||||||||||||||||||
Components of ending balance of allowance for credit losses: | ||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-investment | $6,189 | $381 | $6,570 | $7,675 | $160 | $7,835 | ||||||||||||||||||||||||||||||||||||||
Other(3) | 319 | 127 | 446 | 422 | 64 | 486 | ||||||||||||||||||||||||||||||||||||||
Total ending balance | $6,508 | $508 | $7,016 | $8,097 | $224 | $8,321 |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis | Risk Management |
March 31, 2024 | December 31, 2023 | ||||||||||||||||||||||
(Dollars in millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | |||||||||||||||||
Allowance for credit losses ratios: | |||||||||||||||||||||||
Allowance for credit losses(1) to total loans outstanding | 0.20 | % | 0.64 | % | 0.21 | % | 0.20 | % | 0.57 | % | 0.21 | % | |||||||||||
Non-accrual loans to total loans outstanding | 0.43 | 0.17 | 0.42 | 0.44 | 0.11 | 0.44 | |||||||||||||||||
Allowance for credit losses to non-accrual loans | 47.90 | 369.90 | 50.45 | 45.01 | 509.38 | 47.20 | |||||||||||||||||
Balances: | |||||||||||||||||||||||
Allowance for credit losses on mortgage loans held-for-investment | $6,189 | $381 | $6,570 | $6,057 | $326 | $6,383 | |||||||||||||||||
Total loans outstanding(2) | 3,033,817 | 59,509 | 3,093,326 | 3,031,136 | 57,107 | 3,088,243 | |||||||||||||||||
Non-accrual loans(2) | 12,921 | 103 | 13,024 | 13,458 | 64 | 13,522 |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis | Risk Management |
1Q 2024 | 1Q 2023 | |||||||||||||||||||||||||||||||
(Dollars in millions) | Amount | % of Total | Amount | % of Total | ||||||||||||||||||||||||||||
20- and 30-year, amortizing fixed-rate | $59,091 | 95 | % | $55,469 | 94 | % | ||||||||||||||||||||||||||
15-year or less, amortizing fixed-rate | 2,278 | 4 | 2,214 | 4 | ||||||||||||||||||||||||||||
Adjustable-rate | 900 | 1 | 1,282 | 2 | ||||||||||||||||||||||||||||
Total | $62,269 | 100 | % | $58,965 | 100 | % | ||||||||||||||||||||||||||
Percentage of purchases | ||||||||||||||||||||||||||||||||
DTI ratio > 45% | 28 | % | 23 | % | ||||||||||||||||||||||||||||
Original LTV ratio > 90% | 25 | 28 | ||||||||||||||||||||||||||||||
Transaction type: | ||||||||||||||||||||||||||||||||
Guarantor swap | 66 | 72 | ||||||||||||||||||||||||||||||
Cash window | 34 | 28 | ||||||||||||||||||||||||||||||
Property type: | ||||||||||||||||||||||||||||||||
Detached single-family houses and townhouses | 91 | 91 | ||||||||||||||||||||||||||||||
Condominium or co-op | 9 | 9 | ||||||||||||||||||||||||||||||
Occupancy type: | ||||||||||||||||||||||||||||||||
Primary residence | 93 | 92 | ||||||||||||||||||||||||||||||
Second home | 2 | 2 | ||||||||||||||||||||||||||||||
Investment property | 5 | 6 | ||||||||||||||||||||||||||||||
Loan purpose: | ||||||||||||||||||||||||||||||||
Purchase | 86 | 86 | ||||||||||||||||||||||||||||||
Cash-out refinance | 8 | 9 | ||||||||||||||||||||||||||||||
Other refinance | 6 | 5 |
1Q 2024 | 1Q 2023 | ||||||||||||||||
(In millions) | UPB(1)(2) | Maximum Coverage(3)(4) | UPB(1)(2) | Maximum Coverage(3)(4) | |||||||||||||
Primary mortgage insurance | $25,135 | $6,616 | $26,518 | $6,920 | |||||||||||||
CRT transactions: | |||||||||||||||||
STACR | 41,402 | 1,284 | 14,887 | 611 | |||||||||||||
ACIS | 15,523 | 559 | — | — | |||||||||||||
Other | 692 | 107 | 46 | 46 | |||||||||||||
Total CRT issuance | $57,617 | $1,950 | $14,933 | $657 |
Freddie Mac 1Q 2024 Form 10-Q | 23 |
Management's Discussion and Analysis | Risk Management |
March 31, 2024 | ||||||||||||||
(Dollars in millions) | UPB(1) | % of Portfolio | Maximum Coverage(2)(3) | |||||||||||
Primary mortgage insurance(4) | $636,735 | 21 | % | $166,486 | ||||||||||
STACR | 1,187,102 | 39 | 31,085 | |||||||||||
ACIS | 804,323 | 26 | 17,535 | |||||||||||
Other | 39,871 | 1 | 10,911 | |||||||||||
Less: UPB with multiple credit enhancements and other reconciling items(5) | (801,385) | (26) | — | |||||||||||
Single-Family mortgage portfolio - credit-enhanced | 1,866,646 | 61 | 226,017 | |||||||||||
Single-Family mortgage portfolio - non-credit-enhanced | 1,176,306 | 39 | N/A | |||||||||||
Total | $3,042,952 | 100 | % | $226,017 |
December 31, 2023 | ||||||||||||||
(Dollars in millions) | UPB(1) | % of Portfolio | Maximum Coverage(2)(3) | |||||||||||
Primary mortgage insurance(4) | $637,037 | 21 | % | $165,738 | ||||||||||
STACR | 1,175,837 | 39 | 31,222 | |||||||||||
ACIS | 821,048 | 27 | 17,647 | |||||||||||
Other | 39,901 | 1 | 11,027 | |||||||||||
Less: UPB with multiple credit enhancements and other reconciling items(5) | (813,966) | (27) | — | |||||||||||
Single-Family mortgage portfolio - credit-enhanced | 1,859,857 | 61 | 225,634 | |||||||||||
Single-Family mortgage portfolio - non-credit-enhanced | 1,179,053 | 39 | N/A | |||||||||||
Total | $3,038,910 | 100 | % | $225,634 |
March 31, 2024 | December 31, 2023 | |||||||||||||||||||
(% of portfolio based on UPB)(1) | % of Portfolio(2) | SDQ Rate | % of Portfolio(2) | SDQ Rate | ||||||||||||||||
Credit-enhanced: | ||||||||||||||||||||
Primary mortgage insurance | 21 | % | 0.92 | % | 21 | % | 0.95 | % | ||||||||||||
CRT and other | 55 | 0.57 | 55 | 0.60 | ||||||||||||||||
Non-credit-enhanced | 39 | 0.40 | 39 | 0.42 | ||||||||||||||||
Total | N/A | 0.52 | N/A | 0.55 |
Freddie Mac 1Q 2024 Form 10-Q | 24 |
Management's Discussion and Analysis | Risk Management |
March 31, 2024 | ||||||||||||||||||||
(Dollars in millions) | UPB | Original Credit Score(1) | Current Credit Score(1)(2) | Original LTV Ratio | Current LTV Ratio | |||||||||||||||
Single-Family mortgage portfolio year of origination: | ||||||||||||||||||||
2024 | $42,481 | 754 | 754 | 78 | % | 78 | % | |||||||||||||
2023 | 278,342 | 751 | 744 | 79 | 75 | |||||||||||||||
2022 | 426,234 | 746 | 744 | 76 | 68 | |||||||||||||||
2021 | 968,107 | 752 | 755 | 71 | 53 | |||||||||||||||
2020 | 707,779 | 761 | 767 | 71 | 46 | |||||||||||||||
2019 and prior | 620,009 | 738 | 751 | 75 | 34 | |||||||||||||||
Total | $3,042,952 | 750 | 754 | 73 | 52 |
December 31, 2023 | ||||||||||||||||||||
(Dollars in millions) | UPB | Original Credit Score (1) | Current Credit Score(1)(2) | Original LTV Ratio | Current LTV Ratio | |||||||||||||||
Single-Family mortgage portfolio year of origination: | ||||||||||||||||||||
2023 | $265,072 | 751 | 745 | 79 | % | 75 | % | |||||||||||||
2022 | 433,252 | 745 | 746 | 76 | 68 | |||||||||||||||
2021 | 984,004 | 752 | 756 | 71 | 54 | |||||||||||||||
2020 | 719,822 | 761 | 768 | 71 | 46 | |||||||||||||||
2019 | 119,557 | 746 | 753 | 76 | 46 | |||||||||||||||
2018 and prior | 517,203 | 736 | 751 | 75 | 32 | |||||||||||||||
Total | $3,038,910 | 750 | 755 | 73 | 52 |
March 31, 2024 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CLTV ≤ 60 | CLTV > 60 to 80 | CLTV > 80 to 90 | CLTV > 90 to 100 | CLTV > 100 | All Loans | |||||||||||||||||||||||||||||||||||||||||||||||||||
Original credit score | % of Portfolio | SDQ Rate | % of Portfolio | SDQ Rate(2) | % of Portfolio | SDQ Rate(2) | % of Portfolio | SDQ Rate(2) | % of Portfolio | SDQ Rate(2) | % of Portfolio | SDQ Rate | ||||||||||||||||||||||||||||||||||||||||||||
740 and above | 44 | % | 0.15 | % | 15 | % | 0.23 | % | 4 | % | 0.31 | % | 2 | % | 0.29 | % | — | % | NM | 65 | % | 0.17 | % | |||||||||||||||||||||||||||||||||
700 to 739 | 12 | 0.49 | 6 | 0.79 | 2 | 0.89 | 1 | 0.73 | — | NM | 21 | 0.58 | ||||||||||||||||||||||||||||||||||||||||||||
680 to 699 | 4 | 0.85 | 2 | 1.48 | — | NM | — | NM | — | NM | 6 | 1.00 | ||||||||||||||||||||||||||||||||||||||||||||
660 to 679 | 3 | 1.21 | 1 | 2.13 | — | NM | — | NM | — | NM | 4 | 1.40 | ||||||||||||||||||||||||||||||||||||||||||||
620 to 659 | 2 | 1.89 | 1 | 3.28 | — | NM | — | NM | — | NM | 3 | 2.10 | ||||||||||||||||||||||||||||||||||||||||||||
Less than 620 | 1 | 4.30 | — | NM | — | NM | — | NM | — | NM | 1 | 4.63 | ||||||||||||||||||||||||||||||||||||||||||||
Total | 66 | % | 0.46 | 25 | % | 0.67 | 6 | % | 0.71 | 3 | % | 0.59 | — | % | NM | 100 | % | 0.52 |
Freddie Mac 1Q 2024 Form 10-Q | 25 |
Management's Discussion and Analysis | Risk Management |
December 31, 2023 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CLTV ≤ 60 | CLTV > 60 to 80 | CLTV > 80 to 90 | CLTV > 90 to 100 | CLTV > 100 | All Loans | |||||||||||||||||||||||||||||||||||||||||||||||||||
Original credit score | % of Portfolio | SDQ Rate | % of Portfolio | SDQ Rate(2) | % of Portfolio | SDQ Rate(2) | % of Portfolio | SDQ Rate(2) | % of Portfolio | SDQ Rate(2) | % of Portfolio | SDQ Rate | ||||||||||||||||||||||||||||||||||||||||||||
740 and above | 45 | % | 0.16 | % | 15 | % | 0.24 | % | 4 | % | 0.32 | % | 1 | % | 0.27 | % | — | % | NM | 65 | % | 0.18 | % | |||||||||||||||||||||||||||||||||
700 to 739 | 13 | 0.53 | 5 | 0.82 | 2 | 0.93 | 1 | 0.59 | — | NM | 21 | 0.61 | ||||||||||||||||||||||||||||||||||||||||||||
680 to 699 | 4 | 0.90 | 2 | 1.50 | — | NM | — | NM | — | NM | 6 | 1.05 | ||||||||||||||||||||||||||||||||||||||||||||
660 to 679 | 3 | 1.28 | 1 | 2.18 | — | NM | — | NM | — | NM | 4 | 1.45 | ||||||||||||||||||||||||||||||||||||||||||||
620 to 659 | 2 | 2.00 | 1 | 3.37 | — | NM | — | NM | — | NM | 3 | 2.21 | ||||||||||||||||||||||||||||||||||||||||||||
Less than 620 | 1 | 4.41 | — | NM | — | NM | — | NM | — | NM | 1 | 4.74 | ||||||||||||||||||||||||||||||||||||||||||||
Total | 68 | % | 0.49 | 24 | % | 0.70 | 6 | % | 0.72 | 2 | % | 0.52 | — | % | NM | 100 | % | 0.55 |
Freddie Mac 1Q 2024 Form 10-Q | 26 |
Management's Discussion and Analysis | Risk Management |
1Q 2024 | 1Q 2023 | ||||||||||||||||
(UPB in millions, loan count in thousands) | UPB | Loan Count | UPB | Loan Count | |||||||||||||
Payment deferral plans | $2,670 | 10 | $2,735 | 11 | |||||||||||||
Loan modifications | 1,382 | 6 | 1,259 | 6 | |||||||||||||
Forbearance plans and other(1) | 1,180 | 5 | 1,490 | 7 | |||||||||||||
Total | $5,232 | 21 | $5,484 | 24 |
Freddie Mac 1Q 2024 Form 10-Q | 27 |
Management's Discussion and Analysis | Risk Management |
1Q 2024 | 1Q 2023 | |||||||||||||||||||||||||||||||||||||
(In millions) | UPB(1) | Maximum Coverage(2)(3) | UPB(1) | Maximum Coverage(2)(3) | ||||||||||||||||||||||||||||||||||
Subordination | $6,598 | $399 | $6,149 | $425 | ||||||||||||||||||||||||||||||||||
SCR | — | — | 1,166 | 105 | ||||||||||||||||||||||||||||||||||
Lender risk-sharing | — | — | 239 | 48 | ||||||||||||||||||||||||||||||||||
Total CRT issuance | $6,598 | $399 | $7,554 | $578 | ||||||||||||||||||||||||||||||||||
Freddie Mac 1Q 2024 Form 10-Q | 28 |
Management's Discussion and Analysis | Risk Management |
March 31, 2024 | December 31, 2023 | ||||||||||||||||||||||||||||||||||
(Dollars in millions) | UPB | Delinquency Rate | UPB | Delinquency Rate | |||||||||||||||||||||||||||||||
Credit-enhanced: | |||||||||||||||||||||||||||||||||||
Subordination | $359,244 | 0.34 | % | $358,944 | 0.26 | % | |||||||||||||||||||||||||||||
SCR/MCIP | 46,904 | 0.23 | 47,011 | 0.23 | |||||||||||||||||||||||||||||||
Other | 8,779 | 0.86 | 8,844 | 0.89 | |||||||||||||||||||||||||||||||
Total credit-enhanced | 414,927 | 0.34 | 414,799 | 0.27 | |||||||||||||||||||||||||||||||
Non-credit-enhanced | 28,160 | 0.33 | 25,998 | 0.51 | |||||||||||||||||||||||||||||||
Total | $443,087 | 0.34 | $440,797 | 0.28 |
March 31, 2024 | December 31, 2023 | ||||||||||||||||||||||
(Dollars in millions) | UPB | Delinquency Rate | UPB | Delinquency Rate | |||||||||||||||||||
Mortgage loans held-for-sale | $8,602 | — | % | $8,823 | — | % | |||||||||||||||||
Mortgage loans held-for-investment: | |||||||||||||||||||||||
Held by Freddie Mac | 7,980 | 0.99 | 9,941 | 1.21 | |||||||||||||||||||
Held by consolidated trusts | 9,182 | 0.14 | 4,851 | 0.27 | |||||||||||||||||||
Other mortgage-related guarantees | 2,396 | — | 2,383 | — | |||||||||||||||||||
Total | $28,160 | 0.33 | $25,998 | 0.51 |
PMVS-YC | PMVS-L | |||||||||||
(In millions) | 25 bps | 50 bps | 100 bps | |||||||||
Assuming shifts of the LIBOR yield curve: | ||||||||||||
September 30, 2017 | $9 | $6 | $2 | |||||||||
December 31, 2016 | $7 | $— | $— |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis | Risk Management |
March 31, 2024 | December 31, 2023 | |||||||||||||||||||||||||||||||
PVS-YC | PVS-L | PVS-YC | PVS-L | |||||||||||||||||||||||||||||
(In millions) | 25 bps | 50 bps | 100 bps | 25 bps | 50 bps | 100 bps | ||||||||||||||||||||||||||
Assuming shifts of the yield curve, (gains) losses on:(1) | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments | $316 | $3,047 | $6,015 | ($301) | $3,150 | $6,229 | ||||||||||||||||||||||||||
Guarantees(2) | (15) | (314) | (599) | 34 | (369) | (678) | ||||||||||||||||||||||||||
Total assets | 301 | 2,733 | 5,416 | (267) | 2,781 | 5,551 | ||||||||||||||||||||||||||
Liabilities | 56 | (1,496) | (3,044) | (52) | (1,519) | (3,073) | ||||||||||||||||||||||||||
Derivatives | (357) | (1,267) | (2,494) | 322 | (1,274) | (2,547) | ||||||||||||||||||||||||||
Total | $— | ($30) | ($122) | $3 | ($12) | ($69) | ||||||||||||||||||||||||||
PVS | $— | $— | $— | $3 | $— | $— |
1Q 2024 | 1Q 2023 | |||||||||||||||||||||||||
(Duration gap in months, dollars in millions) | Duration Gap | PVS-YC 25 bps | PVS-L 50 bps | Duration Gap | PVS-YC 25 bps | PVS-L 50 bps | ||||||||||||||||||||
Average | 0.1 | $2 | $— | — | $3 | $3 | ||||||||||||||||||||
Minimum | (0.1) | — | — | (0.2) | — | — | ||||||||||||||||||||
Maximum | 0.2 | 5 | 5 | 0.2 | 9 | 24 | ||||||||||||||||||||
Standard deviation | 0.1 | 1 | 1 | 0.1 | 2 | 6 | ||||||||||||||||||||
3Q 2017 | 3Q 2016 | |||||||||||||||||||||
(Duration gap in months, dollars in millions) | Duration Gap | PMVS-YC 25 bps | PMVS-L 50 bps | Duration Gap | PMVS-YC 25 bps | PMVS-L 50 bps | ||||||||||||||||
Average | — | $9 | $35 | 0.1 | $6 | $14 | ||||||||||||||||
Minimum | (0.4 | ) | $— | $— | (0.4 | ) | $— | $— | ||||||||||||||
Maximum | 0.4 | $26 | $78 | 0.6 | $21 | $68 | ||||||||||||||||
Standard deviation | 0.2 | $7 | $17 | 0.2 | $4 | $17 | ||||||||||||||||
YTD 2017 | YTD 2016 | |||||||||||||||||||||
(Duration gap in months, dollars in millions) | Duration Gap | PMVS-YC 25 bps | PMVS-L 50 bps | Duration Gap | PMVS-YC 25 bps | PMVS-L 50 bps | ||||||||||||||||
Average | 0.1 | $7 | $16 | 0.1 | $6 | $21 | ||||||||||||||||
Minimum | (0.4 | ) | $— | $— | (0.4 | ) | $— | $— | ||||||||||||||
Maximum | 0.8 | $26 | $78 | 0.7 | $31 | $92 | ||||||||||||||||
Standard deviation | 0.2 | $6 | $20 | 0.2 | $5 | $22 |
PVS-L (50 bps) | |||||||||||||||||
(In millions) | Before Derivatives | After Derivatives | Effect of Derivatives | ||||||||||||||
March 31, 2024 | $1,236 | $— | ($1,236) | ||||||||||||||
December 31, 2023 | 1,261 | — | (1,261) |
Freddie Mac 1Q 2024 Form 10-Q | 30 |
PMVS-L (50 bps) | |||||||||||
(In millions) | Before Derivatives | After Derivatives | Effect of Derivatives | ||||||||
September 30, 2017 | $3,214 | $6 | ($3,208 | ) | |||||||
December 31, 2016 | $3,651 | $— | ($3,651 | ) |
Management's Discussion and Analysis | Risk Management |
(In billions) | 3Q 2017 | 3Q 2016 | YTD 2017 | YTD 2016 | |||||||||||
Interest rate effect on derivative fair values | $— | $0.5 | ($0.6 | ) | ($5.2 | ) | |||||||||
Estimate of offsetting interest rate effect related to financial instruments measured at fair value(1) | — | (0.5 | ) | — | 2.4 | ||||||||||
Gains (losses) on mortgage loans in fair value hedge relationships | — | — | 0.4 | — | |||||||||||
Income tax (expense) benefit | — | — | 0.1 | 1.0 | |||||||||||
Estimated net interest rate effect on comprehensive income (loss) | $— | $— | ($0.1 | ) | ($1.8 | ) |
GAAP Adverse Scenario (Before-Tax) | ||||||||||
(Dollars in billions) | Before Hedge Accounting | After Hedge Accounting | % Change | |||||||
September 30, 2017 | ($2.8 | ) | ($1.2 | ) | 58 | % |
(In millions) | March 31, 2024 | March 31, 2023 | ||||||||||||
Interest Rate Scenarios(1) | ||||||||||||||
Parallel yield curve shifts: | ||||||||||||||
+100 bps | $10 | $25 | ||||||||||||
-100 bps | (10) | (25) | ||||||||||||
Non-parallel yield curve shifts - long-term interest rates: | ||||||||||||||
+100 bps | 282 | 118 | ||||||||||||
-100 bps | (282) | (118) | ||||||||||||
Non-parallel yield curve shifts - short-term and medium-term interest rates: | ||||||||||||||
+100 bps | (272) | (92) | ||||||||||||
-100 bps | 272 | 92 |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis |
Liquidity and Capital Resources |
3Q 2017 | |||||||||||||
(Dollars in millions) | Short-term | Average Rate(1) | Long-term | Average Rate(1) | |||||||||
Discount notes and Reference Bills: | |||||||||||||
Beginning balance | $52,354 | 0.91 | % | $— | — | % | |||||||
Issuances | 89,827 | 0.99 | % | — | — | % | |||||||
Repurchases | — | — | % | — | — | % | |||||||
Maturities | (93,716 | ) | 0.92 | % | — | — | % | ||||||
Ending Balance | 48,465 | 1.05 | % | — | — | % | |||||||
Securities sold under agreements to repurchase: | |||||||||||||
Beginning balance | 4,772 | 1.01 | % | — | — | % | |||||||
Additions | 30,803 | 0.92 | % | — | — | % | |||||||
Repayments | (27,402 | ) | 0.93 | % | — | — | % | ||||||
Ending Balance | 8,173 | 0.75 | % | — | — | % | |||||||
Callable debt: | |||||||||||||
Beginning balance | — | — | % | 120,450 | 1.53 | % | |||||||
Issuances | — | — | % | 9,850 | 1.90 | % | |||||||
Repurchases | — | — | % | (49 | ) | 2.39 | % | ||||||
Calls | — | — | % | (13,011 | ) | 1.80 | % | ||||||
Maturities | — | — | % | (3,850 | ) | 0.92 | % | ||||||
Ending Balance | — | — | % | 113,390 | 1.51 | % | |||||||
Non-callable debt:(2) | |||||||||||||
Beginning balance | 10,616 | 0.82 | % | 151,279 | 2.38 | % | |||||||
Issuances | 2,300 | 1.07 | % | 7,555 | 1.51 | % | |||||||
Repurchases | — | — | % | (167 | ) | 2.54 | % | ||||||
Maturities | — | — | % | (20,947 | ) | 1.62 | % | ||||||
Ending Balance | 12,916 | 0.86 | % | 137,720 | 2.47 | % | |||||||
Total other debt | $69,554 | 0.98 | % | $251,110 | 2.04 | % | |||||||
YTD 2017 | |||||||||||||
(Dollars in millions) | Short-term | Average Rate(1) | Long-term | Average Rate(1) | |||||||||
Discount notes and Reference Bills: | |||||||||||||
Beginning balance | $61,042 | 0.47 | % | $— | — | % | |||||||
Issuances | 289,138 | 0.79 | % | — | — | % | |||||||
Repurchases | (57 | ) | 0.91 | % | — | — | % | ||||||
Maturities | (301,658 | ) | 0.69 | % | — | — | % | ||||||
Ending Balance | 48,465 | 1.05 | % | — | — | % | |||||||
Securities sold under agreements to repurchase: | |||||||||||||
Beginning balance | 3,040 | 0.42 | % | — | — | % | |||||||
Additions | 93,948 | 0.61 | % | — | — | % | |||||||
Repayments | (88,815 | ) | 0.57 | % | — | — | % | ||||||
Ending Balance | 8,173 | 0.75 | % | — | — | % | |||||||
Callable debt: | |||||||||||||
Beginning balance | — | — | % | 98,420 | 1.44 | % | |||||||
Issuances | — | — | % | 46,979 | 1.90 | % | |||||||
Repurchases | — | — | % | (49 | ) | 2.39 | % | ||||||
Calls | — | — | % | (24,227 | ) | 1.76 | % | ||||||
Maturities | — | — | % | (7,733 | ) | 0.85 | % | ||||||
Ending Balance | — | — | % | 113,390 | 1.51 | % | |||||||
Non-callable debt:(2) | |||||||||||||
Beginning balance | 7,435 | 0.41 | % | 186,806 | 2.10 | % | |||||||
Issuances | 12,866 | 0.87 | % | 18,673 | 1.99 | % | |||||||
Repurchases | (500 | ) | 0.82 | % | (1,211 | ) | 1.40 | % | |||||
Maturities | (6,885 | ) | 0.40 | % | (66,548 | ) | 1.46 | % | |||||
Ending Balance | 12,916 | 0.86 | % | 137,720 | 2.47 | % | |||||||
Total other debt | $69,554 | 0.98 | % | $251,110 | 2.04 | % |
(In millions) | March 31, 2024(1) | December 31, 2023(1) | Description | ||||||||||||||
Other Investments Portfolio - Liquidity and Contingency Operating Portfolio | $129,150 | $124,098 | The liquidity and contingency operating portfolio, included within our other investments portfolio, is primarily used for short-term liquidity management. | ||||||||||||||
Mortgage-Related Investments Portfolio | 24,440 | 24,469 | The liquid portion of our mortgage-related investments portfolio can be pledged or sold for liquidity purposes. The amount of cash we may be able to successfully raise may be substantially less than the balance. |
(In millions) | 3Q 2017 | YTD 2017 | |||||
Beginning balance | $1,625,619 | $1,602,162 | |||||
Issuances: | |||||||
New issuances to third parties | 63,552 | 187,273 | |||||
Additional issuances of securities | 39,425 | 100,507 | |||||
Total issuances | 102,977 | 287,780 | |||||
Extinguishments: | |||||||
Purchases of debt securities from third parties | (7,221 | ) | (27,492 | ) | |||
Debt securities received in settlement of advances to lenders | (8,630 | ) | (24,341 | ) | |||
Repayments of debt securities | (68,833 | ) | (194,197 | ) | |||
Total extinguishments | (84,684 | ) | (246,030 | ) | |||
Ending balance | $1,643,912 | $1,643,912 | |||||
Unamortized premiums and discounts | 47,612 | 47,612 | |||||
Debt securities of consolidated trusts held by third parties | $1,691,524 | $1,691,524 |
September 30, 2017 | December 31, 2016 | |||||||||||||||||||||||||||||||
(In billions) | Liquidity and Contingency Operating Portfolio | Custodial Account | Other(1) | Total Other Investments and Cash Portfolio | Liquidity and Contingency Operating Portfolio | Custodial Account | Other(1) | Total Other Investments and Cash Portfolio | ||||||||||||||||||||||||
Cash and cash equivalents | $8.2 | $— | $— | $8.2 | $12.4 | $— | $— | $12.4 | ||||||||||||||||||||||||
Restricted cash and cash equivalents | — | 5.1 | 2.6 | 7.7 | — | 9.5 | 0.4 | 9.9 | ||||||||||||||||||||||||
Securities purchased under agreements to resell | 34.2 | 12.8 | 0.2 | 47.2 | 37.5 | 13.6 | 0.4 | 51.5 | ||||||||||||||||||||||||
Non-mortgage-related securities | 16.9 | — | 0.6 | 17.5 | 19.6 | — | 1.5 | 21.1 | ||||||||||||||||||||||||
Advances to lenders | — | — | 1.3 | 1.3 | — | — | 1.3 | 1.3 | ||||||||||||||||||||||||
Total | $59.3 | $17.9 | $4.7 | $81.9 | $69.5 | $23.1 | $3.6 | $96.2 |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis | Liquidity and Capital Resources |
(In millions) | March 31, 2024(1) | December 31, 2023(1) | Description | ||||||||
Debt of Freddie Mac | $161,704 | $166,419 | Debt of Freddie Mac is used to fund our business activities. | ||||||||
Debt of Consolidated Trusts | 3,050,038 | 3,041,927 | Debt of consolidated trusts is used primarily to fund our Single-Family guarantee activities. This type of debt is principally repaid by the cash flows of the associated mortgage loans. As a result, our repayment obligation is limited to amounts paid pursuant to our guarantee of principal and interest and to purchase modified or seriously delinquent loans from the trusts. |
1Q 2024 | 1Q 2023 | |||||||||||||||||||
(Dollars in millions) | Par Value | Average Rate(1) | Par Value | Average Rate(1) | ||||||||||||||||
Short-term: | ||||||||||||||||||||
Beginning balance | $6,031 | 5.39 | % | $7,716 | 3.49 | % | ||||||||||||||
Issuances | 15,943 | 5.29 | 50,739 | 4.18 | ||||||||||||||||
Repayments | — | — | — | — | ||||||||||||||||
Maturities | (13,043) | 5.26 | (49,739) | 4.04 | ||||||||||||||||
Total short-term debt | 8,931 | 5.37 | 8,716 | 4.36 | ||||||||||||||||
Long-term: | ||||||||||||||||||||
Beginning balance | 168,009 | 3.31 | 170,363 | 2.22 | ||||||||||||||||
Issuances | 16,438 | 5.38 | 14,192 | 5.33 | ||||||||||||||||
Repayments | (20,812) | 5.62 | (2,491) | 5.93 | ||||||||||||||||
Maturities | (3,164) | 2.62 | (680) | 1.50 | ||||||||||||||||
Total long-term debt | 160,471 | 3.24 | 181,384 | 2.51 | ||||||||||||||||
Total debt of Freddie Mac, net | $169,402 | 3.35 | % | $190,100 | 2.60 | % | ||||||||||||||
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis | Liquidity and Capital Resources |
As of March 31, 2024 | As of December 31, 2023 | |||||||||||||||||||
(In millions) | Contractual Maturity Date | Earliest Redemption Date | Contractual Maturity Date | Earliest Redemption Date | ||||||||||||||||
Debt of Freddie Mac(1): | ||||||||||||||||||||
1 year or less | $47,192 | $143,141 | $47,276 | $144,232 | ||||||||||||||||
1 year through 2 years | 54,690 | 12,049 | 61,187 | 15,249 | ||||||||||||||||
2 years through 3 years | 13,032 | 243 | 15,645 | 447 | ||||||||||||||||
3 years through 4 years | 13,154 | 290 | 12,530 | 305 | ||||||||||||||||
4 years through 5 years | 14,957 | 345 | 10,947 | 345 | ||||||||||||||||
Thereafter | 24,328 | 11,285 | 24,278 | 11,285 | ||||||||||||||||
STACR and SCR debt(2) | 2,049 | 2,049 | 2,177 | 2,177 | ||||||||||||||||
Total debt of Freddie Mac | $169,402 | $169,402 | $174,040 | $174,040 |
(In millions) | 1Q 2024 | 1Q 2023 | |||||||||||||||
Beginning balance | $2,999,893 | $2,929,567 | |||||||||||||||
Issuances | 84,873 | 87,021 | |||||||||||||||
Repayments and extinguishments | (75,689) | (77,867) | |||||||||||||||
Ending balance | 3,009,077 | 2,938,721 | |||||||||||||||
Unamortized premiums and discounts | 40,961 | 48,329 | |||||||||||||||
Debt of consolidated trusts | $3,050,038 | $2,987,050 |
Freddie Mac 1Q 2024 Form 10-Q | 34 |
Management's Discussion and Analysis | Liquidity and Capital Resources |
(In millions) | 1Q 2024 | 1Q 2023 | ||||||||||||||||||
Beginning balance | $47,722 | $37,018 | ||||||||||||||||||
Comprehensive income | 2,741 | 2,049 | ||||||||||||||||||
Capital draw from Treasury | — | — | ||||||||||||||||||
Senior preferred stock dividends declared | — | — | ||||||||||||||||||
Total equity / net worth | $50,463 | $39,067 | ||||||||||||||||||
Remaining Treasury funding commitment | $140,162 | $140,162 | ||||||||||||||||||
Aggregate draws under Purchase Agreement | 71,648 | 71,648 | ||||||||||||||||||
Aggregate cash dividends paid to Treasury | 119,680 | 119,680 | ||||||||||||||||||
Liquidation preference of the senior preferred stock | 120,370 | 109,666 |
(In millions) | 3Q 2017 | YTD 2017 | |||||
Beginning balance | $2,586 | $5,075 | |||||
