UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
ýQUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.
For the quarterly period ended September 30, 2017March 31, 2024
or
¨TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.
For the transition period from                                       to
Commission File Number: 001-34139
primarylogoa04.jpg
Federal Home Loan Mortgage Corporation
(Exact name of registrant as specified in its charter)
Freddie Mac

Federally chartered
corporation
52-0904874
8200 Jones Branch Drive
McLean, Virginia 
22102-3110
22102-311052-0904874(703)903-2000(703) 903-2000
corporationMcLean,Virginia
(State or other jurisdiction of incorporation or organization)
(I.R.S. Employer
Identification No.)
(Address of principal executive offices, including zip code)offices)(Zip Code)(I.R.S. Employer Identification No.)
(Registrant’sRegistrant's telephone 
number,
including area code)
Securities registered pursuant to Section 12(b) of the Act: 
Title of each classTrading Symbol(s)Name of each exchange on which registered
NoneN/AN/A
Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports);, and (2) has been subject to such filing requirements for the past 90 days. ýYes¨No
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).ýYes ¨No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large"large accelerated filer,” “accelerated" "accelerated filer,” “smaller" "smaller reporting company," and “emerging"emerging growth company”company" in Rule 12b-2 of the Exchange Act.
Large accelerated filerý
Accelerated filer¨
Non-accelerated filer (Do not check if a smaller reporting company)  ¨
Smaller reporting company¨
Emerging growth company¨
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.¨
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).   Yes¨ Noý
As of October 17, 2017,April 9, 2024, there were 650,054,731650,059,553 shares of the registrant’sregistrant's common stock outstanding.




Table of Contents


TABLE OF CONTENTS

Table of Contents
Table of Contents
Page
Page
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
INTRODUCTION
n    Introduction
KEY ECONOMIC INDICATORS
n    Housing and Mortgage Market Conditions
CONSOLIDATED RESULTS OF OPERATIONS
n    Consolidated Results of Operations
CONSOLIDATED BALANCE SHEETS ANALYSIS
n    Consolidated Balance Sheets Analysis
OUR BUSINESS SEGMENTS
n    Our Portfolios
RISK MANAGEMENT
n    Our Business Segments
LIQUIDITY AND CAPITAL RESOURCES
n    Risk Management
CONSERVATORSHIP AND RELATED MATTERS
l Credit Risk
REGULATION AND SUPERVISION
l Market Risk
OFF-BALANCE SHEET ARRANGEMENTS
n    Liquidity and Capital Resources
FORWARD-LOOKING STATEMENTS
n    Critical Accounting Estimates
FINANCIAL STATEMENTS
n    Regulation and Supervision
OTHER INFORMATION
n    Forward-Looking Statements
FINANCIAL STATEMENTS
OTHER INFORMATION
CONTROLS AND PROCEDURES
EXHIBIT INDEX
SIGNATURES
FORM 10-Q INDEX

Freddie Mac 1Q 2024 Form 10-Qi



Table of Contents
MD&A TABLE INDEX
TableDescriptionPage
1Summary of Consolidated Statements of Income and Comprehensive Income
2Components of Net Interest Income
3Analysis of Net Interest Yield
4Components of Non-Interest Income
5(Provision) Benefit for Credit Losses
6Components of Non-Interest Expense
7Summarized Condensed Consolidated Balance Sheets
8Mortgage Portfolio
9Mortgage-Related Investments Portfolio
10Other Investments Portfolio
11Single-Family Segment Financial Results
12Multifamily Segment Financial Results
13Allowance for Credit Losses Activity
14Allowance for Credit Losses Ratios
15Single-Family New Business Activity
16Single-Family Mortgage Portfolio Newly Acquired Credit Enhancements
17Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding
18Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio
19Credit Quality Characteristics of Our Single-Family Mortgage Portfolio
20Single-Family Mortgage Portfolio Attribute Combinations
21Single-Family Completed Loan Workout Activity
22Multifamily Mortgage Portfolio CRT Issuance
23Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio
24Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement
25PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve
26Duration Gap and PVS Results
27PVS-L Results Before Derivatives and After Derivatives
28Earnings Sensitivity to Changes in Interest Rates
29Liquidity Sources
30Funding Sources
31Debt of Freddie Mac Activity
32Maturity and Redemption Dates
33Debt of Consolidated Trusts Activity
34Net Worth Activity
35Regulatory Capital Components
36Statutory Capital Components
37Capital Metrics Under ERCF
38Forecasted House Price Growth Rates
Freddie Mac 1Q 2024 Form 10-Qii

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

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
This Quarterly Report on Form 10-Q includes forward-looking statements that are based on current expectations and that are subject to significant risks and uncertainties. These forward-looking statements are made as of the date of this Form 10-Q. We undertake no obligation to update any forward-looking statement to reflect events or circumstances after the date of this Form 10-Q. Actual results might differ significantly from those described in or implied by such statements due to various factors and uncertainties, including those described in the “Forward-Looking Statements” sectionsMD&A - Forward-Looking Statements section of this Form 10-Q and the Introduction and Risk Factors sections of our Annual Report on Form 10-K for the year ended December 31, 2016,2023, or 20162023 Annual Report, and our Quarterly Reports on Form 10-Q for the first and second quarters of 2017, and the “Business” and “Risk Factors” sections of our 2016 Annual Report.
Throughout this Form 10-Q, we use certain acronyms and terms that are defined in the “Glossary”Glossary of our 20162023 Annual Report and our Form 10-Q for the second quarter of 2017.Report.
You should read the following MD&A in conjunction with our 20162023 Annual Report and our condensed consolidated financial statements and accompanying notes for the three and nine months ended September 30, 2017 included in “Financial Statements.” Throughout this Form 10-Q, we refer to the three months ending December 31, 2017, the three months ended September 30, 2017, the three months ended June 30, 2017, the three months ended March 31, 2017, the three months ended December 31, 2016, the three months ended September 30, 2016, the three months ended June 30, 2016, and the three months ended December 31, 2015 as “4Q 2017,” “3Q 2017,” “2Q 2017,” “1Q 2017,” “4Q 2016,” “3Q 2016,” “2Q 2016,” and “4Q 2015,” respectively. We refer to the nine months ended September 30, 2017 and the nine months ended September 30, 2016 as “YTD 2017” and “YTD 2016,” respectively.2024 included in Financial Statements.
INTRODUCTION
Freddie Mac is a GSE chartered by Congress in 1970. Our public1970, with a mission is to provide liquidity, stability, and affordability to the U.S. housing market. We do this primarily by purchasing single-family and multifamily residential mortgage loans originated by lenders. In most instances, we package these loans into guaranteed mortgage-related securities, which are guaranteed by us and sold in the global capital markets.markets, and transfer interest-rate and liquidity risks to third-party investors. In addition, we transfer a portion of our mortgage credit risk exposure to third-party investors through our credit risk transfer programs, which include securities- and insurance-based offerings. We also invest in mortgage loans, mortgage-related securities, and mortgage-related securities.other types of assets. We do not originate mortgage loans or lend money directly to mortgage borrowers.
We support the U.S. housing market and the overall economy by enabling America’sAmerica's families to access mortgage loan funding with better terms and by providing consistent liquidity to the single-family and multifamily mortgage market.markets. We have helped many distressed borrowers keep their homes or avoid foreclosure. We are working with FHFA, our customersforeclosure and the industry to build a better housing finance system for the nation.

Freddie Mac Form 10-Q1



Management's Discussion and AnalysisIntroduction

BUSINESS RESULTS
PORTFOLIO BALANCES

Guarantee Portfolios
a20173q10q_chart-07435.jpg

Investments Portfoliosa20173q10q_chart-10089.jpg



Our total guarantee portfolio grew $102 billion, or 5%, from September 30, 2016 to September 30, 2017, driven by a 4% increase in our single-family credit guarantee portfolio and a 23% increase in our multifamily guarantee portfolio.
The growth in our single-family guarantee portfolio was driven by an increase in our single-family origination volume as our market share of U.S. single-family origination volume remained stable amid growth in total single-family mortgage debt outstanding resulting from continued improvement in macroeconomic conditions, such as a low unemployment rate and home price appreciation. In addition, new business acquisitions had a higher average loan size compared to older vintages that continue to run off.

Freddie Mac Form 10-Q2



Management's Discussion and AnalysisIntroduction

The increase in our multifamily guarantee portfolio was due to growth in new multifamily business volume, driven by stronger demand for our loan products due to an elevated number of new apartment completions, strong market fundamentals and low interest rates.
Our total investments portfolio declined $63 billion, or 15%, from September 30, 2016 to September 30, 2017, primarily due to repayments and the active disposition of less liquid assets. We continue to reduce the mortgage-related investments portfolio as required by the Purchase Agreement and FHFA.
CONSOLIDATED FINANCIAL RESULTS
Comprehensive income (loss) was $4.7 billion in 3Q 2017, compared to $2.3 billion in 3Q 2016. The increase in comprehensive income was primarily driven by:
$4.5 billion (pre-tax) in settlement proceeds in 3Q 2017 from the Royal Bank of Scotland plc (or RBS) related to litigation involving certain of our non-agency mortgage-related securities. We did not have any significant settlements in 3Q 2016.
The increase was partially offset by:
$0.9 billion (pre-tax) provision for credit losses in 3Q 2017 attributable to estimated losses related to Hurricanes Harvey, Irma and Maria, which included approximately $0.6 billion related to $2.3 billion in UPB of mortgage loans in Puerto Rico.
Our total equity was $5.3 billion at September 30, 2017. Because our net worth was positive, we are not requesting a draw from Treasury under the Purchase Agreement for 3Q 2017. Our cumulative senior preferred stock dividend payments totaled $110.1 billion as of September 30, 2017. Under the Purchase Agreement, the payment of dividends does not reduce the outstanding liquidation preference of the senior preferred stock, which remains $72.3 billion. The amount of available funding remaining under the Purchase Agreement is $140.5 billion and would be reduced by any future draws.
CONSERVATORSHIP AND GOVERNMENT SUPPORT FOR OUR BUSINESShelped many distressed renters avoid eviction.
Since September 2008, we have been operating in conservatorship, with FHFA as our Conservator. The conservatorship and related matters significantly affect our management, business activities, financial condition, and results of operations. Our future is uncertain, and the conservatorship has no specified termination date. We do not know what changes may occur to our business model during or following conservatorship, including whether we will continue to exist.
In connection with our entry into conservatorship, we entered into the Purchase Agreement with Treasury, under which we issued Treasury both senior preferred stock and a warrant to purchase common stock. Our Purchase Agreement with Treasury and the terms of the senior preferred stock we issued to Treasury also affect our business activities. Our ability to access funds from Treasury under the Purchase Agreement is critical to keeping us solvent and avoiding the appointment of a receiver by FHFA under statutory mandatory receivership provisions. We believe that the support provided by Treasury pursuant to the Purchase Agreement currently enables us to have adequate liquidity to conduct normal business activities. For additional information on the conservatorship and related matters and the Purchase Agreement, see our 2023 Annual Report.


Freddie Mac 1Q 2024 Form 10-Q31



Management's Discussion and AnalysisIntroduction
Business Results
Consolidated Financial Results
Net Revenues and Net Income
(In billions)
46

Treasury,
Net Worth
(In billions)
72
Key Drivers:
nNet income was $2.8 billion, an increase of 39% year-over-year, primarily driven by higher net revenues.
nNet revenues were $5.8 billion, an increase of 19% year-over-year, driven by higher net interest income and higher non-interest income.
nNet worth was $50.5 billion as of March 31, 2024, up from $39.1 billion as of March 31, 2023. The quarterly increases in net worth have been, or will be, added to the holderaggregate liquidation preference of the senior preferred stock. The liquidation preference of the senior preferred stock is entitledwas $120.4 billion on March 31, 2024, and will increase to receive cumulative quarterly cash dividends, when,$123.1 billion on June 30, 2024 based on the increase in net worth in 1Q 2024.
Market Liquidity
                      Market Liquidity
(In thousands)
74
We support the U.S. housing market by executing our mission to provide liquidity and help maintain credit availability for new and refinanced single-family mortgages as and if declared by the Conservator, actingwell as successorfor rental housing. We provided $71 billion in liquidity to the rights, titles, powersmortgage market in 1Q 2024, which enabled the financing of 279,000 home purchases, refinancings, and privileges of our Board of Directors. The dividends we have paid to Treasury on the senior preferred stock have been declared by, and paid at the direction of, the Conservator.rental units.
Under the August 2012 amendment to the Purchase Agreement, our dividend requirement each quarter is the amount, if any, by which our Net Worth Amount at the end of the immediately preceding fiscal quarter, less the applicable Capital Reserve Amount, exceeds zero. The Capital Reserve Amount is $600 million in 2017 and will decrease to zero in 2018. If for any reason we were not to pay the dividend in full, the unpaid amount would be added to the liquidation preference, but this would not affect our ability to draw funds from Treasury under the Purchase Agreement.
Based on our Net Worth Amount of $5.3 billion as of September 30, 2017 and the Capital Reserve Amount of $600 million, our dividend requirement to Treasury in December 2017 will be $4.7 billion. Upon the Conservator declaring and directing us to pay a senior preferred stock dividend equal to our dividend requirement before December 31, 2017, we would pay a dividend of $4.7 billion by December 31, 2017. The declining capital reserve required under the terms of the Purchase Agreement (ultimately reaching zero in 2018) increases the risk of our having negative net worth and thus being required to draw from Treasury.