Comprehensive (loss) income | 4,650 | 8,870 | |||||
Capital draw from Treasury | — | — | |||||
Senior preferred stock dividends declared | (1,986 | ) | (8,695 | ) | |||
Total equity / net worth | $5,250 | $5,250 | |||||
Aggregate draws under Purchase Agreement | $71,336 | $71,336 | |||||
Aggregate cash dividends paid to Treasury | $110,143 | $110,143 |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis | Liquidity and |
(In billions) | March 31, 2024 | December 31, 2023 | |||||||||||||||||||||
Total equity | $50 | $48 | |||||||||||||||||||||
Less: | |||||||||||||||||||||||
Senior preferred stock | 73 | 73 | |||||||||||||||||||||
Preferred stock | 14 | 14 | |||||||||||||||||||||
Common equity | (37) | (39) | |||||||||||||||||||||
Less: deferred tax assets arising from temporary differences that exceed 10% of CET1 capital and other regulatory adjustments | 4 | 4 | |||||||||||||||||||||
Common equity Tier 1 capital | (41) | (43) | |||||||||||||||||||||
Add: Preferred stock | 14 | 14 | |||||||||||||||||||||
Tier 1 capital | (27) | (29) | |||||||||||||||||||||
Tier 2 capital adjustments | — | — | |||||||||||||||||||||
Adjusted total capital | ($27) | ($29) |
(In billions) | March 31, 2024 | December 31, 2023 | |||||||||||||||||||||
Total equity | $50 | $48 | |||||||||||||||||||||
Less: | |||||||||||||||||||||||
Senior preferred stock | 73 | 73 | |||||||||||||||||||||
AOCI, net of taxes | — | — | |||||||||||||||||||||
Core capital | (23) | (25) | |||||||||||||||||||||
General allowance for foreclosure losses(1) | 7 | 7 | |||||||||||||||||||||
Total capital | ($16) | ($18) |
September 30, 2017 | December 31, 2016 | ||||||||||||||||||||||||||||||
(Dollars in millions) | Liquid | Securitiz-ation Pipeline | Less Liquid | Total | Liquid | Securitiz-ation Pipeline | Less Liquid | Total | |||||||||||||||||||||||
Capital Markets segment - Mortgage investments portfolio: | |||||||||||||||||||||||||||||||
Single-family unsecuritized loans | |||||||||||||||||||||||||||||||
Performing loans | $— | $13,343 | $— | $13,343 | $— | $13,113 | $— | $13,113 | |||||||||||||||||||||||
Reperforming loans | — | — | 53,372 | 53,372 | — | — | 58,326 | 58,326 | |||||||||||||||||||||||
Total single-family unsecuritized loans | — | 13,343 | 53,372 | 66,715 | — | 13,113 | 58,326 | 71,439 | |||||||||||||||||||||||
Freddie Mac mortgage-related securities | 121,108 | — | 4,026 | 125,134 | 125,652 | — | 4,776 | 130,428 | |||||||||||||||||||||||
Non-agency mortgage-related securities | 270 | — | 6,856 | 7,126 | 113 | — | 16,059 | 16,172 | |||||||||||||||||||||||
Non-Freddie Mac agency mortgage-related securities | 7,614 | — | — | 7,614 | 11,759 | — | — | 11,759 | |||||||||||||||||||||||
Total Capital Markets segment - Mortgage investments portfolio | 128,992 | 13,343 | 64,254 | 206,589 | 137,524 | 13,113 | 79,161 | 229,798 | |||||||||||||||||||||||
Single-family Guarantee segment - Single-family unsecuritized seriously delinquent loans | — | — | 11,784 | 11,784 | — | — | 13,692 | 13,692 | |||||||||||||||||||||||
Multifamily segment: | |||||||||||||||||||||||||||||||
Unsecuritized loans | — | 18,416 | 20,721 | 39,137 | — | 16,372 | 26,047 | 42,419 | |||||||||||||||||||||||
Mortgage-related securities | 7,211 | — | 1,960 | 9,171 | 7,447 | — | 5,070 | 12,517 | |||||||||||||||||||||||
Total Multifamily segment | 7,211 | 18,416 | 22,681 | 48,308 | 7,447 | 16,372 | 31,117 | 54,936 | |||||||||||||||||||||||
Total mortgage-related investments portfolio | $136,203 | $31,759 | $98,719 | $266,681 | $144,971 | $29,485 | $123,970 | $298,426 | |||||||||||||||||||||||
Percentage of total mortgage-related investments portfolio | 51 | % | 12 | % | 37 | % | 100 | % | 49 | % | 10 | % | 41 | % | 100 | % | |||||||||||||||
Mortgage-related investments portfolio cap at December 31, 2017 and December 31, 2016 | $288,408 | $339,304 | |||||||||||||||||||||||||||||
90% of mortgage-related investments portfolio cap at December 31, 2017 and December 31, 2016(1) | $259,567 | $305,374 |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis | Liquidity and |
(In billions) | March 31, 2024 | December 31, 2023 | |||||||||||||||||||||||||||
Adjusted total assets | $3,786 | $3,775 | |||||||||||||||||||||||||||
Risk-weighted assets (standardized approach): | |||||||||||||||||||||||||||||
Credit risk | 893 | 884 | |||||||||||||||||||||||||||
Market risk | 54 | 54 | |||||||||||||||||||||||||||
Operational risk | 71 | 71 | |||||||||||||||||||||||||||
Total risk-weighted assets | $1,018 | $1,009 | |||||||||||||||||||||||||||
(In billions) | March 31, 2024 | December 31, 2023 | |||||||||||||||||||||||||||
Stress capital buffer | $28 | $28 | |||||||||||||||||||||||||||
Stability capital buffer | 29 | 23 | |||||||||||||||||||||||||||
Countercyclical capital buffer amount | — | — | |||||||||||||||||||||||||||
PCCBA | $57 | $51 | |||||||||||||||||||||||||||
PLBA | $14 | $11 | |||||||||||||||||||||||||||
March 31, 2024 | |||||||||||||||||||||||||||||
(Dollars in billions) | Minimum Capital Requirement | Applicable Buffer(1) | Capital Requirement (Including Buffer(1)) | Available Capital (Deficit) | Capital Shortfall | ||||||||||||||||||||||||
Risk-based capital amounts: | |||||||||||||||||||||||||||||
Total capital | $81 | N/A | $81 | ($16) | ($97) | ||||||||||||||||||||||||
CET1 capital | 46 | $57 | 103 | (41) | (144) | ||||||||||||||||||||||||
Tier 1 capital | 61 | 57 | 118 | (27) | (145) | ||||||||||||||||||||||||
Adjusted total capital | 81 | 57 | 138 | (27) | (165) | ||||||||||||||||||||||||
Risk-based capital ratios(2): | |||||||||||||||||||||||||||||
Total capital | 8.0 | % | N/A | 8.0 | % | (1.5) | % | (9.5) | % | ||||||||||||||||||||
CET1 capital | 4.5 | 5.6 | % | 10.1 | (4.0) | (14.1) | |||||||||||||||||||||||
Tier 1 capital | 6.0 | 5.6 | 11.6 | (2.6) | (14.2) | ||||||||||||||||||||||||
Adjusted total capital | 8.0 | 5.6 | 13.6 | (2.6) | (16.2) | ||||||||||||||||||||||||
Leverage capital amounts: | |||||||||||||||||||||||||||||
Core capital | $95 | N/A | $95 | ($23) | ($118) | ||||||||||||||||||||||||
Tier 1 capital | 95 | $14 | 109 | (27) | (136) | ||||||||||||||||||||||||
Leverage capital ratios(3): | |||||||||||||||||||||||||||||
Core capital | 2.5 | % | N/A | 2.5 | % | (0.6) | % | (3.1) | % | ||||||||||||||||||||
Tier 1 capital | 2.5 | 0.4 | % | 2.9 | (0.7) | (3.6) |
Freddie Mac 1Q 2024 Form 10-Q |
December 31, 2023 | |||||||||||||||||||||||||||||
(Dollars in billions) | Minimum Capital Requirement | Applicable Buffer(1) | Capital Requirement (Including Buffer(1)) | Available Capital (Deficit) | Capital Shortfall | ||||||||||||||||||||||||
Risk-based capital amounts: | |||||||||||||||||||||||||||||
Total capital | $81 | N/A | $81 | ($18) | ($99) | ||||||||||||||||||||||||
CET1 capital | 45 | $51 | 96 | (43) | (139) | ||||||||||||||||||||||||
Tier 1 capital | 60 | 51 | 111 | (29) | (140) | ||||||||||||||||||||||||
Adjusted total capital | 81 | 51 | 132 | (29) | (161) | ||||||||||||||||||||||||
Risk-based capital ratios(2): | |||||||||||||||||||||||||||||
Total capital | 8.0 | % | N/A | 8.0 | % | (1.8) | % | (9.8) | % | ||||||||||||||||||||
CET1 capital | 4.5 | 5.0 | % | 9.5 | (4.3) | (13.8) | |||||||||||||||||||||||
Tier 1 capital | 6.0 | 5.0 | 11.0 | (2.9) | (13.9) | ||||||||||||||||||||||||
Adjusted total capital | 8.0 | 5.0 | 13.0 | (2.9) | (15.9) | ||||||||||||||||||||||||
Leverage capital amounts: | |||||||||||||||||||||||||||||
Core capital | $95 | N/A | $95 | ($25) | ($120) | ||||||||||||||||||||||||
Tier 1 capital | 95 | $11 | 106 | (29) | (135) | ||||||||||||||||||||||||
Leverage capital ratios(3): | |||||||||||||||||||||||||||||
Core capital | 2.5 | % | N/A | 2.5 | % | (0.7) | % | (3.2) | % | ||||||||||||||||||||
Tier 1 capital | 2.5 | 0.3 | % | 2.8 | (0.8) | (3.6) |
Freddie Mac 1Q 2024 Form 10-Q | 38 |
Management's Discussion and Analysis | Critical Accounting Estimates |
12-Month Forward | 13- to 24-Month Forward | ||||||||||
March 31, 2024 | 0.2 | % | 0.6 | % | |||||||
December 31, 2023 | 2.8 | 2.0 |
Freddie Mac 1Q 2024 Form 10-Q | 39 |
Management's Discussion and Analysis | Regulation and Supervision |
Goals | Market Levels | Preliminary | |||||||
for 2016 | for 2016 | Results for 2016 | |||||||
Single-family purchase money goals (benchmark levels) | |||||||||
Low-income | 24 | % | 22.9 | % | 23.8 | % | |||
Very low-income | 6 | % | 5.4 | % | 5.7 | % | |||
Low-income areas | 17 | % | 19.7 | % | 19.9 | % | |||
Low-income areas subgoal | 14 | % | 15.9 | % | 15.6 | % | |||
Single-family refinance (benchmark level) | |||||||||
Low-income goal | 21 | % | 19.8 | % | 21.0 | % | |||
Multifamily (benchmark levels in units) | |||||||||
Low-income goal | 300,000 | N/A | 406,958 | ||||||
Very low-income subgoal | 60,000 | N/A | 73,030 | ||||||
Small property low-income subgoal | 8,000 | N/A | 22,101 |
Freddie Mac 1Q 2024 Form 10-Q |
Management's Discussion and Analysis |
Freddie Mac 1Q 2024 Form 10-Q | 41 |
Management's Discussion and Analysis | Forward-Looking Statements |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements |
Financial Statements |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Condensed Consolidated Statements of Income and Comprehensive Income |
(In millions, except share-related amounts) | 3Q 2017 | 3Q 2016 | YTD 2017 | YTD 2016 | |||||||||||
Interest income | |||||||||||||||
Mortgage loans | $15,867 | $14,997 | $47,680 | $46,053 | |||||||||||
Investments in securities | 821 | 976 | 2,637 | 2,923 | |||||||||||
Other | 185 | 74 | 436 | 187 | |||||||||||
Total interest income | 16,873 | 16,047 | 50,753 | 49,163 | |||||||||||
Interest expense | (13,344 | ) | (12,354 | ) | (39,965 | ) | (38,523 | ) | |||||||
Expense related to derivatives | (40 | ) | (47 | ) | (125 | ) | (146 | ) | |||||||
Net interest income | 3,489 | 3,646 | 10,663 | 10,494 | |||||||||||
Benefit (provision) for credit losses | (716 | ) | (113 | ) | (178 | ) | 1,129 | ||||||||
Net interest income after benefit (provision) for credit losses | 2,773 | 3,533 | 10,485 | 11,623 | |||||||||||
Non-interest income (loss) | |||||||||||||||
Gains (losses) on extinguishment of debt | 27 | (92 | ) | 295 | (266 | ) | |||||||||
Derivative gains (losses) | (678 | ) | (36 | ) | (2,076 | ) | (6,655 | ) | |||||||
Net impairment of available-for-sale securities recognized in earnings | (1 | ) | (9 | ) | (17 | ) | (138 | ) | |||||||
Other gains on investment securities recognized in earnings | 723 | 309 | 840 | 1,062 | |||||||||||
Other income (loss) | 5,403 | 605 | 6,512 | 1,527 | |||||||||||
Non-interest income (loss) | 5,474 | 777 | 5,554 | (4,470 | ) | ||||||||||
Non-interest expense | |||||||||||||||
Salaries and employee benefits | (272 | ) | (248 | ) | (813 | ) | (727 | ) | |||||||
Professional services | (110 | ) | (129 | ) | (340 | ) | (347 | ) | |||||||
Occupancy expense | (17 | ) | (13 | ) | (46 | ) | (41 | ) | |||||||
Other administrative expense | (125 | ) | (108 | ) | (349 | ) | (306 | ) | |||||||
Total administrative expense | (524 | ) | (498 | ) | (1,548 | ) | (1,421 | ) | |||||||
Real estate owned operations expense | (35 | ) | (56 | ) | (128 | ) | (169 | ) | |||||||
Temporary Payroll Tax Cut Continuation Act of 2011 expense | (339 | ) | (293 | ) | (990 | ) | (845 | ) | |||||||
Other expense | (159 | ) | (138 | ) | (361 | ) | (442 | ) | |||||||
Non-interest expense | (1,057 | ) | (985 | ) | (3,027 | ) | (2,877 | ) | |||||||
Income (loss) before income tax (expense) benefit | 7,190 | 3,325 | 13,012 | 4,276 | |||||||||||
Income tax (expense) benefit | (2,519 | ) | (996 | ) | (4,466 | ) | (1,308 | ) | |||||||
Net income (loss) | 4,671 | 2,329 | 8,546 | 2,968 | |||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments: | |||||||||||||||
Changes in unrealized gains (losses) related to available-for-sale securities | (47 | ) | (47 | ) | 246 | 181 | |||||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships | 26 | 29 | 81 | 95 | |||||||||||
Changes in defined benefit plans | — | (1 | ) | (3 | ) | (1 | ) | ||||||||
Total other comprehensive income (loss), net of taxes and reclassification adjustments | (21 | ) | (19 | ) | 324 | 275 | |||||||||
Comprehensive income (loss) | $4,650 | $2,310 | $8,870 | $3,243 | |||||||||||
Net income (loss) | $4,671 | $2,329 | $8,546 | $2,968 | |||||||||||
Undistributed net worth sweep and senior preferred stock dividends | (4,650 | ) | (2,310 | ) | (8,870 | ) | (3,243 | ) | |||||||
Net income (loss) attributable to common stockholders | $21 | $19 | ($324 | ) | ($275 | ) | |||||||||
Net income (loss) per common share — basic and diluted | $0.01 | $0.01 | ($0.10 | ) | ($0.09 | ) | |||||||||
Weighted average common shares outstanding (in millions) — basic and diluted | 3,234 | 3,234 | 3,234 | 3,234 |
(In millions, except share-related amounts) | 1Q 2024 | 1Q 2023 | ||||||||||||||||||
Net interest income | ||||||||||||||||||||
Interest income | $28,385 | $24,987 | ||||||||||||||||||
Interest expense | (23,626) | (20,486) | ||||||||||||||||||
Net interest income | 4,759 | 4,501 | ||||||||||||||||||
Non-interest income | ||||||||||||||||||||
Guarantee income | 496 | 466 | ||||||||||||||||||
Investment gains, net | 405 | (225) | ||||||||||||||||||
Other income | 97 | 85 | ||||||||||||||||||
Non-interest income | 998 | 326 | ||||||||||||||||||
Net revenues | 5,757 | 4,827 | ||||||||||||||||||
(Provision) benefit for credit losses | (181) | (395) | ||||||||||||||||||
Non-interest expense | ||||||||||||||||||||
Salaries and employee benefits | (421) | (374) | ||||||||||||||||||
Credit enhancement expense | (597) | (530) | ||||||||||||||||||
Benefit for (decrease in) credit enhancement recoveries | 1 | 49 | ||||||||||||||||||
Legislative assessments expense | (754) | (735) | ||||||||||||||||||
Other expense | (351) | (342) | ||||||||||||||||||
Non-interest expense | (2,122) | (1,932) | ||||||||||||||||||
Income before income tax expense | 3,454 | 2,500 | ||||||||||||||||||
Income tax expense | (688) | (505) | ||||||||||||||||||
Net income | 2,766 | 1,995 | ||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | (25) | 54 | ||||||||||||||||||
Comprehensive income | $2,741 | $2,049 | ||||||||||||||||||
Net income | $2,766 | $1,995 | ||||||||||||||||||
Amounts attributable to senior preferred stock | (2,741) | (2,049) | ||||||||||||||||||
Net income attributable to common stockholders | $25 | ($54) | ||||||||||||||||||
Net income per common share | $0.01 | ($0.02) | ||||||||||||||||||
Weighted average common shares (in millions) | 3,234 | 3,234 |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Condensed Consolidated Balance Sheets |
(In millions, except share-related amounts) | September 30, 2017 | December 31, 2016 | |||||
Assets | |||||||
Cash and cash equivalents (Note 12) | $8,183 | $12,369 | |||||
Restricted cash and cash equivalents (Notes 3, 12) | 7,684 | 9,851 | |||||
Securities purchased under agreements to resell (Notes 3, 8) | 47,202 | 51,548 | |||||
Investments in securities, at fair value (Note 5) | 87,148 | 111,547 | |||||
Mortgage loans held-for-sale (Note 4) (includes $18,995 and $16,255 at fair value) | 32,042 | 18,088 | |||||
Mortgage loans held-for-investment (Notes 3, 4) (net of allowance for loan losses of $10,085 and $13,431) | 1,812,850 | 1,784,915 | |||||
Accrued interest receivable (Note 3) | 6,268 | 6,135 | |||||
Derivative assets, net (Notes 7, 8) | 705 | 747 | |||||
Deferred tax assets, net (Note 10) | 14,576 | 15,818 | |||||
Other assets (Notes 3, 15) (includes $2,761 and $2,408 at fair value) | 13,998 | 12,358 | |||||
Total assets | $2,030,656 | $2,023,376 | |||||
Liabilities and equity | |||||||
Liabilities | |||||||
Accrued interest payable (Note 3) | $5,990 | $6,015 | |||||
Debt, net (Notes 3, 6) (includes $5,808 and $6,010 at fair value) | 2,009,578 | 2,002,004 | |||||
Derivative liabilities, net (Notes 7, 8) | 212 | 795 | |||||
Other liabilities (Notes 3, 15) | 9,626 | 9,487 | |||||
Total liabilities | 2,025,406 | 2,018,301 | |||||
Commitments and contingencies (Notes 3, 7, and 14) | |||||||
Equity (Note 9) | |||||||
Senior preferred stock | 72,336 | 72,336 | |||||
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 650,054,731 shares and 650,046,828 shares outstanding | — | — | |||||
Additional paid-in capital | — | — | |||||
Retained earnings (accumulated deficit) | (78,092 | ) | (77,941 | ) | |||
AOCI, net of taxes, related to: | |||||||
Available-for-sale securities (includes $726 and $782, related to net unrealized gains on securities for which other-than-temporary impairment has been recognized in earnings) | 1,161 | 915 | |||||
Cash flow hedge relationships | (399 | ) | (480 | ) | |||
Defined benefit plans | 18 | 21 | |||||
Total AOCI, net of taxes | 780 | 456 | |||||
Treasury stock, at cost, 75,809,155 shares and 75,817,058 shares | (3,883 | ) | (3,885 | ) | |||
Total equity (See Note 9 for information on our dividend requirement to Treasury) | 5,250 | 5,075 | |||||
Total liabilities and equity | $2,030,656 | $2,023,376 |
March 31, | December 31, | ||||||||||
(In millions, except share-related amounts) | 2024 | 2023 | |||||||||
Assets | |||||||||||
Cash and cash equivalents (includes $1,584 and $978 of restricted cash and cash equivalents) | $3,531 | $6,019 | |||||||||
Securities purchased under agreements to resell | 102,257 | 95,148 | |||||||||
Investment securities, at fair value | 41,400 | 43,275 | |||||||||
Mortgage loans held-for-sale (includes $7,926 and $7,356 at fair value) | 12,034 | 12,941 | |||||||||
Mortgage loans held-for-investment (net of allowance for credit losses of $6,570 and $6,383 and includes $1,931 and $1,806 at fair value) | 3,088,687 | 3,083,665 | |||||||||
Accrued interest receivable, net | 10,047 | 9,925 | |||||||||
Deferred tax assets, net | 4,227 | 4,076 | |||||||||
Other assets (includes $5,849 and $6,095 at fair value) | 25,190 | 25,927 | |||||||||
Total assets | $3,287,373 | $3,280,976 | |||||||||
Liabilities and equity | |||||||||||
Liabilities | |||||||||||
Accrued interest payable | $8,712 | $8,812 | |||||||||
Debt (includes $2,696 and $2,476 at fair value) | 3,211,742 | 3,208,346 | |||||||||
Other liabilities (includes $1,053 and $873 at fair value) | 16,456 | 16,096 | |||||||||
Total liabilities | 3,236,910 | 3,233,254 | |||||||||
Commitments and contingencies | |||||||||||
Equity | |||||||||||
Senior preferred stock (liquidation preference of $120,370 and $117,309) | 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 | — | — | |||||||||
Retained earnings | (32,362) | (35,128) | |||||||||
AOCI, net of taxes, related to: | |||||||||||
Available-for-sale securities | 51 | 72 | |||||||||
Other | (98) | (94) | |||||||||
AOCI, net of taxes | (47) | (22) | |||||||||
Treasury stock, at cost, 75,804,333 shares | (3,885) | (3,885) | |||||||||
Total equity | 50,463 | 47,722 | |||||||||
Total liabilities and equity | $3,287,373 | $3,280,976 |
(In millions) | September 30, 2017 | December 31, 2016 | |||||
Consolidated Balance Sheet Line Item | |||||||
Assets: (Note 3) | |||||||
Mortgage loans held-for-investment | $1,738,858 | $1,690,218 | |||||
All other assets | 26,510 | 32,262 | |||||
Total assets of consolidated VIEs | $1,765,368 | $1,722,480 | |||||
Liabilities: (Note 3) | |||||||
Debt, net | $1,691,524 | $1,648,683 | |||||
All other liabilities | 4,950 | 4,846 | |||||
Total liabilities of consolidated VIEs | $1,696,474 | $1,653,529 |
March 31, | December 31, | ||||||||||
(In millions) | 2024 | 2023 | |||||||||
Assets: | |||||||||||
Cash and cash equivalents (includes $1,483 and $890 of restricted cash and cash equivalents) | $1,484 | $891 | |||||||||
Securities purchased under agreements to resell | 10,777 | 9,396 | |||||||||
Investment securities, at fair value | — | 65 | |||||||||
Mortgage loans held-for-investment, net | 3,044,215 | 3,039,461 | |||||||||
Accrued interest receivable, net | 9,051 | 8,885 | |||||||||
Other assets | 5,525 | 4,858 | |||||||||
Total assets of consolidated VIEs | $3,071,052 | $3,063,556 | |||||||||
Liabilities: | |||||||||||
Accrued interest payable | $7,702 | $7,527 | |||||||||
Debt | 3,050,038 | 3,041,927 | |||||||||
Total liabilities of consolidated VIEs | $3,057,740 | $3,049,454 |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Condensed Consolidated Statements of |
(In millions) | YTD 2017 | YTD 2016 | |||||
Net cash provided by operating activities | $5,862 | $5,053 | |||||
Cash flows from investing activities | |||||||
Purchases of trading securities | (119,548 | ) | (70,690 | ) | |||
Proceeds from sales of trading securities | 115,727 | 45,650 | |||||
Proceeds from maturities and repayments of trading securities | 6,775 | 18,602 | |||||
Purchases of available-for-sale securities | (6,361 | ) | (21,988 | ) | |||
Proceeds from sales of available-for-sale securities | 14,695 | 17,009 | |||||
Proceeds from maturities and repayments of available-for-sale securities | 9,541 | 11,412 | |||||
Purchases of held-for-investment mortgage loans | (92,311 | ) | (120,753 | ) | |||
Proceeds from sales of mortgage loans held-for-investment | 4,641 | 2,605 | |||||
Repayments of mortgage loans held-for-investment | 206,705 | 245,212 | |||||
(Increase) decrease in restricted cash | 2,167 | (4,598 | ) | ||||
Advances to lenders | (25,383 | ) | (20,457 | ) | |||
Net proceeds from dispositions of real estate owned and other recoveries | 1,457 | 2,023 | |||||
Net (increase) decrease in securities purchased under agreements to resell | 4,346 | 7,971 | |||||
Derivative premiums and terminations, swap collateral, and exchange settlement payments, net | (1,646 | ) | (6,528 | ) | |||
Changes in other assets | (248 | ) | (254 | ) | |||
Net cash provided by investing activities | 120,557 | 105,216 | |||||
Cash flows from financing activities | |||||||
Proceeds from issuance of debt securities of consolidated trusts held by third parties | 135,697 | 178,727 | |||||
Repayments and redemptions of debt securities of consolidated trusts held by third parties | (221,844 | ) | (251,296 | ) | |||
Proceeds from issuance of other debt | 461,222 | 504,447 | |||||
Repayments of other debt | (496,982 | ) | (541,125 | ) | |||
Payment of cash dividends on senior preferred stock | (8,695 | ) | (2,673 | ) | |||
Changes in other liabilities | (3 | ) | (4 | ) | |||
Net cash used in financing activities | (130,605 | ) | (111,924 | ) | |||
Net (decrease) increase in cash and cash equivalents | (4,186 | ) | (1,655 | ) | |||
Cash and cash equivalents at beginning of year | 12,369 | 5,595 | |||||
Cash and cash equivalents at end of period | $8,183 | $3,940 | |||||
Supplemental cash flow information | |||||||
Cash paid for: | |||||||
Debt interest | $47,847 | $46,399 | |||||
Income taxes | 887 | 1,834 | |||||
Non-cash investing and financing activities (Note 4 and 5) |
Shares Outstanding | Senior Preferred Stock | Preferred Stock, at Redemption Value | Common Stock, at Par Value | Retained Earnings | AOCI, Net of Tax | Treasury Stock, at Cost | Total Equity | ||||||||||||||||||||||||||||
(In millions) | Senior Preferred Stock | Preferred Stock | Common Stock | ||||||||||||||||||||||||||||||||
Balance at December 31, 2023 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($35,128) | ($22) | ($3,885) | $47,722 | |||||||||||||||||||||||||
Comprehensive income: | |||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | — | 2,766 | — | — | 2,766 | |||||||||||||||||||||||||
Other comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $7 million) | — | — | — | — | — | — | — | (25) | — | (25) | |||||||||||||||||||||||||
Reclassification adjustment for (gains) losses on available-for-sale securities included in net income (net of taxes of $1 million) | — | — | — | — | — | — | — | 4 | — | 4 | |||||||||||||||||||||||||
Other (net of taxes of $1 million) | — | — | — | — | — | — | — | (4) | — | (4) | |||||||||||||||||||||||||
Comprehensive income | — | — | — | — | — | — | 2,766 | (25) | — | 2,741 | |||||||||||||||||||||||||
Ending balance at March 31, 2024 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($32,362) | ($47) | ($3,885) | $50,463 | |||||||||||||||||||||||||
Balance at December 31, 2022 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($45,666) | ($188) | ($3,885) | $37,018 | |||||||||||||||||||||||||
Comprehensive income: | |||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | — | 1,995 | — | — | 1,995 | |||||||||||||||||||||||||
Other comprehensive income (loss): | |||||||||||||||||||||||||||||||||||
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $14 million) | — | — | — | — | — | — | — | 52 | — | 52 | |||||||||||||||||||||||||
Reclassification adjustment for (gains) losses on available-for-sale securities included in net income (net of taxes of $0 million) | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||
Other (net of taxes of $1 million) | — | — | — | — | — | — | — | 2 | — | 2 | |||||||||||||||||||||||||
Comprehensive income | — | — | — | — | — | — | 1,995 | 54 | — | 2,049 | |||||||||||||||||||||||||
Ending balance at March 31, 2023 | 1 | 464 | 650 | $72,648 | $14,109 | $— | ($43,671) | ($134) | ($3,885) | $39,067 |
Freddie Mac 1Q 2024 Form 10-Q | 46 |
Financial Statements | Condensed Consolidated Statements of Cash Flows |
(In millions) | 1Q 2024 | 1Q 2023 | |||||||||
Net cash provided by (used in) operating activities | $2,894 | $3,435 | |||||||||
Cash flows from investing activities | |||||||||||
Investment securities: | |||||||||||
Purchases | (15,067) | (39,052) | |||||||||
Proceeds from sales | 16,257 | 34,919 | |||||||||
Proceeds from maturities and repayments | 1,595 | 5,464 | |||||||||
Mortgage loans acquired held-for-investment: | |||||||||||
Purchases | (23,751) | (19,991) | |||||||||
Proceeds from sales | 714 | 1,661 | |||||||||
Proceeds from repayments | 57,248 | 55,034 | |||||||||
Advances under secured lending arrangements | (19,544) | (22,317) | |||||||||
Net (increase) decrease in securities purchased under agreements to resell | (10,736) | (13,353) | |||||||||
Cash flows related to derivatives | 1,890 | 61 | |||||||||
Other, net | 320 | (112) | |||||||||
Net cash provided by (used in) investing activities | 8,926 | 2,314 | |||||||||
Cash flows from financing activities | |||||||||||
Debt of consolidated trusts: | |||||||||||
Proceeds from issuance | 43,851 | 44,187 | |||||||||
Repayments and redemptions | (57,074) | (55,197) | |||||||||
Debt of Freddie Mac: | |||||||||||
Proceeds from issuance | 32,281 | 64,864 | |||||||||
Repayments | (36,920) | (52,748) | |||||||||
Net increase (decrease) in securities sold under agreements to repurchase | 3,555 | (7,339) | |||||||||
Other, net | (1) | (3) | |||||||||
Net cash provided by (used in) financing activities | (14,308) | (6,236) | |||||||||
Net increase (decrease) in cash and cash equivalents (includes restricted cash and cash equivalents) | (2,488) | (487) | |||||||||
Cash and cash equivalents (includes restricted cash and cash equivalents) at the beginning of year | 6,019 | 6,360 | |||||||||
Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period | $3,531 | $5,873 | |||||||||
Supplemental cash flow information | |||||||||||
Cash paid for: | |||||||||||
Debt interest | $24,220 | $20,806 | |||||||||
Income taxes | — | — | |||||||||
Non-cash investing and financing activities (Notes 3 and 6) |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements| Note 1 |
Freddie Mac 1Q 2024 Form 10-Q | 48 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements| Note 1 |
Recently Adopted Accounting Guidance | |||||||||||
Standard | Description | ||||||||||
Date of Adoption | Effect on Consolidated Financial Statements | ||||||||||
ASU | The | January 1, | The adoption of |
Recently Issued Accounting Guidance, Not Yet Adopted Within Our Consolidated Financial Statements | |||||||||||||
Standard | Description | Date of Adoption | Effect on Consolidated Financial Statements | ||||||||||
ASU | The | December 31, 2024 | We do not expect the | these amendments to have a material effect on our consolidated financial statements. | |||||||||
ASU 2023-09, Income Taxes (Topic 740): Improvements to Income Tax Disclosures | The amendments in this Update require annual disclosure of more detailed tax rate reconciliation categories and income taxes paid by geography and jurisdiction. | January 1, 2025 | We do not expect the adoption of these amendments to have a material effect on our consolidated financial statements. |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements|Note |
(In millions) | September 30, 2017 | December 31, 2016 | ||||||
Consolidated Balance Sheet Line Item | ||||||||
Assets: | ||||||||
Restricted cash and cash equivalents | $5,148 | $9,431 | ||||||
Securities purchased under agreements to resell | 12,800 | 13,550 | ||||||
Mortgage loans held-for-investment | 1,738,858 | 1,690,218 | ||||||
Accrued interest receivable | 5,640 | 5,454 | ||||||
Other assets | 2,922 | 3,827 | ||||||
Total assets of consolidated VIEs | $1,765,368 | $1,722,480 | ||||||
Liabilities: | ||||||||
Accrued interest payable | $4,950 | $4,846 | ||||||
Debt, net | 1,691,524 | 1,648,683 | ||||||
Total liabilities of consolidated VIEs | $1,696,474 | $1,653,529 |
March 31, 2024 | ||||||||||||||||||||
Carrying Amounts of the Assets and Liabilities On the Condensed Consolidated Balance Sheets | Total Assets | Maximum Exposure to Loss | ||||||||||||||||||
(In millions) | Investment securities | Accrued Interest Receivable and Other Assets(1) | Liabilities(1) | |||||||||||||||||
Single-Family: | ||||||||||||||||||||
Securitization products | $1,576 | $168 | $440 | $30,434 | $24,762 | |||||||||||||||
Resecuritization products(2) | 4,774 | 65 | 708 | 109,215 | 109,215 | |||||||||||||||
CRT products(3) | — | 90 | 284 | 29,116 | 10 | |||||||||||||||
Total Single-Family | 6,350 | 323 | 1,432 | 168,765 | 133,987 | |||||||||||||||
Multifamily: | ||||||||||||||||||||
Securitization products(4) | 5,775 | 5,097 | 4,519 | 361,164 | 321,905 | |||||||||||||||
CRT products(3) | — | 14 | 15 | 1,355 | 11 | |||||||||||||||
Total Multifamily | 5,775 | 5,111 | 4,534 | 362,519 | 321,916 | |||||||||||||||
Other | — | 7 | 5 | 112 | 483 | |||||||||||||||
Total | $12,125 | $5,441 | $5,971 | $531,396 | $456,386 |
Freddie Mac 1Q 2024 Form 10-Q | 50 |
(In millions) | September 30, 2017 | December 31, 2016 | ||||||
Assets and Liabilities Recorded on our Consolidated Balance Sheets(1) | ||||||||
Assets: | ||||||||
Investments in securities | $52,355 | $58,995 | ||||||
Accrued interest receivable | 236 | 254 | ||||||
Other assets | 2,030 | 1,708 | ||||||
Liabilities: | ||||||||
Other liabilities | 1,902 | 1,604 | ||||||
Maximum Exposure to Loss(2)(3) | $178,765 | $150,227 | ||||||
Total Assets of Non-Consolidated VIEs(3) | $207,985 | $175,713 |
Notes to the Condensed Consolidated Financial Statements|Note 2 |
December 31, 2023 | ||||||||||||||||||||
Carrying Amounts of the Assets and Liabilities On the Condensed Consolidated Balance Sheets | Total Assets | Maximum Exposure to Loss | ||||||||||||||||||
(In millions) | Investment securities | Accrued Interest Receivable and Other Assets(1) | Liabilities(1) | |||||||||||||||||
Single-Family: | ||||||||||||||||||||
Securitization products | $1,272 | $172 | $427 | $30,298 | $24,600 | |||||||||||||||
Resecuritization products(2) | 4,952 | 67 | 626 | 110,320 | 110,320 | |||||||||||||||
CRT products(3) | — | 92 | 220 | 29,126 | 14 | |||||||||||||||
Total Single-Family | 6,224 | 331 | 1,273 | 169,744 | 134,934 | |||||||||||||||
Multifamily: | ||||||||||||||||||||
Securitization products(4) | 5,985 | 5,082 | 4,652 | 360,928 | 321,262 | |||||||||||||||
CRT products(3) | — | 11 | 7 | 1,359 | 8 | |||||||||||||||
Total Multifamily | 5,985 | 5,093 | 4,659 | 362,287 | 321,270 | |||||||||||||||
Other | — | 7 | 5 | 117 | 468 | |||||||||||||||
Total | $12,209 | $5,431 | $5,937 | $532,148 | $456,672 |
51 |
Notes to |
March 31, 2024 | December 31, 2023 | |||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||
Held-for-sale UPB | $3,104 | $9,446 | $12,550 | $3,527 | $9,905 | $13,432 | ||||||||||||||||||||
Cost basis and fair value adjustments, net | (618) | 102 | (516) | (712) | 221 | (491) | ||||||||||||||||||||
Total held-for-sale loans, net | 2,486 | 9,548 | 12,034 | 2,815 | 10,126 | 12,941 | ||||||||||||||||||||
Held-for-investment UPB | 3,001,013 | 61,757 | 3,062,770 | 2,996,509 | 59,203 | 3,055,712 | ||||||||||||||||||||
Cost basis and fair value adjustments, net(1) | 32,804 | (317) | 32,487 | 34,627 | (291) | 34,336 | ||||||||||||||||||||
Allowance for credit losses | (6,189) | (381) | (6,570) | (6,057) | (326) | (6,383) | ||||||||||||||||||||
Total held-for-investment loans, net(2) | 3,027,628 | 61,059 | 3,088,687 | 3,025,079 | 58,586 | 3,083,665 | ||||||||||||||||||||
Total mortgage loans, net | $3,030,114 | $70,607 | $3,100,721 | $3,027,894 | $68,712 | $3,096,606 |
(In millions) | 1Q 2024 | 1Q 2023 | ||||||||||||||||||
Single-Family: | ||||||||||||||||||||
Purchases: | ||||||||||||||||||||
Held-for-investment loans | $62,269 | $58,965 | ||||||||||||||||||
Sales of held-for-sale loans(1) | 618 | — | ||||||||||||||||||
Multifamily: | ||||||||||||||||||||
Purchases: | ||||||||||||||||||||
Held-for-investment loans | 2,625 | 3,349 | ||||||||||||||||||
Held-for-sale loans | 6,459 | 2,695 | ||||||||||||||||||
Sales of held-for-sale loans(2) | 6,603 | 6,150 |
Freddie Mac 1Q 2024 Form 10-Q | 52 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
1Q 2024 | 1Q 2023 | ||||||||||||||||||||||
(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 | $376 | $8 | $— | $— | $— | $— | |||||||||||||||||
Held-for-sale to held-for-investment(2) | 50 | 4 | 4 | 48 | 4 | 4 | |||||||||||||||||
Multifamily reclassifications from: | |||||||||||||||||||||||
Held-for-investment to held-for-sale | 264 | 1 | (5) | 4,731 | 1 | (27) | |||||||||||||||||
Held-for-sale to held-for-investment(2) | 369 | — | 3 | 561 | — | 16 | |||||||||||||||||
Non-Accrual Amortized Cost Basis | Interest Income Recognized(2) | |||||||||||||||||||
(In millions) | March 31, 2024 | December 31, 2023 | 1Q 2024 | |||||||||||||||||
Single-Family: | ||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $12,189 | $12,682 | $31 | |||||||||||||||||
15-year or less, amortizing fixed-rate | 485 | 519 | 1 | |||||||||||||||||
Adjustable-rate and other | 247 | 257 | 1 | |||||||||||||||||
Total Single-Family | 12,921 | 13,458 | 33 | |||||||||||||||||
Total Multifamily | 103 | 64 | 1 | |||||||||||||||||
Total Single-Family and Multifamily | $13,024 | $13,522 | $34 |
Non-Accrual Amortized Cost Basis | Interest Income Recognized(2) | |||||||||||||||||||
(In millions) | March 31, 2023 | December 31, 2022 | 1Q 2023 | |||||||||||||||||
Single-Family: | ||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $9,348 | $9,307 | $28 | |||||||||||||||||
15-year or less, amortizing fixed-rate | 434 | 427 | 1 | |||||||||||||||||
Adjustable-rate and other | 332 | 361 | 1 | |||||||||||||||||
Total Single-Family | 10,114 | 10,095 | 30 | |||||||||||||||||
Total Multifamily | 41 | 42 | 1 | |||||||||||||||||
Total Single-Family and Multifamily | $10,155 | $10,137 | $31 |
Freddie Mac 1Q 2024 Form 10-Q | 53 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
Accrued Interest Receivable, Net | Accrued Interest Receivable Related Charge-Offs | |||||||||||||||||||||||||
(In millions) | March 31, 2024 | December 31, 2023 | 1Q 2024 | 1Q 2023 | ||||||||||||||||||||||
Single-Family loans | $8,980 | $8,833 | ($46) | ($48) | ||||||||||||||||||||||
Multifamily loans | 297 | 287 | (1) | — |
Freddie Mac 1Q 2024 Form 10-Q | 54 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
March 31, 2024 | ||||||||||||||||||||||||||
Year of Origination | Total | |||||||||||||||||||||||||
(In millions) | 2024 | 2023 | 2022 | 2021 | 2020 | Prior | ||||||||||||||||||||
Current LTV ratio: | ||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | ||||||||||||||||||||||||||
≤ 60 | $5,993 | $42,364 | $95,196 | $520,140 | $539,594 | $495,830 | $1,699,117 | |||||||||||||||||||
> 60 to 80 | 16,569 | 108,193 | 181,642 | 301,741 | 87,998 | 18,128 | 714,271 | |||||||||||||||||||
> 80 to 90 | 6,969 | 63,047 | 86,453 | 25,075 | 1,309 | 467 | 183,320 | |||||||||||||||||||
> 90 to 100 | 10,954 | 52,215 | 21,489 | 1,673 | 106 | 94 | 86,531 | |||||||||||||||||||
> 100 | 7 | 79 | 971 | 55 | 12 | 85 | 1,209 | |||||||||||||||||||
Total 20- and 30-year or more, amortizing fixed-rate | 40,492 | 265,898 | 385,751 | 848,684 | 629,019 | 514,604 | 2,684,448 | |||||||||||||||||||
Current period gross charge-offs(1) | — | 1 | 9 | 10 | 6 | 29 | 55 | |||||||||||||||||||
15-year or less, amortizing fixed-rate | ||||||||||||||||||||||||||
≤ 60 | 681 | 4,466 | 20,462 | 119,250 | 95,360 | 64,690 | 304,909 | |||||||||||||||||||
> 60 to 80 | 734 | 3,925 | 7,361 | 3,364 | 209 | 19 | 15,612 | |||||||||||||||||||
> 80 to 90 | 108 | 627 | 376 | 20 | — | 1 | 1,132 | |||||||||||||||||||
> 90 to 100 | 68 | 164 | 28 | — | — | — | 260 | |||||||||||||||||||
> 100 | — | — | — | — | — | 1 | 1 | |||||||||||||||||||
Total 15-year or less, amortizing fixed-rate | 1,591 | 9,182 | 28,227 | 122,634 | 95,569 | 64,711 | 321,914 | |||||||||||||||||||
Current period gross charge-offs(1) | — | — | — | — | — | 1 | 1 | |||||||||||||||||||
Adjustable-rate and other | ||||||||||||||||||||||||||
≤ 60 | 55 | 422 | 1,670 | 3,314 | 1,432 | 12,960 | 19,853 | |||||||||||||||||||
> 60 to 80 | 220 | 1,296 | 2,603 | 1,019 | 87 | 240 | 5,465 | |||||||||||||||||||
> 80 to 90 | 109 | 796 | 997 | 45 | 3 | 17 | 1,967 | |||||||||||||||||||
> 90 to 100 | 84 | 356 | 246 | 3 | — | 8 | 697 | |||||||||||||||||||
> 100 | — | — | 15 | — | — | 4 | 19 | |||||||||||||||||||
Total adjustable-rate and other | 468 | 2,870 | 5,531 | 4,381 | 1,522 | 13,229 | 28,001 | |||||||||||||||||||
Current period gross charge-offs(1) | — | — | — | — | — | — | — | |||||||||||||||||||
Total for all loan product types by current LTV ratio: | ||||||||||||||||||||||||||
≤ 60 | 6,729 | 47,252 | 117,328 | 642,704 | 636,386 | 573,480 | 2,023,879 | |||||||||||||||||||
> 60 to 80 | 17,523 | 113,414 | 191,606 | 306,124 | 88,294 | 18,387 | 735,348 | |||||||||||||||||||
> 80 to 90 | 7,186 | 64,470 | 87,826 | 25,140 | 1,312 | 485 | 186,419 | |||||||||||||||||||
> 90 to 100 | 11,106 | 52,735 | 21,763 | 1,676 | 106 | 102 | 87,488 | |||||||||||||||||||
> 100 | 7 | 79 | 986 | 55 | 12 | 90 | 1,229 | |||||||||||||||||||
Total Single-Family loans | $42,551 | $277,950 | $419,509 | $975,699 | $726,110 | $592,544 | $3,034,363 | |||||||||||||||||||
Total current period gross charge-offs(1) | $— | $1 | $9 | $10 | $6 | $30 | $56 |
Freddie Mac 1Q 2024 Form 10-Q | 55 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
December 31, 2023 | ||||||||||||||||||||||||||
Year of Origination | Total | |||||||||||||||||||||||||
(In millions) | 2023 | 2022 | 2021 | 2020 | 2019 | Prior | ||||||||||||||||||||
Current LTV ratio: | ||||||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | ||||||||||||||||||||||||||
≤ 60 | $39,500 | $93,279 | $513,267 | $542,449 | $94,348 | $411,663 | $1,694,506 | |||||||||||||||||||
> 60 to 80 | 105,384 | 183,251 | 318,965 | 95,102 | 12,402 | 7,296 | 722,400 | |||||||||||||||||||
> 80 to 90 | 55,973 | 90,785 | 27,750 | 1,272 | 213 | 262 | 176,255 | |||||||||||||||||||
> 90 to 100 | 51,994 | 23,460 | 1,542 | 71 | 16 | 77 | 77,160 | |||||||||||||||||||
> 100 | 28 | 912 | 24 | 9 | 5 | 88 | 1,066 | |||||||||||||||||||
Total 20- and 30-year or more, amortizing fixed-rate | 252,879 | 391,687 | 861,548 | 638,903 | 106,984 | 419,386 | 2,671,387 | |||||||||||||||||||
Full-year gross charge-offs(1) | — | 12 | 37 | 43 | 45 | 243 | 380 | |||||||||||||||||||
15-year or less, amortizing fixed-rate | ||||||||||||||||||||||||||
≤ 60 | 4,221 | 20,246 | 121,709 | 98,338 | 12,488 | 56,493 | 313,495 | |||||||||||||||||||
> 60 to 80 | 3,973 | 8,314 | 4,491 | 278 | 19 | 5 | 17,080 | |||||||||||||||||||
> 80 to 90 | 623 | 509 | 25 | — | — | — | 1,157 | |||||||||||||||||||
> 90 to 100 | 198 | 33 | 1 | — | — | — | 232 | |||||||||||||||||||
> 100 | 1 | 1 | — | — | — | 1 | 3 | |||||||||||||||||||
Total 15-year or less, amortizing fixed-rate | 9,016 | 29,103 | 126,226 | 98,616 | 12,507 | 56,499 | 331,967 | |||||||||||||||||||
Full-year gross charge-offs(1) | — | 1 | 2 | 1 | — | 2 | 6 | |||||||||||||||||||
Adjustable-rate and other | ||||||||||||||||||||||||||
≤ 60 | 356 | 1,650 | 3,325 | 1,465 | 586 | 12,950 | 20,332 | |||||||||||||||||||
> 60 to 80 | 1,153 | 2,651 | 1,105 | 89 | 25 | 227 | 5,250 | |||||||||||||||||||
> 80 to 90 | 689 | 1,040 | 48 | 3 | — | 18 | 1,798 | |||||||||||||||||||
> 90 to 100 | 317 | 276 | 2 | — | — | 8 | 603 | |||||||||||||||||||
> 100 | — | 16 | — | — | — | 4 | 20 | |||||||||||||||||||
Total adjustable-rate and other | 2,515 | 5,633 | 4,480 | 1,557 | 611 | 13,207 | 28,003 | |||||||||||||||||||
Full-year gross charge-offs(1) | — | — | — | — | — | 1 | 1 | |||||||||||||||||||
Total for all loan product types by current LTV ratio: | ||||||||||||||||||||||||||
≤ 60 | 44,077 | 115,175 | 638,301 | 642,252 | 107,422 | 481,106 | 2,028,333 | |||||||||||||||||||
> 60 to 80 | 110,510 | 194,216 | 324,561 | 95,469 | 12,446 | 7,528 | 744,730 | |||||||||||||||||||
> 80 to 90 | 57,285 | 92,334 | 27,823 | 1,275 | 213 | 280 | 179,210 | |||||||||||||||||||
> 90 to 100 | 52,509 | 23,769 | 1,545 | 71 | 16 | 85 | 77,995 | |||||||||||||||||||
> 100 | 29 | 929 | 24 | 9 | 5 | 93 | 1,089 | |||||||||||||||||||
Total Single-Family loans | $264,410 | $426,423 | $992,254 | $739,076 | $120,102 | $489,092 | $3,031,357 | |||||||||||||||||||
Total full-year gross charge-offs(1) | $— | $13 | $39 | $44 | $45 | $246 | $387 |
Freddie Mac 1Q 2024 Form 10-Q | 56 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
March 31, 2024 | ||||||||||||||||||||||||||||||||
Year of Origination | Total | |||||||||||||||||||||||||||||||
(In millions) | 2024 | 2023 | 2022 | 2021 | 2020 | Prior | Revolving Loans | |||||||||||||||||||||||||
Category: | ||||||||||||||||||||||||||||||||
Pass | $1,512 | $14,753 | $17,617 | $7,264 | $6,208 | $7,602 | $2,289 | $57,245 | ||||||||||||||||||||||||
Special mention | — | 20 | 307 | 63 | 35 | 410 | — | 835 | ||||||||||||||||||||||||
Substandard | — | — | 96 | 299 | 319 | 680 | — | 1,394 | ||||||||||||||||||||||||
Doubtful | — | — | 35 | — | — | — | — | 35 | ||||||||||||||||||||||||
Total | $1,512 | $14,773 | $18,055 | $7,626 | $6,562 | $8,692 | $2,289 | $59,509 |
December 31, 2023 | ||||||||||||||||||||||||||||||||
Year of Origination | Total | |||||||||||||||||||||||||||||||
(In millions) | 2023 | 2022 | 2021 | 2020 | 2019 | Prior | Revolving Loans | |||||||||||||||||||||||||
Category: | ||||||||||||||||||||||||||||||||
Pass | $13,804 | $17,845 | $7,430 | $6,345 | $4,420 | $3,254 | $2,266 | $55,364 | ||||||||||||||||||||||||
Special mention | 20 | 85 | 28 | 43 | 294 | 106 | — | 576 | ||||||||||||||||||||||||
Substandard | — | 33 | 188 | 259 | 223 | 464 | — | 1,167 | ||||||||||||||||||||||||
Doubtful | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Total | $13,824 | $17,963 | $7,646 | $6,647 | $4,937 | $3,824 | $2,266 | $57,107 |
March 31, 2024 | |||||||||||||||||||||||
(In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due, or in Foreclosure(2) | Total | Non-Accrual With No Allowance(3) | |||||||||||||||||
Single-Family: | |||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $2,645,711 | $21,872 | $5,066 | $11,799 | $2,684,448 | $396 | |||||||||||||||||
15-year or less, amortizing fixed-rate | 319,876 | 1,335 | 231 | 472 | 321,914 | 4 | |||||||||||||||||
Adjustable-rate and other | 27,350 | 331 | 81 | 239 | 28,001 | 47 | |||||||||||||||||
Total Single-Family | 2,992,937 | 23,538 | 5,378 | 12,510 | 3,034,363 | 447 | |||||||||||||||||
Total Multifamily | 59,396 | 6 | 4 | 103 | 59,509 | 16 | |||||||||||||||||
Total Single-Family and Multifamily | $3,052,333 | $23,544 | $5,382 | $12,613 | $3,093,872 | $463 |
December 31, 2023 | |||||||||||||||||||||||
(In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due, or in Foreclosure(2) | Total | Non-Accrual with No Allowance(3) | |||||||||||||||||
Single-Family: | |||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $2,627,763 | $25,528 | $5,787 | $12,309 | $2,671,387 | $406 | |||||||||||||||||
15-year or less, amortizing fixed-rate | 329,601 | 1,589 | 270 | 507 | 331,967 | 4 | |||||||||||||||||
Adjustable-rate and other | 27,317 | 342 | 95 | 249 | 28,003 | 49 | |||||||||||||||||
Total Single-Family | 2,984,681 | 27,459 | 6,152 | 13,065 | 3,031,357 | 459 | |||||||||||||||||
Total Multifamily | 57,031 | 12 | — | 64 | 57,107 | 23 | |||||||||||||||||
Total Single-Family and Multifamily | $3,041,712 | $27,471 | $6,152 | $13,129 | $3,088,464 | $482 |
Freddie Mac 1Q 2024 Form 10-Q | 57 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
1Q 2024 | |||||||||||||||||||||||
(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 | $5,461 | $1,311 | $6 | $6,778 | 0.3 | % | |||||||||||||||||
15-year or less, amortizing fixed-rate | 222 | — | — | 222 | 0.1 | ||||||||||||||||||
Adjustable-rate and other | 57 | 4 | 1 | 62 | 0.2 | ||||||||||||||||||
Total Single-Family loan restructurings | $5,740 | $1,315 | $7 | $7,062 | 0.2 |
1Q 2023 | |||||||||||||||||||||||
(Dollars in millions) | Payment Delay(2) | Payment Delay and Term Extension | Payment Delay, Term Extension, and Interest Rate Reduction | Total | Total as % of Class of Financing Receivable(3) | ||||||||||||||||||
Single-Family: | |||||||||||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $6,357 | $1,037 | $86 | $7,480 | 0.3 | % | |||||||||||||||||
15-year or less, amortizing fixed-rate | 332 | 19 | 1 | 352 | 0.1 | ||||||||||||||||||
Adjustable-rate and other | 76 | 13 | 4 | 93 | 0.3 | ||||||||||||||||||
Total Single-Family loan restructurings | $6,765 | $1,069 | $91 | $7,925 | 0.3 | ||||||||||||||||||
Freddie Mac 1Q 2024 Form 10-Q | 58 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
1Q 2024 | ||||||||||||||
(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 | 1.2 | % | 171 | $16 | ||||||||||
15-year or less, amortizing fixed-rate | — | 22 | 14 | |||||||||||
Adjustable-rate and other | 0.8 | 217 | 16 |
1Q 2023 | ||||||||||||||
(Dollars in thousands) | Weighted-Average Interest Rate Reduction | Weighted-Average Months of Term Extension | Weighted-Average Payment Deferral or Principal Forbearance(2) | |||||||||||
Single-Family: | ||||||||||||||
20- and 30-year or more, amortizing fixed-rate | 0.9 | % | 180 | $16 | ||||||||||
15-year or less, amortizing fixed-rate | 0.4 | 354 | 16 | |||||||||||
Adjustable-rate and other | 2.0 | 206 | 19 | |||||||||||
1Q 2024 | ||||||||||||||||||||
(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 | $798 | $397 | $5 | $1,200 | ||||||||||||||||
15-year or less, amortizing fixed-rate | 30 | — | — | 30 | ||||||||||||||||
Adjustable-rate and other | 9 | — | — | 9 | ||||||||||||||||
Total Single-Family | $837 | $397 | $5 | $1,239 |
1Q 2023 | ||||||||||||||||||||
(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 | $704 | $175 | $206 | $1,085 | ||||||||||||||||
15-year or less, amortizing fixed-rate | 32 | — | — | 32 | ||||||||||||||||
Adjustable-rate and other | 10 | 2 | 5 | 17 | ||||||||||||||||
Total Single-Family | $746 | $177 | $211 | $1,134 | ||||||||||||||||
Freddie Mac 1Q 2024 Form 10-Q | 59 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note 3 |
March 31, 2024 | ||||||||||||||||||||
(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 | $11,438 | $2,559 | $1,363 | $5,201 | $20,561 | |||||||||||||||
15-year or less, amortizing fixed-rate | 394 | 84 | 49 | 191 | 718 | |||||||||||||||
Adjustable-rate and other | 102 | 19 | 14 | 53 | 188 | |||||||||||||||
Total Single-Family | $11,934 | $2,662 | $1,426 | $5,445 | $21,467 |
March 31, 2023 | ||||||||||||||||||||
(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 | $16,491 | $2,381 | $1,572 | $6,642 | $27,086 | |||||||||||||||
15-year or less, amortizing fixed-rate | 670 | 98 | 71 | 310 | 1,149 | |||||||||||||||
Adjustable-rate and other | 227 | 33 | 17 | 115 | 392 | |||||||||||||||
Total Single-Family | $17,388 | $2,512 | $1,660 | $7,067 | $28,627 |
Freddie Mac 1Q 2024 Form 10-Q | 60 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements |Note 4 |
March 31, 2024 | |||||||||||||||||
(Dollars in millions, terms in years) | UPB | Maximum Exposure | Recognized Liability(1) | Maximum Remaining Term | |||||||||||||
Single-Family mortgage-related guarantees: | |||||||||||||||||
Nonconsolidated securitization products(2) | $30,434 | $24,762 | $395 | 40 | |||||||||||||
Other mortgage-related guarantees | 8,511 | 8,511 | 152 | 28 | |||||||||||||
Total Single-Family mortgage-related guarantees | 38,945 | 33,273 | 547 | ||||||||||||||
Multifamily mortgage-related guarantees: | |||||||||||||||||
Nonconsolidated securitization products(2)(3) | 361,164 | 321,905 | 4,451 | 36 | |||||||||||||
Other mortgage-related guarantees | 10,720 | 10,720 | 363 | 35 | |||||||||||||
Total Multifamily mortgage-related guarantees | 371,884 | 332,625 | 4,814 | ||||||||||||||
Guarantees of Fannie Mae securities(4) | 109,215 | 109,215 | — | 38 | |||||||||||||
Other | 112 | 483 | — | 30 |
December 31, 2023 | |||||||||||||||||
(Dollars in millions, terms in years) | UPB | Maximum Exposure | Recognized Liability(1) | Maximum Remaining Term | |||||||||||||
Single-Family mortgage-related guarantees: | |||||||||||||||||
Nonconsolidated securitization products(2) | $30,289 | $24,600 | $382 | 40 | |||||||||||||
Other mortgage-related guarantees | 8,692 | 8,692 | 161 | 28 | |||||||||||||
Total Single-Family mortgage-related guarantees | 38,981 | 33,292 | 543 | ||||||||||||||
Multifamily mortgage-related guarantees: | |||||||||||||||||
Nonconsolidated securitization products(2)(3) | 360,928 | 321,262 | 4,577 | 36 | |||||||||||||
Other mortgage-related guarantees | 10,761 | 10,761 | 383 | 35 | |||||||||||||
Total Multifamily mortgage-related guarantees | 371,689 | 332,023 | 4,960 | ||||||||||||||
Guarantees of Fannie Mae securities(4) | 110,320 | 110,320 | — | 38 | |||||||||||||
Other | 117 | 468 | — | 30 |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements |Note 4 |
March 31, 2024 | ||||||||||||||||||||
(In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due, or in Foreclosure | Total | |||||||||||||||
Single-Family | $34,447 | $2,208 | $835 | $1,455 | $38,945 | |||||||||||||||
Multifamily | 370,265 | 298 | 125 | 1,196 | 371,884 | |||||||||||||||
Total | $404,712 | $2,506 | $960 | $2,651 | $410,829 |
December 31, 2023 | ||||||||||||||||||||
(In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due, or in Foreclosure | Total | |||||||||||||||
Single-Family | $34,524 | $2,172 | $827 | $1,458 | $38,981 | |||||||||||||||
Multifamily | 369,785 | 850 | 98 | 956 | 371,689 | |||||||||||||||
Total | $404,309 | $3,022 | $925 | $2,414 | $410,670 |
(In millions) | March 31, 2024 | December 31, 2023 | |||||||||
Mortgage loan purchase commitments(1) | $12,523 | $10,378 | |||||||||
Unsettled securities purchased under agreements to resell, net(2) | 29,896 | 22,276 | |||||||||
Other commitments(3) | 4,640 | 4,701 | |||||||||
Total | $47,059 | $37,355 |
Freddie Mac 1Q 2024 Form 10-Q | 62 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note |
September 30, 2017 | December 31, 2016 | ||||||||||||||||||