Freddie Mac 1Q 2024 Form 10-Q42



Management's Discussion and AnalysisKey Economic Indicators | Single-Family Home PricesIntroduction

Mortgage Portfolio Balances

Mortgage Portfolio
(UPB in billions)
41
Key Drivers:
nOur mortgage portfolio increased 2% year-over-year to $3.5 trillion at March 31, 2024, continuing to grow at a moderate pace as new business activity remained low.
lOur Single-Family mortgage portfolio was $3.0 trillion at March 31, 2024, up 2% year-over-year.
lOur Multifamily mortgage portfolio was $443 billion at March 31, 2024, up 4% year-over-year.
Credit Enhancement Coverage
Single-Family Mortgage Portfolio with Credit Enhancement
(UPB in billions)
81

KEY ECONOMIC INDICATORS
Multifamily Mortgage Portfolio with Credit Enhancement
(UPB in billions)
157
In addition to transferring interest-rate and liquidity risk to third-party investors through our securitization activities, we engage in various types of credit enhancements, such as primary mortgage insurance and CRT transactions, to reduce our credit risk exposure and transfer a portion of the credit risk on certain loans in our mortgage portfolio to third parties. At March 31, 2024, we had credit enhancement coverage of 61% on our Single-Family mortgage portfolio and 94% on our Multifamily mortgage portfolio. See MD&A - Risk ManagementCredit Risk for additional information on our credit enhancements.

Freddie Mac 1Q 2024 Form 10-Q3

Management's Discussion and AnalysisHousing and Mortgage Market Conditions
HOUSING AND MORTGAGE MARKET CONDITIONS
The following graphs and related discussionscharts present certain macroeconomichousing and mortgage market indicators that can significantly affect our business and financial results.
SINGLE-FAMILY HOME PRICES
NATIONAL HOME PRICES
a20173q10q_chart-07282.jpg
(December 2000 = 100)
COMMENTARY
Home prices continued Certain market and macroeconomic prior period data have been updated to appreciate, increasing by 0.9% during both 3Q 2017 and 3Q 2016 and by 6.9% and 6.5% during YTD 2017 and YTD 2016, respectively, based on our own non-seasonally adjusted price index of single-family homes funded by loans owned or guaranteed by us or Fannie Mae.
National home prices at September 30, 2017 exceeded their pre-financial crisis peak level of 168 reached in June 2006, based on our index.
We expect home price growth will continue in 2018, although at a slower pace than in 2017, due to a gradual increase in housing supply and a moderate increase in mortgage rates.
Increases in home prices typically result in lower delinquency rates and lower loss severity. Fewer loan delinquencies, loan workouts and foreclosure transfers will generally reduce our expected credit losses on our total mortgage portfolio.



Freddie Mac Form 10-Q5



Management's Discussion and AnalysisKey Economic Indicators | Interest Rates

INTEREST RATES
KEY MARKET INTEREST RATES
a20173q10q_chart-07433.jpga20173q10q_chart-10937.jpg
COMMENTARY
The quarterly ending and quarterly average 30-year Primary Mortgage Market Survey (“PMMS”) interest rates were higher at September 30, 2017 than September 30, 2016. Increases in the PMMS rate typically result in decreases in refinance activity and U.S. single-family loan originations.
The 10-year LIBOR and 2-year LIBOR interest rates had smaller fluctuations during the 2017 periods than the 2016 periods. Changes in the 10-year and 2-year LIBOR interest rates affect the fair value of certain of our assets and liabilities, including derivatives, measured at fair value. A smaller interest rate fluctuation from period to period generally results in smaller fair value gains and losses, while a larger fluctuation generally results in larger fair value gains and losses.

Freddie Mac Form 10-Q6



Management's Discussion and AnalysisKey Economic Indicators | Interest Rates

The quarterly ending and quarterly average short-term interest rates, as indicated by the 3-month LIBOR rate, were higher at September 30, 2017 than September 30, 2016. An increase in short-term interest rates generally increases the interest earned on our short-term investments and interest expense on our short-term funding.
reflect revised historical data. For additional information on the effect of LIBOR ratesthese indicators on our financial results, see “Our Business Segments - Capital Markets - Market Conditions.”





Freddie Mac Form 10-Q7



Management's Discussion and AnalysisKey Economic Indicators | Unemployment Rate

UNEMPLOYMENT RATE
UNEMPLOYMENT RATE AND JOB CREATION(1)
a20173q10q_chart-13254.jpg
Source: U.S. Bureau of Labor Statistics

(1)Excludes Puerto Rico and the U.S. Virgin Islands.
COMMENTARY
Average monthly net new jobs (non-farm) and the national unemployment rate were lower in 3Q 2017 than 3Q 2016.
Changes in monthly net new jobs and the national unemployment rate can affect several market factors, including the demand for both single-family and multifamily housing and the level of loan delinquencies.
Decreases in the national unemployment rate typically result in lower levels of delinquencies, which generally result in a decrease in expected credit losses on our total mortgage portfolio.

Freddie Mac Form 10-Q8



Management's Discussion and AnalysisConsolidated Results of Operations


CONSOLIDATED RESULTS OF OPERATIONS
You should read this discussion of our consolidated results of operations in conjunction with our condensed consolidated financial statements and accompanying notes.
The table below compares our consolidated results of operations for 3Q 2017 vs. 3Q 2016 and YTD 2017 vs. YTD 2016.
  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 %

Freddie Mac Form 10-Q9



Management's Discussion and AnalysisConsolidated Results of Operations | Net Interest Income


NET INTEREST INCOME
NET INTEREST YIELD ANALYSIS
The tables below present an analysis of interest-earning assets and interest-bearing liabilities.
  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 resell57,107
 166
 1.16
 62,086
 56
 0.36
 Advances to lenders and other secured lending804
 5
 2.51
 649
 3
 2.06
 Mortgage-related securities:           
 Mortgage-related securities159,640
 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, net74,442
 761
 4.09
 97,169
 950
 3.91
 Non-mortgage-related securities15,127
 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 parties1,670,380
 (11,852) (2.84) 1,592,322
 (10,887) (2.73)
 Other debt:           
 Short-term debt68,868
 (173) (0.99) 81,057
 (83) (0.40)
 Long-term debt259,075
 (1,319) (2.02) 302,062
 (1,384) (1.82)
 Total other debt327,943
 (1,492) (1.80) 383,119
 (1,467) (1.53)
 Total interest-bearing liabilities1,998,323
 (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 funding8,096
 
 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.

 
 
             
             
             
             
             
             
             
             
             
             
             
             
             
             
             
             
             

Freddie Mac Form 10-Q10



Management's Discussion and AnalysisConsolidated Results of Operations | Net Interest Income


 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 resell55,903
 386
 0.92
 57,348
 149
 0.35
Advances to lenders and other secured lending651
 12
 2.42
 419
 7
 2.33
Mortgage-related securities:           
Mortgage-related securities168,819
 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, net80,936
 2,430
 4.00
 97,104
 2,867
 3.94
Non-mortgage-related securities18,049
 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 parties1,656,377
 (35,567) (2.86) 1,568,838
 (33,927) (2.88)
Other debt:           
Short-term debt72,292
 (414) (0.76) 85,995
 (258) (0.39)
Long-term debt270,251
 (3,984) (1.96) 301,791
 (4,338) (1.91)
Total other debt342,543
 (4,398) (1.71) 387,786
 (4,596) (1.58)
Total interest-bearing liabilities1,998,920
 (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 funding8,785
 
 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.



Freddie Mac Form 10-Q11



Management's Discussion and AnalysisConsolidated Results of Operations | Net Interest Income


COMPONENTS OF NET INTEREST INCOME
The table below presents the components of net interest income.
 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 2011333
 292
 41
 14 % 974
 838
 136
 16 %
Other contractual net interest income1,604
 1,635
 (31) (2)% 4,900
 5,219
 (319) (6)%
Total contractual net interest income2,745
 2,749
 (4)  % 8,369
 8,269
 100
 1 %
Net amortization - loans and debt securities of consolidated trusts822
 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 %

Key Drivers:
Guarantee fee income
YTD 2017 vs. YTD 2016 - increased primarily due to higher average contractual guarantee fee rates in our total single-family loan portfolio as well as the continued growth in the size of the Core single-family loan portfolio. Average contractual guarantee fee rates are generally higher on mortgage loans in our Core single-family loan portfolio compared to those in our Legacy and relief refinance single-family loan portfolio.
Other contractual net interest income
YTD 2017 vs. YTD 2016 - decreased primarily due to the continued reduction in the balance of our mortgage-related investments portfolio pursuant to the portfolio limits established by the Purchase Agreement and FHFA. See "Conservatorship and Related Matters - Reducing Our Mortgage-Related Investments Portfolio Over Time" for a discussion of the key drivers of the decline in our mortgage-related investments portfolio.
Net amortization of loans and debt securities of consolidated trusts
3Q 2017 vs. 3Q 2016 - decreased primarily due to a decrease in prepayments which resulted in reduced amortization income on mortgage loan upfront delivery fees.
YTD 2017 vs. YTD 2016 - increased primarily due to higher unamortized balances on our debt securities of consolidated trusts and higher mortgage loan upfront delivery fee balances, coupled with a decrease in amortization expense on mortgage loans held by consolidated trusts due to a decrease in prepayments.
Net amortization of other assets and debt
3Q 2017 vs. 3Q 2016 and YTD 2017 vs. YTD 2016 - decreased primarily due to less accretion of previously recognized other-than-temporary impairment on non-agency mortgage-related securities. The decrease in accretion is due to a decline in the population of impaired securities as a result of our active disposition of these securities.

Freddie Mac Form 10-Q12



Management's Discussion and AnalysisConsolidated Results of Operations | Provision for Credit Losses


BENEFIT (PROVISION) FOR CREDIT LOSSES
The benefit (provision) for credit losses predominantly relates to single-family loans and includes components for both collectively and individually impaired loans.
The table below presents the components of our benefit (provision) for credit losses.
  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)%
Key Drivers:
3Q 2017 vs. 3Q 2016 - increase in provision for credit losses due to estimated losses of $0.9 billion (pre-tax) related to Hurricanes Harvey, Irma and Maria, which included approximately $0.6 billion related to $2.3 billion in UPB of mortgage loans in Puerto Rico. This increase was partially offset by improvements in our estimated loss severity.
YTD 2017 vs. YTD 2016 - change from benefit to provision for credit losses, driven by estimated losses of $0.9 billion (pre-tax) related to Hurricanes Harvey, Irma and Maria, which included approximately $0.6 billion related to $2.3 billion in UPB of mortgage loans in Puerto Rico. The change from benefit to provision for credit losses was partially offset by the policy change that was elected on January 1, 2017 for loan reclassifications from held-for-investment to held-for-sale. See Note 4 for further information about this change.
Our estimated provision for credit losses related to the hurricanes is based on assumptions about a number of factors, including the probability of borrower default and the severity of property damage. Given the hurricanes occurred late in 3Q 2017, we have limited information available to us at this time related to trends in borrower delinquencies and the severity of property damage in the impacted areas, especially for Puerto Rico. As a result, our estimates will likely change in the future as additional information becomes available.


Freddie Mac Form 10-Q13



Management's Discussion and AnalysisConsolidated Results of Operations | Derivative Gains (Losses)


DERIVATIVE GAINS (LOSSES)
We continue to align our derivative portfolio with the changing duration of our economically hedged assets and liabilities. We manage our exposure to interest-rate risk on an economic basis to a low level as measured by our models. We believe the impact of derivatives on our GAAP financial results should be considered in the context of our overall interest-rate risk profile, including our PMVS and duration gap results. For more information about our interest-rate risk management activities and the sensitivity of reported earnings to those activities, see “Risk Management - Market Risk.”
On February 2, 2017, we began using fair value hedge accounting for certain single-family mortgage loans, which is intended to reduce our GAAP earnings volatility. Changes in the fair value of the derivatives while in fair value hedge relationships are recognized in other income (loss) on our condensed consolidated statements of comprehensive income. See Note 7 for further information on fair value hedge accounting.
The table below presents the gains and losses on derivatives while not designated in fair value hedge relationships and the accrual of periodic cash settlements on all derivatives.
 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 % 

Key Drivers:
3Q 2017 vs. 3Q 2016 - Losses increased as long-term interest rates were relatively unchanged during 3Q 2017 but increased slightly during 3Q 2016. The 10-year par swap rate increased 1 basis point during 3Q 2017 and increased 6 basis points during 3Q 2016. The 3Q 2017 interest rate change had minimal effect on Derivative gains (losses), compared to the 3Q 2016 interest rate increase which resulted in fair value gains in our pay-fixed interest rate swaps, partially offset by fair value losses in our receive-fixed swaps and certain option-based derivatives. In addition, we implemented hedge accounting in 1Q 2017, but the effect on Derivative gains (losses) during 3Q 2017 was relatively minor as the change in interest rates was relatively small.
YTD 2017 vs. YTD 2016 - Losses decreased as long-term interest rates decreased less during YTD 2017. The 10-year par swap rate decreased 4 basis points during YTD 2017 and decreased 74 basis points during YTD 2016. The smaller interest rate decrease during YTD 2017 resulted in reduced fair value losses in our pay-fixed interest rate swaps, partially offset by reduced fair value gains in our receive-fixed swaps and certain option-based derivatives. In addition, hedge accounting reduced the losses that otherwise would have been included in Derivative gains (losses) during YTD 2017 by $215 million.