(Dollars in millions, terms in years) | Maximum Exposure(1) | Recognized Liability(2) | Maximum Remaining Term | Maximum Exposure(1) | Recognized Liability(2) | Maximum Remaining Term | |||||||||||||
K Certificates, SB Certificates, senior subordinate securitization structures, and other securitization products | $178,738 | $1,834 | 40 | $150,227 | $1,532 | 40 | |||||||||||||
Other mortgage-related guarantees | 16,577 | 669 | 33 | 16,445 | 679 | 34 | |||||||||||||
Derivative instruments | 11,603 | 136 | 28 | 6,396 | 127 | 29 |
1Q 2024 | 1Q 2023 | |||||||||||||||||||||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||||||||||||||||||||
Beginning balance | $6,402 | $447 | $6,849 | $7,746 | $147 | $7,893 | ||||||||||||||||||||||||||||||||||||||
Provision (benefit) for credit losses | 120 | 61 | 181 | 318 | 77 | 395 | ||||||||||||||||||||||||||||||||||||||
Charge-offs | (123) | — | (123) | (90) | — | (90) | ||||||||||||||||||||||||||||||||||||||
Recoveries collected | 26 | — | 26 | 32 | — | 32 | ||||||||||||||||||||||||||||||||||||||
Other(1) | 83 | — | 83 | 91 | — | 91 | ||||||||||||||||||||||||||||||||||||||
Ending balance | $6,508 | $508 | $7,016 | $8,097 | $224 | $8,321 | ||||||||||||||||||||||||||||||||||||||
Components of the ending balance of the allowance for credit losses: | ||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-investment | $6,189 | $381 | $6,570 | $7,675 | $160 | $7,835 | ||||||||||||||||||||||||||||||||||||||
Other(2) | 319 | 127 | 446 | 422 | 64 | 486 | ||||||||||||||||||||||||||||||||||||||
Total ending balance | $6,508 | $508 | $7,016 | $8,097 | $224 | $8,321 |
Maximum Exposure (1) at | Maximum Coverage (2) at | |||||||||||||||
(In millions) | September 30, 2017 | December 31, 2016 | September 30, 2017 | December 31, 2016 | ||||||||||||
K Certificates and SB Certificates | $164,308 | $139,416 | $27,307 | $23,864 | ||||||||||||
Other securitization products | 6,732 | 5,545 | 1,521 | 1,359 | ||||||||||||
Total | $171,040 | $144,961 | $28,828 | $25,223 |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note |
September 30, 2017 | December 31, 2016 | |||||||||||||||||||||||
(In millions) | Held by Freddie Mac | Held by consolidated trusts | Total | Held by Freddie Mac | Held by consolidated trusts | Total | ||||||||||||||||||
Held-for-sale: | ||||||||||||||||||||||||
Single-family | $15,753 | $— | $15,753 | $2,092 | $— | $2,092 | ||||||||||||||||||
Multifamily | 19,118 | — | 19,118 | 16,544 | — | 16,544 | ||||||||||||||||||
Total UPB | 34,871 | — | 34,871 | 18,636 | — | 18,636 | ||||||||||||||||||
Cost basis and fair value adjustments, net | (2,829 | ) | — | (2,829 | ) | (548 | ) | — | (548 | ) | ||||||||||||||
Total held-for-sale loans, net | 32,042 | — | 32,042 | 18,088 | — | 18,088 | ||||||||||||||||||
Held-for-investment: | ||||||||||||||||||||||||
Single-family | 62,746 | 1,708,458 | 1,771,204 | 83,040 | 1,659,591 | 1,742,631 | ||||||||||||||||||
Multifamily | 20,019 | 2,776 | 22,795 | 25,873 | 3,048 | 28,921 | ||||||||||||||||||
Total UPB | 82,765 | 1,711,234 | 1,793,999 | 108,913 | 1,662,639 | 1,771,552 | ||||||||||||||||||
Cost basis adjustments | (2,321 | ) | 31,257 | 28,936 | (3,755 | ) | 30,549 | 26,794 | ||||||||||||||||
Allowance for loan losses | (6,452 | ) | (3,633 | ) | (10,085 | ) | (10,461 | ) | (2,970 | ) | (13,431 | ) | ||||||||||||
Total held-for-investment loans, net | 73,992 | 1,738,858 | 1,812,850 | 94,697 | 1,690,218 | 1,784,915 | ||||||||||||||||||
Total loans, net | $106,034 | $1,738,858 | $1,844,892 | $112,785 | $1,690,218 | $1,803,003 |
September 30, 2017 | December 31, 2016 | ||||||||||||||||||||||||||||||
Current LTV Ratio | Current LTV Ratio | ||||||||||||||||||||||||||||||
(In millions) | ≤ 80 | > 80 to 100 | > 100(1) | Total | ≤ 80 | > 80 to 100 | > 100(1) | Total | |||||||||||||||||||||||
20 and 30-year or more, amortizing fixed-rate(2) | $1,205,240 | $216,924 | $16,863 | $1,439,027 | $1,120,722 | $236,111 | $30,063 | $1,386,896 | |||||||||||||||||||||||
15-year amortizing fixed-rate(2) | 270,755 | 7,690 | 485 | 278,930 | 274,967 | 11,016 | 887 | 286,870 | |||||||||||||||||||||||
Adjustable-rate | 49,703 | 3,222 | 35 | 52,960 | 52,319 | 2,955 | 85 | 55,359 | |||||||||||||||||||||||
Alt-A, interest-only, and option ARM | 22,118 | 5,199 | 1,921 | 29,238 | 26,293 | 9,392 | 4,634 | 40,319 | |||||||||||||||||||||||
Total single-family loans | $1,547,816 | $233,035 | $19,304 | $1,800,155 | $1,474,301 | $259,474 | $35,669 | $1,769,444 |
(In millions) | September 30, 2017 | December 31, 2016 | ||||||
Credit risk profile by internally assigned grade:(1) | ||||||||
Pass | $22,515 | $27,830 | ||||||
Special mention | 145 | 502 | ||||||
Substandard | 120 | 570 | ||||||
Doubtful | — | — | ||||||
Total | $22,780 | $28,902 |
September 30, 2017 | |||||||||||||||||||||||
(In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due, or in Foreclosure(1) | Total | Non-accrual | |||||||||||||||||
Single-family: | |||||||||||||||||||||||
20 and 30-year or more, amortizing fixed-rate | $1,406,602 | $18,569 | $4,457 | $9,399 | $1,439,027 | $9,394 | |||||||||||||||||
15-year amortizing fixed-rate | 277,161 | 1,315 | 175 | 279 | 278,930 | 279 | |||||||||||||||||
Adjustable-rate | 52,363 | 358 | 69 | 170 | 52,960 | 170 | |||||||||||||||||
Alt-A, interest-only, and option ARM | 25,680 | 1,404 | 497 | 1,657 | 29,238 | 1,655 | |||||||||||||||||
Total single-family | 1,761,806 | 21,646 | 5,198 | 11,505 | 1,800,155 | 11,498 | |||||||||||||||||
Total multifamily | 22,755 | 25 | — | — | 22,780 | 48 | |||||||||||||||||
Total single-family and multifamily | $1,784,561 | $21,671 | $5,198 | $11,505 | $1,822,935 | $11,546 | |||||||||||||||||
December 31, 2016 | |||||||||||||||||||||||
(In millions) | Current | One Month Past Due | Two Months Past Due | Three Months or More Past Due, or in Foreclosure(1) | Total | Non-accrual | |||||||||||||||||
Single-family: | |||||||||||||||||||||||
20 and 30-year or more, amortizing fixed-rate | $1,354,511 | $16,645 | $4,865 | $10,875 | $1,386,896 | $10,868 | |||||||||||||||||
15-year amortizing fixed-rate | 285,373 | 1,010 | 178 | 309 | 286,870 | 309 | |||||||||||||||||
Adjustable-rate | 54,738 | 354 | 77 | 190 | 55,359 | 190 | |||||||||||||||||
Alt-A, interest-only, and option ARM | 35,994 | 1,748 | 650 | 1,927 | 40,319 | 1,927 | |||||||||||||||||
Total single-family | 1,730,616 | 19,757 | 5,770 | 13,301 | 1,769,444 | 13,294 | |||||||||||||||||
Total multifamily | 28,902 | — | — | — | 28,902 | 89 | |||||||||||||||||
Total single-family and multifamily | $1,759,518 | $19,757 | $5,770 | $13,301 | $1,798,346 | $13,383 |
(Dollars in millions) | September 30, 2017 | December 31, 2016 | ||||||
Single-family:(1) | ||||||||
Non-credit-enhanced portfolio | ||||||||
Serious delinquency rate | 0.92 | % | 1.02 | % | ||||
Total number of seriously delinquent loans | 66,641 | 77,662 | ||||||
Credit-enhanced portfolio:(2) | ||||||||
Primary mortgage insurance: | ||||||||
Serious delinquency rate | 1.15 | % | 1.46 | % | ||||
Total number of seriously delinquent loans | 18,048 | 21,460 | ||||||
Other credit protection:(3) | ||||||||
Serious delinquency rate | 0.34 | % | 0.43 | % | ||||
Total number of seriously delinquent loans | 9,222 | 9,455 | ||||||
Total single-family: | ||||||||
Serious delinquency rate | 0.86 | % | 1.00 | % | ||||
Total number of seriously delinquent loans | 92,091 | 107,170 | ||||||
Multifamily:(4) | ||||||||
Non-credit-enhanced portfolio: | ||||||||
Delinquency rate | 0.05 | % | 0.04 | % | ||||
UPB of delinquent loans | $23 | $19 | ||||||
Credit-enhanced portfolio: | ||||||||
Delinquency rate | 0.02 | % | 0.02 | % | ||||
UPB of delinquent loans | $29 | $37 | ||||||
Total Multifamily: | ||||||||
Delinquency rate | 0.02 | % | 0.03 | % | ||||
UPB of delinquent loans | $52 | $56 |
3Q 2017 | 3Q 2016 | ||||||||||||||||||||||||||||||
Allowance for Loan Losses | Reserve for Guarantee Losses | Allowance for Loan Losses | Reserve for Guarantee Losses | ||||||||||||||||||||||||||||
(In millions) | Held by Freddie Mac | Held By Consolidated Trusts | Total | Held by Freddie Mac | Held By Consolidated Trusts | Total | |||||||||||||||||||||||||
Single-family: | |||||||||||||||||||||||||||||||
Beginning balance | $7,541 | $2,755 | $55 | $10,351 | $10,886 | $2,589 | $56 | $13,531 | |||||||||||||||||||||||
Provision (benefit) for credit losses | (330 | ) | 1,023 | 1 | 694 | (249 | ) | 368 | 2 | 121 | |||||||||||||||||||||
Charge-offs(1) | (1,126 | ) | (12 | ) | (2 | ) | (1,140 | ) | (422 | ) | (37 | ) | (2 | ) | (461 | ) | |||||||||||||||
Recoveries | 143 | 2 | — | 145 | 113 | 2 | — | 115 | |||||||||||||||||||||||
Transfers, net(2) | 192 | (136 | ) | — | 56 | 98 | (16 | ) | — | 82 | |||||||||||||||||||||
Ending balance | 6,420 | 3,632 | 54 | 10,106 | 10,426 | 2,906 | 56 | 13,388 | |||||||||||||||||||||||
Multifamily ending balance | 32 | 1 | 8 | 41 | 22 | 2 | 14 | 38 | |||||||||||||||||||||||
Total ending balance | $6,452 | $3,633 | $62 | $10,147 | $10,448 | $2,908 | $70 | $13,426 | |||||||||||||||||||||||
YTD 2017 | YTD 2016 | ||||||||||||||||||||||||||||||
Allowance for Loan Losses | Reserve for Guarantee Losses | Allowance for Loan Losses | Reserve for Guarantee Losses | ||||||||||||||||||||||||||||
(in millions) | Held by Freddie Mac | Held By Consolidated Trusts | Total | Held by Freddie Mac | Held By Consolidated Trusts | Total | |||||||||||||||||||||||||
Single-family: | |||||||||||||||||||||||||||||||
Beginning balance | $10,442 | $2,969 | $54 | $13,465 | $12,516 | $2,775 | $57 | $15,348 | |||||||||||||||||||||||
Provision (benefit) for credit losses | (1,058 | ) | 1,223 | 3 | 168 | (1,424 | ) | 308 | 6 | (1,110 | ) | ||||||||||||||||||||
Charge-offs(1) | (3,942 | ) | (88 | ) | (3 | ) | (4,033 | ) | (1,388 | ) | (121 | ) | (7 | ) | (1,516 | ) | |||||||||||||||
Recoveries | 322 | 5 | — | 327 | 387 | 8 | — | 395 | |||||||||||||||||||||||
Transfers, net(2) | 656 | (477 | ) | — | 179 | 335 | (64 | ) | — | 271 | |||||||||||||||||||||
Ending balance | 6,420 | 3,632 | 54 | 10,106 | 10,426 | 2,906 | 56 | 13,388 | |||||||||||||||||||||||
Multifamily ending balance | 32 | 1 | 8 | 41 | 22 | 2 | 14 | 38 | |||||||||||||||||||||||
Total ending balance | $6,452 | $3,633 | $62 | $10,147 | $10,448 | $2,908 | $70 | $13,426 |
3Q 2017 | 3Q 2016 | YTD 2017 | YTD 2016 | |||||||||||||||||||||||||
(Dollars in millions) | Number of Loans | Post-TDR Recorded Investment | Number of Loans | Post-TDR Recorded Investment | Number of Loans | Post-TDR Recorded Investment | Number of Loans | Post-TDR Recorded Investment | ||||||||||||||||||||
Single-family:(1) | ||||||||||||||||||||||||||||
20 and 30-year or more, amortizing fixed-rate | 7,502 | $1,069 | 8,052 | $1,166 | 24,485 | $3,503 | 26,948 | $3,855 | ||||||||||||||||||||
15-year amortizing fixed-rate | 993 | 75 | 1,052 | 74 | 3,275 | 251 | 3,498 | 254 | ||||||||||||||||||||
Adjustable-rate | 202 | 30 | 228 | 33 | 667 | 97 | 724 | 104 | ||||||||||||||||||||
Alt-A, interest-only, and option ARM | 645 | 119 | 669 | 113 | 1,926 | 344 | 2,339 | 411 | ||||||||||||||||||||
Total single-family | 9,342 | 1,293 | 10,001 | 1,386 | 30,353 | 4,195 | 33,509 | 4,624 | ||||||||||||||||||||
Multifamily(2) | 1 | — | — | — | 1 | — | 2 | 8 | ||||||||||||||||||||
Total | 9,343 | $1,293 | 10,001 | $1,386 | 30,354 | $4,195 | 33,511 | $4,632 |
3Q 2017 | 3Q 2016 | YTD 2017 | YTD 2016 | ||||||||||||||||||||||||
(Dollars in millions) | Number of Loans | Post-TDR Recorded Investment | Number of Loans | Post-TDR Recorded Investment | Number of Loans | Post-TDR Recorded Investment | Number of Loans | Post-TDR Recorded Investment | |||||||||||||||||||
Single-family: | |||||||||||||||||||||||||||
20 and 30-year or more, amortizing fixed-rate | 3,526 | $555 | 4,043 | $626 | 10,183 | $1,642 | 11,947 | $1,859 | |||||||||||||||||||
15-year amortizing fixed-rate | 191 | 14 | 206 | 17 | 505 | 40 | 631 | 52 | |||||||||||||||||||
Adjustable-rate | 47 | 8 | 74 | 9 | 156 | 24 | 211 | 30 | |||||||||||||||||||
Alt-A, interest-only, and option ARM | 336 | 62 | 358 | 71 | 924 | 188 | 1,202 | 240 | |||||||||||||||||||
Total single-family | 4,100 | $639 | 4,681 | $723 | 11,768 | $1,894 | 13,991 | $2,181 | |||||||||||||||||||
Multifamily | — | $— | — | $— | — | $— | — | $— |
September 30, 2017 | December 31, 2016 | ||||||||||||||||||||||
(In millions) | UPB | Recorded Investment | Associated Allowance | UPB | Recorded Investment | Associated Allowance | |||||||||||||||||
Single-family — | |||||||||||||||||||||||
With no specific allowance recorded:(1) | |||||||||||||||||||||||
20 and 30-year or more, amortizing fixed-rate | $4,095 | $3,152 | N/A | $4,963 | $3,746 | N/A | |||||||||||||||||
15-year amortizing fixed-rate | 28 | 24 | N/A | 31 | 26 | N/A | |||||||||||||||||
Adjustable-rate | 278 | 276 | N/A | 292 | 289 | N/A | |||||||||||||||||
Alt-A, interest-only, and option ARM | 1,626 | 1,354 | N/A | 1,935 | 1,561 | N/A | |||||||||||||||||
Total with no specific allowance recorded | 6,027 | 4,806 | N/A | 7,221 | 5,622 | N/A | |||||||||||||||||
With specific allowance recorded:(2) | |||||||||||||||||||||||
20 and 30-year or more, amortizing fixed-rate | 52,901 | 51,669 | ($6,430 | ) | 67,853 | 66,143 | ($9,678 | ) | |||||||||||||||
15-year amortizing fixed-rate | 761 | 764 | (23 | ) | 847 | 851 | (25 | ) | |||||||||||||||
Adjustable-rate | 246 | 241 | (15 | ) | 319 | 312 | (19 | ) | |||||||||||||||
Alt-A, interest-only, and option ARM | 8,208 | 7,755 | (1,238 | ) | 12,699 | 12,105 | (2,258 | ) | |||||||||||||||
Total with specific allowance recorded | 62,116 | 60,429 | (7,706 | ) | 81,718 | 79,411 | (11,980 | ) | |||||||||||||||
Combined single-family: | |||||||||||||||||||||||
20 and 30-year or more, amortizing fixed-rate | 56,996 | 54,821 | (6,430 | ) | 72,816 | 69,889 | (9,678 | ) | |||||||||||||||
15-year amortizing fixed-rate | 789 | 788 | (23 | ) | 878 | 877 | (25 | ) | |||||||||||||||
Adjustable-rate | 524 | 517 | (15 | ) | 611 | 601 | (19 | ) | |||||||||||||||
Alt-A, interest-only, and option ARM | 9,834 | 9,109 | (1,238 | ) | 14,634 | 13,666 | (2,258 | ) | |||||||||||||||
Total single-family | $68,143 | $65,235 | ($7,706 | ) | $88,939 | $85,033 | ($11,980 | ) | |||||||||||||||
Multifamily — | |||||||||||||||||||||||
With no specific allowance recorded(1) | $113 | $105 | N/A | $321 | $308 | N/A | |||||||||||||||||
With specific allowance recorded | 15 | 15 | ($4 | ) | 44 | 42 | ($9 | ) | |||||||||||||||
Total multifamily | $128 | $120 | ($4 | ) | $365 | $350 | ($9 | ) | |||||||||||||||
Total single-family and multifamily | $68,271 | $65,355 | ($7,710 | ) | $89,304 | $85,383 | ($11,989 | ) |
3Q 2017 | 3Q 2016 | |||||||||||||||||||||||
(In millions) | Average Recorded Investment | Interest Income Recognized | Interest Income Recognized On Cash Basis(3) | Average Recorded Investment | Interest Income Recognized | Interest Income Recognized On Cash Basis(3) | ||||||||||||||||||
Single-family — | ||||||||||||||||||||||||
With no specific allowance recorded:(1) | ||||||||||||||||||||||||
20 and 30-year or more, amortizing fixed-rate | $3,367 | $97 | $3 | $4,184 | $118 | $4 | ||||||||||||||||||
15-year amortizing fixed-rate | 24 | — | — | 33 | 1 | — | ||||||||||||||||||
Adjustable rate | 287 | 2 | — | 268 | 2 | — | ||||||||||||||||||
Alt-A, interest-only, and option ARM | 1,390 | 29 | 1 | 1,500 | 30 | — | ||||||||||||||||||
Total with no specific allowance recorded | 5,068 | 128 | 4 | 5,985 | 151 | 4 | ||||||||||||||||||
With specific allowance recorded:(2) | ||||||||||||||||||||||||
20 and 30-year or more, amortizing fixed-rate | 53,250 | 618 | 58 | 67,333 | 677 | 61 | ||||||||||||||||||
15-year amortizing fixed-rate | 758 | 8 | 2 | 857 | 10 | 1 | ||||||||||||||||||
Adjustable rate | 236 | 2 | 1 | 359 | 3 | — | ||||||||||||||||||
Alt-A, interest-only, and option ARM | 8,014 | 89 | 7 | 12,642 | 108 | 10 | ||||||||||||||||||
Total with specific allowance recorded | 62,258 | 717 | 68 | 81,191 | 798 | 72 | ||||||||||||||||||
Combined single-family: | ||||||||||||||||||||||||
20 and 30-year or more, amortizing fixed-rate | 56,617 | 715 | 61 | 71,517 | 795 | 65 | ||||||||||||||||||
15-year amortizing fixed-rate | 782 | 8 | 2 | 890 | 11 | 1 | ||||||||||||||||||
Adjustable rate | 523 | 4 | 1 | 627 | 5 | — | ||||||||||||||||||
Alt-A, interest-only, and option ARM | 9,404 | 118 | 8 | 14,142 | 138 | 10 | ||||||||||||||||||
Total single-family | $67,326 | $845 | $72 | $87,176 | $949 | $76 | ||||||||||||||||||
Multifamily — | ||||||||||||||||||||||||
With no specific allowance recorded(1) | $115 | $2 | $1 | $311 | $4 | $1 | ||||||||||||||||||
With specific allowance recorded | 15 | — | — | 46 | — | — | ||||||||||||||||||
Total multifamily | $130 | $2 | $1 | $357 | $4 | $1 | ||||||||||||||||||
Total single-family and multifamily | $67,456 | $847 | $73 | $87,533 | $953 | $77 |
YTD 2017 | YTD 2016 | |||||||||||||||||||||||
(In millions) | Average Recorded Investment | Interest Income Recognized | Interest Income Recognized On Cash Basis(3) | Average Recorded Investment | Interest Income Recognized | Interest Income Recognized On Cash Basis(3) | ||||||||||||||||||
Single-family — | ||||||||||||||||||||||||
With no specific allowance recorded:(1) | ||||||||||||||||||||||||
20 and 30-year or more, amortizing fixed-rate | $3,733 | $307 | $12 | $4,105 | $337 | $10 | ||||||||||||||||||
15-year amortizing fixed-rate | 26 | 1 | — | 35 | 4 | — | ||||||||||||||||||
Adjustable rate | 301 | 8 | — | 247 | 6 | — | ||||||||||||||||||
Alt-A, interest-only, and option ARM | 1,518 | 85 | 3 | 1,362 | 82 | 2 | ||||||||||||||||||
Total with no specific allowance recorded | 5,578 | 401 | 15 | 5,749 | 429 | 12 | ||||||||||||||||||
With specific allowance recorded:(2) | ||||||||||||||||||||||||
20 and 30-year or more, amortizing fixed-rate | 62,277 | 1,931 | 188 | 69,060 | 2,015 | 196 | ||||||||||||||||||
15-year amortizing fixed-rate | 18,292 | 25 | 5 | 901 | 30 | 5 | ||||||||||||||||||
Adjustable rate | 430 | 7 | 2 | 409 | 11 | 2 | ||||||||||||||||||
Alt-A, interest-only, and option ARM | 7,033 | 296 | 26 | 13,156 | 331 | 27 | ||||||||||||||||||
Total with specific allowance recorded | 88,032 | 2,259 | 221 | 83,526 | 2,387 | 230 | ||||||||||||||||||
Combined single-family: | ||||||||||||||||||||||||
20 and 30-year or more, amortizing fixed-rate | 66,010 | 2,238 | 200 | 73,165 | 2,352 | 206 | ||||||||||||||||||
15-year amortizing fixed-rate | 18,318 | 26 | 5 | 936 | 34 | 5 | ||||||||||||||||||
Adjustable rate | 731 | 15 | 2 | 656 | 17 | 2 | ||||||||||||||||||
Alt-A, interest-only, and option ARM | 8,551 | 381 | 29 | 14,518 | 413 | 29 | ||||||||||||||||||
Total single-family | $93,610 | $2,660 | $236 | $89,275 | $2,816 | $242 | ||||||||||||||||||
Multifamily — | ||||||||||||||||||||||||
With no specific allowance recorded(1) | $287 | $7 | $2 | $354 | $11 | $3 | ||||||||||||||||||
With specific allowance recorded | 25 | 1 | 1 | 67 | 2 | 1 | ||||||||||||||||||
Total multifamily | $312 | $8 | $3 | $421 | $13 | $4 | ||||||||||||||||||
Total single-family and multifamily | $93,922 | $2,668 | $239 | $89,696 | $2,829 | $246 |
September 30, 2017 | December 31, 2016 | |||||||||||||||||||||||
(In millions) | Single-family | Multifamily | Total | Single-family | Multifamily | Total | ||||||||||||||||||
Recorded investment: | ||||||||||||||||||||||||
Collectively evaluated | $1,734,920 | $22,660 | $1,757,580 | $1,684,411 | $28,552 | $1,712,963 | ||||||||||||||||||
Individually evaluated | 65,235 | 120 | 65,355 | 85,033 | 350 | 85,383 | ||||||||||||||||||
Total recorded investment | 1,800,155 | 22,780 | 1,822,935 | 1,769,444 | 28,902 | 1,798,346 | ||||||||||||||||||
Ending balance of the allowance for loan losses: | ||||||||||||||||||||||||
Collectively evaluated | (2,346 | ) | (29 | ) | (2,375 | ) | (1,431 | ) | (11 | ) | (1,442 | ) | ||||||||||||
Individually evaluated | (7,706 | ) | (4 | ) | (7,710 | ) | (11,980 | ) | (9 | ) | (11,989 | ) | ||||||||||||
Total ending balance of the allowance | (10,052 | ) | (33 | ) | (10,085 | ) | (13,411 | ) | (20 | ) | (13,431 | ) | ||||||||||||
Net investment in loans | $1,790,103 | $22,747 | $1,812,850 | $1,756,033 | $28,882 | $1,784,915 |
September 30, 2017 | December 31, 2016 | |||||||||||||||||||||||
(In millions) | Total Current and Protected UPB(1) | Maximum Coverage(1)(2) | Collateralized Coverage Remaining (3) | Total Current and Protected UPB(1) | Maximum Coverage(1)(2) | Collateralized Coverage Remaining (3) | ||||||||||||||||||
Credit enhancements at the time we acquire the loan: | ||||||||||||||||||||||||
Primary mortgage insurance | $321,809 | $82,261 | $— | $291,217 | $74,345 | $— | ||||||||||||||||||
Seller indemnification(4) | 1,920 | 24 | 24 | 1,030 | 10 | 10 | ||||||||||||||||||
Deep mortgage insurance CRT(4)(5) | 6,617 | 176 | 48 | 3,067 | 81 | — | ||||||||||||||||||
Lender recourse and indemnification agreements(6) | 5,299 | 4,766 | — | 5,247 | 4,911 | — | ||||||||||||||||||
Pool insurance(6) | 884 | 493 | — | 1,719 | 618 | — | ||||||||||||||||||
Other: | ||||||||||||||||||||||||
HFA indemnification | 1,456 | 1,456 | — | 1,747 | 1,747 | — | ||||||||||||||||||
Subordination | 1,642 | 175 | — | 1,874 | 230 | — | ||||||||||||||||||
Other credit enhancements(6) | 15 | 5 | — | 17 | 6 | — | ||||||||||||||||||
Credit enhancements subsequent to our purchase or guarantee of the loan: | ||||||||||||||||||||||||
STACR debt note(4)(7) | 532,197 | 16,401 | 16,401 | 427,978 | 14,507 | 14,507 | ||||||||||||||||||
ACIS transactions(4)(8) | 556,621 | 6,175 | 1,065 | 453,670 | 5,355 | 877 | ||||||||||||||||||
Whole loan securities and senior subordinate securitization structures(4) | 7,292 | 1,140 | 1,140 | 2,494 | 375 | 375 | ||||||||||||||||||
Less: UPB with more than one type of credit enhancement | (701,800 | ) | — | — | (559,400 | ) | — | — | ||||||||||||||||
Single-family loan portfolio with credit enhancement | 733,952 | 113,072 | 18,678 | 630,660 | 102,185 | 15,769 | ||||||||||||||||||
Single-family loan portfolio without credit enhancement | 1,066,112 | — | — | 1,124,066 | — | — | ||||||||||||||||||
Total | $1,800,064 | $113,072 | $18,678 | $1,754,726 | $102,185 | $15,769 |
(In millions) | March 31, 2024 | December 31, 2023 | |||||||||
Trading securities | $36,671 | $38,385 | |||||||||
Available-for-sale securities | 4,729 | 4,890 | |||||||||
Total fair value of investment securities | $41,400 | $43,275 |
(In millions) | September 30, 2017 | December 31, 2016 | |||||
Trading securities | $35,726 | $44,790 | |||||
Available-for-sale securities | 51,422 | 66,757 | |||||
Total | $87,148 | $111,547 |
(In millions) | March 31, 2024 | December 31, 2023 | |||||||||
Mortgage-related securities | $8,118 | $8,113 | |||||||||
Non-mortgage-related securities | 28,553 | 30,272 | |||||||||
Total fair value of trading securities | $36,671 | $38,385 |
(In millions) | September 30, 2017 | December 31, 2016 | ||||||
Mortgage-related securities: | ||||||||
Freddie Mac | $12,911 | $15,343 | ||||||
Other agency | 5,010 | 8,161 | ||||||
All other | 298 | 149 | ||||||
Total mortgage-related securities | 18,219 | 23,653 | ||||||
Non-mortgage-related securities | 17,507 | 21,137 | ||||||
Total fair value of trading securities | $35,726 | $44,790 |
March 31, 2024 | ||||||||||||||||||||
Amortized Cost Basis | Gross Unrealized Gains in Other Comprehensive Income | Gross Unrealized Losses in Other Comprehensive Income | Fair Value | Accrued Interest Receivable | ||||||||||||||||
(In millions) | ||||||||||||||||||||
Agency mortgage-related securities | $4,355 | $7 | ($126) | $4,236 | $10 | |||||||||||||||
Other mortgage-related securities | 317 | 187 | (11) | 493 | 3 | |||||||||||||||
Total available-for-sale securities | $4,672 | $194 | ($137) | $4,729 | $13 |
September 30, 2017 | ||||||||||||||||||||
Gross Unrealized Losses | ||||||||||||||||||||
(In millions) | Amortized Cost | Gross Unrealized Gains | Other-Than-Temporary Impairment(1) | Temporary Impairment(2) | Fair Value | |||||||||||||||
Available-for-sale securities: | ||||||||||||||||||||
Freddie Mac | $38,807 | $689 | $— | ($349 | ) | $39,147 | ||||||||||||||
Other agency | 3,011 | 92 | — | (14 | ) | 3,089 | ||||||||||||||
Non-agency RMBS | 4,013 | 1,130 | (6 | ) | (2 | ) | 5,135 | |||||||||||||
Non-agency CMBS | 3,410 | 246 | (6 | ) | (1 | ) | 3,649 | |||||||||||||
Obligations of states and political subdivisions | 396 | 6 | — | — | 402 | |||||||||||||||
Total available-for-sale securities | $49,637 | $2,163 | ($12 | ) | ($366 | ) | $51,422 | |||||||||||||
December 31, 2016 | ||||||||||||||||||||
Gross Unrealized Losses | ||||||||||||||||||||
(In millions) | Amortized Cost | Gross Unrealized Gains | Other-Than-Temporary Impairment(1) | Temporary Impairment(2) | Fair Value | |||||||||||||||
Available-for-sale securities: | ||||||||||||||||||||
Freddie Mac | $43,671 | $563 | $— | ($582 | ) | $43,652 | ||||||||||||||
Other agency | 4,127 | 119 | — | (25 | ) | 4,221 | ||||||||||||||
Non-agency RMBS | 10,606 | 1,271 | (62 | ) | (18 | ) | 11,797 | |||||||||||||
Non-agency CMBS | 6,288 | 160 | (3 | ) | (23 | ) | 6,422 | |||||||||||||
Obligations of states and political subdivisions | 657 | 8 | — | — | 665 | |||||||||||||||
Total available-for-sale securities | $65,349 | $2,121 | ($65 | ) | ($648 | ) | $66,757 |
December 31, 2023 | ||||||||||||||||||||
Amortized Cost Basis | Gross Unrealized Gains in Other Comprehensive Income | Gross Unrealized Losses in Other Comprehensive Income | Fair Value | Accrued Interest Receivable | ||||||||||||||||
(In millions) | ||||||||||||||||||||
Agency mortgage-related securities | $4,467 | $13 | ($110) | $4,370 | $10 | |||||||||||||||
Other mortgage-related securities | 340 | 188 | (8) | 520 | 3 | |||||||||||||||
Total available-for-sale securities | $4,807 | $201 | ($118) | $4,890 | $13 |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note |
March 31, 2024 | ||||||||||||||||||||
Less than 12 Months | 12 Months or Greater | |||||||||||||||||||
(In millions) | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||||||||
Agency mortgage-related securities | $575 | ($6) | $2,842 | ($120) | ||||||||||||||||
Other mortgage-related securities | 14 | (3) | 40 | (8) | ||||||||||||||||
Total available-for-sale securities in a gross unrealized loss position | $589 | ($9) | $2,882 | ($128) |
September 30, 2017 | ||||||||||||||||
Less than 12 Months | 12 Months or Greater | |||||||||||||||
(In millions) | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||||
Available-for-sale securities: | ||||||||||||||||
Freddie Mac | $9,741 | ($160 | ) | $5,612 | ($189 | ) | ||||||||||
Other agency | 4 | — | 1,551 | (14 | ) | |||||||||||
Non-agency RMBS | 6 | — | 122 | (8 | ) | |||||||||||
Non-agency CMBS | 241 | (1 | ) | 59 | (6 | ) | ||||||||||
Obligations of states and political subdivisions | 37 | — | — | — | ||||||||||||
Total available-for-sale securities in a gross unrealized loss position | $10,029 | ($161 | ) | $7,344 | ($217 | ) | ||||||||||
December 31, 2016 | ||||||||||||||||
Less than 12 Months | 12 Months or Greater | |||||||||||||||
(In millions) | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||||
Available-for-sale securities: | ||||||||||||||||
Freddie Mac | $19,786 | ($559 | ) | $1,732 | ($23 | ) | ||||||||||
Other agency | 542 | (6 | ) | 2,040 | (19 | ) | ||||||||||
Non-agency RMBS | 309 | (1 | ) | 2,188 | (79 | ) | ||||||||||
Non-agency CMBS | 383 | (2 | ) | 204 | (24 | ) | ||||||||||
Obligations of states and political subdivisions | 83 | — | — | — | ||||||||||||
Total available-for-sale securities in a gross unrealized loss position | $21,103 | ($568 | ) | $6,164 | ($145 | ) |
December 31, 2023 | ||||||||||||||||||||
Less than 12 Months | 12 Months or Greater | |||||||||||||||||||
(In millions) | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||||||||
Agency mortgage-related securities | $374 | ($1) | $3,006 | ($108) | ||||||||||||||||
Other mortgage-related securities | 23 | (4) | 23 | (5) | ||||||||||||||||
Total available-for-sale securities in a gross unrealized loss position | $397 | ($5) | $3,029 | ($113) |
(In millions) | 1Q 2024 | 1Q 2023 | |||||||||
Total Proceeds | $399 | $459 | |||||||||
Gross realized gains | $1 | $2 | |||||||||
Gross realized losses | (6) | (2) | |||||||||
Net realized gains (losses) | ($5) | $— |
(In millions) | 3Q 2017 | 3Q 2016 | YTD 2017 | YTD 2016 | |||||||||||
Gross realized gains | $806 | $510 | $1,153 | $1,003 | |||||||||||
Gross realized losses | (10 | ) | (13 | ) | (44 | ) | (48 | ) | |||||||
Net realized gains (losses) | $796 | $497 | $1,109 | $955 |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements|Note |
(In millions) | March 31, 2024 | December 31, 2023 | |||||||||
Debt of consolidated trusts | $3,050,038 | $3,041,927 | |||||||||
Debt of Freddie Mac: | |||||||||||
Short-term debt | 8,887 | 5,976 | |||||||||
Long-term debt | 152,817 | 160,443 | |||||||||
Total debt of Freddie Mac | 161,704 | 166,419 | |||||||||
Total debt | $3,211,742 | $3,208,346 |
Balance, Net | Interest Expense | ||||||||||||||||||||||
(In millions) | September 30, 2017 | December 31, 2016 | 3Q 2017 | 3Q 2016 | YTD 2017 | YTD 2016 | |||||||||||||||||
Debt securities of consolidated trusts held by third parties | $1,691,524 | $1,648,683 | $11,852 | $10,887 | $35,567 | $33,927 | |||||||||||||||||
Other debt: | |||||||||||||||||||||||
Short-term debt | 69,430 | 71,451 | 173 | 83 | 414 | 258 | |||||||||||||||||
Long-term debt | 248,624 | 281,870 | 1,319 | 1,384 | 3,984 | 4,338 | |||||||||||||||||
Total other debt | 318,054 | 353,321 | 1,492 | 1,467 | 4,398 | 4,596 | |||||||||||||||||
Total debt, net | $2,009,578 | $2,002,004 | $13,344 | $12,354 | $39,965 | $38,523 |
March 31, 2024 | December 31, 2023 | |||||||||||||||||||||||||||||||
(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: | ||||||||||||||||||||||||||||||||
20-and 30-year or more, fixed-rate | 2024 - 2061 | $2,616,819 | $2,653,655 | 3.12 | % | 2024 - 2061 | $2,603,100 | $2,640,550 | 3.06 | % | ||||||||||||||||||||||
15-year or less, fixed-rate | 2024 - 2039 | 317,001 | 321,732 | 2.22 | 2024 - 2039 | 326,242 | 331,291 | 2.20 | ||||||||||||||||||||||||
Adjustable-rate and other | 2024 - 2054 | 23,490 | 23,973 | 4.10 | 2024 - 2054 | 23,251 | 23,749 | 3.93 | ||||||||||||||||||||||||
Total Single-Family | 2,957,310 | 2,999,360 | 2,952,593 | 2,995,590 | ||||||||||||||||||||||||||||
Multifamily | 2024 - 2053 | 51,767 | 50,678 | 3.46 | 2024 - 2053 | 47,300 | 46,337 | 3.35 | ||||||||||||||||||||||||
Total debt of consolidated trusts | $3,009,077 | $3,050,038 | $2,999,893 | $3,041,927 |
September 30, 2017 | December 31, 2016 | ||||||||||||||||||||||||
(Dollars in millions) | Contractual Maturity | UPB | Carrying Amount | Weighted Average Coupon(1) | Contractual Maturity | UPB | Carrying Amount | Weighted Average Coupon(1) | |||||||||||||||||
Single-family: | |||||||||||||||||||||||||
30-year or more, fixed-rate(2) | 2017 - 2055 | $1,246,377 | $1,284,710 | 3.69 | % | 2017 - 2055 | $1,193,329 | $1,229,849 | 3.71 | % | |||||||||||||||
20-year fixed-rate | 2017 - 2037 | 74,560 | 76,772 | 3.44 | 2017 - 2037 | 74,033 | 76,331 | 3.49 | |||||||||||||||||
15-year fixed-rate | 2017 - 2032 | 262,508 | 268,335 | 2.87 | 2017 - 2032 | 267,739 | 273,978 | 2.90 | |||||||||||||||||
Adjustable-rate | 2017 - 2047 | 48,867 | 49,965 | 2.81 | 2017 - 2047 | 52,991 | 54,205 | 2.69 | |||||||||||||||||
Interest-only | 2026 - 2041 | 7,819 | 7,892 | 3.71 | 2026 - 2041 | 10,007 | 10,057 | 3.47 | |||||||||||||||||
FHA/VA | 2017 - 2046 | 886 | 906 | 4.87 | 2017 - 2046 | 1,015 | 1,038 | 4.92 | |||||||||||||||||
Total single-family | 1,641,017 | 1,688,580 | 1,599,114 | 1,645,458 | |||||||||||||||||||||
Multifamily(2) | 2019 - 2045 | 2,895 | 2,944 | 3.20 | 2019 - 2033 | 3,048 | 3,225 | 4.63 | |||||||||||||||||
Total debt securities of consolidated trusts held by third parties | $1,643,912 | $1,691,524 | $1,602,162 | $1,648,683 |
September 30, 2017 | December 31, 2016 | |||||||||||||||||||||
(Dollars in millions) | Par Value | Carrying Amount(1) | Weighted Average Effective Rate(2) | Par Value | Carrying Amount(1) | Weighted Average Effective Rate(2) | ||||||||||||||||
Other short-term debt: | ||||||||||||||||||||||
Discount notes and Reference Bills® | $48,465 | $48,340 | 1.05 | % | $61,042 | $60,976 | 0.47 | % | ||||||||||||||
Medium-term notes | 12,916 | 12,917 | 0.86 | 7,435 | 7,435 | 0.41 | ||||||||||||||||
Securities sold under agreements to repurchase | 8,173 | 8,173 | 0.75 | 3,040 | 3,040 | 0.42 | ||||||||||||||||
Total other short-term debt | $69,554 | $69,430 | 0.98 | $71,517 | $71,451 | 0.47 | ||||||||||||||||
Other long-term debt: | ||||||||||||||||||||||
Original maturities on or before December 31, | ||||||||||||||||||||||
2017 | $20,346 | $20,347 | 1.67 | % | $92,831 | $92,855 | 1.43 | % | ||||||||||||||
2018 | 70,909 | 70,959 | 1.17 | 71,392 | 71,500 | 1.18 | ||||||||||||||||
2019 | 55,818 | 55,762 | 1.56 | 46,436 | 46,378 | 1.59 | ||||||||||||||||
2020 | 32,156 | 32,119 | 1.63 | 13,274 | 13,254 | 1.54 | ||||||||||||||||
2021 | 21,314 | 21,336 | 1.78 | 20,372 | 20,341 | 1.81 | ||||||||||||||||
Thereafter | 50,567 | 48,101 | 4.21 | 40,921 | 37,542 | 4.36 | ||||||||||||||||
Total other long-term debt(3) | 251,110 | 248,624 | 2.00 | 285,226 | 281,870 | 1.81 | ||||||||||||||||
Total other debt | $320,664 | $318,054 | $356,743 | $353,321 |
March 31, 2024 | December 31, 2023 | |||||||||||||||||||||||||
(Dollars in millions) | Par Value | Carrying Amount | Weighted Average Effective Rate | Par Value | Carrying Amount | Weighted Average Effective Rate | ||||||||||||||||||||
Discount notes and Reference Bills® | $8,931 | $8,887 | 5.37 | % | $6,032 | $5,976 | 5.39 | % | ||||||||||||||||||
Freddie Mac 1Q 2024 Form 10-Q |
March 31, 2024 | December 31, 2023 | |||||||||||||||||||||||||||||||
(Dollars in millions) | Contractual Maturity | Par Value | Carrying Amount(1) | Weighted Average Effective Rate(2) | Contractual Maturity | Par Value | Carrying Amount(1) | Weighted Average Effective Rate(2) | ||||||||||||||||||||||||
Long-term debt: | ||||||||||||||||||||||||||||||||
Fixed-rate: | ||||||||||||||||||||||||||||||||
Medium-term notes — callable | 2024 - 2050 | $132,076 | $131,981 | 3.04 | % | 2024 - 2050 | $139,344 | $139,257 | 3.13 | % | ||||||||||||||||||||||
Medium-term notes — non-callable | 2024 - 2028 | 1,573 | 1,574 | 0.98 | 2024 - 2028 | 1,573 | 1,574 | 0.98 | ||||||||||||||||||||||||
Reference Notes securities — non-callable | 2025 - 2032 | 18,162 | 18,209 | 3.19 | 2025 - 2032 | 18,162 | 18,209 | 3.19 | ||||||||||||||||||||||||
SCR debt notes | 2031 - 2032 | 80 | 82 | 13.00 | 2031 - 2032 | 82 | 83 | 13.00 | ||||||||||||||||||||||||
Variable-rate: | ||||||||||||||||||||||||||||||||
Medium-term notes — callable | 2024 - 2029 | 1,729 | 1,727 | 4.60 | 2024 - 2028 | 1,869 | 1,867 | 4.81 | ||||||||||||||||||||||||
Medium-term notes — non-callable | 2026 | 47 | 47 | 8.10 | 2026 | 47 | 47 | 8.10 | ||||||||||||||||||||||||
STACR | 2024 - 2042 | 1,969 | 1,885 | 11.60 | 2024 - 2042 | 2,095 | 2,006 | 11.45 | ||||||||||||||||||||||||
Zero-coupon: | ||||||||||||||||||||||||||||||||
Medium-term notes — non-callable | 2024 - 2039 | 4,835 | 3,148 | 6.19 | 2024 - 2039 | 4,836 | 3,100 | 6.17 | ||||||||||||||||||||||||
Other | 2047 - 2053 | — | 122 | 0.83 | 2047 - 2053 | — | 121 | 0.84 | ||||||||||||||||||||||||
Hedging-related basis adjustments | N/A | (5,958) | N/A | (5,821) | ||||||||||||||||||||||||||||
Total long-term debt | $160,471 | $152,817 | 3.23 | % | $168,008 | $160,443 | 3.30 | % |
March 31, 2024 | ||||||||
(In millions) | Amounts | |||||||
Annual Maturities | ||||||||
Long-term debt (excluding STACR and SCR debt notes): | ||||||||
2024 | $27,525 | |||||||
2025 | 57,582 | |||||||
2026 | 17,711 | |||||||
2027 | 13,738 | |||||||
2028 | 10,248 | |||||||
Thereafter | 31,618 | |||||||
Debt of consolidated trusts, STACR, and SCR debt notes(1) | 3,011,126 | |||||||
Total | 3,169,548 | |||||||
Net discounts, premiums, debt issuance costs, hedge-related, and other basis adjustments(2) | 33,307 | |||||||
Total debt of consolidated trusts, STACR, SCR, and long-term debt | $3,202,855 |
Freddie Mac 1Q 2024 Form 10-Q | 67 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements |Note |
September 30, 2017 | December 31, 2016 | ||||||||||||||||||||||
Notional or Contractual Amount | Derivatives at Fair Value | Notional or Contractual Amount | Derivatives at Fair Value | ||||||||||||||||||||
(In millions) | Assets | Liabilities | Assets | Liabilities | |||||||||||||||||||
Not designated as hedges | |||||||||||||||||||||||
Interest-rate swaps: | |||||||||||||||||||||||
Receive-fixed | $326,297 | $2,342 | ($1,487 | ) | $313,106 | $4,337 | ($2,703 | ) | |||||||||||||||
Pay-fixed | 215,069 | 1,370 | (5,595 | ) | 271,477 | 2,586 | (9,684 | ) | |||||||||||||||
Basis (floating to floating) | 100 | — | — | 1,450 | 1 | — | |||||||||||||||||
Total interest-rate swaps | 541,466 | 3,712 | (7,082 | ) | 586,033 | 6,924 | (12,387 | ) | |||||||||||||||
Option-based: | |||||||||||||||||||||||
Call swaptions | |||||||||||||||||||||||
Purchased | 60,335 | 3,147 | — | 60,730 | 2,817 | — | |||||||||||||||||
Written | 7,400 | — | (99 | ) | 1,350 | — | (78 | ) | |||||||||||||||
Put swaptions | |||||||||||||||||||||||
Purchased(1) | 51,635 | 1,260 | — | 48,080 | 1,442 | — | |||||||||||||||||
Written | 2,750 | — | (18 | ) | 3,200 | — | (28 | ) | |||||||||||||||
Other option-based derivatives(2) | 10,767 | 808 | — | 11,032 | 795 | — | |||||||||||||||||
Total option-based | 132,887 | 5,215 | (117 | ) | 124,392 | 5,054 | (106 | ) | |||||||||||||||
Futures | 277,940 | — | — | 138,294 | — | — | |||||||||||||||||
Commitments | 85,992 | 133 | (77 | ) | 45,353 | 289 | (151 | ) | |||||||||||||||
Credit derivatives | 3,100 | 1 | (47 | ) | 2,951 | 1 | (27 | ) | |||||||||||||||
Other | 2,879 | 1 | (19 | ) | 2,879 | — | (21 | ) | |||||||||||||||
Total derivatives not designated as hedges | 1,044,264 | 9,062 | (7,342 | ) | 899,902 | 12,268 | (12,692 | ) | |||||||||||||||
Designated as fair value hedges | |||||||||||||||||||||||
Interest-rate swaps: | |||||||||||||||||||||||
Pay-fixed | 45,481 | 159 | (924 | ) | — | — | — | ||||||||||||||||
Total derivatives designated as fair value hedges | 45,481 | 159 | (924 | ) | — | — | — | ||||||||||||||||
Derivative interest receivable (payable) | 1,393 | (1,654 | ) | 1,442 | (1,770 | ) | |||||||||||||||||
Netting adjustments(3) | (9,909 | ) | 9,708 | (12,963 | ) | 13,667 | |||||||||||||||||
Total derivative portfolio, net | $1,089,745 | $705 | ($212 | ) | $899,902 | $747 | ($795 | ) |
March 31, 2024 | December 31, 2023 | |||||||||||||||||||||||||
Notional or Contractual Amount | Derivative Assets | Derivative Liabilities | Notional or Contractual Amount | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||
Not designated as hedges | ||||||||||||||||||||||||||
Interest-rate risk management derivatives: | ||||||||||||||||||||||||||
Swaps | $308,358 | $1,896 | ($394) | $351,193 | $1,638 | ($462) | ||||||||||||||||||||
Written options | 45,423 | — | (1,690) | 48,227 | — | (1,746) | ||||||||||||||||||||
Purchased options(1) | 82,160 | 4,107 | — | 89,790 | 4,251 | — | ||||||||||||||||||||
Futures | 90,146 | — | — | 132,982 | — | — | ||||||||||||||||||||
Total interest-rate risk management derivatives | 526,087 | 6,003 | (2,084) | 622,192 | 5,889 | (2,208) | ||||||||||||||||||||
Mortgage commitment derivatives | 45,803 | 15 | (8) | 26,911 | 43 | (10) | ||||||||||||||||||||
CRT-related derivatives(2) | 30,535 | — | (300) | 30,578 | — | (228) | ||||||||||||||||||||
Other | 15,777 | 33 | (656) | 14,572 | 3 | (567) | ||||||||||||||||||||
Total derivatives not designated as hedges | 618,202 | 6,051 | (3,048) | 694,253 | 5,935 | (3,013) | ||||||||||||||||||||
Designated as fair value hedges | ||||||||||||||||||||||||||
Interest-rate risk management derivatives: | ||||||||||||||||||||||||||
Swaps | 169,942 | 187 | (5,797) | 172,202 | 276 | (5,658) | ||||||||||||||||||||
Total derivatives designated as fair value hedges | 169,942 | 187 | (5,797) | 172,202 | 276 | (5,658) | ||||||||||||||||||||
Receivables (payables) | 6 | (17) | 17 | (36) | ||||||||||||||||||||||
Netting adjustments(3) | (5,952) | 7,810 | (5,742) | 7,834 | ||||||||||||||||||||||
Total derivative portfolio, net | $788,144 | $292 | ($1,052) | $866,455 | $486 | ($873) |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements |Note |
March 31, 2024 | December 31, 2023 | |||||||||||||||||||
Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | |||||||||||||||||
(In millions) | ||||||||||||||||||||
OTC derivatives | $6,191 | ($7,877) | $6,165 | ($7,866) | ||||||||||||||||
Cleared and exchange-traded derivatives | 2 | (21) | 13 | (36) | ||||||||||||||||
Mortgage commitment derivatives | 18 | (8) | 47 | (10) | ||||||||||||||||
Other | 33 | (956) | 3 | (795) | ||||||||||||||||
Total derivatives | 6,244 | (8,862) | 6,228 | (8,707) | ||||||||||||||||
Counterparty netting | (4,141) | 4,141 | (4,210) | 4,210 | ||||||||||||||||
Cash collateral netting(1) | (1,811) | 3,669 | (1,532) | 3,624 | ||||||||||||||||
Net amount presented in the consolidated balance sheets | 292 | (1,052) | 486 | (873) | ||||||||||||||||
Gross amount not offset in the consolidated balance sheets(2) | (159) | 42 | (366) | 47 | ||||||||||||||||
Net amount | $133 | ($1,010) | $120 | ($826) |
(In millions) | 1Q 2024 | 1Q 2023 | |||||||||
Not designated as hedges | |||||||||||
Interest-rate risk management derivatives: | |||||||||||
Swaps | $262 | $29 | |||||||||
Written options | 37 | 195 | |||||||||
Purchased options | 56 | (504) | |||||||||
Futures | 374 | (307) | |||||||||
Total interest-rate risk management derivatives fair value gains (losses) | 729 | (587) | |||||||||
Mortgage commitment derivatives | 40 | (80) | |||||||||
CRT-related derivatives(1) | (43) | (76) | |||||||||
Other | (108) | 61 | |||||||||
Total derivatives not designated as hedges fair value gains (losses) | $618 | ($682) |
(In millions) | 3Q 2017 | 3Q 2016 | YTD 2017 | YTD 2016 | |||||||||||
Not designated as hedges | |||||||||||||||
Interest-rate swaps: | |||||||||||||||
Receive-fixed | ($329 | ) | ($1,176 | ) | $195 | $3,707 | |||||||||
Pay-fixed | 352 | 1,717 | (78 | ) | (11,221 | ) | |||||||||
Basis (floating to floating) | — | — | (1 | ) | 1 | ||||||||||
Total interest-rate swaps | 23 | 541 | 116 | (7,513 | ) | ||||||||||
Option based: | |||||||||||||||
Call swaptions | |||||||||||||||
Purchased | (67 | ) | (116 | ) | (106 | ) | 3,283 | ||||||||
Written | 5 | 1 | 6 | (88 | ) | ||||||||||
Put swaptions | |||||||||||||||
Purchased | (145 | ) | (98 | ) | (481 | ) | (612 | ) | |||||||
Written | 7 | 2 | 49 | 49 | |||||||||||
Other option-based derivatives(1) | 2 | (24 | ) | 13 | 209 | ||||||||||
Total option-based | (198 | ) | (235 | ) | (519 | ) | 2,841 | ||||||||
Other: | |||||||||||||||
Futures | 18 | 103 | (212 | ) | (365 | ) | |||||||||
Commitments | (121 | ) | 8 | (128 | ) | (222 | ) | ||||||||
Credit derivatives | (2 | ) | (35 | ) | (33 | ) | (66 | ) | |||||||
Other | — | (2 | ) | (6 | ) | (4 | ) | ||||||||
Total other | (105 | ) | 74 | (379 | ) | (657 | ) | ||||||||
Accrual of periodic cash settlements: | |||||||||||||||
Receive-fixed interest-rate swaps | 343 | 586 | 1,198 | 1,825 | |||||||||||
Pay-fixed interest-rate swaps | (741 | ) | (1,003 | ) | (2,492 | ) | (3,152 | ) | |||||||
Other | — | 1 | — | 1 | |||||||||||
Total accrual of periodic cash settlements | (398 | ) | (416 | ) | (1,294 | ) | (1,326 | ) | |||||||
Total | ($678 | ) | ($36 | ) | ($2,076 | ) | ($6,655 | ) |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements |Note |
1Q 2024 | 1Q 2023 | ||||||||||||||||
(In millions) | Interest Income | Interest Expense | Interest Income | Interest Expense | |||||||||||||
Total amounts of income and expense line items presented in our condensed consolidated statements of income in which the effects of fair value hedges are recorded: | $28,385 | ($23,626) | $24,987 | ($20,486) | |||||||||||||
Interest contracts on mortgage loans held-for-investment: | |||||||||||||||||
Gain (loss) on fair value hedging relationships: | |||||||||||||||||
Hedged items | (995) | — | 1,123 | — | |||||||||||||
Derivatives designated as hedging instruments | 953 | — | (1,073) | — | |||||||||||||
Interest accruals on hedging instruments | 234 | — | 211 | — | |||||||||||||
Discontinued hedge related basis adjustments amortization | 43 | — | 31 | — | |||||||||||||
Interest contracts on debt: | |||||||||||||||||
Gain (loss) on fair value hedging relationships: | |||||||||||||||||
Hedged items | — | 134 | — | (1,535) | |||||||||||||
Derivatives designated as hedging instruments | — | (127) | — | 1,534 | |||||||||||||
Interest accruals on hedging instruments | — | (929) | — | (1,051) | |||||||||||||
Discontinued hedge related basis adjustment amortization | — | (2) | — | (38) | |||||||||||||
3Q 2017 | |||||||||
Gains (Losses) Recorded in Net Income | |||||||||
(In millions) | Derivative(1) | Hedged Item(1) | Hedge Ineffectiveness(2) | ||||||
Interest rate risk on mortgage loans held-for-investment | $85 | ($15 | ) | $70 |
March 31, 2024 | |||||||||||||||||||||||||||||
Carrying Amount Assets / (Liabilities) | Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount | Closed Portfolio Under the Portfolio Layer Method | |||||||||||||||||||||||||||
(In millions) | Total | Under the Portfolio Layer Method | Discontinued - Hedge Related | Total Amount by Amortized Cost Basis | Designated Amount by UPB | ||||||||||||||||||||||||
Mortgage loans held-for-investment | $1,107,342 | ($3,205) | ($546) | ($2,659) | $59,281 | $11,845 | |||||||||||||||||||||||
Mortgage loans held-for-sale | 131 | 1 | — | 1 | — | — | |||||||||||||||||||||||
Debt | (132,323) | 5,958 | — | 26 | — | — | |||||||||||||||||||||||
December 31, 2023 | |||||||||||||||||||||||||||||
Carrying Amount Assets / (Liabilities) | Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount | Closed Portfolio Under the Portfolio Layer Method | |||||||||||||||||||||||||||
(In millions) | Total | Under the Portfolio Layer Method | Discontinued - Hedge Related | Total Amount by Amortized Cost Basis | Designated Amount by UPB | ||||||||||||||||||||||||
Mortgage loans held-for-investment | $1,115,454 | ($2,253) | ($220) | ($2,033) | $59,786 | $11,670 | |||||||||||||||||||||||
Mortgage loans held-for-sale | 128 | 1 | — | 1 | — | — | |||||||||||||||||||||||
Debt | (143,407) | 5,821 | — | 29 | — | — |
YTD 2017 | |||||||||
Gains (Losses) Recorded in Net Income | |||||||||
(In millions) | Derivative(1) | Hedged Item(1) | Hedge Ineffectiveness(2) | ||||||
Interest rate risk on mortgage loans held-for-investment | ($215 | ) | $351 | $136 |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements |Note |
March 31, 2024 | ||||||||||||||||||||
(In millions) | Gross Amount Recognized | Amount Offset in the Condensed Consolidated Balance Sheets | Net Amount Presented in the Condensed Consolidated Balance Sheets | Gross Amount Not Offset in the Condensed Consolidated Balance Sheets(1) | Net Amount | |||||||||||||||
Assets: | ||||||||||||||||||||
Securities purchased under agreements to resell | $116,057 | ($13,800) | $102,257 | ($102,257) | $— | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Securities sold under agreements to repurchase | (13,800) | 13,800 | — | — | — |
December 31, 2023 | ||||||||||||||||||||
(In millions) | Gross Amount Recognized | Amount Offset in the Condensed Consolidated Balance Sheets | Net Amount Presented in the Condensed Consolidated Balance Sheets | Gross Amount Not Offset in the Condensed Consolidated Balance Sheets(1) | Net Amount | |||||||||||||||
Assets: | ||||||||||||||||||||
Securities purchased under agreements to resell | $105,393 | ($10,245) | $95,148 | ($95,148) | $— | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Securities sold under agreements to repurchase | (10,245) | 10,245 | — | — | — |
September 30, 2017 | |||||||||||||||||||||||
Gross Amount Recognized | Amount Offset in the Consolidated Balance Sheets | Net Amount Presented in the Consolidated Balance Sheets | Gross Amount Not Offset in the Consolidated Balance Sheets(2) | Net Amount | |||||||||||||||||||
(In millions) | Counterparty Netting | Cash Collateral Netting(1) | |||||||||||||||||||||
Assets: | |||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||
OTC derivatives | $8,467 | ($5,988 | ) | ($2,187 | ) | $292 | ($260 | ) | $32 | ||||||||||||||
Cleared and exchange-traded derivatives | 2,012 | (1,924 | ) | 190 | 278 | — | 278 | ||||||||||||||||
Other | 135 | — | — | 135 | — | 135 | |||||||||||||||||
Total derivatives | 10,614 | (7,912 | ) | (1,997 | ) | 705 | (260 | ) | 445 | ||||||||||||||
Securities purchased under agreements to resell(3) | 47,202 | — | — | 47,202 | (47,202 | ) | — | ||||||||||||||||
Total | $57,816 | ($7,912 | ) | ($1,997 | ) | $47,907 | ($47,462 | ) | $445 | ||||||||||||||
Liabilities: | |||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||
OTC derivatives | ($6,783 | ) | $5,989 | $728 | ($66 | ) | $— | ($66 | ) | ||||||||||||||
Cleared and exchange-traded derivatives | (2,994 | ) | 1,924 | 1,067 | (3 | ) | — | (3 | ) | ||||||||||||||
Other | (143 | ) | — | — | (143 | ) | — | (143 | ) | ||||||||||||||
Total derivatives | (9,920 | ) | 7,913 | 1,795 | (212 | ) | — | (212 | ) | ||||||||||||||
Securities sold under agreements to repurchase | (8,173 | ) | — | — | (8,173 | ) | 8,173 | — | |||||||||||||||
Total | ($18,093 | ) | $7,913 | $1,795 | ($8,385 | ) | $8,173 | ($212 | ) | ||||||||||||||
December 31, 2016 | |||||||||||||||||||||||
Gross Amount Recognized | Amount Offset in the Consolidated Balance Sheets | Net Amount Presented in the Consolidated Balance Sheets | Gross Amount Not Offset in the Consolidated Balance Sheets(2) | Net Amount | |||||||||||||||||||
(In millions) | Counterparty Netting | Cash Collateral Netting(1) | |||||||||||||||||||||
Assets: | |||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||
OTC derivatives | $8,531 | ($6,367 | ) | ($1,760 | ) | $404 | ($353 | ) | $51 | ||||||||||||||
Cleared and exchange-traded derivatives | 4,889 | (4,674 | ) | (162 | ) | 53 | — | 53 | |||||||||||||||
Other | 290 | — | — | 290 | — | 290 | |||||||||||||||||
Total derivatives | 13,710 | (11,041 | ) | (1,922 | ) | 747 | (353 | ) | 394 | ||||||||||||||
Securities purchased under agreements to resell(3) | 51,548 | — | — | 51,548 | (51,548 | ) | — | ||||||||||||||||
Total | $65,258 | ($11,041 | ) | ($1,922 | ) | $52,295 | ($51,901 | ) | $394 | ||||||||||||||
Liabilities: | |||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||
OTC derivatives | ($7,298 | ) | $6,367 | $469 | ($462 | ) | $274 | ($188 | ) | ||||||||||||||
Cleared and exchange-traded derivatives | (6,965 | ) | 4,705 | 2,126 | (134 | ) | — | (134 | ) | ||||||||||||||
Other | (199 | ) | — | — | (199 | ) | — | (199 | ) | ||||||||||||||
Total derivatives | (14,462 | ) | 11,072 | 2,595 | (795 | ) | 274 | (521 | ) | ||||||||||||||
Securities sold under agreements to repurchase | (3,040 | ) | — | — | (3,040 | ) | 3,040 | — | |||||||||||||||
Total | ($17,502 | ) | $11,072 | $2,595 | ($3,835 | ) | $3,314 | ($521 | ) |
September 30, 2017 | ||||||||||||||||
(In millions) | Derivatives | Securities sold under agreements to repurchase | Other(2) | Total | ||||||||||||
Debt securities of consolidated trusts(1) | $431 | $— | $199 | $630 | ||||||||||||