Freddie Mac Form 10-Q14



Management's Discussion and AnalysisConsolidated Results of Operations | Other Income (Loss)


OTHER INCOME (LOSS)
The table below presents the components of other income (loss).
 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 loans203
 139
 
$64
 46 % 410
 136
 274
 201 %
Gains (losses) on held-for-sale loan purchase commitments271
 391
 (120) (31)% 826
 635
 191
 30 %
(Losses) gains on debt where we elected the fair value option62
 (174) 236
 136 % (129) (268) 139
 52 %
All other272
 249
 23
 9 % 744
 1,024
 (280) (27)%
 Fair value hedge accounting      
        
Change in fair value of derivatives in qualifying hedge relationships85
 
 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 accounting70
 
 70
 N/A
 136
 
 136
 N/A
Total other income (loss)
$5,403
 
$605
 
$4,798
 793 % 
$6,512
 
$1,527
 
$4,985
 326 %
Key Drivers:
Non-agency mortgage-related securities settlements
3Q 2017 vs. 3Q 2016 and YTD 2017 vs. YTD 2016 - increased due to the income recognition of proceeds received from the RBS settlement during 3Q 2017. No significant settlements occurred during the 2016 periods. See Note 12 for additional information on the RBS settlement.
Gains (losses) on loans
YTD 2017 vs. YTD 2016 - Gains increased due to fewer losses recognized on the reclassification of seriously delinquent loans from held-for-investment to held-for-sale in YTD 2017, partially offset by less interest rate-related gains on multifamily loans in YTD 2017 as a result of smaller decreases in interest rates compared to YTD 2016.
Gains (losses) on held-for-sale loan purchase commitments
3Q 2017 vs. 3Q 2016 - Gains decreased primarily due to less spread tightening and the resulting fair value impact on multifamily loan purchase commitments during 3Q 2017.
YTD 2017 vs. YTD 2016 - Gains increased primarily due to a higher outstanding balance of commitments at September 30, 2017, partially offset by smaller gains as a result of less spread tightening. The outstanding commitment balance was higher at September 30, 2017 as a result of stronger demand for multifamily products due to an elevated number of new apartment completions, strong multifamily market fundamentals and low interest rates.

Freddie Mac Form 10-Q15



Management's Discussion and AnalysisConsolidated Results of Operations | Other Income (Loss)


(Losses) gains on debt where we elected fair value option
3Q 2017 vs. 3Q 2016 - Gains in 3Q 2017 compared to losses in 3Q 2016 primarily driven by gains recognized on STACR debt notes from widening of spreads between STACR yields and LIBOR during 3Q 2017 compared to 3Q 2016 when spreads tightened.
YTD 2017 vs. YTD 2016 - Losses decreased on STACR debt notes as spreads tightened less between STACR yields and LIBOR during the 2017 periods.
All other
YTD 2017 vs. YTD 2016 - declined primarily due to the income recognition of settlement proceeds related to the TBW bankruptcy during YTD 2016.
Ineffectiveness related to fair value hedge accounting
3Q 2017 vs. 3Q 2016 and YTD 2017 vs. YTD 2016 - During 1Q 2017, we adopted fair value hedge accounting. Hedge ineffectiveness related to fair value hedge accounting is recognized in other income (loss). See Note 7 for additional information on hedge ineffectiveness.



Freddie Mac Form 10-Q16



Management's Discussion and AnalysisConsolidated Results of Operations | Other Comprehensive Income

OTHER COMPREHENSIVE INCOME (LOSS)
The following table presents the attribution of total other comprehensive income (loss), net of taxes and reclassification adjustments reported in our condensed consolidated statements of comprehensive income.
 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 %
Key Drivers:
Other comprehensive income, excluding certain items
3Q 2017 vs. 3Q 2016 - increased primarily due to lower interest rate related losses on our available-for-sale securities as interest rates were relatively unchanged during 3Q 2017 but increased slightly during 3Q 2016, coupled with larger market spread related gains during 3Q 2017 as market spreads on agency and non-agency mortgage-related securities tightened more during 3Q 2017.
YTD 2017 vs. YTD 2016 - increased primarily due to larger market spread related gains as market spreads on agency and non-agency mortgage-related securities tightened more during YTD 2017. This was partially offset by smaller interest rate related gains due to smaller declines in long-term interest rates during YTD 2017.
Excluded items
Accretion due to significant increases in expected cash flows on previously impaired available-for-sale securities
3Q 2017 vs. 3Q 2016 and YTD 2017 vs. YTD 2016 - decreased primarily due to a decline in the population of impaired non-agency mortgage-related securities as a result of our active dispositions of these securities.
Realized (gains) losses reclassified from AOCI
3Q 2017 vs. 3Q 2016 - reflected larger amounts of reclassified gains during 3Q 2017 due to a greater volume of sales of non-agency mortgage-related securities and higher unrealized gains on our agency and non-agency mortgage-related securities sold, as a result of additional spread tightening.
YTD 2017 vs. YTD 2016 - reflected larger amounts of reclassified gains during YTD 2017 due to higher unrealized gains on our agency and non-agency mortgage-related securities sold, as a result of additional spread tightening, partially offset by a decline in the volume of sales of agency securities.

Freddie Mac Form 10-Q17



Management's Discussion and AnalysisConsolidated Results of Operations | Other Key Drivers

OTHER KEY DRIVERS
Key drivers of other line items for 3Q 2017 vs. 3Q 2016 and YTD 2017 vs. YTD 2016 include:
Gains (losses) on extinguishment of debt
3Q 2017 vs. 3Q 2016 and YTD 2017 vs. YTD 2016- improved primarily due to an increase in the amount of gains recognized from the extinguishment of certain fixed-rate debt securities of consolidated trusts, as market interest rates increased between the time of issuance and repurchase. The amount of extinguishment gains or losses may vary, as the type and amount of PCs selected for repurchase are based on our investment and funding strategies, including our efforts to support the liquidity and price performance of our PCs.
Other gains on investment securities recognized in earnings
3Q 2017 vs. 3Q 2016 - increased primarily due to additional spread tightening coupled with a greater volume of our non-agency mortgage-related securities sold during 3Q 2017. In addition, we recognized smaller fair value losses on our mortgage and non-mortgage-related securities classified as trading as long-term interest rates were relatively unchanged during 3Q 2017 compared to 3Q 2016 when long-term interest rates increased slightly.
YTD 2017 vs. YTD 2016- decreased primarily due to the recognition of smaller fair value gains on our mortgage and non-mortgage-related securities classified as trading as long-term interest rates decreased less during YTD 2017, partially offset by larger gains due to additional spread tightening during YTD 2017 on our sales of agency and non-agency mortgage-related securities.

Freddie Mac Form 10-Q18



Management's Discussion and AnalysisConsolidated Results of Operations | Items Affecting Multiple Lines


ITEM AFFECTING MULTIPLE LINES
The following item affected multiple line items on our consolidated results of operations.
SINGLE-FAMILY LOAN RECLASSIFICATIONS
During 3Q 2017 and 3Q 2016, we reclassified $7.2 billion and $0.3 billion in UPB of seasoned single-family mortgage loans, respectively, from held-for-investment to held-for-sale, as we continue to focus on reducing the balance of our less liquid assets. During YTD 2017 and YTD 2016, we reclassified $20.0 billion and $3.8 billion in UPB of such mortgage loans, respectively. Seasoned single-family mortgage loans include seriously delinquent and reperforming loans.
On January 1, 2017, we elected a new accounting policy for reclassifications from held-for-investment to held-for-sale. Under the new policy, when we reclassify (transfer) a loan from held-for-investment to held-for-sale, we charge off the entire difference between the loan’s recorded investment and its fair value if the loan has a history of credit-related issues. Expenses related to property taxes and insurance are included as part of the charge-off. If the charge-off amount exceeds the existing loan loss reserve amount, an additional provision for credit losses is recorded. If the charge-off amount is less than the existing loan loss reserve amount, a benefit for credit losses is recorded. Any declines in loan fair value after the date of transfer will be recognized as a valuation allowance, with an offset recorded to other income (loss).
This new policy election was applied prospectively, as it was not practical to apply it retrospectively.
The table below presents the effect of single-family loan reclassifications on income before income tax (expense) benefit. Beginning in 1Q 2017, benefit (provision) for credit losses is the only line item affected by the loan reclassifications from held-for-investment to held-for-sale. Prior to this change (including 3Q 2016 and YTD 2016 as presented below), the reclassifications from held-for-investment to held-for-sale affected several line items on our consolidated results of operations.
  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 %

Key Drivers:
3Q 2017 vs. 3Q 2016 and YTD 2017 vs. YTD 2016 - Effect on income changed to a gain as a result of price improvements on a higher volume of primarily reperforming loans reclassified from held-for-investment to held-for-sale during the 2017 periods compared to a loss recognized primarily on seriously delinquent loans reclassified from held-for-investment to held-for-sale during the 2016 periods.


Freddie Mac Form 10-Q19



Management's Discussion and AnalysisConsolidated Balance Sheets Analysis


CONSOLIDATED BALANCE SHEETS ANALYSIS
The table below compares our summarized consolidated balance sheets.
  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
  %
Key Drivers:
As of September 30, 2017 compared to December 31, 2016:
Cash and cash equivalents, restricted cash and cash equivalents, and securities purchased under agreements to resell affect one another, so the changes in the balances should be viewed together. The combined balance as of September 30, 2017 declined primarily due to lower near term cash needs for lower upcoming maturities and anticipated calls of other debt and a decrease in prepayment proceeds received by the custodial account driven by increased interest rates as of September 30, 2017 compared to December 31, 2016.
Investments in securities, at fair value decreased as we continued to reduce the mortgage-related investments portfolio during 2017 as required by the Purchase Agreement and FHFA.
Other assets increased primarily due to the recognition of short-term receivables from sales or maturities of trading or available-for-sale securities.
Derivative liabilities, net decreased due to changes in interest rates which were mostly offset by cash collateral received by our derivative counterparties.
Total equity increased as a result of higher comprehensive income during YTD 2017 compared to 4Q 2016, partially offset by additional dividends paid related to the $600 million decline in the Capital Reserve Amount in 2017.

Freddie Mac Form 10-Q20



Management's Discussion and AnalysisOur Business Segments | Segment Earnings


OUR BUSINESS SEGMENTS
We have three reportable segments, which are based on the way we manage our business.
Single-family Guarantee - reflects results from our purchase, securitization, and guarantee of single-family loans and the management of single-family credit risk.
Multifamily - reflects results from our purchase, securitization, and guarantee of multifamily loans and securities, our investments in those loans and securities, and the management of multifamily credit risk and market spread risk.
Capital Markets - reflects results from managing the company’s mortgage-related investments portfolio (excluding multifamily investments, single-family seriously delinquent loans, and the credit risk of single-family performing and reperforming loans), treasury function, single-family securitization activities and interest-rate risk.
Certain activities that are not part of a reportable segment, such as material corporate-level activities that are infrequent in nature and based on decisions outside the control of the management of our reportable segments, are included in the All Other category.
SEGMENT EARNINGS
During 1Q 2017, we changed how we calculate certain components of our Segment Earnings for our Capital Markets segment. Prior period results have been revised to conform to the current period presentation. For more information on this change and on our segment reclassifications, see Note 11.

Freddie Mac Form 10-Q21



Management's Discussion and AnalysisOur Business Segments | Segment Earnings


SEGMENT COMPREHENSIVE INCOME
The graphs below show our comprehensive income by segment.
(In billions)
a20173q10q_chart-07381.jpga20173q10q_chart-09066.jpg


Freddie Mac Form 10-Q22



Management's Discussion and AnalysisOur Business Segments | Single-Family Guarantee


SINGLE-FAMILY GUARANTEE
MARKET CONDITIONS

The following graphs and related discussion present certain market indicators that can significantly affect the business and financial results, see MD&A – Consolidated Results of our Single-family Guarantee segment.Operations and MD&A – Our Business Segments.
Single-Family
U.S. Single-Family Home Sales and House Prices
106Sources: National Association of Realtors, U.S. Census Bureau, and Freddie Mac House Price Index (seasonally adjusted rate).

U.S. Single-Family Mortgage Originations
a20173q10q_chart-07414.jpg_
(UPB in billions)307
Source: Freddie Mac and Inside Mortgage Finance dated August 18, 2017 (latest available IMF purchase/refinance information).

Finance. The 1Q 2024 U.S. single-family mortgage originations data is not yet available.
Single-Family Serious Delinquency Rates
a20173q10q_chart-09860.jpg

476
Source: Freddie Mac and National Delinquency Survey from the Mortgage Bankers Association. Data asThe 1Q 2024 total mortgage market rate is not yet available.

Single-Family Mortgage Debt Outstanding

(UPB in trillions)
4
Source: Freddie Mac and Federal Reserve Financial Accounts of August 24, 2017 (latest available NDS information).the United States of America. The 1Q 2024 U.S. single-family mortgage debt outstanding balance is not yet available.


Commentary
Freddie Mac 1Q 2024 Form 10-Q4

Management's Discussion and AnalysisHousing and Mortgage Market Conditions
Multifamily
Apartment Vacancy Rates and Change in Effective Rents
58Source: Reis.


Multifamily Property Price Growth Rate

116
Source: Real Capital Analytics Commercial Property Price Index (RCA CPPI).


Multifamily Delinquency Rates
225Source: Freddie Mac, FDIC Quarterly Banking Profile, Intex Solutions, Inc., and Wells Fargo Securities (Multifamily CMBS conduit market, excluding REOs). The 1Q 2024 delinquency rate for FDIC insured institutions is not yet available.