Available-for-sale securities | — | — | 335 | 335 | ||||||||||||
Trading securities | 2,875 | 8,240 | 383 | 11,498 | ||||||||||||
Total securities pledged that may be repledged by the secured party | $3,306 | $8,240 | $917 | $12,463 | ||||||||||||
December 31, 2016 | ||||||||||||||||
(In millions) | Derivatives | Securities sold under agreements to repurchase | Other(2) | Total | ||||||||||||
Debt securities of consolidated trusts(1) | $686 | $— | $— | $686 | ||||||||||||
Available-for-sale securities | — | — | 260 | 260 | ||||||||||||
Trading securities | 3,014 | 3,070 | — | 6,084 | ||||||||||||
Total securities pledged that may be repledged by the secured party | $3,700 | $3,070 | $260 | $7,030 |
March 31, 2024 | ||||||||||||||||||||
(In millions) | Overnight and Continuous | 30 Days or Less | After 30 Days Through 90 Days | Greater Than 90 Days | Total | |||||||||||||||
Securities sold under agreements to repurchase | $10,434 | $3,366 | $— | $— | $13,800 |
September 30, 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2023 | December 31, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Overnight and continuous | 30 days or less | After 30 days through 90 days | Greater than 90 days | Total | (In millions) | Overnight and Continuous | 30 Days or Less | After 30 Days Through 90 Days | Greater Than 90 Days | Total | |||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Treasury securities | $— | $8,240 | $— | $— | $8,240 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securities sold under agreements to repurchase |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements |Note 9 |
March 31, 2024 | |||||||||||||||||
(In millions) | Derivatives | Securities Sold Under Agreements to Repurchase | Other(1) | Total | |||||||||||||
Cash equivalents(2) | $— | $75 | $— | $75 | |||||||||||||
Trading securities | 1,903 | 5,500 | 2,330 | 9,733 | |||||||||||||
Other assets | — | 4,002 | — | 4,002 | |||||||||||||
Total securities pledged | $1,903 | $9,577 | $2,330 | $13,810 |
December 31, 2023 | |||||||||||||||||
(In millions) | Derivatives | Securities Sold Under Agreements to Repurchase | Other(1) | Total | |||||||||||||
Trading securities | $1,866 | $3,666 | $2,370 | $7,902 | |||||||||||||
Other assets | — | 4,555 | — | 4,555 | |||||||||||||
Total securities pledged | $1,866 | $8,221 | $2,370 | $12,457 |
YTD 2017 | ||||||||||||||||
(In millions) | AOCI Related to Available- For-Sale Securities | AOCI Related to Cash Flow Hedge Relationships | AOCI Related to Defined Benefit Plans | Total | ||||||||||||
Beginning balance | $915 | ($480 | ) | $21 | $456 | |||||||||||
Other comprehensive income before reclassifications(1) | 955 | — | (2 | ) | 953 | |||||||||||
Amounts reclassified from accumulated other comprehensive income | (709 | ) | 81 | (1 | ) | (629 | ) | |||||||||
Changes in AOCI by component | 246 | 81 | (3 | ) | 324 | |||||||||||
Ending balance | $1,161 | ($399 | ) | $18 | $780 | |||||||||||
YTD 2016 | ||||||||||||||||
(In millions) | AOCI Related to Available- For-Sale Securities | AOCI Related to Cash Flow Hedge Relationships | AOCI Related to Defined Benefit Plans | Total | ||||||||||||
Beginning balance | $1,740 | ($621 | ) | $34 | $1,153 | |||||||||||
Other comprehensive income before reclassifications(1) | 712 | — | 1 | 713 | ||||||||||||
Amounts reclassified from accumulated other comprehensive income | (531 | ) | 95 | (2 | ) | (438 | ) | |||||||||
Changes in AOCI by component | 181 | 95 | (1 | ) | 275 | |||||||||||
Ending balance | $1,921 | ($526 | ) | $33 | $1,428 |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements|Note |
Details about Accumulated Other Comprehensive Income Components | Affected Line Item in the Condensed Consolidated Statements of Comprehensive Income | |||||||||||||||||
(In millions) | 3Q 2017 | 3Q 2016 | YTD 2017 | YTD 2016 | ||||||||||||||
AOCI related to available-for-sale securities | ||||||||||||||||||
$796 | $497 | $1,109 | $955 | Other gains on investment securities recognized in earnings | ||||||||||||||
(1 | ) | (9 | ) | (17 | ) | (138 | ) | Net impairment of available-for-sale securities recognized in earnings | ||||||||||
795 | 488 | 1,092 | 817 | Total before tax | ||||||||||||||
(279 | ) | (171 | ) | (383 | ) | (286 | ) | Tax (expense) or benefit | ||||||||||
516 | 317 | 709 | 531 | Net of tax | ||||||||||||||
AOCI related to cash flow hedge relationships | ||||||||||||||||||
— | — | — | (1 | ) | Interest expense | |||||||||||||
(40 | ) | (47 | ) | (125 | ) | (146 | ) | Expense related to derivatives | ||||||||||
(40 | ) | (47 | ) | (125 | ) | (147 | ) | Total before tax | ||||||||||
14 | 18 | 44 | 52 | Tax (expense) or benefit | ||||||||||||||
(26 | ) | (29 | ) | (81 | ) | (95 | ) | Net of tax | ||||||||||
AOCI related to defined benefit plans | ||||||||||||||||||
1 | 1 | 1 | 3 | Salaries and employee benefits | ||||||||||||||
— | — | — | (1 | ) | Tax (expense) or benefit | |||||||||||||
1 | 1 | 1 | 2 | Net of tax | ||||||||||||||
Total reclassifications in the period | $491 | $289 | $629 | $438 | Net of tax |
(In millions) | 1Q 2024 | 1Q 2023 | ||||||||||||||||||
Interest income: | ||||||||||||||||||||
Mortgage loans | $26,229 | $23,304 | ||||||||||||||||||
Investment securities | 470 | 316 | ||||||||||||||||||
Securities purchased under agreements to resell | 1,532 | 1,220 | ||||||||||||||||||
Other | 154 | 147 | ||||||||||||||||||
Total interest income | 28,385 | 24,987 | ||||||||||||||||||
Interest expense: | ||||||||||||||||||||
Debt of consolidated trusts | (21,122) | (18,261) | ||||||||||||||||||
Debt of Freddie Mac: | ||||||||||||||||||||
Short-term debt | (256) | (154) | ||||||||||||||||||
Long-term debt | (2,248) | (2,071) | ||||||||||||||||||
Total interest expense | (23,626) | (20,486) | ||||||||||||||||||
Net interest income | 4,759 | 4,501 | ||||||||||||||||||
(Provision) benefit for credit losses | (181) | (395) | ||||||||||||||||||
Net interest income after (provision) benefit for credit losses | $4,578 | $4,106 |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements|Note |
Segment | Description | |||||
Single-Family | ||||||
Multifamily | Reflects results from our purchase, | ||||||
1Q 2024 | 1Q 2023 | |||||||||||||||||||||||||||||||
(In millions) | Single-Family | Multifamily | Total | Single-Family | Multifamily | Total | ||||||||||||||||||||||||||
Net interest income | $4,488 | $271 | $4,759 | $4,296 | $205 | $4,501 | ||||||||||||||||||||||||||
Non-interest income | ||||||||||||||||||||||||||||||||
Guarantee income | 19 | 477 | 496 | 32 | 434 | 466 | ||||||||||||||||||||||||||
Investment gains, net | (86) | 491 | 405 | (179) | (46) | (225) | ||||||||||||||||||||||||||
Other income | 53 | 44 | 97 | 54 | 31 | 85 | ||||||||||||||||||||||||||
Non-interest income | (14) | 1,012 | 998 | (93) | 419 | 326 | ||||||||||||||||||||||||||
Net revenues | 4,474 | 1,283 | 5,757 | 4,203 | 624 | 4,827 | ||||||||||||||||||||||||||
(Provision) benefit for credit losses | (120) | (61) | (181) | (318) | (77) | (395) | ||||||||||||||||||||||||||
Non-interest expense | (1,925) | (197) | (2,122) | (1,783) | (149) | (1,932) | ||||||||||||||||||||||||||
Income before income tax expense | 2,429 | 1,025 | 3,454 | 2,102 | 398 | 2,500 | ||||||||||||||||||||||||||
Income tax expense | (484) | (204) | (688) | (425) | (80) | (505) | ||||||||||||||||||||||||||
Net income | 1,945 | 821 | 2,766 | 1,677 | 318 | 1,995 | ||||||||||||||||||||||||||
Other comprehensive income (loss), net of taxes and reclassification adjustments | (5) | (20) | (25) | (1) | 55 | 54 | ||||||||||||||||||||||||||
Comprehensive income | $1,940 | $801 | $2,741 | $1,676 | $373 | $2,049 |
(In millions) | March 31, 2024 | December 31, 2023 | ||||||||||||
Single-Family | $3,042,952 | $3,038,910 | ||||||||||||
Multifamily | 443,087 | 440,797 | ||||||||||||
Total segment assets | 3,486,039 | 3,479,707 | ||||||||||||
Reconciling items(1) | (198,666) | (198,731) | ||||||||||||
Total assets per condensed consolidated balance sheets | $3,287,373 | $3,280,976 | ||||||||||||
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements|Note 12 |
March 31, 2024 | ||||||||||||||
(Dollars in millions) | Portfolio UPB(1) | % of Portfolio | SDQ Rate | |||||||||||
Region:(2) | ||||||||||||||
West | $909,769 | 30 | % | 0.41 | % | |||||||||
Northeast | 704,001 | 23 | 0.61 | |||||||||||
Southeast | 532,815 | 17 | 0.54 | |||||||||||
Southwest | 453,381 | 15 | 0.51 | |||||||||||
North Central | 442,742 | 15 | 0.52 | |||||||||||
Total | $3,042,708 | 100 | % | 0.52 | ||||||||||
State: | ||||||||||||||
California | $513,997 | 17 | % | 0.41 | ||||||||||
Texas | 214,630 | 7 | 0.54 | |||||||||||
Florida | 201,175 | 7 | 0.61 | |||||||||||
New York | 132,747 | 4 | 0.89 | |||||||||||
Illinois | 113,777 | 4 | 0.69 | |||||||||||
All other | 1,866,382 | 61 | 0.49 | |||||||||||
Total | $3,042,708 | 100 | % | 0.52 |
Freddie Mac 1Q 2024 Form 10-Q | 75 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements | Note |
(In millions) | 3Q 2017 | 3Q 2016 | YTD 2017 | YTD 2016 | |||||||||||
Segment Earnings (loss), net of taxes: | |||||||||||||||
Single-family Guarantee | $255 | $497 | $1,743 | $1,890 | |||||||||||
Multifamily | 374 | 744 | 1,212 | 1,156 | |||||||||||
Capital Markets | 4,042 | 1,088 | 5,591 | (78 | ) | ||||||||||
All Other | — | — | — | — | |||||||||||
Total Segment Earnings, net of taxes | 4,671 | 2,329 | 8,546 | 2,968 | |||||||||||
Net income | $4,671 | $2,329 | $8,546 | $2,968 | |||||||||||
Comprehensive income (loss) of segments: | |||||||||||||||
Single-family Guarantee | $255 | $496 | $1,741 | $1,889 | |||||||||||
Multifamily | 370 | 790 | 1,277 | 1,212 | |||||||||||
Capital Markets | 4,025 | 1,024 | 5,852 | 142 | |||||||||||
All Other | — | — | — | — | |||||||||||
Comprehensive income of segments | 4,650 | 2,310 | 8,870 | 3,243 | |||||||||||
Comprehensive income | $4,650 | $2,310 | $8,870 | $3,243 |
3Q 2017 | |||||||||||||||||||||||||||
Total Segment Earnings (Loss) | Total per Condensed Consolidated Statements of Comprehensive Income | ||||||||||||||||||||||||||
(In millions) | Single-family Guarantee | Multifamily | Capital Markets | All Other | Reclassifications | ||||||||||||||||||||||
Net interest income | $— | $342 | $804 | $— | $1,146 | $2,343 | $3,489 | ||||||||||||||||||||
Guarantee fee income(1) | 1,581 | 170 | — | — | 1,751 | (1,582 | ) | 169 | |||||||||||||||||||
Benefit (provision) for credit losses | (826 | ) | (22 | ) | — | — | (848 | ) | 132 | (716 | ) | ||||||||||||||||
Net impairment of available-for-sale securities recognized in earnings | — | — | 50 | — | 50 | (51 | ) | (1 | ) | ||||||||||||||||||
Derivative gains (losses) | (2 | ) | 22 | (324 | ) | — | (304 | ) | (374 | ) | (678 | ) | |||||||||||||||
Gains (losses) on trading securities | — | (47 | ) | (26 | ) | — | (73 | ) | — | (73 | ) | ||||||||||||||||
Gains (losses) on loans | — | (84 | ) | — | — | (84 | ) | 287 | 203 | ||||||||||||||||||
Other non-interest income (loss) | 405 | 314 | 5,757 | — | 6,476 | (622 | ) | 5,854 | |||||||||||||||||||
Administrative expenses | (353 | ) | (98 | ) | (73 | ) | — | (524 | ) | — | (524 | ) | |||||||||||||||
REO operations expense | (38 | ) | — | — | — | (38 | ) | 3 | (35 | ) | |||||||||||||||||
Other non-interest expense | (348 | ) | (11 | ) | (3 | ) | — | (362 | ) | (136 | ) | (498 | ) | ||||||||||||||
Income tax expense | (164 | ) | (212 | ) | (2,143 | ) | — | (2,519 | ) | — | (2,519 | ) | |||||||||||||||
Net income | 255 | 374 | 4,042 | — | 4,671 | — | 4,671 | ||||||||||||||||||||
Changes in unrealized gains (losses) related to available-for-sale securities | — | (4 | ) | (43 | ) | — | (47 | ) | — | (47 | ) | ||||||||||||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships | — | — | 26 | — | 26 | — | 26 | ||||||||||||||||||||
Changes in defined benefit plans | — | — | — | — | — | — | — | ||||||||||||||||||||
Total other comprehensive income (loss), net of taxes | — | (4 | ) | (17 | ) | — | (21 | ) | — | (21 | ) | ||||||||||||||||
Comprehensive income | $255 | $370 | $4,025 | $— | $4,650 | $— | $4,650 | ||||||||||||||||||||
YTD 2017 | |||||||||||||||||||||||||||
Total Segment Earnings (Loss) | Total per Condensed Consolidated Statements of Comprehensive Income | ||||||||||||||||||||||||||
(In millions) | Single-family Guarantee | Multifamily | Capital Markets | All Other | Reclassifications | ||||||||||||||||||||||
Net interest income | $— | $905 | $2,608 | $— | $3,513 | $7,150 | $10,663 | ||||||||||||||||||||
Guarantee fee income(1) | 4,505 | 483 | — | — | 4,988 | (4,512 | ) | 476 | |||||||||||||||||||
Benefit (provision) for credit losses | (775 | ) | (10 | ) | — | — | (785 | ) | 607 | (178 | ) | ||||||||||||||||
Net impairment of available-for-sale securities recognized in earnings | — | (4 | ) | 194 | — | 190 | (207 | ) | (17 | ) | |||||||||||||||||
Derivative gains (losses) | (34 | ) | (31 | ) | (757 | ) | — | (822 | ) | (1,254 | ) | (2,076 | ) | ||||||||||||||
Gains (losses) on trading securities | — | (62 | ) | (207 | ) | — | (269 | ) | — | (269 | ) | ||||||||||||||||
Gains (losses) on loans | — | (75 | ) | — | — | (75 | ) | 485 | 410 | ||||||||||||||||||
Other non-interest income (loss) | 1,115 | 972 | 6,924 | — | 9,011 | (1,981 | ) | 7,030 | |||||||||||||||||||
Administrative expense | (1,018 | ) | (288 | ) | (242 | ) | — | (1,548 | ) | — | (1,548 | ) | |||||||||||||||
REO operations expense | (138 | ) | — | — | — | (138 | ) | 10 | (128 | ) | |||||||||||||||||
Other non-interest expense | (1,001 | ) | (44 | ) | (8 | ) | — | (1,053 | ) | (298 | ) | (1,351 | ) | ||||||||||||||
Income tax expense | (911 | ) | (634 | ) | (2,921 | ) | — | (4,466 | ) | — | (4,466 | ) | |||||||||||||||
Net income | 1,743 | 1,212 | 5,591 | — | 8,546 | — | 8,546 | ||||||||||||||||||||
Changes in unrealized gains (losses) related to available-for-sale securities | — | 65 | 181 | — | 246 | — | 246 | ||||||||||||||||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships | — | — | 81 | — | 81 | — | 81 | ||||||||||||||||||||
Changes in defined benefit plans | (2 | ) | — | (1 | ) | — | (3 | ) | — | (3 | ) | ||||||||||||||||
Total other comprehensive income (loss), net of taxes | (2 | ) | 65 | 261 | — | 324 | — | 324 | |||||||||||||||||||
Comprehensive income | $1,741 | $1,277 | $5,852 | $— | $8,870 | $— | $8,870 |
3Q 2016 | |||||||||||||||||||||||||||
Total Segment Earnings (Loss) | Total per Condensed Consolidated Statements of Comprehensive Income | ||||||||||||||||||||||||||
(In millions) | Single-family Guarantee | Multifamily | Capital Markets | All Other | Reclassifications | ||||||||||||||||||||||
Net interest income | $— | $255 | $933 | $— | $1,188 | $2,458 | $3,646 | ||||||||||||||||||||
Guarantee fee income(1) | 1,641 | 134 | — | — | 1,775 | (1,642 | ) | 133 | |||||||||||||||||||
Benefit (provision) for credit losses | (297 | ) | 8 | — | — | (289 | ) | 176 | (113 | ) | |||||||||||||||||
Net impairment of available-for-sale securities recognized in earnings | — | — | 94 | — | 94 | (103 | ) | (9 | ) | ||||||||||||||||||
Derivative gains (losses) | (35 | ) | 205 | 212 | — | 382 | (418 | ) | (36 | ) | |||||||||||||||||
Gains (losses) on trading securities | — | 15 | (203 | ) | — | (188 | ) | — | (188 | ) | |||||||||||||||||
Gains (losses) on loans | — | 126 | — | — | 126 | 13 | 139 | ||||||||||||||||||||
Other non-interest income (loss) | 41 | 410 | 664 | — | 1,115 | (377 | ) | 738 | |||||||||||||||||||
Administrative expenses | (330 | ) | (89 | ) | (79 | ) | — | (498 | ) | — | (498 | ) | |||||||||||||||
REO operations expense | (59 | ) | — | — | — | (59 | ) | 3 | (56 | ) | |||||||||||||||||
Other non-interest expense | (311 | ) | (10 | ) | — | — | (321 | ) | (110 | ) | (431 | ) | |||||||||||||||
Income tax expense | (153 | ) | (310 | ) | (533 | ) | — | (996 | ) | — | (996 | ) | |||||||||||||||
Net income | 497 | 744 | 1,088 | — | 2,329 | — | 2,329 | ||||||||||||||||||||
Changes in unrealized gains (losses) related to available-for-sale securities | — | 46 | (93 | ) | — | (47 | ) | — | (47 | ) | |||||||||||||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships | — | — | 29 | — | 29 | — | 29 | ||||||||||||||||||||
Changes in defined benefit plans | (1 | ) | — | — | — | (1 | ) | — | (1 | ) | |||||||||||||||||
Total other comprehensive income (loss), net of taxes | (1 | ) | 46 | (64 | ) | — | (19 | ) | — | (19 | ) | ||||||||||||||||
Comprehensive income | $496 | $790 | $1,024 | $— | $2,310 | $— | $2,310 | ||||||||||||||||||||
YTD 2016 | |||||||||||||||||||||||||||
Total Segment Earnings (Loss) | Total per Condensed Consolidated Statements of Comprehensive Income | ||||||||||||||||||||||||||
(In millions) | Single-family Guarantee | Multifamily | Capital Markets | All Other | Reclassifications | ||||||||||||||||||||||
Net interest income | $— | $791 | $2,887 | $— | $3,678 | $6,816 | $10,494 | ||||||||||||||||||||
Guarantee fee income(1) | 4,427 | 366 | — | — | 4,793 | (4,426 | ) | 367 | |||||||||||||||||||
Benefit (provision) for credit losses | 113 | 19 | — | — | 132 | 997 | 1,129 | ||||||||||||||||||||
Net impairment of available-for-sale securities recognized in earnings | — | — | 224 | — | 224 | (362 | ) | (138 | ) | ||||||||||||||||||
Derivative gains (losses) | (64 | ) | (878 | ) | (4,386 | ) | — | (5,328 | ) | (1,327 | ) | (6,655 | ) | ||||||||||||||
Gains (losses) on trading securities | — | 119 | (12 | ) | — | 107 | — | 107 | |||||||||||||||||||
Gains (losses) on loans | — | 747 | — | — | 747 | (611 | ) | 136 | |||||||||||||||||||
Other non-interest income (loss) | 195 | 800 | 1,404 | — | 2,399 | (686 | ) | 1,713 | |||||||||||||||||||
Administrative expense | (939 | ) | (255 | ) | (227 | ) | — | (1,421 | ) | — | (1,421 | ) | |||||||||||||||
REO operations expense | (177 | ) | — | — | — | (177 | ) | 8 | (169 | ) | |||||||||||||||||
Other non-interest expense | (832 | ) | (43 | ) | (3 | ) | — | (878 | ) | (409 | ) | (1,287 | ) | ||||||||||||||
Income tax (expense) benefit | (833 | ) | (510 | ) | 35 | — | (1,308 | ) | — | (1,308 | ) | ||||||||||||||||
Net income (loss) | 1,890 | 1,156 | (78 | ) | — | 2,968 | — | 2,968 | |||||||||||||||||||
Changes in unrealized gains (losses) related to available-for-sale securities | — | 56 | 125 | — | 181 | — | 181 | ||||||||||||||||||||
Changes in unrealized gains (losses) related to cash flow hedge relationships | — | — | 95 | — | 95 | — | 95 | ||||||||||||||||||||
Changes in defined benefit plans | (1 | ) | — | — | — | (1 | ) | — | (1 | ) | |||||||||||||||||
Total other comprehensive income (loss), net of taxes | (1 | ) | 56 | 220 | — | 275 | — | 275 | |||||||||||||||||||
Comprehensive income | $1,889 | $1,212 | $142 | $— | $3,243 | $— | $3,243 |
March 31, 2024 | |||||||||||||||||
(Dollars in millions) | Portfolio UPB | % of Portfolio | Delinquency Rate(1) | ||||||||||||||
Region(2)(3): | |||||||||||||||||
West | $110,321 | 25 | % | 0.10 | % | ||||||||||||
Northeast | 107,670 | 24 | 0.72 | ||||||||||||||
Southwest | 91,795 | 21 | 0.32 | ||||||||||||||
Southeast | 89,530 | 20 | 0.16 | ||||||||||||||
North Central | 43,771 | 10 | 0.41 | ||||||||||||||
Total | $443,087 | 100 | % | 0.34 | |||||||||||||
State(3): | |||||||||||||||||
California | $58,752 | 13 | % | 0.03 | |||||||||||||
Texas | 56,448 | 13 | 0.34 | ||||||||||||||
Florida | 39,019 | 9 | 0.12 | ||||||||||||||
New York | 33,941 | 8 | 1.87 | ||||||||||||||
Georgia | 18,316 | 4 | 0.11 | ||||||||||||||
All other | 236,611 | 53 | 0.25 | ||||||||||||||
Total | $443,087 | 100 | % | 0.34 |
September 30, 2017 | December 31, 2016 | Percent of Credit Losses | |||||||||||||||
Percentage of Portfolio | Serious Delinquency Rate | Percentage of Portfolio | Serious Delinquency Rate | YTD 2017 | YTD 2016 | ||||||||||||
Loan Portfolio | |||||||||||||||||
Core single-family loan portfolio | 77 | % | 0.19 | % | 73 | % | 0.20 | % | 3 | % | 6 | % | |||||
Legacy and relief refinance single-family loan portfolio | 23 | 2.14 | % | 27 | 2.28 | % | 97 | 94 | |||||||||
Total | 100 | % | 0.86 | % | 100 | % | 1.00 | % | 100 | % | 100 | % | |||||
Region(1)(3) | |||||||||||||||||
West | 30 | % | 0.47 | % | 30 | % | 0.57 | % | 27 | % | 10 | % | |||||
Northeast | 25 | 1.24 | % | 25 | 1.45 | % | 34 | 40 | |||||||||
North Central | 16 | 0.81 | % | 16 | 0.93 | % | 16 | 25 | |||||||||
Southeast | 16 | 1.02 | % | 16 | 1.19 | % | 19 | 19 | |||||||||
Southwest | 13 | 0.67 | % | 13 | 0.78 | % | 4 | 6 | |||||||||
Total | 100 | % | 0.86 | % | 100 | % | 1.00 | % | 100 | % | 100 | % | |||||
State(2)(3) | |||||||||||||||||
California | 18 | % | 0.40 | % | 18 | % | 0.46 | % | 18 | % | 4 | % | |||||
Florida | 6 | 1.17 | % | 6 | 1.42 | % | 12 | 9 | |||||||||
Illinois | 5 | 1.14 | % | 5 | 1.34 | % | 9 | 10 | |||||||||
New Jersey | 3 | 1.82 | % | 3 | 2.26 | % | 9 | 11 | |||||||||
New York | 5 | 1.75 | % | 5 | 2.05 | % | 8 | 9 | |||||||||
All other | 63 | 0.78 | % | 63 | 0.90 | % | 44 | 57 | |||||||||
Total | 100 | % | 0.86 | % | 100 | % | 1.00 | % | 100 | % | 100 | % |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements|Note |
Percentage of Portfolio(1) | Serious Delinquency Rate(1) | ||||||||||
(Percentage of portfolio based on UPB) | September 30, 2017 | December 31, 2016 | September 30, 2017 | December 31, 2016 | |||||||
Interest-only | 1 | % | 1 | % | 4.68 | % | 4.34 | % | |||
Alt-A | 2 | % | 2 | % | 5.00 | % | 5.21 | % | |||
Original LTV ratio greater than 90%(2) | 17 | % | 16 | % | 1.32 | % | 1.58 | % | |||
Lower credit scores at origination (less than 620) | 2 | % | 2 | % | 5.22 | % | 5.73 | % |
YTD 2017 | YTD 2016 | |||||
Single-family Sellers | ||||||
Wells Fargo Bank, N.A. | 16 | % | 14 | % | ||
Other top 10 sellers | 37 | 33 | ||||
Top 10 single-family sellers | 53 | % | 47 | % | ||
Multifamily Sellers | ||||||
CBRE Capital Markets, Inc. | 17 | % | 17 | % | ||
Holliday Fenoglio Fowler, L.P. | 10 | 8 | ||||
Berkadia Commercial Mortgage LLC | 9 | 19 | ||||
Walker & Dunlop, LLC | 8 | 12 | ||||
Other top 10 sellers | 34 | 22 | ||||
Top 10 multifamily sellers | 78 | % | 78 | % |
September 30, 2017 | December 31, 2016 | |||||
Single-family Servicers | ||||||
Wells Fargo Bank, N.A. | 18 | % | 19 | % | ||
Other top 10 servicers | 41 | 41 | ||||
Top 10 single-family servicers | 59 | % | 60 | % | ||
Multifamily Servicers | ||||||
Wells Fargo Bank, N.A. | 15 | % | 15 | % | ||
CBRE Capital Markets, Inc. | 13 | 14 | ||||
Berkadia Commercial Mortgage LLC | 9 | 11 | ||||
Other top 10 servicers | 40 | 39 | ||||
Top 10 multifamily servicers | 77 | % | 79 | % |
Mortgage Insurance Coverage | ||||||||
Credit Rating(1) | September 30, 2017 | December 31, 2016 | ||||||
Arch Mortgage Insurance Company | A- | 24 | % | 25 | % | |||
Radian Guaranty Inc. | BBB- | 21 | 21 | |||||
Mortgage Guaranty Insurance Corporation | BBB | 20 | 20 | |||||
Genworth Mortgage Insurance Corporation | BB+ | 15 | 15 | |||||
Essent Guaranty, Inc. | BBB+ | 11 | 10 | % | ||||
Total | 91 | % | 91 | % |
March 31, 2024 | ||||||||||||||||||||
(In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustments(1) | Total | |||||||||||||||
Assets: | ||||||||||||||||||||
Investment securities: | ||||||||||||||||||||
Available-for-sale | $— | $4,092 | $637 | $— | $4,729 | |||||||||||||||
Trading: | ||||||||||||||||||||
Mortgage-related securities | — | 5,116 | 3,002 | — | 8,118 | |||||||||||||||
Non-mortgage-related securities | 28,136 | 417 | — | — | 28,553 | |||||||||||||||
Total trading securities | 28,136 | 5,533 | 3,002 | — | 36,671 | |||||||||||||||
Total investment securities | 28,136 | 9,625 | 3,639 | — | 41,400 | |||||||||||||||
Mortgage loans held-for-sale | — | 7,139 | 787 | — | 7,926 | |||||||||||||||
Mortgage loans held-for-investment | — | 1,236 | 695 | — | 1,931 | |||||||||||||||
Other assets: | ||||||||||||||||||||
Guarantee assets | — | — | 5,341 | — | 5,341 | |||||||||||||||
Derivative assets, net | — | 6,206 | 32 | (5,946) | 292 | |||||||||||||||
Other assets | — | 49 | 167 | — | 216 | |||||||||||||||
Total other assets | — | 6,255 | 5,540 | (5,946) | 5,849 | |||||||||||||||
Total assets carried at fair value on a recurring basis | $28,136 | $24,255 | $10,661 | ($5,946) | $57,106 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Debt: | ||||||||||||||||||||
Debt of consolidated trusts | $— | $1,951 | $360 | $— | $2,311 | |||||||||||||||
Debt of Freddie Mac | — | 295 | 90 | — | 385 | |||||||||||||||
Total debt | — | 2,246 | 450 | — | 2,696 | |||||||||||||||
Other liabilities: | ||||||||||||||||||||
Derivative liabilities, net | 4 | 8,763 | 78 | (7,793) | 1,052 | |||||||||||||||
Other liabilities | — | — | 1 | — | 1 | |||||||||||||||
Total other liabilities | 4 | 8,763 | 79 | (7,793) | 1,053 | |||||||||||||||
Total liabilities carried at fair value on a recurring basis | $4 | $11,009 | $529 | ($7,793) | $3,749 |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements|Note 13 |
December 31, 2023 | ||||||||||||||||||||
(In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustments(1) | Total | |||||||||||||||
Assets: | ||||||||||||||||||||
Investment securities: | ||||||||||||||||||||
Available-for-sale | $— | $4,212 | $678 | $— | $4,890 | |||||||||||||||
Trading: | ||||||||||||||||||||
Mortgage-related securities | — | 5,342 | 2,771 | — | 8,113 | |||||||||||||||
Non-mortgage-related securities | 29,854 | 418 | — | — | 30,272 | |||||||||||||||
Total trading securities | 29,854 | 5,760 | 2,771 | — | 38,385 | |||||||||||||||
Total investment securities | 29,854 | 9,972 | 3,449 | — | 43,275 | |||||||||||||||
Mortgage loans held-for-sale | — | 6,460 | 896 | — | 7,356 | |||||||||||||||
Mortgage loans held-for-investment | — | 1,333 | 473 | — | 1,806 | |||||||||||||||
Other assets: | ||||||||||||||||||||
Guarantee assets | — | — | 5,351 | — | 5,351 | |||||||||||||||
Derivative assets, net | — | 6,209 | 2 | (5,725) | 486 | |||||||||||||||
Other assets | — | 92 | 166 | — | 258 | |||||||||||||||
Total other assets | — | 6,301 | 5,519 | (5,725) | 6,095 | |||||||||||||||
Total assets carried at fair value on a recurring basis | $29,854 | $24,066 | $10,337 | ($5,725) | $58,532 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Debt: | ||||||||||||||||||||
Debt of consolidated trusts | $— | $1,707 | $343 | $— | $2,050 | |||||||||||||||
Debt of Freddie Mac | — | 336 | 90 | — | 426 | |||||||||||||||
Total debt | — | 2,043 | 433 | — | 2,476 | |||||||||||||||
Other liabilities: | ||||||||||||||||||||
Derivative liabilities, net | — | 8,608 | 63 | (7,798) | 873 | |||||||||||||||
Other liabilities | — | — | — | — | — | |||||||||||||||
Total other liabilities | — | 8,608 | 63 | (7,798) | 873 | |||||||||||||||
Total liabilities carried at fair value on a recurring basis | $— | $10,651 | $496 | ($7,798) | $3,349 |
September 30, 2017 | |||||||||||||||||||
(In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustment(1) | Total | ||||||||||||||
Assets: | |||||||||||||||||||
Investments in securities: | |||||||||||||||||||
Available-for-sale, at fair value: | |||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||
Freddie Mac | $— | $33,567 | $5,580 | $— | $39,147 | ||||||||||||||
Other agency | — | 3,041 | 48 | — | 3,089 | ||||||||||||||
Non-agency RMBS | — | — | 5,135 | — | 5,135 | ||||||||||||||
Non-agency CMBS | — | 180 | 3,469 | — | 3,649 | ||||||||||||||
Obligations of states and political subdivisions | — | — | 402 | — | 402 | ||||||||||||||
Total available-for-sale securities, at fair value | — | 36,788 | 14,634 | — | 51,422 | ||||||||||||||
Trading, at fair value: | |||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||
Freddie Mac | — | 11,881 | 1,030 | — | 12,911 | ||||||||||||||
Other agency | — | 4,742 | 268 | — | 5,010 | ||||||||||||||
All other | — | 27 | 271 | — | 298 | ||||||||||||||
Total mortgage-related securities | — | 16,650 | 1,569 | — | 18,219 | ||||||||||||||
Non-mortgage-related securities | 14,648 | 2,859 | — | — | 17,507 | ||||||||||||||
Total trading securities, at fair value | 14,648 | 19,509 | 1,569 | — | 35,726 | ||||||||||||||
Total investments in securities | 14,648 | 56,297 | 16,203 | — | 87,148 | ||||||||||||||
Mortgage loans: | |||||||||||||||||||
Held-for-sale, at fair value | — | 18,995 | — | — | 18,995 | ||||||||||||||
Derivative assets, net: | |||||||||||||||||||
Interest-rate swaps | — | 3,871 | — | — | 3,871 | ||||||||||||||
Option-based derivatives | — | 5,215 | — | — | 5,215 | ||||||||||||||
Other | — | 132 | 3 | — | 135 | ||||||||||||||
Subtotal, before netting adjustments | — | 9,218 | 3 | — | 9,221 | ||||||||||||||
Netting adjustments(1) | — | — | — | (8,516 | ) | (8,516 | ) | ||||||||||||
Total derivative assets, net | — | 9,218 | 3 | (8,516 | ) | 705 | |||||||||||||
Other assets: | |||||||||||||||||||
Guarantee asset, at fair value | — | — | 2,621 | — | 2,621 | ||||||||||||||
Non-derivative held-for-sale purchase commitments, at fair value | — | 140 | — | — | 140 | ||||||||||||||
All other, at fair value | — | — | — | — | — | ||||||||||||||
Total other assets | — | 140 | 2,621 | — | 2,761 | ||||||||||||||
Total assets carried at fair value on a recurring basis | $14,648 | $84,650 | $18,827 | ($8,516 | ) | $109,609 | |||||||||||||
Liabilities: | |||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value | $— | $15 | $531 | $— | $546 | ||||||||||||||
Other debt, at fair value | 5,173 | 89 | — | 5,262 | |||||||||||||||
Derivative liabilities, net: | |||||||||||||||||||
Interest-rate swaps | — | 8,006 | — | — | 8,006 | ||||||||||||||
Option-based derivatives | — | 117 | — | — | 117 | ||||||||||||||
Other | 76 | 67 | — | 143 | |||||||||||||||
Subtotal, before netting adjustments | — | 8,199 | 67 | — | 8,266 | ||||||||||||||
Netting adjustments(1) | — | — | — | (8,054 | ) | (8,054 | ) | ||||||||||||
Total derivative liabilities, net | — | 8,199 | 67 | (8,054 | ) | 212 | |||||||||||||
Other liabilities: | |||||||||||||||||||
Non-derivative held-for-sale purchase commitments, at fair value | — | 36 | — | — | 36 | ||||||||||||||
All other, at fair value | — | — | 23 | — | 23 | ||||||||||||||
Total liabilities carried at fair value on a recurring basis | $— | $13,423 | $710 | ($8,054 | ) | $6,079 |
December 31, 2016 | |||||||||||||||||||
(In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustment(1) | Total | ||||||||||||||
Assets: | |||||||||||||||||||
Investments in securities: | |||||||||||||||||||
Available-for-sale, at fair value: | |||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||
Freddie Mac | $— | $33,805 | $9,847 | $— | $43,652 | ||||||||||||||
Other agency | — | 4,155 | 66 | — | 4,221 | ||||||||||||||
Non-agency RMBS | — | — | 11,797 | — | 11,797 | ||||||||||||||
Non-agency CMBS | — | 3,056 | 3,366 | — | 6,422 | ||||||||||||||
Obligations of states and political subdivisions | — | — | 665 | — | 665 | ||||||||||||||
Total available-for-sale securities, at fair value | — | 41,016 | 25,741 | — | 66,757 | ||||||||||||||
Trading, at fair value: | |||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||
Freddie Mac | — | 14,248 | 1,095 | — | 15,343 | ||||||||||||||
Other agency | — | 8,149 | 12 | — | 8,161 | ||||||||||||||
All other | — | 36 | 113 | — | 149 | ||||||||||||||
Total mortgage-related securities | — | 22,433 | 1,220 | — | 23,653 | ||||||||||||||
Non-mortgage-related securities | 19,402 | 1,735 | — | — | 21,137 | ||||||||||||||
Total trading securities, at fair value | 19,402 | 24,168 | 1,220 | — | 44,790 | ||||||||||||||
Total investments in securities | 19,402 | 65,184 | 26,961 | — | 111,547 | ||||||||||||||
Mortgage loans: | |||||||||||||||||||
Held-for-sale, at fair value | — | 16,255 | — | — | 16,255 | ||||||||||||||
Derivative assets, net: | |||||||||||||||||||
Interest-rate swaps | — | 6,924 | — | — | 6,924 | ||||||||||||||
Option-based derivatives | — | 5,054 | — | — | 5,054 | ||||||||||||||
Other | — | 287 | 3 | — | 290 | ||||||||||||||
Subtotal, before netting adjustments | — | 12,265 | 3 | — | 12,268 | ||||||||||||||
Netting adjustments(1) | — | — | — | (11,521 | ) | (11,521 | ) | ||||||||||||
Total derivative assets, net | — | 12,265 | 3 | (11,521 | ) | 747 | |||||||||||||
Other assets: | |||||||||||||||||||
Guarantee asset, at fair value | — | — | 2,298 | — | 2,298 | ||||||||||||||
Non-derivative held-for-sale purchase commitments, at fair value | — | 108 | — | — | 108 | ||||||||||||||
All other, at fair value | — | — | 2 | — | 2 | ||||||||||||||
Total other assets | — | 108 | 2,300 | — | 2,408 | ||||||||||||||
Total assets carried at fair value on a recurring basis | $19,402 | $93,812 | $29,264 | ($11,521 | ) | $130,957 | |||||||||||||
Liabilities: | |||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value | $— | $144 | $— | $— | $144 | ||||||||||||||
Other debt, at fair value | — | 5,771 | 95 | — | 5,866 | ||||||||||||||
Derivative liabilities, net: | |||||||||||||||||||
Interest-rate swaps | — | 12,387 | — | — | 12,387 | ||||||||||||||
Option-based derivatives | — | 106 | — | — | 106 | ||||||||||||||
Other | — | 147 | 52 | — | 199 | ||||||||||||||
Subtotal, before netting adjustments | — | 12,640 | 52 | — | 12,692 | ||||||||||||||
Netting adjustments(1) | — | — | — | (11,897 | ) | (11,897 | ) | ||||||||||||
Total derivative liabilities, net | — | 12,640 | 52 | (11,897 | ) | 795 | |||||||||||||
Other liabilities: | |||||||||||||||||||
Non-derivative held-for-sale purchase commitments, at fair value | — | 37 | — | — | 37 | ||||||||||||||
Total liabilities carried at fair value on a recurring basis | $— | $18,592 | $147 | ($11,897 | ) | $6,842 |
September 30, 2017 | December 31, 2016 | ||||||||||||||||||||||||||||||
(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) | $— | $58 | $5,715 | $5,773 | $— | $199 | $2,483 | $2,682 |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements|Note 13 |
1Q 2024 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2024 | Total Realized/Unrealized Gains/Losses(1) | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3 | Balance, March 31, 2024 | Change in Unrealized Gains/Losses(1) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2024(2) | Change in Unrealized Gains/Losses(1), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2024 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Included in Earnings | Included in Other Comprehensive Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale | $678 | $— | ($5) | $— | $— | $— | ($36) | $— | $— | $637 | $— | ($4) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading | 2,771 | (112) | — | 359 | — | — | (16) | — | — | 3,002 | 19 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total investment securities | 3,449 | (112) | (5) | 359 | — | — | (52) | — | — | 3,639 | 19 | (4) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-sale | 896 | (6) | — | 294 | — | (273) | — | 35 | (159) | 787 | (7) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-investment | 473 | (24) | — | — | — | — | (47) | 298 | (5) | 695 | (29) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee assets | 5,351 | 111 | — | — | 105 | — | (226) | — | — | 5,341 | 111 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 168 | 20 | — | (10) | 1 | (5) | 25 | — | — | 199 | 19 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other assets | 5,519 | 131 | — | (10) | 106 | (5) | (201) | — | — | 5,540 | 130 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | 10,337 | (11) | (5) | 643 | 106 | (278) | (300) | 333 | (164) | 10,661 | 113 | (4) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt | $433 | $5 | $— | ($4) | $19 | $— | ($3) | $— | $— | $450 | $10 | $— | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | 63 | 15 | — | 2 | — | — | (1) | — | — | 79 | 16 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities | $496 | $20 | $— | ($2) | $19 | $— | ($4) | $— | $— | $529 | $26 | $— |
1Q 2023 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2023 | Total Realized/Unrealized Gains/Losses(1) | Purchases | Issues | Sales | Settlements, Net | Transfers into Level 3 | Transfers out of Level 3 | Balance, March 31, 2023 | Change in Unrealized Gains/Losses(1) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2023(2) | Change in Unrealized Gains/Losses(1), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2023 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Included in Earnings | Included in Other Comprehensive Income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale | $894 | $1 | ($3) | $— | $— | $— | ($39) | $— | $— | $853 | $— | ($3) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading | 2,731 | (139) | — | 324 | — | — | (11) | — | — | 2,905 | 33 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total investment securities | 3,625 | (138) | (3) | 324 | — | — | (50) | — | — | 3,758 | 33 | (3) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-sale | 310 | 1 | — | 26 | — | — | (1) | 11 | — | 347 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-investment | 110 | 2 | — | — | — | — | — | — | (48) | 64 | 2 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Guarantee assets | 5,442 | 85 | — | — | 127 | — | (222) | — | — | 5,432 | 85 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 131 | 16 | — | (10) | — | — | (9) | — | — | 128 | 16 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other assets | 5,573 | 101 | — | (10) | 127 | — | (231) | — | — | 5,560 | 101 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | $9,618 | ($34) | ($3) | $340 | $127 | $— | ($282) | $11 | ($48) | $9,729 | $136 | ($3) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt | $388 | ($12) | $— | $— | $12 | $— | ($4) | $— | $— | $384 | ($8) | $— | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | 97 | (18) | — | — | — | — | (2) | — | — | 77 | (19) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities | $485 | ($30) | $— | $— | $12 | $— | ($6) | $— | $— | $461 | ($27) | $— |
3Q 2017 | |||||||||||||||||||||||||||||||||||||||||||||||
Realized and unrealized gains (losses) | |||||||||||||||||||||||||||||||||||||||||||||||
Balance, July 1, 2017 | Included in earnings | Included in other comprehensive income | Total | Purchases | Issues | Sales | Settlements, net | Transfers into Level 3(1) | Transfers out of Level 3(1) | Balance, September 30, 2017 | Unrealized gains (losses) still held(3) | ||||||||||||||||||||||||||||||||||||
(In millions) | |||||||||||||||||||||||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Investments in securities: | |||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||||||||||||||||||||||||||||||
Freddie Mac | $5,686 | ($4 | ) | $82 | $78 | $141 | $— | $— | ($325 | ) | $— | $— | $5,580 | ($4 | ) | ||||||||||||||||||||||||||||||||
Other agency | 51 | — | — | — | — | — | — | (3 | ) | — | — | 48 | — | ||||||||||||||||||||||||||||||||||
Non-agency RMBS | 8,639 | 854 | (128 | ) | 726 | — | — | (3,953 | ) | (277 | ) | — | — | 5,135 | 38 | ||||||||||||||||||||||||||||||||
Non-agency CMBS | 3,470 | 1 | 5 | 6 | — | — | — | (7 | ) | — | — | 3,469 | 1 | ||||||||||||||||||||||||||||||||||
Obligations of states and political subdivisions | 481 | — | (1 | ) | (1 | ) | — | — | — | (78 | ) | — | — | 402 | — | ||||||||||||||||||||||||||||||||
Total available-for-sale mortgage-related securities | 18,327 | 851 | (42 | ) | 809 | 141 | — | (3,953 | ) | (690 | ) | — | — | 14,634 | 35 | ||||||||||||||||||||||||||||||||
Trading, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||||||||||||||||||||||||||||||
Freddie Mac | 888 | (45 | ) | — | (45 | ) | 587 | — | — | (4 | ) | — | (396 | ) | 1,030 | (43 | ) | ||||||||||||||||||||||||||||||
Other agency | 10 | (1 | ) | — | (1 | ) | 259 | — | — | — | — | — | 268 | (1 | ) | ||||||||||||||||||||||||||||||||
All other | 108 | (2 | ) | — | (2 | ) | 176 | — | — | (11 | ) | — | — | 271 | (2 | ) | |||||||||||||||||||||||||||||||
Total trading mortgage-related securities | 1,006 | (48 | ) | — | (48 | ) | 1,022 | — | — | (15 | ) | — | (396 | ) | 1,569 | (46 | ) | ||||||||||||||||||||||||||||||
Other assets: | |||||||||||||||||||||||||||||||||||||||||||||||
Guarantee asset | 2,480 | (1 | ) | — | (1 | ) | — | 265 | — | (123 | ) | — | — | 2,621 | (1 | ) | |||||||||||||||||||||||||||||||
Realized and unrealized (gains) losses | |||||||||||||||||||||||||||||||||||||||||||||||
Balance, July 1, 2017 | Included in earnings | Included in other comprehensive income | Total | Purchases | Issues | Sales | Settlements, net | Transfers into Level 3(1) | Transfers out of Level 3(1) | Balance, September 30, 2017 | Unrealized (gains) losses still held(3) | ||||||||||||||||||||||||||||||||||||
(In millions) | |||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value | $531 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $531 | $— | |||||||||||||||||||||||||||||||||||
Other debt, at fair value | 89 | — | — | — | — | — | — | — | — | — | 89 | — | |||||||||||||||||||||||||||||||||||
Net derivatives(2) | 68 | 2 | — | 2 | — | (1 | ) | — | (2 | ) | — | — | 67 | (2 | ) | ||||||||||||||||||||||||||||||||
Other liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||
All other, at fair value | 17 | (12 | ) | — | (12 | ) | 5 | — | 13 | — | — | — | 23 | (12 | ) |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements|Note 13 |
YTD 2017 | |||||||||||||||||||||||||||||||||||||||||||||||
Realized and unrealized gains (losses) | |||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2017 | Included in earnings | Included in other comprehensive income | Total | Purchases | Issues | Sales | Settlements, net | Transfers into Level 3(1) | Transfers out of Level 3(1) | Balance, September 30, 2017 | Unrealized gains (losses) still held(3) | ||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Investments in securities: | |||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||||||||||||||||||||||||||||||
Freddie Mac | $9,847 | ($6 | ) | $117 | $111 | $635 | $— | ($907 | ) | ($1,027 | ) | $17 | ($3,096 | ) | $5,580 | ($15 | ) | ||||||||||||||||||||||||||||||
Other agency | 66 | — | (1 | ) | (1 | ) | — | — | — | (9 | ) | — | (8 | ) | 48 | — | |||||||||||||||||||||||||||||||
Non-agency RMBS | 11,797 | 1,285 | (68 | ) | 1,217 | — | — | (6,649 | ) | (1,230 | ) | — | — | 5,135 | 111 | ||||||||||||||||||||||||||||||||
Non-agency CMBS | 3,366 | 4 | 128 | 132 | — | — | — | (29 | ) | — | — | 3,469 | 4 | ||||||||||||||||||||||||||||||||||
Obligations of states and political subdivisions | 665 | 1 | (2 | ) | (1 | ) | — | — | — | (262 | ) | — | — | 402 | — | ||||||||||||||||||||||||||||||||
Total available-for-sale mortgage-related securities | 25,741 | 1,284 | 174 | 1,458 | 635 | — | (7,556 | ) | (2,557 | ) | 17 | (3,104 | ) | 14,634 | 100 | ||||||||||||||||||||||||||||||||
Trading, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||||||||||||||||||||||||||||||
Freddie Mac | 1,095 | (121 | ) | — | (121 | ) | 889 | — | (592 | ) | (9 | ) | 14 | (246 | ) | 1,030 | (92 | ) | |||||||||||||||||||||||||||||
Other agency | 12 | (3 | ) | — | (3 | ) | 259 | — | — | — | — | — | 268 | (3 | ) | ||||||||||||||||||||||||||||||||
All other | 113 | — | — | — | 176 | — | — | (18 | ) | — | — | 271 | — | ||||||||||||||||||||||||||||||||||
Total trading mortgage-related securities | 1,220 | (124 | ) | — | (124 | ) | 1,324 | — | (592 | ) | (27 | ) | 14 | (246 | ) | 1,569 | (95 | ) | |||||||||||||||||||||||||||||
Other assets: | |||||||||||||||||||||||||||||||||||||||||||||||
Guarantee asset | 2,299 | (2 | ) | — | (2 | ) | — | 677 | — | (353 | ) | — | — | 2,621 | (2 | ) | |||||||||||||||||||||||||||||||
Realized and unrealized (gains) losses | |||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2017 | Included in earnings | Included in other comprehensive income | Total | Purchases | Issues | Sales | Settlements, net | Transfers into Level 3(1) | Transfers out of Level 3(1) | Balance, September 30, 2017 | Unrealized (gains) losses still held(3) | ||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value | $— | $1 | $— | $1 | $— | $530 | $— | $— | $— | $— | $531 | $1 | |||||||||||||||||||||||||||||||||||
Other debt, at fair value | 95 | — | — | — | — | — | — | (6 | ) | — | — | 89 | — | ||||||||||||||||||||||||||||||||||
Net derivatives(2) | 50 | 36 | — | 36 | — | — | — | (19 | ) | — | — | 67 | 19 | ||||||||||||||||||||||||||||||||||
Other liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||
All other, at fair value | (2 | ) | (5 | ) | — | (5 | ) | 17 | — | 13 | — | — | — | 23 | (5 | ) |
3Q 2016 | |||||||||||||||||||||||||||||||||||||||||||||||
Realized and unrealized gains (losses) | |||||||||||||||||||||||||||||||||||||||||||||||
Balance, July 1, 2016 | Included in earnings | Included in other comprehensive income | Total | Purchases | Issues | Sales | Settlements, net | Transfers into Level 3 | Transfers out of Level 3 | Balance, September 30, 2016 | Unrealized gains (losses) still held(3) | ||||||||||||||||||||||||||||||||||||
(In millions) | |||||||||||||||||||||||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Investments in securities: | |||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||||||||||||||||||||||||||||||
Freddie Mac | $11,462 | $— | ($38 | ) | ($38 | ) | $462 | $— | ($366 | ) | ($246 | ) | $— | ($4,134 | ) | $7,140 | ($1 | ) | |||||||||||||||||||||||||||||
Other agency | 73 | — | — | — | — | — | — | (4 | ) | — | — | 69 | — | ||||||||||||||||||||||||||||||||||
Non-agency RMBS | 15,497 | 437 | 214 | 651 | — | — | (2,869 | ) | (672 | ) | — | — | 12,607 | 87 | |||||||||||||||||||||||||||||||||
Non-agency CMBS | 3,611 | 1 | 125 | 126 | — | — | — | (8 | ) | — | — | 3,729 | 1 | ||||||||||||||||||||||||||||||||||
Obligations of states and political subdivisions | 890 | — | (2 | ) | (2 | ) | — | — | — | (92 | ) | — | — | 796 | — | ||||||||||||||||||||||||||||||||
Total available-for-sale mortgage-related securities | 31,533 | 438 | 299 | 737 | 462 | — | (3,235 | ) | (1,022 | ) | — | (4,134 | ) | 24,341 | 87 | ||||||||||||||||||||||||||||||||
Trading, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||||||||||||||||||||||||||||||
Freddie Mac | 315 | 11 | — | 11 | 753 | — | (5 | ) | (5 | ) | 99 | (234 | ) | 934 | 3 | ||||||||||||||||||||||||||||||||
Other agency | 615 | 4 | — | 4 | — | — | (112 | ) | (20 | ) | — | (474 | ) | 13 | — | ||||||||||||||||||||||||||||||||
All other | 1 | — | — | — | — | — | — | — | — | — | 1 | — | |||||||||||||||||||||||||||||||||||
Total trading mortgage-related securities | 931 | 15 | — | 15 | 753 | — | (117 | ) | (25 | ) | 99 | (708 | ) | 948 | 3 | ||||||||||||||||||||||||||||||||
Other assets: | |||||||||||||||||||||||||||||||||||||||||||||||
Guarantee asset | 2,057 | — | — | — | — | 204 | — | (96 | ) | — | — | 2,165 | — | ||||||||||||||||||||||||||||||||||
Realized and unrealized (gains) losses | |||||||||||||||||||||||||||||||||||||||||||||||
Balance, July 1, 2016 | Included in earnings | Included in other comprehensive income | Total | Purchases | Issues | Sales | Settlements, net | Transfers into Level 3 | Transfers out of Level 3 | Balance, September 30, 2016 | Unrealized (gains) losses still held(3) | ||||||||||||||||||||||||||||||||||||
(In millions) | |||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Other debt, at fair value | $52 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $52 | $— | |||||||||||||||||||||||||||||||||||
Net derivatives(2) | 27 | 39 | — | 39 | — | — | — | (9 | ) | — | — | 57 | 33 | ||||||||||||||||||||||||||||||||||
Other Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||
All other, at fair value | 15 | 10 | — | 10 | (25 | ) | — | — | — | — | — | — | 10 |
YTD 2016 | |||||||||||||||||||||||||||||||||||||||||||||||
Realized and unrealized gains (losses) | |||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2016 | Included in earnings | Included in other comprehensive income | Total | Purchases | Issues | Sales | Settlements, net | Transfers into Level 3 | Transfers out of Level 3 | Balance, September 30, 2016 | Unrealized gains (losses) still held(3) | ||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Investments in securities: | |||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||||||||||||||||||||||||||||||
Freddie Mac | $2,608 | $20 | $28 | $48 | $5,618 | $— | ($491 | ) | ($328 | ) | $— | ($315 | ) | $7,140 | ($1 | ) | |||||||||||||||||||||||||||||||
Other agency | 91 | — | (1 | ) | (1 | ) | — | — | — | (15 | ) | — | (6 | ) | 69 | — | |||||||||||||||||||||||||||||||
Non-agency RMBS | 20,333 | 810 | (73 | ) | 737 | — | — | (5,887 | ) | (2,576 | ) | — | — | 12,607 | 201 | ||||||||||||||||||||||||||||||||
Non-agency CMBS | 3,530 | 2 | 224 | 226 | — | — | — | (27 | ) | — | — | 3,729 | 2 | ||||||||||||||||||||||||||||||||||
Obligations of states and political subdivisions | 1,205 | 1 | (4 | ) | (3 | ) | — | — | — | (406 | ) | — | — | 796 | — | ||||||||||||||||||||||||||||||||
Total available-for-sale mortgage-related securities | 27,767 | 833 | 174 | 1,007 | 5,618 | — | (6,378 | ) | (3,352 | ) | — | (321 | ) | 24,341 | 202 | ||||||||||||||||||||||||||||||||
Trading, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||||||||||||||||||||||||||||||
Freddie Mac | 331 | (4 | ) | — | (4 | ) | 800 | — | (142 | ) | (3 | ) | 74 | (122 | ) | 934 | (4 | ) | |||||||||||||||||||||||||||||
Other agency | 41 | (1 | ) | — | (1 | ) | — | — | (20 | ) | (7 | ) | — | — | 13 | (2 | ) | ||||||||||||||||||||||||||||||
All other | 2 | — | — | — | — | — | — | (1 | ) | — | — | 1 | — | ||||||||||||||||||||||||||||||||||
Total trading mortgage-related securities | 374 | (5 | ) | — | (5 | ) | 800 | — | (162 | ) | (11 | ) | 74 | (122 | ) | 948 | (6 | ) | |||||||||||||||||||||||||||||
Other assets: | |||||||||||||||||||||||||||||||||||||||||||||||
Guarantee asset | 1,753 | 68 | — | 68 | — | 602 | — | (258 | ) | — | — | 2,165 | 68 | ||||||||||||||||||||||||||||||||||
Realized and unrealized (gains) losses | |||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2016 | Included in earnings | Included in other comprehensive income | Total | Purchases | Issues | Sales | Settlements, net | Transfers into Level 3 | Transfers out of Level 3 | Balance, September 30, 2016 | Unrealized (gains) losses still held(3) | ||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Other debt, at fair value | $— | $— | $— | $— | $— | $52 | $— | $— | $— | $— | $52 | $— | |||||||||||||||||||||||||||||||||||
Net derivatives(2) | 8 | 67 | — | 67 | — | 1 | — | (19 | ) | — | — | 57 | 48 | ||||||||||||||||||||||||||||||||||
Other Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||
All other, at fair value | 10 | 7 | — | 7 | (17 | ) | — | — | — | — | — | — | 7 |
March 31, 2024 | ||||||||||||||||||||||||||||||||
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 | $469 | Median of external sources | External pricing sources | $59.7 - $70.6 | $65.5 | |||||||||||||||||||||||||||
169 | Other | |||||||||||||||||||||||||||||||
Trading | 2,235 | Single external source | External pricing source | $0.0 - $4,251.3 | $129.4 | |||||||||||||||||||||||||||
767 | Other | |||||||||||||||||||||||||||||||
Mortgage loans held-for-sale | 787 | Single external source | External pricing source | $64.9 - $108.3 | $100.3 | |||||||||||||||||||||||||||
Mortgage loans held-for-investment | 695 | Single external source | External pricing source | $29.5 - $100.0 | $80.8 | |||||||||||||||||||||||||||
Guarantee assets | 5,012 | Discounted cash flows | OAS | 17 - 233 bps | 47 bps | |||||||||||||||||||||||||||
329 | Other | |||||||||||||||||||||||||||||||