Multifamily Mortgage Debt Outstanding
(UPB in billions)
513Source: Freddie Mac and Federal Reserve Financial Accounts of the United States of America. The 1Q 2024 U.S. single-family loan origination volumes decreasedmultifamily mortgage debt outstanding balance is not yet available.
Freddie Mac 1Q 2024 Form 10-Q5

Management's Discussion and AnalysisConsolidated Results of Operations

CONSOLIDATED RESULTS OF OPERATIONS
The discussion of our consolidated results of operations should be read in conjunction with our condensed consolidated financial statements and accompanying notes.
The table below compares our summarized consolidated results of operations.
Table 1 - Summary of Consolidated Statements of Income and Comprehensive Income
Change
(Dollars in millions)1Q 20241Q 2023$%
Net interest income$4,759 $4,501 $258 %
Non-interest income998 326 672 206 
Net revenues5,757 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 expense3,454 2,500 954 38 
Income tax expense(688)(505)(183)(36)
Net income2,766 1,995 771 39 
Other comprehensive income (loss),
net of taxes and reclassification adjustments
(25)54 (79)(146)
Comprehensive income$2,741 $2,049 $692 34 %
Net Revenues
Net Interest Income
The table below presents the components of net interest income.
Table 2 - Components of Net Interest Income
Change
(Dollars in millions)1Q 20241Q 2023$%
Guarantee net interest income:
Contractual net interest income$3,772 $3,666 $106 %
Deferred fee income166 207 (41)(20)
Total guarantee net interest income3,938 3,873 65 2 
Investments net interest income1,514 1,432 82 
Impact on net interest income from hedge accounting(693)(804)111 14 
Net interest income$4,759 $4,501 $258 6 %
Key Drivers:
nGuarantee net interest income
l1Q 2024 vs. 1Q 2023 - Increased primarily due to 495 billion in 3Q 2017 from $585 billion in 3Q 2016, driven by lower refinance volumecontinued mortgage portfolio growth.
nInvestments net interest income
l1Q 2024 vs. 1Q 2023 - Increased primarily due to higher returns on securities purchased under agreements to resell as a result of higher mortgage rates in 3Q 2017. Mortgage origination data isshort-term interest rates.
nImpact on net interest income from Inside Mortgage Finance as of October 27, 2017.hedge accounting
In 2018, we expect continued growth in U.S single-family home purchase volumel1Q 2024 vs. 1Q 2023 - Expense decreased primarily due to a gradual increaselower interest expense on derivatives in housing supply, and lower refinance volume drivenhedge relationships, partially offset by a moderate increase in mortgage interest rates. Freddie Mac's single-family home purchase and refinance volumes typically follow a similar trend.
Single-family serious delinquency (SDQ) ratesan unfavorable change in the U.S. generally continued to declineearnings mismatch on a year-over-year basis due to macroeconomic factors, such as a low unemployment rate and continued home price appreciation. Freddie Mac's delinquency rates typically follow a similar trend resulting inqualifying fair value hedge relationships.


Freddie Mac 1Q 2024 Form 10-Q236



Management's Discussion and AnalysisOur Business Segments | Single-Family GuaranteeConsolidated Results of Operations



Net Interest Yield Analysis
fewer
The table below presents a yield analysis of interest-earning assets and interest-bearing liabilities.
Table 3 - Analysis of Net Interest Yield
1Q 20241Q 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 resell111,796 1,532 5.48 107,516 1,220 4.54 
Investment securities41,293 470 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 assets1,784 29 6.48 1,930 26 5.30 
Total interest-earning assets3,267,125 28,385 3.47 3,203,458 24,987 3.12 
Interest-bearing liabilities:
Debt of consolidated trusts3,035,073 (21,122)(2.78)2,975,417 (18,261)(2.45)
Debt of Freddie Mac180,850 (2,504)(5.53)187,599 (2,225)(4.74)
Total interest-bearing liabilities3,215,923 (23,626)(2.94)3,163,016 (20,486)(2.59)
Impact of net non-interest-bearing funding51,202 — 0.05 40,442 — 0.03 
Total funding of interest-earning assets3,267,125 (23,626)(2.89)3,203,458 (20,486)(2.56)
Net interest income/yield$4,759 0.58 %$4,501 0.56 %
(1)Loan fees included in net interest income were $0.3 billion during both 1Q 2024 and 1Q 2023.
Non-Interest Income
The table below presents the components of non-interest income.
Table 4 - Components of Non-Interest Income
Change
(Dollars in millions)1Q 20241Q 2023$%
Guarantee income$496 $466 $30 %
Investment gains, net405 (225)630 280 
Other income97 85 12 14 
Non-interest income$998 $326 $672 206 %
Key Drivers:
nInvestment gains, net
l1Q 2024 vs. 1Q 2023 - Increased primarily due to gains in Multifamily driven by net gains from interest-rate risk management activities, higher revenues from held-for-sale loan workoutspurchase and foreclosure transfers, which generally reduces our expected credit losses on our total single-family mortgage portfolio.securitization activities, and favorable fair value changes from spreads.


Freddie Mac 1Q 2024 Form 10-Q247

Management's Discussion and AnalysisConsolidated Results of Operations

(Provision) Benefit for Credit Losses
The table below presents the components of provision for credit losses.
Table 5 - (Provision) Benefit for Credit Losses
Change
(Dollars in millions)1Q 20241Q 2023$%
Single-Family($120)($318)$198 62 %
Multifamily(61)(77)16 21 
(Provision) benefit for credit losses($181)($395)$214 54 %
Key Drivers:
n1Q 2024 vs. 1Q 2023 - The provision for credit losses for 1Q 2024 was primarily driven by a modest credit reserve build in Single-Family attributable to new acquisitions and increasing mortgage interest rates. The provision for credit losses for 1Q 2023 was driven by a modest credit reserve build primarily attributable to new acquisitions in Single-Family.
Non-Interest Expense
The table below presents the components of non-interest expense.
Table 6 - Components of Non-Interest Expense
Change
(Dollars in millions)1Q 20241Q 2023$%
Salaries and employee benefits($421)($374)($47)(13)%
Credit enhancement expense(597)(530)(67)(13)
Benefit for (decrease in) credit enhancement recoveries49 (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)%
Key Drivers:
nCredit enhancement expense
l1Q 2024 vs. 1Q 2023 - Increased primarily due to expenses related to STACR Trust note repurchases in 1Q 2024. There were no STACR Trust note repurchases in 1Q 2023.
nBenefit for (decrease in) credit enhancement recoveries
l1Q 2024 vs. 1Q 2023 - Decreased primarily due to a lower increase in expected credit losses on covered loans.



Freddie Mac 1Q 2024 Form 10-Q8

Management's Discussion and AnalysisConsolidated Balance Sheets Analysis

CONSOLIDATED BALANCE SHEETS ANALYSIS
The table below compares our summarized condensed consolidated balance sheets.
Table 7 - Summarized Condensed Consolidated Balance Sheets
Change
(Dollars in millions)March 31, 2024December 31, 2023$%
Assets:
Cash and cash equivalents$3,531 $6,019 ($2,488)(41)%
Securities purchased under agreements to resell102,257 95,148 7,109 
Investment securities, at fair value41,400 43,275 (1,875)(4)
Mortgage loans held-for-sale12,034 12,941 (907)(7)
Mortgage loans held-for-investment3,088,687 3,083,665 5,022 — 
Accrued interest receivable, net10,047 9,925 122 
Deferred tax assets, net4,227 4,076 151 
Other assets25,190 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)%
Debt3,211,742 3,208,346 3,396 — 
Other liabilities16,456 16,096 360 
Total liabilities3,236,910 3,233,254 3,656  
Total equity50,463 47,722 2,741 6 
Total liabilities and equity$3,287,373 $3,280,976 $6,397  %
Key Drivers:
As of March 31, 2024 compared to December 31, 2023:
nSecurities purchased under agreements to resell increased primarily due to investment of retained earnings and a shift from cash and cash equivalents and Treasury securities to securities purchased under agreements to resell.
nMortgage loans held-for-investment increased primarily due togrowth in our Single-Family mortgage portfolio.
nDebt increased due to an increase in debt of consolidated trusts driven by growth in our Single-Family mortgage portfolio.




Freddie Mac 1Q 2024 Form 10-Q9

Management's Discussion and AnalysisOur Portfolios
OUR PORTFOLIOS
Mortgage Portfolio
The table below presents the UPB of our mortgage portfolio by segment.
Table 8 - Mortgage Portfolio
March 31, 2024December 31, 2023
(In millions)Single-FamilyMultifamilyTotalSingle-FamilyMultifamilyTotal
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 Mac35,64310,00045,64333,21311,77044,983
Total mortgage loans held-for-investment3,001,013 61,757 3,062,770 2,996,509 59,203 3,055,712 
Mortgage loans held-for-sale3,104 9,446 12,550 3,527 9,905 13,432 
Total mortgage loans3,004,117 71,203 3,075,320 3,000,036 69,108 3,069,144 
Mortgage-related guarantees:
Mortgage loans held by nonconsolidated trusts30,324 361,164 391,488 30,182 360,928 391,110 
Other mortgage-related guarantees8,511 10,720 19,231 8,692 10,761 19,453 
Total mortgage-related guarantees38,835 371,884 410,719 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 trusts24,762321,905346,66724,600321,262345,862
Total guaranteed mortgage-related securities$2,999,923 $373,716 $3,373,639 $2,995,307 $368,698 $3,364,005 
Investments Portfolio
Our investments portfolio consists of our mortgage-related investments portfolio and our other investments portfolio.
Mortgage-Related Investments Portfolio
The Purchase Agreement limits the size of our mortgage-related investments portfolio to a maximum amount of $225 billion. The calculation of mortgage assets subject to the Purchase Agreement cap includes the UPB of mortgage assets and 10% of the notional value of interest-only securities. We are also subject to additional limitations on the size and composition of our mortgage-related investments portfolio pursuant to FHFA guidance. For additional information on the restrictions on our mortgage-related investments portfolio, see the MD&A - Conservatorship and Related Matters section in our 2023 Annual Report.
Freddie Mac 1Q 2024 Form 10-Q10

Management's Discussion and AnalysisOur Portfolios
The table below presents the details of our mortgage-related investments portfolio.
Table 9 - Mortgage-Related Investments Portfolio
March 31, 2024December 31, 2023
(In millions)Single-FamilyMultifamilyTotalSingle-FamilyMultifamilyTotal
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 loans38,747 19,446 58,193 36,74021,67558,415
Mortgage-related securities:
Investment securities2,916 4,486 7,402 2,667 4,613 7,280 
Debt of consolidated trusts18,367 684 19,051 18,639 660 19,299 
Total mortgage-related securities21,283 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 cap107,772107,180
(1)Single-family and multifamily loans that we have purchased for cash and aggregate on our balance sheet for securitization within the normal course of business.
(2)Primarily includes delinquent and modified single-family loans that we have purchased from securitization trusts.
Other Investments Portfolio
The table below presents the details of our other investments portfolio.
Table 10 - Other Investments Portfolio
March 31, 2024December 31, 2023
(In millions)Liquidity and Contingency Operating PortfolioCustodial AccountOther
Total Other Investments Portfolio (1)
Liquidity and Contingency Operating PortfolioCustodial AccountOther
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 
(1)Represents carrying value.
(2)Primarily consists of U.S. Treasury securities.
Freddie Mac 1Q 2024 Form 10-Q11

Management's Discussion and AnalysisOur Business Segments

OUR BUSINESS SEGMENTS
As shown in the table below, we have two reportable segments, which are based on the way we manage our business.
SegmentDescription
Single-FamilyReflects 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.
MultifamilyReflects results from our purchase, securitization, and guarantee of multifamily loans, our investments in multifamily loans and mortgage-related securities, and the management of Multifamily mortgage credit risk and market risk.
Segment Net Revenues and Net Income
The charts below show our net revenues and net income by segment.
Segment Net Revenues
(In billions)38
Segment Net Income
(In billions)72
Freddie Mac 1Q 2024 Form 10-Q12

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

Single-Family

BUSINESS RESULTS

Business Results
The followingcharts, tables, graphs and related discussion below present the business results of our Single-family GuaranteeSingle-Family segment.
New Business Activity
UPB of Single-Family Loan Purchases and Guarantees by Loan Purpose and Average Estimated Guarantee Fee Rate(1) on New Acquisitions

(UPB in billions)152
(In billions)
a20173q10q_chart-07877.jpga20173q10q_chart-09124.jpg
Percentage of Single-Family Loan Purchases and Guarantees by Loan Purpose

a20173q10q_chart-10758.jpg

Freddie Mac Form 10-Q25



Management's Discussion and AnalysisOur Business Segments | Single-Family Guarantee


Commentary
Our loan purchase and guarantee activity:
3Q 2017 vs. 3Q 2016 - decreased due to lower refinance volume driven by higher mortgage rates.
YTD 2017 vs. YTD 2016 - decreased due to lower refinance volume partially offset by an increase in home purchase loan volume as interest and unemployment rates remained low.
While Hurricanes Harvey, Irma and Maria did not have an impact on our 3Q 2017 new business volume, we are currently assessing the potential impacts of these events on future new business volume.



Freddie Mac Form 10-Q26



Management's Discussion and AnalysisOur Business Segments | Single-Family Guarantee


Single-Family Credit Guarantee Portfolio
Single-Family Credit Guarantee Portfolio
a20173q10q_chart-07277.jpg
Commentary
The single-family credit guarantee portfolio increased during YTD 2017 by approximately 3%, driven by increased single-family origination volume. Our market share of U.S. single-family origination volume remained stable amid growth in total U.S. single-family mortgage debt outstanding resulting from continued improvement in macroeconomic conditions, such as a low unemployment rate and home price appreciation. In addition, new business acquisitions had a higher average loan size compared to older vintages that continue to run off.
The Core single-family loan portfolio grew to 77% of the single-family credit guarantee portfolio at September 30, 2017 compared to 73% at December 31, 2016.
The Legacy and relief refinance single-family loan portfolio declined to 23% of the single-family credit guarantee portfolio at September 30, 2017 compared to 27% at December 31, 2016, driven primarily by liquidations.

Freddie Mac Form 10-Q27



Management's Discussion and AnalysisOur Business Segments | Single-Family Guarantee


Guarantee Fees
The average portfolio Segment Earnings(1)Estimated guarantee fee rate reflects an average rate for our total single-family credit guarantee portfolio and is not limited to purchases incalculation excludes the applicable period. This rate consists primarily of:
Contractuallegislated guarantee fees that we receive over the life of the loans; and
Upfront delivery fee income that we amortize over the contractual life of the related loans (usually 30 years). If the related loans prepay, the remaining upfront delivery fee income is recognized immediately.
The average guarantee fee rate charged on new acquisitions consists primarily of:
Contractual guarantee includes deferred fees that we receive over the life of the loans; and
Upfront delivery fee income that we recognizerecognized over the estimated life of the related loans using our expectationsloans.
Number of prepaymentsFamilies Helped to Own a Home and other liquidations.
Average Portfolio Segment Earnings Guarantee Fee Rate(1) a20173q10q_chart-08270.jpg
Average Guarantee Fee Rate Charged onLoan UPB of New Acquisitions(1)
a20173q10q_chart-10211.jpg

(Loan count in thousands)
428
n1Q 2024 vs. 1Q 2023
(1) Excludes the legislated 10 basis point increaselOur loan purchase and guarantee activity increased from $59 billion to $62 billion.
lThe average loan size of new acquisitions increased due to a higher conforming loan limit and house price appreciation in guarantee fees.recent quarters.
Commentary
Average portfolio Segment EarningslThe average estimated guarantee fee rates:rate on new acquisitions remained at 55 bps.
3Q 2017 vs. 3Q 2016 and YTD 2017 vs. YTD 2016 - decreased slightly due to a decline in the recognition of amortized fees driven by lower prepayments that resulted from higher mortgage rates in the 2017 periods. This decrease was partially offset by an increase in contractual guarantee fees as older vintages were replaced by new loan acquisitions with higher contractual guarantee fees.



Freddie Mac 1Q 2024 Form 10-Q2813



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

Single-Family Mortgage Portfolio

Single-Family Mortgage Portfolio and Average Estimated Guarantee Fee Rate(1) on Mortgage Portfolio
(UPB in billions)120
(1)Estimated guarantee fee rate chargedis calculated as of acquisition and includes deferred fees recognized over the estimated life of the related loans. Estimated guarantee fee rate calculation excludes the legislated guarantee fees and certain loans, the majority of which are held by VIEs that we do not consolidate. The UPB of these excluded loans was $41 billion as of March 31, 2024.
Single-Family Mortgage Loans
(Loan count in millions) 537
nOur Single-Family mortgage portfolio was $3.0 trillion at March 31, 2024, up 2% year-over-year. The mortgage portfolio continued to grow at a moderate pace as new business activity remained low.
nThe average estimated guarantee fee rate on new acquisitions:
3Q 2017 vs. 3Q 2016 and YTD 2017 vs. YTD 2016 - decreased due to competitive pricing to maintain market share of U.S. single-family origination volume, partially offset by lower market-adjusted pricing costs based on the improved price performance of our PCs relative to Fannie Mae securities.

our Single-Family mortgage portfolio increased slightly year-over-year.
Freddie Mac 1Q 2024 Form 10-Q2914



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

Credit Enhancements

Credit Risk Transfer (CRT) Activity
In 2013, we began transferringWe obtain credit riskenhancements on a portion of our Core single-family loanSingle-Family mortgage portfolio to the private market, which reducesreduce the risk of future losses to us and taxpayers when borrowers go into default. Our principal methodsThe charts below provide the UPB of credit risk transfer are our STACR debt note and ACIS transactions, where we generally transfer a small portion of the expected credit losses and a significant portion of credit losses in a stressed economic environment. In these transactions, we pay interest and premiums to investors or insurers, respectively, in exchange for their taking on a portion of the credit risk on the mortgage loans inacquired during the related reference pool. These payments effectively reduce our guarantee fee income fromperiods presented that were covered by primary mortgage insurance, the PCsUPB of the mortgage loans covered by CRT transactions issued during the periods presented, and maximum coverage related reference pools. to these credit enhancements. The primary mortgage insurance and CRT activities presented in these charts are not mutually exclusive as a single loan may be covered by both primary mortgage insurance and CRT transactions.
New Acquisitions Covered by Primary Mortgage Insurance
(In billions)49
New CRT Issuance
(In billions)98
n1Q 2024 vs. 1Q 2023
lThe UPB of mortgage loans covered by CRT transactions and related maximum coverage issued increased as we accelerated our targeted 2024 CRT issuance amounts due to market conditions for new issuances during 1Q 2024.
See “MDMD&A - Our Business SegmentsRisk Management - Single-Family Guarantee -Mortgage Credit Risk Transfer Transactions”in our 2016 Annual Report- Transferring Credit Risk to Third-Party Investors for moreadditional information on our CRT transactions.
The following chart presents the cumulative issuance amount for the STACR debt note and ACIS transactions as of September 30, 2017 by loss position and the party holding each loss position.
Cumulative STACR Debt Note and ACIS Transactions as of September 30, 2017(1)(2)
(In billions)
Senior
Freddie Mac


$725.5
Reference Pool

$760.8
Mezzanine
Freddie Mac


$1.6
ACIS



$6.8






STACR Debt Notes


$20.4

First
 Loss
Freddie Mac

$4.2
ACIS

$0.8
STACR
Debt Notes
$1.5

(1)The amounts represent the UPB upon issuance of STACR debt notes and execution of ACIS transactions.
(2)For the current outstanding coverage provided by our STACR debt note and ACIS transactions, see Note 4.
Commentary
During YTD 2017, we transferred a portion of the credit losses associated with $175.9 billion in UPB of loans in our single-family loan portfolio primarily through STACR debt note, ACIS, whole loan security, senior subordinate securitization structure, and deep mortgage insurance CRT transactions.
During 3Q 2017, we did not have any new STACR debt note or ACIS transactions. However, we completed $1.0 billion of ACIS transactions related to reference pools in transactions executed in prior periods.

enhancements.
Freddie Mac 1Q 2024 Form 10-Q3015



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

Financial Results

The table below presents the results of operations for our Single-Family segment. See Note 11 for additional information about segment financial results.
Our expected guarantee feeTable 11 - Single-Family Segment Financial Results
Change
(Dollars in millions)1Q 20241Q 2023$%
Net interest income$4,488 $4,296 $192 %
Non-interest income(14)(93)79 85 
Net revenues4,474 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 expense2,429 2,102 327 16 
Income tax expense(484)(425)(59)(14)
Net income1,945 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 %
Key Business Drivers:
n 1Q 2024 vs. 1Q 2023
lNet income on the PCs relatedof $1.9 billion, up 16% year-over-year.
Net revenues were $4.5 billion, up 6% year-over-year. Net interest income was $4.5 billion, up 4% year-over-year, primarily driven by continued mortgage portfolio growth and higher investments net interest income as a result of higher short-term interest rates.
Provision for credit losses was $0.1 billion for 1Q 2024, primarily driven by a modest credit reserve build attributable to the STACRnew acquisitions and ACIS reference pools has been effectively reduced by approximately 31%, on average, for all transactions executed through September 30, 2017.
Due to differences in accounting, there could be a significant time lag between when we recognize aincreasing mortgage interest rates. The provision for credit losses on the mortgage loans in the reference pools and when we recognize the related recoveryof $0.3 billion for the majority of our STACR debt note transactions. A1Q 2023 was driven by a modest credit reserve build primarily attributable to new acquisitions.
Non-interest expense on a loan in a reference poolwas $1.9 billion, up 8% year-over-year, primarily driven by expenses related to these transactions is recorded when it is probable that we have incurred a loss, while a benefit is recorded when an actual loss event occurs.STACR Trust note repurchases in 1Q 2024. There were no STACR Trust note repurchases in 1Q 2023.
As of September 30, 2017, there has not been a significant number of loans in our STACR debt note and ACIS reference pools that have experienced a credit event. As a result, we experienced minimal write-downs on our STACR debt notes and filed minimal claims for reimbursement of losses under our ACIS transactions. We expect losses may increase on loans in the reference pools in our existing CRT transactions from Hurricanes Harvey and Irma.
As of September 30, 2017, we have transferred a portion of the credit risk on nearly 32% of the total outstanding single-family credit guarantee portfolio.
We continue to evaluate our credit risk transfer strategy and to make changes depending on market conditions and our business strategy. The aggregate cost of our credit risk transfer activity will continue to increase as we continue to transfer risk on new originations.



Freddie Mac 1Q 2024 Form 10-Q3116



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



Multifamily
Mortgage Loan Credit Risk
Certain combinations of loan attributes can indicate a higher degree of credit risk, such as loans with both higher LTV ratios and lower credit scores. The following table presents the combination of credit score and current LTV (CLTV) ratio attributes of loans in our single-family credit guarantee portfolio.
  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%
Business Results
(1)NM - Not meaningful due to the percentage of the portfolio rounding to zero.

Freddie Mac Form 10-Q32



Management's Discussion and AnalysisOur Business Segments | Single-Family Guarantee


Alt-A and Subprime Loans
While we refer to certain loans as subprime or Alt-A for purposes of the discussion below and elsewhere in this Form 10-Q, there is no universally accepted definition of subprime or Alt-A, and the classification of such loans may differ from company to company. We do not rely on these loan classifications to evaluate the credit risk exposure relating to such loans in our single-family credit guarantee portfolio.
Participants in the mortgage market have characterized single-family loans based upon their overall credit quality at the time of origination, including as prime or subprime. While we have not historically characterized the loans in our single-family credit guarantee portfolio as either prime or subprime, we monitor the amount of loans we have guaranteed with characteristics that indicate a higher degree of credit risk. In addition, we estimate that approximately $1.1 billion and $1.3 billion of security collateral underlying our other securitization products at September 30, 2017 and December 31, 2016, respectively, were identified as subprime based on information provided to us when we entered into these transactions.
Mortgage market participants have classified single-family loans as Alt-A if these loans have credit characteristics that range between the prime and subprime categories, if they are underwritten with lower or alternative income or asset documentation requirements compared to a full documentation loan, or both. Although we have discontinued new purchases of loans with lower documentation standards, we continue to purchase certain amounts of such loans in cases where the loan was either purchased pursuant to a previously issued guarantee, as part of our relief refinance initiative, or as part of another refinance loan initiative and the pre-existing loan was originated under less than full documentation standards. In the event we purchase a refinance loan and the original loan had been previously identified as Alt-A, such refinance loan may no longer be categorized or reported as an Alt-A loan in this Form 10-Q and our other financial reports because the new refinance loan replacing the original loan would not be identified by the seller/servicer as an Alt-A loan. As a result, our reported Alt-A balances may be lower than would otherwise be the case had such refinancing not occurred. From the time the relief refinance initiative began in 2009 to September 30, 2017, we have purchased approximately $36.0 billion of relief refinance loans that were previously categorized as Alt-A loans in our portfolio, including $0.3 billion in 3Q 2017.
The table below contains information on Alt-A loans in our single-family credit guarantee portfolio.
  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%
The UPB of Alt-A loans in our single-family credit guarantee portfolio declined during YTD 2017 primarily due to borrowers refinancing into other mortgage products, foreclosure transfers, and other liquidation events. Significant portions of the Alt-A loans in our portfolio are concentrated in Arizona, California, Florida, and Nevada.

Freddie Mac Form 10-Q33



Management's Discussion and AnalysisOur Business Segments | Single-Family Guarantee


Single-Family Loan Performance
Serious Delinquency Rates
a20173q10q_chart-07499.jpg
Commentary
Serious delinquency rates were lower as of September 30, 2017 compared to September 30, 2016 on our single-family credit guarantee portfolio due to home price appreciation and a low unemployment rate, combined with our continued loss mitigation efforts and sales of certain seriously delinquent loans.
The total delinquency rate increased to 1.52% for loans one month past due as of September 30, 2017 due to recent hurricane events, compared to 1.23% and 1.30% as of June 30, 2017 and September 30, 2016, respectively. The total delinquency rate for loans two months past due was 0.38% as of September 30, 2017 compared to 0.33% and 0.39% as of June 30, 2017 and September 30, 2016, respectively.

Freddie Mac Form 10-Q34



Management's Discussion and AnalysisOur Business Segments | Single-Family Guarantee


Credit Performance
The table below contains certain credit performance metrics of our single-family credit guarantee portfolio. On January 1, 2017, we elected a new accounting policy for loan reclassifications from held-for-investment to held-for-sale that increased the amount of charge-offs recognized during YTD 2017. Under the new policy, when we reclassify (transfer) a loan from held-for-investment to held-for-sale, we charge off the entire difference between the loan’s recorded investment and its fair value if the loan has a history of credit-related issues. Expenses related to property taxes and insurance are included as part of the charge-off. See Note 4 for further information about this change.
(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, net995
 346
 3,706
 1,121
REO operations expense35
 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

(1)3Q 2016 and YTD 2016 do not include lower-of-cost-or-fair-value adjustments and other expenses related to property taxes and insurance recognized when we transfer loans from held-for-investment to held-for-sale, which totaled $75 million and $949 million, respectively. 3Q 2017 and YTD 2017 include charge-offs of $0.8 billion and $3.0 billion, respectively, related to the transfer of loans from held-for-investment to held-for-sale.
The table below summarizes the carrying value for individually impaired single-family loans on our condensed consolidated balance sheets for which we have recorded a specific reserve.
  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

Freddie Mac Form 10-Q35



Management's Discussion and AnalysisOur Business Segments | Single-Family Guarantee


The tables below present information about the UPB of single-family TDRs and non-accrual loans on our condensed consolidated balance sheets.
(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
(1)Represents the amount of interest income that we would have recognized for loans outstanding at the end of each period, had the loans performed according to their original contractual terms.
Commentary

As of September 30, 2017, 51% of the loan loss reserves for single-family mortgage loans related to interest rate concessions provided to borrowers as part of loan modifications.
Most of our modified single-family loans, including TDRs, were current and performing at September 30, 2017.
We expect our loan loss reserves associated with existing single-family TDRs to decline over time as we continue to sell reperforming loans. In addition, these loan loss reserves will decline as borrowers continue to make monthly payments under the modified terms and interest-rate concessions are amortized into earnings.
See Note 4 for information on our single-family loan loss reserves.
Net charge-offs were higher in the 2017 periods compared to the 2016 periods primarily due to the policy change for loan reclassifications from held-for-investment to held-for-sale. See Note 4 for further information about this change.

Freddie Mac Form 10-Q36



Management's Discussion and AnalysisOur Business Segments | Single-Family Guarantee


Loss Mitigation Activities
Loan Workout Activity
(UPB in billions, number of loan workouts in thousands)
a20173q10q_chart-08727.jpga20173q10q_chart-11652.jpg
Commentary

Our loan workout activity declined during the 2017 periods compared to the 2016 periods consistent with the decline in the number of delinquent loans in the single-family credit guarantee portfolio as the economy continued to improve.
We continue our loss mitigation efforts through our relief refinance, modification, and other initiatives.