Insignificant Level 3 assets(2) | 198 | |||||||||||||||||||||||||||||||
Total level 3 assets | $10,661 | |||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||
Insignificant Level 3 liabilities(2) | 529 | |||||||||||||||||||||||||||||||
Total level 3 liabilities | $529 |
December 31, 2023 | ||||||||||||||||||||||||||||||||
Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs | ||||||||||||||||||||||||||||||
(Dollars in millions, except for certain unobservable inputs as shown) | Type | Range | Weighted Average(1) | |||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
Investment securities: | ||||||||||||||||||||||||||||||||
Available-for-sale | $489 | Median of external sources | External pricing sources | $61.2 - $71.6 | $66.7 | |||||||||||||||||||||||||||
189 | Other | |||||||||||||||||||||||||||||||
Trading | 2,085 | Single external source | External pricing source | $0.0 - $4,471.7 | $147.3 | |||||||||||||||||||||||||||
686 | Other | |||||||||||||||||||||||||||||||
Mortgage loans held-for-sale | 896 | Single external source | External pricing source | $59.3 - $110.4 | $100.3 | |||||||||||||||||||||||||||
Mortgage loans held-for-investment | 473 | Single external source | External pricing source | $24.7 - $99.2 | $74.7 | |||||||||||||||||||||||||||
Guarantee assets | 5,014 | Discounted cash flows | OAS | 17 - 233 bps | 47 bps | |||||||||||||||||||||||||||
337 | Other | |||||||||||||||||||||||||||||||
Insignificant Level 3 assets(2) | 168 | |||||||||||||||||||||||||||||||
Total level 3 assets | $10,337 | |||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||
Insignificant Level 3 liabilities(2) | 496 | |||||||||||||||||||||||||||||||
Total level 3 liabilities | $496 |
September 30, 2017 | |||||||||
Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs(1) | |||||||
(Dollars in millions, except for certain unobservable inputs as shown) | Type | Range | Weighted Average | ||||||
Recurring fair value measurements | |||||||||
Assets | |||||||||
Investments in securities | |||||||||
Available-for-sale, at fair value | |||||||||
Mortgage-related securities | |||||||||
Freddie Mac | $5,393 | Discounted cash flows | OAS | 19 - 514 bps | 56 bps | ||||
187 | Other | ||||||||
Total Freddie Mac | 5,580 | ||||||||
Other agency | 29 | Median of external sources | |||||||
19 | Single external source | ||||||||
Total other agency | 48 | ||||||||
Non-agency RMBS | 4,511 | Median of external sources | External pricing sources | $74.7 - $79.3 | $76.4 | ||||
624 | Other | ||||||||
Total non-agency RMBS | 5,135 | ||||||||
Non-agency CMBS | 3,468 | Single external source | External pricing sources | $6.3 - $107.8 | $95.7 | ||||
1 | Other | ||||||||
Total non-agency CMBS | 3,469 | ||||||||
Obligations of states and political subdivisions | 366 | Median of external sources | External pricing sources | $101.3 - $101.7 | $101.5 | ||||
36 | Other | ||||||||
Total obligations of states and political subdivisions | 402 | ||||||||
Total available-for-sale mortgage-related securities | 14,634 | ||||||||
Trading, at fair value | |||||||||
Mortgage-related securities | |||||||||
Freddie Mac | 664 | Discounted cash flows | OAS | (7,125) - 27,202 bps | 144 bps | ||||
99 | Risk metrics | ||||||||
98 | Single external source | ||||||||
169 | Other | ||||||||
Total Freddie Mac | 1,030 | ||||||||
Other agency | 208 | Discounted cash flows | OAS | (562) - 424 bps | (60) bps | ||||
60 | Risk metrics | ||||||||
Total other agency | 268 | ||||||||
All other | 171 | Risk metrics | Effective duration | 0.00 - 7.32 years | 7.32 years | ||||
99 | Single external source | ||||||||
1 | Other | ||||||||
Total all other | 271 | ||||||||
Total trading mortgage-related securities | 1,569 | ||||||||
Total investments in securities | $16,203 | ||||||||
Other assets: | |||||||||
Guarantee asset, at fair value | $2,621 | Discounted cash flow | OAS | 17 - 198 bps | 42 bps | ||||
Liabilities | |||||||||
Debt securities of consolidated trusts held by third parties, at fair value | 531 | Single External Source | External Pricing Sources | $100.0 - $100.5 | $100.1 | ||||
Other debt, at fair value | 89 | Other | |||||||
Net derivatives | 67 | Other | |||||||
Other liabilities | |||||||||
All other, at fair value | 23 | Other |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements|Note 13 |
December 31, 2016 | |||||||||||
Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs(1) | |||||||||
(Dollars in millions, except for certain unobservable inputs as shown) | Type | Range | Weighted Average | ||||||||
Recurring fair value measurements | |||||||||||
Assets | |||||||||||
Investments in securities | |||||||||||
Available-for-sale, at fair value | |||||||||||
Mortgage-related securities | |||||||||||
Freddie Mac | $7,619 | Discounted cash flows | OAS | (146) - 500 bps | 91 bps | ||||||
129 | Median of external sources | External pricing sources | $100.8 - $103.3 | $101.8 | |||||||
66 | Single external source | ||||||||||
60 | Risk Metrics | ||||||||||
1,973 | Other | ||||||||||
Total Freddie Mac | 9,847 | ||||||||||
Other agency | 32 | Median of external sources | |||||||||
23 | Single external source | ||||||||||
11 | Other | ||||||||||
Total other agency | 66 | ||||||||||
Non-agency RMBS | 9,974 | Median of external sources | External pricing sources | $74.0 - $78.8 | $76.0 | ||||||
1,823 | Other | ||||||||||
Total non-agency RMBS | 11,797 | ||||||||||
Non-agency CMBS | 3,365 | Risk Metrics | Effective duration | 2.15 - 10.02 years | 8.57 years | ||||||
1 | Other | ||||||||||
Total non-agency CMBS | 3,366 | ||||||||||
Obligations of states and political subdivisions | 619 | Median of external sources | External pricing sources | $100.9 - $101.5 | $101.2 | ||||||
46 | Other | ||||||||||
Total obligations of states and political subdivisions | 665 | ||||||||||
Total available-for-sale mortgage-related securities | 25,741 | ||||||||||
Trading, at fair value | |||||||||||
Mortgage-related securities | |||||||||||
Freddie Mac | 452 | Risk metrics | Effective duration | (5.07) - 46.37 years | 6.94 years | ||||||
311 | Discounted cash flows | OAS | (3,346) - 2,460 bps | (224) bps | |||||||
5 | Single external source | ||||||||||
4 | Median of external sources | ||||||||||
323 | Other | ||||||||||
Total Freddie Mac | 1,095 | ||||||||||
Other agency | 12 | Discounted cash flows | |||||||||
All other | 113 | Risk metrics | Effective duration | 0.14 - 4.08 years | 2.52 years | ||||||
Total trading mortgage-related securities | 1,220 | ||||||||||
Total investments in securities | $26,961 | ||||||||||
Other assets: | |||||||||||
Guarantee asset, at fair value | $2,091 | Discounted cash flows | OAS | 17 - 198 bps | 50 bps | ||||||
207 | Other | ||||||||||
Total guarantee asset, at fair value | 2,298 | ||||||||||
All other at fair value | 2 | Other | |||||||||
Total other assets | 2,300 | �� | |||||||||
Liabilities | |||||||||||
Other debt, at fair value | 95 | Other | |||||||||
Net derivatives | 49 | Other |
March 31, 2024 | December 31, 2023 | |||||||||||||||||||||||||||||||
(In millions) | Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Mortgage loans(1) | $— | $407 | $1,280 | $1,687 | $— | $640 | $1,578 | $2,218 |
March 31, 2024 | ||||||||||||||||||||||||||
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) | |||||||||||||||||||||||
Mortgage loans | $1,076 | Median of external sources | External pricing sources | $74.8 - $98.6 | $83.2 | |||||||||||||||||||||
204 | Other | |||||||||||||||||||||||||
Total | $1,280 | |||||||||||||||||||||||||
December 31, 2023 | ||||||||||||||||||||||||||
Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs | ||||||||||||||||||||||||
(Dollars in millions, except for certain unobservable inputs as shown) | Type | Range | Weighted Average(1) | |||||||||||||||||||||||
Mortgage loans | $1,394 | Median of external sources | External pricing sources | $72.9 - $98.8 | $82.4 | |||||||||||||||||||||
184 | Other | |||||||||||||||||||||||||
Total | $1,578 |
Freddie Mac 1Q 2024 Form 10-Q | |||||||||||||||||
Notes to the |
March 31, 2024 | |||||||||||||||||||||||||||||||||||||||||
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 | $3,531 | $3,531 | $— | $— | $— | $3,531 | ||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Amortized cost | 102,257 | — | 116,057 | — | (13,800) | 102,257 | ||||||||||||||||||||||||||||||||||
Investment securities: | |||||||||||||||||||||||||||||||||||||||||
Available-for-sale | FV - OCI | 4,729 | — | 4,092 | 637 | — | 4,729 | ||||||||||||||||||||||||||||||||||
Trading | FV - NI | 36,671 | 28,136 | 5,533 | 3,002 | — | 36,671 | ||||||||||||||||||||||||||||||||||
Total investment securities | 41,400 | 28,136 | 9,625 | 3,639 | — | 41,400 | |||||||||||||||||||||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-sale | 12,034 | — | 8,826 | 3,383 | — | 12,209 | |||||||||||||||||||||||||||||||||||
Mortgage loans held-for-investment, net of allowance for credit losses | 3,088,687 | — | 2,412,334 | 267,683 | — | 2,680,017 | |||||||||||||||||||||||||||||||||||
Total mortgage loans | Various(3) | 3,100,721 | — | 2,421,160 | 271,066 | — | 2,692,226 | ||||||||||||||||||||||||||||||||||
Other assets: | |||||||||||||||||||||||||||||||||||||||||
Guarantee assets | FV - NI | 5,341 | — | — | 5,343 | — | 5,343 | ||||||||||||||||||||||||||||||||||
Derivative assets, net | FV - NI | 292 | — | 6,206 | 32 | (5,946) | 292 | ||||||||||||||||||||||||||||||||||
Other assets(4) | Various | 2,910 | — | 434 | 2,482 | — | 2,916 | ||||||||||||||||||||||||||||||||||
Total other assets | 8,543 | — | 6,640 | 7,857 | (5,946) | 8,551 | |||||||||||||||||||||||||||||||||||
Total financial assets | $3,256,452 | $31,667 | $2,553,482 | $282,562 | ($19,746) | $2,847,965 | |||||||||||||||||||||||||||||||||||
Financial Liabilities | |||||||||||||||||||||||||||||||||||||||||
Debt: | |||||||||||||||||||||||||||||||||||||||||
Debt of consolidated trusts | $3,050,038 | $— | $2,632,804 | $737 | $— | $2,633,541 | |||||||||||||||||||||||||||||||||||
Debt of Freddie Mac | 161,704 | — | 172,726 | 3,361 | (13,800) | 162,287 | |||||||||||||||||||||||||||||||||||
Total debt | Various(5) | 3,211,742 | — | 2,805,530 | 4,098 | (13,800) | 2,795,828 | ||||||||||||||||||||||||||||||||||
Other liabilities: | |||||||||||||||||||||||||||||||||||||||||
Guarantee obligations | Amortized cost | 5,302 | — | 102 | 6,348 | — | 6,450 | ||||||||||||||||||||||||||||||||||
Derivative liabilities, net | FV - NI | 1,052 | 4 | 8,763 | 78 | (7,793) | 1,052 | ||||||||||||||||||||||||||||||||||
Other liabilities(4) | FV - NI | 14 | — | 423 | 169 | — | 592 | ||||||||||||||||||||||||||||||||||
Total other liabilities | 6,368 | 4 | 9,288 | 6,595 | (7,793) | 8,094 | |||||||||||||||||||||||||||||||||||
Total financial liabilities | $3,218,110 | $4 | $2,814,818 | $10,693 | ($21,593) | $2,803,922 |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements|Note 13 |
December 31, 2023 | |||||||||||||||||||||||||||||||||||||||||
GAAP Measurement Category(1) | Carrying Amount | Fair Value | |||||||||||||||||||||||||||||||||||||||
(In millions) | Level 1 | Level 2 | Level 3 | Netting Adjustments(2) | Total | ||||||||||||||||||||||||||||||||||||
Financial Assets | |||||||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | Amortized cost | $6,019 | $6,019 | $— | $— | $— | $6,019 | ||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Amortized cost | 95,148 | — | 105,393 | — | (10,245) | 95,148 | ||||||||||||||||||||||||||||||||||
Investment securities: | |||||||||||||||||||||||||||||||||||||||||
Available-for-sale | FV - OCI | 4,890 | — | 4,212 | 678 | — | 4,890 | ||||||||||||||||||||||||||||||||||
Trading | FV - NI | 38,385 | 29,854 | 5,760 | 2,771 | — | 38,385 | ||||||||||||||||||||||||||||||||||
Total investment securities | 43,275 | 29,854 | 9,972 | 3,449 | — | 43,275 | |||||||||||||||||||||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||||||||||||||||||||
Mortgage loans held-for-sale | 12,941 | — | 9,276 | 3,868 | — | 13,144 | |||||||||||||||||||||||||||||||||||
Mortgage loans held-for-investment, net of allowance for credit losses | 3,083,665 | — | 2,466,127 | 254,877 | — | 2,721,004 | |||||||||||||||||||||||||||||||||||
Total mortgage loans | Various(3) | 3,096,606 | — | 2,475,403 | 258,745 | — | 2,734,148 | ||||||||||||||||||||||||||||||||||
Other assets: | |||||||||||||||||||||||||||||||||||||||||
Guarantee assets | FV - NI | 5,351 | — | — | 5,353 | — | 5,353 | ||||||||||||||||||||||||||||||||||
Derivative assets, net | FV - NI | 486 | — | 6,209 | 2 | (5,725) | 486 | ||||||||||||||||||||||||||||||||||
Other assets(4) | Various | 2,107 | — | 946 | 1,165 | — | 2,111 | ||||||||||||||||||||||||||||||||||
Total other assets | 7,944 | — | 7,155 | 6,520 | (5,725) | 7,950 | |||||||||||||||||||||||||||||||||||
Total financial assets | $3,248,992 | $35,873 | $2,597,923 | $268,714 | ($15,970) | $2,886,540 | |||||||||||||||||||||||||||||||||||
Financial Liabilities | |||||||||||||||||||||||||||||||||||||||||
Debt: | |||||||||||||||||||||||||||||||||||||||||
Debt of consolidated trusts | $3,041,927 | $— | $2,673,019 | $727 | $— | $2,673,746 | |||||||||||||||||||||||||||||||||||
Debt of Freddie Mac | 166,419 | — | 173,877 | 3,391 | (10,245) | 167,023 | |||||||||||||||||||||||||||||||||||
Total debt | Various(5) | 3,208,346 | — | 2,846,896 | 4,118 | (10,245) | 2,840,769 | ||||||||||||||||||||||||||||||||||
Other liabilities: | |||||||||||||||||||||||||||||||||||||||||
Guarantee obligations | Amortized cost | 5,451 | — | 103 | 6,023 | — | 6,126 | ||||||||||||||||||||||||||||||||||
Derivative liabilities, net | FV - NI | 873 | — | 8,608 | 63 | (7,798) | 873 | ||||||||||||||||||||||||||||||||||
Other liabilities(4) | FV - NI | 14 | — | 465 | 194 | — | 659 | ||||||||||||||||||||||||||||||||||
Total other liabilities | 6,338 | — | 9,176 | 6,280 | (7,798) | 7,658 | |||||||||||||||||||||||||||||||||||
Total financial liabilities | $3,214,684 | $— | $2,856,072 | $10,398 | ($18,043) | $2,848,427 |
September 30, 2017 | |||||||||||||||||||||||
Fair Value | |||||||||||||||||||||||
(In millions) | GAAP Carrying Amount | Level 1 | Level 2 | Level 3 | Netting Adjustments(1) | Total | |||||||||||||||||
Financial Assets | |||||||||||||||||||||||
Cash and cash equivalents | $8,183 | $8,183 | $— | $— | $— | $8,183 | |||||||||||||||||
Restricted cash and cash equivalents | 7,684 | 7,684 | — | — | — | 7,684 | |||||||||||||||||
Securities purchased under agreements to resell | 47,202 | — | 47,202 | — | — | 47,202 | |||||||||||||||||
Investments in securities: | |||||||||||||||||||||||
Available-for-sale, at fair value | 51,422 | — | 36,788 | 14,634 | — | 51,422 | |||||||||||||||||
Trading, at fair value | 35,726 | 14,648 | 19,509 | 1,569 | — | 35,726 | |||||||||||||||||
Total investments in securities | 87,148 | 14,648 | 56,297 | 16,203 | — | 87,148 | |||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||
Loans held by consolidated trusts | 1,738,858 | — | 1,613,122 | 141,914 | — | 1,755,036 | |||||||||||||||||
Loans held by Freddie Mac | 106,034 | — | 34,015 | 75,050 | — | 109,065 | |||||||||||||||||
Total mortgage loans | 1,844,892 | — | 1,647,137 | 216,964 | — | 1,864,101 | |||||||||||||||||
Derivative assets, net | 705 | — | 9,218 | 3 | (8,516 | ) | 705 | ||||||||||||||||
Guarantee asset | 2,621 | — | — | 2,789 | — | 2,789 | |||||||||||||||||
Non-derivative purchase commitments, at fair value | 140 | — | 140 | 45 | — | 185 | |||||||||||||||||
Advances to lenders and other secured lending | 1,649 | — | 303 | 1,346 | — | 1,649 | |||||||||||||||||
Total financial assets | $2,000,224 | $30,515 | $1,760,297 | $237,350 | ($8,516 | ) | $2,019,646 | ||||||||||||||||
Financial Liabilities | |||||||||||||||||||||||
Debt, net: | |||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties | $1,691,524 | $— | $1,700,555 | $3,419 | $— | $1,703,974 | |||||||||||||||||
Other debt | 318,054 | — | 318,649 | 4,166 | — | 322,815 | |||||||||||||||||
Total debt, net | 2,009,578 | — | 2,019,204 | 7,585 | — | 2,026,789 | |||||||||||||||||
Derivative liabilities, net | 212 | — | 8,199 | 67 | (8,054 | ) | 212 | ||||||||||||||||
Guarantee obligation | 2,503 | — | — | 3,217 | — | 3,217 | |||||||||||||||||
Non-derivative purchase commitments, at fair value | 36 | — | 36 | 32 | — | 68 | |||||||||||||||||
Total financial liabilities | $2,012,329 | $— | $2,027,439 | $10,901 | ($8,054 | ) | $2,030,286 |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements|Note 13 |
December 31, 2016 | |||||||||||||||||||||||
Fair Value | |||||||||||||||||||||||
(In millions) | GAAP Carrying Amount | Level 1 | Level 2 | Level 3 | Netting Adjustments(1) | Total | |||||||||||||||||
Financial Assets | |||||||||||||||||||||||
Cash and cash equivalents | $12,369 | $12,369 | $— | $— | $— | $12,369 | |||||||||||||||||
Restricted cash and cash equivalents | 9,851 | 9,851 | — | — | — | 9,851 | |||||||||||||||||
Securities purchased under agreements to resell | 51,548 | — | 51,548 | — | — | 51,548 | |||||||||||||||||
Investments in securities: | |||||||||||||||||||||||
Available-for-sale, at fair value | 66,757 | — | 41,016 | 25,741 | — | 66,757 | |||||||||||||||||
Trading, at fair value | 44,790 | 19,402 | 24,168 | 1,220 | — | 44,790 | |||||||||||||||||
Total investments in securities | 111,547 | 19,402 | 65,184 | 26,961 | — | 111,547 | |||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||
Loans held by consolidated trusts | 1,690,218 | — | 1,554,143 | 142,121 | — | 1,696,264 | |||||||||||||||||
Loans held by Freddie Mac | 112,785 | — | 31,004 | 84,227 | — | 115,231 | |||||||||||||||||
Total mortgage loans | 1,803,003 | — | 1,585,147 | 226,348 | — | 1,811,495 | |||||||||||||||||
Derivative assets, net | 747 | — | 12,265 | 3 | (11,521 | ) | 747 | ||||||||||||||||
Guarantee asset | 2,298 | — | — | 2,490 | — | 2,490 | |||||||||||||||||
Non-derivative purchase commitments, at fair value | 108 | — | 108 | 18 | — | 126 | |||||||||||||||||
Advances to lenders and other secured lending | 1,278 | — | — | 1,278 | — | 1,278 | |||||||||||||||||
Total financial assets | $1,992,749 | $41,622 | $1,714,252 | $257,098 | ($11,521 | ) | $2,001,451 | ||||||||||||||||
Financial Liabilities | |||||||||||||||||||||||
Debt, net: | |||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties | $1,648,683 | $— | $1,651,313 | $605 | $— | $1,651,918 | |||||||||||||||||
Other debt | 353,321 | — | 352,837 | 4,809 | — | 357,646 | |||||||||||||||||
Total debt, net | 2,002,004 | — | 2,004,150 | 5,414 | — | 2,009,564 | |||||||||||||||||
Derivative liabilities, net | 795 | — | 12,640 | 52 | (11,897 | ) | 795 | ||||||||||||||||
Guarantee obligation | 2,208 | — | — | 3,399 | — | 3,399 | |||||||||||||||||
Non-derivative purchase commitments, at fair value | 37 | — | 37 | 45 | — | 82 | |||||||||||||||||
Total financial liabilities | $2,005,044 | $— | $2,016,827 | $8,910 | ($11,897 | ) | $2,013,840 |
September 30, 2017 | December 31, 2016 | |||||||||||||||||||||||
(In millions) | Multifamily Held-For-Sale Loans | Other Debt - Long Term | Debt securities of consolidated trusts held by third parties (1) | Multifamily Held-For-Sale Loans | Other Debt - Long Term | Debt securities of consolidated trusts held by third parties (1) | ||||||||||||||||||
Fair value | $18,995 | $5,262 | $531 | $16,255 | $5,866 | $— | ||||||||||||||||||
Unpaid principal balance | 18,786 | 4,836 | 530 | 16,231 | 5,584 | — | ||||||||||||||||||
Difference | $209 | $426 | $1 | $24 | $282 | $— |
March 31, 2024 | December 31, 2023 | |||||||||||||||||||||||||
(In millions) | Fair value | UPB | Difference | Fair value | UPB | Difference | ||||||||||||||||||||
Mortgage loans held-for-sale | $7,926 | $7,793 | $133 | $7,356 | $7,080 | $276 | ||||||||||||||||||||
Mortgage loans held-for-investment | 1,931 | 2,227 | (296) | 1,806 | 2,095 | (289) | ||||||||||||||||||||
Debt of Freddie Mac | 200 | 194 | 6 | 240 | 234 | 6 | ||||||||||||||||||||
Debt of consolidated trusts | 1,950 | 2,070 | (120) | 1,705 | 1,799 | (94) | ||||||||||||||||||||
Other assets (other liabilities) | 48 | N/A | N/A | 95 | N/A | N/A |
1Q 2024 | 1Q 2023 | |||||||||||||||||||
(In millions) | Gains (Losses) | |||||||||||||||||||
Mortgage loans held-for-sale | ($159) | $4 | ||||||||||||||||||
Mortgage loans held-for-investment | (31) | 26 | ||||||||||||||||||
Debt of Freddie Mac | 1 | 14 | ||||||||||||||||||
Debt of consolidated trusts | 9 | (35) | ||||||||||||||||||
Other assets/other liabilities | 143 | 55 |
Freddie Mac 1Q 2024 Form 10-Q |
Financial Statements | Notes to the Condensed Consolidated Financial Statements|Note 14 |
Freddie Mac 1Q 2024 Form 10-Q | 85 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements|Note 14 |
Freddie Mac 1Q 2024 Form 10-Q | 86 |
Financial Statements | Notes to the Condensed Consolidated Financial Statements|Note 15 |
(In billions) | March 31, 2024 | December 31, 2023 | |||||||||||||||||||||
Adjusted total assets | $3,786 | $3,775 | |||||||||||||||||||||
Risk-weighted assets (standardized approach) | 1,018 | 1,009 | |||||||||||||||||||||
March 31, 2024 | |||||||||||||||||||||||
Amounts | Ratios | ||||||||||||||||||||||
(Dollars in billions) | Available Capital (Deficit) | Minimum Capital Requirement | Capital Requirement (Including Buffer(1)) | Available Capital (Deficit) Ratio(2) | Minimum Capital Requirement Ratio(2) | Capital Requirement Ratio(2) (Including Buffer(1)) | |||||||||||||||||
Risk-based capital: | |||||||||||||||||||||||
Total capital | ($16) | $81 | $81 | (1.5) | % | 8.0 | % | 8.0 | % | ||||||||||||||
CET1 capital | (41) | 46 | 103 | (4.0) | 4.5 | 10.1 | |||||||||||||||||
Tier 1 capital | (27) | 61 | 118 | (2.6) | 6.0 | 11.6 | |||||||||||||||||
Adjusted total capital | (27) | 81 | 138 | (2.6) | 8.0 | 13.6 | |||||||||||||||||
Leverage capital: | |||||||||||||||||||||||
Core capital | ($23) | $95 | $95 | (0.6) | % | 2.5 | % | 2.5 | % | ||||||||||||||
Tier 1 capital | (27) | 95 | 109 | (0.7) | 2.5 | 2.9 | |||||||||||||||||
December 31, 2023 | |||||||||||||||||||||||
Amounts | Ratios | ||||||||||||||||||||||
(Dollars in billions) | Available Capital (Deficit) | Minimum Capital Requirement | Capital Requirement (Including Buffer(1)) | Available Capital (Deficit) Ratio(2) | Minimum Capital Requirement Ratio(2) | Capital Requirement Ratio(2) (Including Buffer(1)) | |||||||||||||||||
Risk-based capital: | |||||||||||||||||||||||
Total capital | ($18) | $81 | $81 | (1.8) | % | 8.0 | % | 8.0 | % | ||||||||||||||
CET1 capital | (43) | 45 | 96 | (4.3) | 4.5 | 9.5 | |||||||||||||||||
Tier 1 capital | (29) | 60 | 111 | (2.9) | 6.0 | 11.0 | |||||||||||||||||
Adjusted total capital | (29) | 81 | 132 | (2.9) | 8.0 | 13.0 | |||||||||||||||||
Leverage capital: | |||||||||||||||||||||||
Core capital | ($25) | $95 | $95 | (0.7) | % | 2.5 | % | 2.5 | % | ||||||||||||||
Tier 1 capital | (29) | 95 | 106 | (0.8) | 2.5 | 2.8 |
Freddie Mac 1Q 2024 Form 10-Q | 87 |
Other Information |
(In millions) | 3Q 2017 | 3Q 2016 | YTD 2017 | YTD 2016 | |||||||||||
Other income (loss): | |||||||||||||||
Non-agency mortgage-related securities settlements | $4,525 | $— | $4,525 | $— | |||||||||||
Gains (losses) on held-for-sale loan purchase commitments | 271 | 391 | 826 | 635 | |||||||||||
(Losses) gains on debt recorded at fair value | 62 | (174 | ) | (129 | ) | (268 | ) | ||||||||
All other | 545 | 388 | 1,290 | 1,160 | |||||||||||
Total other income (loss) | $5,403 | $605 | $6,512 | $1,527 |
(In millions) | September 30, 2017 | December 31, 2016 | |||||
Other assets: | |||||||
Real estate owned, net | $972 | $1,198 | |||||
Accounts and other receivables(1) | 7,728 | 5,083 | |||||
Guarantee asset | 2,621 | 2,298 | |||||
All other | 2,677 | 3,779 | |||||
Total other assets | $13,998 | $12,358 | |||||
Other liabilities: | |||||||
Guarantee obligation | $2,503 | $2,208 | |||||
Payables related to securities | 3,190 | 4,510 | |||||
Income taxes payable | 1,602 | — | |||||
All other | 2,331 | 2,769 | |||||
Total other liabilities | $9,626 | $9,487 |
Freddie Mac 1Q 2024 Form 10-Q |
Other Information |
Freddie Mac 1Q 2024 Form 10-Q |
Controls and Procedures |
Freddie Mac 1Q 2024 Form 10-Q |
4.1 | ||||||
10.1 | ||||||
31.1 | ||||||
31.2 | ||||||
32.1 | ||||||
32.2 |
101.INS | XBRL Instance Document - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document | |||||
101.SCH | XBRL Taxonomy Extension Schema | |||||
101. CAL | XBRL Taxonomy Extension Calculation | |||||
101.DEF | XBRL Taxonomy Extension | |||||
101.LAB | XBRL Taxonomy Label | |||||
101. PRE | XBRL Taxonomy Extension Presentation | |||||
104 | Cover Page Interactive Data File - the cover page interactive data file does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document | |||||
* | The SEC file numbers for the | ||||
Freddie Mac 1Q 2024 Form 10-Q |
91 |
Signatures |
Federal Home Loan Mortgage Corporation | ||||||||||
By: | /s/ Michael T. Hutchins | |||||||||
President and Interim Chief Executive Officer | ||||||||||
(Principal Executive Officer) |
By: | /s/ Christian M. Lown | ||||||||
Christian M. Lown | |||||||||
Executive Vice President | |||||||||
(Principal Financial Officer) |
Freddie Mac 1Q 2024 Form 10-Q |
Item 1. | Financial Statements | |||||||
Item 2. | Management's Discussion and Analysis of Financial Condition and Results of Operations | |||||||
Item 3. | Quantitative and Qualitative Disclosures About Market Risk | |||||||
Item 4. | Controls and Procedures | |||||||
PART II | OTHER INFORMATION | |||||||
Item 1. | Legal Proceedings | |||||||
Item | Risk Factors | |||||||
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds | |||||||
Item | ||||||||
Item 6. | ||||||||
Exhibit Index | ||||||||
Signatures |
Freddie Mac 1Q 2024 Form 10-Q |