Freddie Mac Form 10-Q37



Management's Discussion and AnalysisOur Business Segments | Single-Family Guarantee


REO Activity

The table below presents a summary of our single-family REO activity.
  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
Commentary
Our REO ending inventory declined in the 2017 periods compared to the 2016 periods primarily due to a decrease in REO acquisitions driven by fewer loans in foreclosure and a large proportion of property sales to third parties at foreclosure.

Freddie Mac Form 10-Q38



Management's Discussion and AnalysisOur Business Segments | Single-Family Guarantee


FINANCIAL RESULTS
The table below presents the components of Segment Earnings and comprehensive income for our Single-family Guarantee segment.
  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)%
Key Drivers:
3Q 2017 vs. 3Q 2016 - Total comprehensive income decreased primarily driven by:
$0.9 billion (pre-tax) increase in provision for credit losses in 3Q 2017 attributable to estimated losses related to Hurricanes Harvey, Irma and Maria, which included approximately $0.6 billion related to $2.3 billion in UPB of mortgage loans in Puerto Rico.
This decrease was partially offset by:
Decrease in provision for credit losses in 3Q 2017 due to improvements in our estimated loss severity.
Gains recognized on STACR debt notes from widening of spreads between the STACR yields and LIBOR during 3Q 2017 compared to losses recognized in 3Q 2016 when spreads tightened.
Gains recognized on a higher volume of primarily reperforming loans reclassified from held-for-investment to held-for-sale during 3Q 2017 compared to losses recognized on seriously delinquent loans during 3Q 2016.
Gains recognized from price improvements primarily on reperforming loans that were sold into senior subordinate securitization structures during 3Q 2017.
YTD 2017 vs. YTD 2016 - Total comprehensive income decreased primarily driven by:
$0.9 billion (pre-tax) increase in provision for credit losses in 3Q 2017 attributable to estimated losses related to Hurricanes Harvey, Irma and Maria, which included approximately $0.6 billion related to $2.3 billion in UPB of mortgage loans in Puerto Rico.

Freddie Mac Form 10-Q39



Management's Discussion and AnalysisOur Business Segments | Single-Family Guarantee


This decrease was partially offset by:
Gains recognized on a higher volume of primarily reperforming loans reclassified from held-for-investment to held-for-sale during YTD 2017 compared to losses recognized primarily on seriously delinquent loans during YTD 2016.
Gains recognized from price improvements primarily on reperforming loans that were sold into senior subordinate securitization structures during YTD 2017.

Freddie Mac Form 10-Q40



Management's Discussion and AnalysisOur Business Segments | Multifamily


MULTIFAMILY
MARKET CONDITIONS
The graphs and related discussion below present certain multifamily market indicators that can significantly affect the business and financial results of our Multifamily segment.
Change in Effective Rents a20173q10q_chart-07420.jpg
Source: REIS, Inc.

Apartment Vacancy Rates
a20173q10q_chart-09406.jpg
Source: REIS, Inc.
Commentary
While vacancy rates rose slightly during 3Q 2017 compared to 2Q 2017, effective rents continued to increase, although more moderately compared to 2Q 2017, primarily due to lower than expected new apartment completions, coupled with an increase in potential renters from healthy employment growth and higher single family home prices.
As new apartment completions are expected to continue to increase and slightly outpace net absorption, we expect vacancy rates to continue to increase slowly in the upcoming quarters. While increasing vacancy rates will moderate effective rent growth, we expect effective rents for the remainder of the year to be in line with the 2016 rates and the long-term average. Furthermore, we do not expect our financial results for the remainder of the year to be significantly affected by either of these market conditions.
We are continuing to assess the impacts of Hurricanes Harvey, Irma and Maria on the multifamily markets located in the affected areas. However, based on estimates of the number of displaced single family homeowners requiring temporary housing, we expect effective rents may increase and vacancy rates may decrease in the areas affected by Hurricane Harvey.

Freddie Mac Form 10-Q41



Management's Discussion and AnalysisOur Business Segments | Multifamily


K Certificate Benchmark Spreads
a20173q10q_chart-07404.jpg

Source: Independent dealers

Commentary
The profitability of our K Certificate transactions (as measured by gains and losses on sales of mortgage loans) and the valuation of our securitization pipeline of held-for-sale loans are affected by the overall market spread movements (generally reflected in K Certificate benchmark spreads) as well as deal specific attributes, such as tranche size, risk distribution and collateral characteristics (loan term, coupon type, prepayment restrictions and underlying property type). These market spread movements and deal specific attributes contribute to our earnings volatility, which we manage by controlling the size of our securitization pipeline of held-for-sale mortgage loans and by entering into certain spread-related derivatives.
K Certificate benchmark spreads remained relatively stable during the 2017 periods, tightening slightly by the end of 3Q 2017. By comparison, our K Certificate benchmark spreads were more volatile during 1Q 2016 and 2Q 2016 and tightened during 3Q 2016.

Freddie Mac Form 10-Q42



Management's Discussion and AnalysisOur Business Segments | Multifamily


BUSINESS RESULTS

The financial results of the Multifamily business are largely driven by our securitization-related activities, primarily through the issuance of K Certificates and SB Certificates. The profitability of these activities is influenced by several factors, including the:
Interest we receive on the mortgage loans prior to their securitization;
Price we receive upon securitization of the mortgage loans; and
Ongoing guarantee fee we receive in exchange for providing our guarantee of the issued mortgage-related securities.
We evaluate the above factors collectively when assessing the profitability of any given transaction.
The graphs,charts, tables, and related discussion below present the business results of our Multifamily segment.
New Business Activity

Multifamily
New Business Activity

(UPB inIn billions)

227
a20173q10q_chart-07550.jpg    a20173q10q_chart-09455.jpg
Total Number of Rental Units Financed(1)

(In thousands)346

(1) Includes rental units financed by supplemental loans.

Key Drivers:
n1Q 2024 vs. 1Q 2023 - The UPB of our new business activity increased by 50% year-over-year, driven by a smaller new business activity pipeline entering 1Q 2023. The new business activities for both periods were adversely impacted by the high interest rate environment. Approximately 60% of this activity, based on UPB, was mission-driven affordable housing, exceeding FHFA's minimum requirement of 50%.
nOur index lock agreements and outstanding commitments to purchase or guarantee multifamily assets were $15.9 billion and $19.2 billion as of March 31, 2024 and March 31, 2023, respectively.
Freddie Mac 1Q 2024 Form 10-Q4317



Management's Discussion and Analysis
Our Business Segments |Multifamily



Multifamily Mortgage Portfolio and Guarantee Exposure
Commentary
The 2017 FHFA Scorecard production cap remains

Mortgage Portfolio
(In billions)
310
Guarantee Exposure
(In billions)548
Key Drivers:
n1Q 2024 vs. 1Q 2023
lOur mortgage portfolio increased by 4% year-over-year, continuing to grow at $36.5 billion. Business activity associated with loans for targeted properties or properties with certain attributes is considered uncapped for purposes of determining the dollar volume of multifamily new business. Reclassifications betweena moderate pace as new business activity subjectremained low.
lOur guarantee exposure increased by 6% year-over-year, as our new mortgage-related security guarantees outpaced paydowns.
nIn addition to the production cap and new business activity not subject to the production cap may occur during 2017.
Outstanding loan purchase commitments were $21.6our Multifamily mortgage portfolio, we have investments in LIHTC partnerships with carrying values totaling $3.6 billion and $14.2$3.5 billion as of September 30, 2017March 31, 2024 and September 30, 2016,December 31, 2023, respectively. Both periods include loan purchase commitments for which we have elected the fair value option.
New business activity and outstanding purchase commitments for the 2017 periods were higher than the 2016 periods because of stronger demand for multifamily loan products due to an elevated number of new apartment completions, strong multifamily market fundamentals and low interest rates. Multifamily market fundamentals are driven primarily by a healthy job market, continued growth in households, high propensity to rent among young adults, and rising single-family home prices. We expect our full year 2017 new business volume to be higher than our full year 2016 volume.
Approximately 87% of our 3Q 2017 new business volume was designated for securitization and included in our securitization pipeline. The holding period for loans in our securitization pipeline generally ranges between three and six months, as we aggregate sufficient loan products with similar term and risk characteristics to securitize in our K Certificate and SB Certificate transactions. Combined with market demand for our securities, our 3Q 2017 new business volume will be the primary driver of our 4Q 2017 and 1Q 2018 K Certificate and SB Certificate issuances.
During the 2017 periods, we increased our uncapped new business volume as part of our effort to support borrowers in certain property types and communities that meet the criteria for affordability and to support the overall growth of the multifamily market. This increase was primarily driven by the growth in new business volume related to our Green Advantage initiative, which we expanded in 3Q 2016. Under this initiative, Freddie Mac offers borrowers more affordable financing for the installation of green technologies that reduce energy and water consumption.
Approximately 42% and 46% of our multifamily new business activity during 3Q 2017 and YTD 2017, respectively, counted towards the 2017 FHFA Scorecard production cap, while the remaining 58% and 54% for the same periods were not subject to the production cap.
While Hurricanes Harvey, Irma and Maria did not have a significant impact on our 3Q 2017 new business volume and commitments, we are currently assessing the potential impacts of these events on future new business volume and commitments.


Freddie Mac 1Q 2024 Form 10-Q4418



Management's Discussion and Analysis
Our Business Segments |Multifamily



CRT Activities
Multifamily Portfolio and Market Support

UPB Covered by New CRT Issuance New CRT Issuance Maximum Coverage
(In billions) (In billions)
Total Multifamily Portfolio
a20173q10q_chart-07538.jpg352
369
Key Drivers:
n1Q 2024 vs. 1Q 2023 - The UPB of mortgage loans covered by new CRT transactions and the maximum coverage decreased year-over-year primarily due to the issuance of SCR Trust note transactions in 1Q 2023. There were no SCR Trust note transactions in 1Q 2024.

See MD&A - Risk Management -Multifamily Mortgage Investments Portfolioa20173q10q_chart-09557.jpg
Credit Risk - Transferring Credit Risk to Third-Party Investorsfor more information on risk transfer transactions and credit enhancements on our Multifamily mortgage portfolio.
Multifamily Market Support
The following table summarizes our support of the multifamily market.
(UPB in millions)September 30, 2017 December 31, 2016
Unsecuritized mortgage loans held-for-sale
$19,118
 
$16,544
Unsecuritized mortgage loans held-for-investment20,019
 25,874
Unsecuritized non-mortgage loans303
 
Mortgage-related securities9,172
 12,517
Guarantee portfolio184,200
 157,992
Total multifamily portfolio232,812
 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

(1)Reflects the UPB of unguaranteed securities issued as part of our securitization products.
(2)Reflects the UPB of mortgage-related securities acquired from our securitization products. This UPB must be removed to avoid a double-count, as it is already reflected within the guarantee portfolio and/or unguaranteed securities.



Freddie Mac 1Q 2024 Form 10-Q4519



Management's Discussion and Analysis
Our Business Segments |Multifamily



Financial Results

The table below presents the results of operations for our Multifamily segment. See Note 11 for additional information about segment financial results.
Table 12 - Multifamily Segment Financial Results
Change
(Dollars in millions)1Q 20241Q 2023$%
Net interest income$271 $205 $66 32 %
Non-interest income1,012 419 593 142 
Net revenues1,283 624 659 106 
(Provision) benefit for credit losses(61)(77)16 21 
Non-interest expense(197)(149)(48)(32)
Income before income tax expense1,025 398 627 158 
Income tax expense(204)(80)(124)(155)
Net income821 318 503 158 
Other comprehensive income (loss), net of taxes and reclassification adjustments(20)55 (75)(136)
Comprehensive income$801 $373 $428 115 %
Commentary
Key Drivers:
Our Multifamily segment provides liquidityn1Q 2024 vs. 1Q 2023
lNet income of $0.8 billion, up from $0.3 billion.
Net revenues of $1.3 billion, up from $0.6 billion.
Net interest income was $0.3 billion, up 32% year-over-year, primarily driven by continued mortgage portfolio growth and support to the multifamily market through a combination of activities that include the purchase, guarantee and/or securitization of multifamilyhigher net yields on mortgage loans and mortgage-related securities. At times, we invest in certain guaranteed senior securities and unguaranteed mezzanine securities related to our K Certificate and SB Certificate issuances. We have not invested in unguaranteed securities that are in a first loss position.
Our total multifamily portfolio increased during YTD 2017 primarily due to a 17% growth in our guarantee portfolio, coupled with an increase in our securitization pipeline of held-for-sale loans as a result of the growth in our new business volume.higher interest rates.
At September 30, 2017, the UPB of ourNon-interest income was $1.0 billion, up from $0.4 billion, primarily driven by net gains from interest-rate risk management activities, higher revenues from held-for-sale loansloan purchase and mortgage-related securities, which are measured atsecuritization activities, and favorable fair value or lower-of-cost-or-fair-value, declined slightlychanges from December 31, 2016. The decline, whichspreads and prepayment rates.
Non-interest expense was attributable to the runoff$0.2 billion, up 32% year-over-year, primarily driven by a larger volume of our CMBS portfolio, was largely offset by an increase in the balance of our securitization pipeline of held-for-sale loans due to the growth of our new business activity and the reclassification of certain loans from held-for-investment to held-for-sale during 3Q 2017.outstanding cumulative CRT transactions.
Our multifamily delinquency rate at September 30, 2017 was 2 basis points and continues to remain low compared to other industry participants.


Freddie Mac 1Q 2024 Form 10-Q4620



Management's Discussion and AnalysisOur Business Segments | MultifamilyRisk Management




Credit Risk Transfer Activity
New K Certificate and SB Certificate Issuances
(UPB in billions)
a20173q10q_chart-08737.jpg    a20173q10q_chart-48424.jpg
Commentary
K Certificate and SB Certificate structures vary by deal. Structural deal features such as term, type of underlying loan product, and subordination levels generally influence the deal's size (UPB) and its risk profile, which ultimately affects the guarantee fee rate set by Freddie Mac, as Guarantor, at the time of securitization.
The volume of our K Certificate and SB Certificate issuances is generally influenced by the size of our securitization pipeline, along with market demand for multifamily securities.
The average guarantee fee rate on newly issued K Certificate and SB Certificate issuances decreased during the 2017 periods compared to the 2016 periods, primarily due to greater securitization of underlying loan products that by their nature and design have less risk and for which we therefore set a lower guarantee fee rate.
The volume of our K Certificate and SB Certificate issuances was higher during the 2017 periods compared to the 2016 periods, primarily due to a larger average balance in our securitization pipeline. As our 3Q 2017 new business volume exceeded our 3Q 2016 new business volume, we expect our full year 2017 K Certificate and SB Certificate issuance volume to exceed the issuance volume for the full year 2016.

Freddie Mac Form 10-Q47



Management's Discussion and AnalysisOur Business Segments | Multifamily


Financial Guarantee Activity
Guarantee Assets
(In millions)
a20173q10q_chart-46774.jpg    a20173q10q_chart-48753.jpg
Unearned Guarantee Fees
a20173q10q_chart-50293.jpg



Freddie Mac Form 10-Q48



Management's Discussion and AnalysisOur Business Segments | Multifamily


Commentary
We generally recognize a guarantee asset on our condensed consolidated balance sheets each time we enter into a financial guarantee contract. This asset represents the present value of guarantee fees we expect to receive in the future from those guarantee transactions. We will recognize these fees in segment earnings over the expected remaining guarantee term. While we expect to collect these future fees based on historical performance, the actual amount collected will depend on the performance of the underlying collateral subject to our financial guarantee.
The balance of unearned guarantee fees increased during YTD 2017 due to the continued growth of our multifamily guarantee business, as new securitization volume continued to be strong, significantly outpacing runoff.
New guarantee fee assets:
3Q 2017 vs. 3Q 2016 and YTD 2017 vs. YTD 2016 - increased primarily due to higher volumes of K Certificate and SB Certificate issuances, partially offset by lower average guarantee fee rates on the 2017 period issuances compared to the 2016 period issuances.




Freddie Mac Form 10-Q49



Management's Discussion and AnalysisOur Business Segments | Multifamily


FINANCIAL RESULTS
The table below presents the components of Segment Earnings and comprehensive income for our Multifamily segment. As we use derivatives to economically hedge interest rate-related fair value changes of most of our assets measured at fair value, interest rates have a minimal net impact on our total comprehensive income.
  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 %

While certain multifamily properties underlying our loans and financial guarantees were damaged by Hurricanes Harvey, Irma and Maria, such events did not significantly affect our 3Q 2017 segment financial results.
Key Drivers:
3Q 2017 vs. 3Q 2016 - Total comprehensive income decreased primarily driven by:
Less market spread tightening on our mortgage loans and mortgage-related securities measured at fair value.
This decrease was partially offset by:
Higher average multifamily guarantee portfolio balances as a result of ongoing issuances of K Certificates and SB Certificates, resulting in greater guarantee fee income; and
Increased prepayment income received from interest-only securities held in our Multifamily mortgage investments portfolio.
YTD 2017 vs. YTD 2016 - Total comprehensive income increased primarily driven by:
Higher average multifamily guarantee portfolio balances as a result of ongoing issuances of K Certificates and SB Certificates, resulting in greater guarantee fee income; and
Increased prepayment income received from interest-only securities held in our Multifamily mortgage investments portfolio.

Freddie Mac Form 10-Q50



Management's Discussion and AnalysisOur Business Segments | Capital Markets


CAPITAL MARKETS
MARKET CONDITIONS
The following graphs and related discussion present the par swap rate curves as of the end of each comparative period. Changes in par swap rates can significantly affect the fair value of our debt, derivatives, and mortgage and non-mortgage-related securities. As a result, changes in par swap rates will affect the business and financial results of our Capital Markets segment.
Par Swap Rate Curves
Rate (%)
a20173q10q_chart-08613.jpga20173q10q_chart-10517.jpg
Source: BlackRock
Commentary
Long-term interest rates were relatively unchanged during 3Q 2017, while they increased slightly during 3Q 2016. During YTD 2017, long-term interest rates decreased, but by smaller amounts compared to YTD 2016. This resulted in lower fair value losses for our pay-fixed interest rate swaps and lower fair value gains for our receive-fixed interest rate swaps, certain of our option contracts, and the majority of our investments in securities during YTD 2017.


Freddie Mac Form 10-Q51



Management's Discussion and AnalysisOur Business Segments | Capital Markets


BUSINESS RESULTS

The graphs and related discussion below present the business results of our Capital Markets segment.
Investing Activity

The following graphs present the Capital Markets segment's total investments portfolio and the composition of its mortgage investments portfolio by liquidity category.

Investments Portfolio
a20173q10q_chart-07426.jpg
Mortgage Investments Portfolio
a20173q10q_chart-09435.jpg
Commentary
We continue to reduce the size of our mortgage investments portfolio in order to comply with the mortgage-related investments portfolio year-end limits. The balance of our mortgage investments portfolio declined 10.1% from December 31, 2016 to September 30, 2017.
The balance of our other investments and cash portfolio declined by 15.0% primarily due to reduced near term cash needs as of September 30, 2017 compared to December 31, 2016.
The overall liquidity of our mortgage investments portfolio continued to improve as our less liquid assets decreased at a faster pace than the overall decline of our mortgage investments portfolio. The percentage of less liquid assets relative to our total mortgage investments portfolio declined from 34.4% at December 31, 2016 to 31.1% at September 30, 2017, primarily due to repayments and sales of our less liquid assets. We continued to actively reduce the size of our less liquid assets during YTD 2017 by selling $7.8 billion of non-agency mortgage-related securities and $3.8 billion of reperforming loans. Our sales of reperforming loans involved securitization of the loans using senior subordinate structures.

Freddie Mac Form 10-Q52



Management's Discussion and AnalysisOur Business Segments | Capital Markets


Net Interest Yield and Average Balances
Net Interest Yield & Average Investments Portfolio Balances
(UPB in billions)
a20173q10q_chart-07619.jpg    a20173q10q_chart-10290.jpg
Commentary
Net Interest Yield
3Q 2017 vs. 3Q 2016 and YTD 2017 vs. YTD 2016 - remained relatively flat.


Freddie Mac Form 10-Q53



Management's Discussion and AnalysisOur Business Segments | Capital Markets


FINANCIAL RESULTS
The table below presents the components of Segment Earnings and comprehensive income for our Capital Markets segment.
 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 earnings50
 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 income5,754
 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) benefit6,185
 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 taxes4,042
 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 %
The portion of Total comprehensive income (loss) driven by interest rate-related and market spread-related fair value changes, after-tax, is presented in the table below. These amounts affect various line items in the table above, including Derivative gains (losses), Gains (losses) on trading securities, Other non-interest income, Income tax (expense) benefit, and Total other comprehensive income (loss), net of tax.
 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-related0.5
 0.4
 0.1
 25% 0.8
 0.1
 0.7
 700%
Key Drivers:
3Q 2017 vs. 3Q 2016 and YTD 2017 vs. YTD 2016 - Total comprehensive income increased primarily driven by:
Recognition of $4.5 billion in proceeds received from the RBS settlement during the 2017 periods related to certain of our non-agency mortgage-related securities. For more information on this settlement, see Note 12.
Interest rate-related fair value changes during YTD 2017. Our use of hedge accounting during YTD 2017 permitted us to offset the fair value losses on certain of our pay-fixed swaps against the fair value gains on certain of our single-family mortgage loans. In addition, long-term interest rates decreased during YTD 2017, but by smaller amounts compared to YTD 2016. This resulted in lower fair value losses for our pay-fixed interest rate swaps, partially offset by lower fair value gains for our receive-fixed interest rate swaps, certain of our option contracts, and the majority of

Freddie Mac Form 10-Q54



Management's Discussion and AnalysisOur Business Segments | Capital Markets


our investments in securities. Interest rate changes had minimal impact on comprehensive income in 3Q 2017 and 3Q 2016.
Overall, greater market spread tightening during the 2017 periods on our agency and non-agency mortgage-related securities, resulting in larger fair value gains.
Gains recognized from the extinguishment of certain fixed-rate debt securities of consolidated trusts during the 2017 periods, as market interest rates increased between the time of issuance and repurchase, compared to losses during the 2016 periods when market interest rates decreased between the time of issuance and repurchase.
Price improvements on single-family reperforming loans that were sold into senior subordinate securitization structures.

Freddie Mac Form 10-Q55



Management's Discussion and AnalysisRisk Management



RISK MANAGEMENT
Risk isTo achieve our mission, we take risks as an inherentintegral part of our business activities. We are exposed to four majorthe following key types of risk: credit risk, market risk, liquidity risk, operational risk, compliance risk, legal risk, strategic risk, and operationalreputation risk.
Credit Risk
Allowance for Credit Losses
For more discussionfinancial assets measured at amortized cost, we recognize an allowance for credit losses that is deducted from or added to the amortized cost basis of thesethe financial asset to present the net amount expected to be collected on the financial asset on the balance sheet. For Single-Family credit exposures, we estimate the allowance for credit losses for loans on a pooled basis using a discounted cash flow model that evaluates a variety of factors to estimate the cash flows we expect to collect. The discounted cash flow model forecasts cash flows over the loan’s remaining contractual life, adjusted for expectations of prepayments, and using our historical experience, adjusted for current and forecasted economic conditions. These projections require significant management judgment, and we face uncertainties and risks related to the models we use for financial accounting and reporting purposes. For further information on our accounting policies and methods for estimating our allowance for credit losses and related management judgments, see MD&A - Critical Accounting Estimates.
For Multifamily credit exposures, we estimate the allowance for credit losses using a loss-rate method to estimate the net amount of cash flows we expect to collect. The loss rate method is based on a probability of default and loss given default framework that estimates credit losses by considering a loan’s underlying characteristics and current and forecasted economic conditions. Loan characteristics considered by our model include vintage, loan term, current DSCR, current LTV ratio, occupancy rate, and interest rate hedges. We generally forecast economic conditions over a reasonable and supportable two-year period prior to reverting to historical averages at the model input level over a five-year period, using a linear reversion method. We also consider as model inputs expected prepayments, contractually specified extensions, expected recoveries from collateral posting requirements, and expected recoveries from credit enhancements that are not freestanding contracts. Management adjustments to our model output may be necessary to take into consideration current economic events and other risks facing our business and our risk management framework, see “MD&A - Risk Management” and “Risk Factors”factors not considered within the model.
The tables below present a summary of the changes in our 2016 Annual Reportallowance for credit losses and “Liquiditykey allowance for credit losses ratios.
Table 13 - Allowance for Credit Losses Activity
1Q 20241Q 2023
(Dollars in millions)Single-FamilyMultifamilyTotalSingle-FamilyMultifamilyTotal
Allowance for credit losses:
Beginning balance$6,402 $447 $6,849 $7,746 $147 $7,893 
Provision (benefit) for credit losses120 61 181 318 77 395 
  Charge-offs(123)— (123)(90)— (90)
  Recoveries collected26 — 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 
(1)Primarily includes capitalization of past due interest related to non-accrual loans that received payment deferral plans and Capital Resources” in this reportloan modifications.
(2)Based on amortized cost basis of mortgage loans held-for-investment for which we have not elected the fair value option.
(3)Primarily includes allowance for credit losses related to advances of pre-foreclosure costs and in our 2016 Annual Report. See below for updates since our 2016 Annual Report.






off-balance sheet credit exposures.
Freddie Mac 1Q 2024 Form 10-Q5621



Management's Discussion and AnalysisRisk Management | Operational Risk
Table 14 - Allowance for Credit Losses Ratios

March 31, 2024December 31, 2023
(Dollars in millions)Single-FamilyMultifamilyTotalSingle-FamilyMultifamilyTotal
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 outstanding0.43 0.17 0.42 0.44 0.11 0.44 
Allowance for credit losses to non-accrual loans47.90 369.90 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 
OPERATIONAL RISK(1)Represents allowance for credit losses on mortgage loans held-for-investment.
CYBERSECURITY RISK MANAGEMENT

Our operations rely(2)Based on the secure, accurate, and timely receipt, processing, storage, and transmissionamortized cost basis of confidential and other information in our computer systems and networks and with customers, counterparties, service providers, and financial institutions. Information security risksmortgage loans held-for-investment for companies like ours have significantly increased in recent years. Like many companies and government entities, from time to time we have been, and likely will continue to be, the target of attempted cyberattacks and other information security threats. In addition, one of our major vendors has recently reported that it has been the subject of significant cyberattacks. 
We have developed and continue to enhance our cybersecurity risk management program to protect the security of our computer systems, software, networks, and other technology assets against unauthorized attempts to access confidential information or to disrupt or degrade our business operations. We have obtained insurance coverage relating to cybersecurity risks. However, this insurance may not be sufficient to provide adequate loss coverage. Although to datewhich we have not experienced any cyberattacks resulting in significant impactelected the fair value option.
As of March 31, 2024 compared to December 31, 2023:
nThe ratio of allowance for credit losses to total loans outstanding remained at 0.21%.
nThe ratio of non-accrual loans to total loans outstanding decreased and the company, there is no assurance that our cybersecurity risk management program will prevent cyberattacks from having significant impactsratio of allowance for credit losses to non-accrual loans increased slightly primarily due to a decrease in the future.balance of loans in non-accrual status.
For additional information, see “Risk Factors - Operational Risks - Potential cyber security threats are changing rapidly
Single-Family Mortgage Credit Risk
Maintaining Prudent Eligibility Standards and growing in sophistication. Quality Control Practices and Managing Seller/Servicer Performance
Loan Purchase Credit Characteristics
We may not be able to protect our systems ormonitor and evaluate market conditions that could affect the confidentialitycredit quality of our informationsingle-family loan purchases. Additionally, when managing our new acquisitions, we consider our risk limits and guidance from cyberattackFHFA and other unauthorized access, disclosure,capital requirements under the ERCF. This may affect the volume and disruption” incharacteristics of our 2016 Annual Report.            loan acquisitions.

The charts below show the credit profile of the single-family loans we purchased.


Weighted Average Original LTV Ratio 152
Weighted Average Original Credit Score(1)195
(1)Weighted average original credit score is generally based on three credit bureaus (Equifax, Experian, and TransUnion).
Weighted Average Original DTI Ratio3298534884161
Freddie Mac 1Q 2024 Form 10-Q5722



Management's Discussion and AnalysisRisk Management | Market Risk



The table below contains additional information about the single-family loans we purchased.
MARKET RISKTable 15 - Single-Family New Business Activity
1Q 20241Q 2023
(Dollars in millions)Amount% of TotalAmount% of Total
20- and 30-year, amortizing fixed-rate$59,091 95 %$55,469 94 %
15-year or less, amortizing fixed-rate2,278 2,214 
Adjustable-rate900 1,282 
Total$62,269 100 %$58,965 100 %
Percentage of purchases
DTI ratio > 45%28 %23 %
Original LTV ratio > 90%25 28 
Transaction type:
Guarantor swap66 72 
Cash window34 28 
Property type:
Detached single-family houses and townhouses91 91 
Condominium or co-op
Occupancy type:
Primary residence93 92 
Second home
Investment property
Loan purpose:
Purchase86 86 
Cash-out refinance
   Other refinance
Transferring Credit Risk to Third-Party Investors
We engage in various credit enhancement arrangements to reduce our credit risk exposure on our single-family loans.
Single-Family Mortgage Portfolio Newly Acquired Credit Enhancements
The table below provides the UPB of the mortgage loans acquired during the periods presented that were covered by primary mortgage insurance, the UPB of the mortgage loans covered by CRT transactions issued during the periods presented, and maximum coverage related to these newly acquired credit enhancements.
Table 16 - Single-Family Mortgage Portfolio Newly Acquired Credit Enhancements
1Q 20241Q 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:
STACR41,402 1,284 14,887 611 
ACIS15,523 559 — — 
Other692 107 46 46 
Total CRT issuance$57,617 $1,950 $14,933 $657 
(1)    Represents the UPB of the mortgage assets, reference pool, or securitization trust, as applicable.
(2)    The primary mortgage insurance and CRT transactions presented in this table are not mutually exclusive as a single loan may be covered by both primary mortgage insurance and CRT transactions.
(3)    For primary mortgage insurance, represents the coverage as of the related loan acquisition. For STACR transactions, represents the balance held by third parties at issuance. For ACIS transactions, represents the aggregate limit of insurance purchased from third parties at issuance.
(4)    The credit risk positions to which the maximum coverage applies may vary on a transaction-by-transaction basis.
Freddie Mac 1Q 2024 Form 10-Q23

Management's Discussion and AnalysisRisk Management


Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding
The table below provides information on the UPB and maximum coverage associated with credit-enhanced loans in our Single-Family mortgage portfolio.
Table 17 - Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding
March 31, 2024
(Dollars in millions)
UPB(1)
% of Portfolio
Maximum Coverage(2)(3)
Primary mortgage insurance(4)
$636,735 21 %$166,486 
STACR1,187,102 39 31,085 
ACIS804,323 26 17,535 
Other39,871 10,911 
Less: UPB with multiple credit enhancements and other reconciling items(5)
(801,385)(26)— 
Single-Family mortgage portfolio - credit-enhanced1,866,646 61 226,017 
Single-Family mortgage portfolio - non-credit-enhanced1,176,306 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 
STACR1,175,837 39 31,222 
ACIS821,048 27 17,647 
Other39,901 11,027 
Less: UPB with multiple credit enhancements and other reconciling items(5)
(813,966)(27)— 
Single-Family mortgage portfolio - credit-enhanced1,859,857 61 225,634 
Single-Family mortgage portfolio - non-credit-enhanced1,179,053 39                               N/A
Total$3,038,910 100 %$225,634 
(1)    Represents the current UPB of the mortgage assets, reference pool, or securitization trust, as applicable.
(2)    For STACR transactions, represents the outstanding balance held by third parties. For ACIS transactions, represents the remaining aggregate limit of insurance purchased from third parties.
(3)    The credit risk positions to which the maximum coverage applies may vary on a transaction-by-transaction basis.
(4)    Amounts exclude certain loans for which we do not control servicing, as the coverage information for these loans is not readily available to us.
(5)    Other reconciling items primarily include timing differences in reporting cycles between the UPB of certain CRT transactions and the UPB of the underlying loans.
Credit Enhancement Coverage Characteristics
The table below provides the serious delinquency rates for the credit-enhanced and non-credit-enhanced loans in our Single-Family mortgage portfolio. The credit-enhanced categories are not mutually exclusive as a single loan may be covered by both primary mortgage insurance and other credit enhancements.
Table 18 - Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio
March 31, 2024December 31, 2023
(% of portfolio based on UPB)(1)
% of Portfolio(2)
SDQ Rate
% of Portfolio(2)
SDQ Rate
Credit-enhanced:
   Primary mortgage insurance21 %0.92 %21 %0.95 %
   CRT and other55 0.57 55 0.60 
Non-credit-enhanced39 0.40 39 0.42 
TotalN/A0.52 N/A0.55 
(1)Excludes loans underlying certain securitization products for which loan-level data is not available.
(2)Percentages do not total to 100% as a single loan may be included in multiple line items.
Credit Enhancement Recoveries
Our expected recovery receivable from freestanding credit enhancements was $0.1 billion as of both March 31, 2024 and December 31, 2023.
Freddie Mac 1Q 2024 Form 10-Q24

Management's Discussion and AnalysisRisk Management


Monitoring Loan Performance and Characteristics
We review loan performance, including delinquency statistics and related loan characteristics, in conjunction with housing market and economic conditions, to assess credit risk when estimating our allowance for credit losses.
Loan Characteristics
The table below contains details of the characteristics of the loans in our Single-Family mortgage portfolio.
Table 19 - Credit Quality Characteristics of Our Single-Family Mortgage Portfolio
March 31, 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 75475478 %78 %
2023278,342 75174479 75 
2022426,234 74674476 68 
2021968,107 75275571 53 
2020707,779 76176771 46 
2019 and prior620,009 73875175 34 
Total$3,042,952 75075473 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 75174579 %75 %
2022433,252 74574676 68 
2021984,004 75275671 54 
2020719,822 76176871 46 
2019119,557 74675376 46 
2018 and prior517,203 73675175 32 
Total$3,038,910750 755 73 52 
(1)Original credit score is generally based on three credit bureaus (Equifax, Experian, and TransUnion). Current credit score is based on Experian only.
(2)Credit scores for certain recently acquired loans may not have been updated by the credit bureau since the loan acquisition and therefore the original credit scores also represent the current credit scores.
The following table presents the combination of credit score and CLTV ratio attributes of loans in our Single-Family mortgage portfolio.
Table 20 - Single-Family Mortgage Portfolio Attribute Combinations(1)
March 31, 2024
CLTV ≤ 60CLTV > 60 to 80CLTV > 80 to 90CLTV > 90 to 100CLTV > 100All Loans
Original credit score% of PortfolioSDQ Rate% of Portfolio
SDQ Rate(2)
% of Portfolio
SDQ Rate(2)
% of Portfolio
SDQ Rate(2)
% of Portfolio
SDQ Rate(2)
% of PortfolioSDQ Rate
740 and above44 %0.15 %15 %0.23 %%0.31 %%0.29 %— %NM65 %0.17 %
700 to 73912 0.49 0.79 0.89 0.73 — NM21 0.58 
680 to 6990.85 1.48 — NM— NM— NM1.00 
660 to 6791.21 2.13 — NM— NM— NM1.40 
620 to 6591.89 3.28 — NM— NM— NM2.10 
Less than 6204.30 — NM— NM— NM— NM4.63 
Total66 %0.46 25 %0.67 6 %0.71 3 %0.59  %NM100 %0.52 
Referenced footnotes are included after the prior period table.
Freddie Mac 1Q 2024 Form 10-Q25

Management's Discussion and AnalysisRisk Management


December 31, 2023
CLTV ≤ 60CLTV > 60 to 80CLTV > 80 to 90CLTV > 90 to 100CLTV > 100All Loans
Original credit score% of PortfolioSDQ Rate% of Portfolio
SDQ Rate(2)
% of Portfolio
SDQ Rate(2)
% of Portfolio
SDQ Rate(2)
% of Portfolio
SDQ Rate(2)
% of PortfolioSDQ Rate
740 and above45 %0.16 %15 %0.24 %%0.32 %%0.27 %— %NM65 %0.18 %
700 to 73913 0.53 0.82 0.93 0.59 — NM21 0.61 
680 to 6990.90 1.50 — NM— NM— NM1.05 
660 to 6791.28 2.18 — NM— NM— NM1.45 
620 to 6592.00 3.37 — NM— NM— NM2.21 
Less than 6204.41 — NM— NM— NM— NM4.74 
Total68 %0.4924 %0.70 6 %0.722 %0.52  %NM100 %0.55
(1)     Excludes loans underlying certain securitization products for which original credit score is not available.
(2)     NM - not meaningful due to the percentage of the portfolio rounding to zero.
Geographic Concentrations
We purchase mortgage loans from across the U.S. However, local economic and other conditions can affect the borrower's ability to repay and the value of the underlying collateral, leading to concentrations of credit risk in certain geographic areas. In addition, certain states and municipalities have passed or may pass laws that limit our ability to foreclose or evict and make it more difficult and costly to manage our risk.
See Note 12 for more information about the geographic distribution of our Single-Family mortgage portfolio.
Delinquency Rates
We report Single-Family delinquency rates based on the number of loans in our Single-Family mortgage portfolio that are past due as reported to us by our servicers as a percentage of the total number of loans in our Single-Family mortgage portfolio.
The chart below presents the delinquency rates of mortgage loans in our Single-Family mortgage portfolio.
377
The percentages of loans that were one month past due and two months past due increased as of March 31, 2024 compared to March 31, 2023. The percentage of loans one month past due can be volatile due to seasonality and other factors that may not be indicative of default. As a result, the percentage of loans two months past due tends to be a better early performance indicator than the percentage of loans one month past due.
Our Single-Family serious delinquency rate has declined to 0.52% as of March 31, 2024, compared to 0.62% as of March 31, 2023. See Note 3 for additional information on the payment status of our single-family mortgage loans.
Freddie Mac 1Q 2024 Form 10-Q26

Management's Discussion and AnalysisRisk Management


Engaging in Loss Mitigation Activities
We offer a variety of borrower assistance programs, including refinance programs for certain eligible loans and loan workout activities for struggling borrowers. For purposes of the disclosure below related to loss mitigation activities, we generally exclude loans for which we do not control servicing. See Note 3 for additional information on our loss mitigation activities. For information on our refinance programs, see the MD&A - Our Business Segments - Single-Family and MD&A - Risk Management -Credit Risk - Single-Family Mortgage Credit Risk sections in our 2023 Annual Report.
Loan Workout Activities
We continue to help struggling families retain their homes or otherwise avoid foreclosure through loan workouts. The table below provides details about the single-family loan workout activities that were completed during the periods presented.
Table 21 - Single-Family Completed Loan Workout Activity
1Q 20241Q 2023
(UPB in millions, loan count in thousands)UPBLoan CountUPBLoan Count
Payment deferral plans$2,670 10$2,735 11
Loan modifications1,382 61,259 6
Forbearance plans and other(1)
1,180 51,490 7
Total$5,232 21$5,484 24
(1)     The forbearance data is limited to loans in forbearance that were past due based on the loans' original contractual terms and excludes loans included in certain legacy transactions, as the forbearance data for such loans is either not reported to us by the servicers or is otherwise not readily available to us. Other includes repayment plans and foreclosure alternatives.
Our loan workout activity decreased in 1Q 2024 compared to 1Q 2023 as the seriously delinquent loan population continued to decline. Completed loan workout activity includes forbearance plans where borrowers fully reinstated the loan to current status during or at the end of the forbearance period, payment deferral plans, loan modifications, successfully completed repayment plans, short sales, and deeds in lieu of foreclosure. Completed loan workout activity excludes active loss mitigation activity that was ongoing and had not been completed as of the end of the period, such as forbearance plans that had been initiated but not completed and trial period modifications. There were approximately 14,000 loans in active forbearance plans and approximately 14,000 loans in other active loss mitigation activity as of March 31, 2024.
Freddie Mac 1Q 2024 Form 10-Q27

Management's Discussion and AnalysisRisk Management


Multifamily Mortgage Credit Risk
Completing Our Own Underwriting, Credit and Legal Review for New Business Activity
Our underwriting standards focus on the LTV ratio and DSCR, which estimates the value of the collateral and a borrower's ability to repay the loan using the secured property's cash flows, after expenses. The charts below provide the weighted average original LTV ratio and original DSCR for our new business activity.
Weighted Average Original LTV Ratio 153
Weighted Average Original DSCR
212
Transferring Credit Risk to Third-Party Investors
To reduce our credit risk exposure, we engage in a variety of CRT activities through which we have transferred a substantial amount of the expected and stressed credit risk on the Multifamily mortgage portfolio, thereby reducing our overall credit risk exposure and required capital.
Multifamily Mortgage Portfolio CRT Issuance
The table below provides the UPB of the mortgage loans covered by CRT transactions issued during the periods presented as well as the maximum coverage provided by those transactions.
Table 22 - Multifamily Mortgage Portfolio CRT Issuance
1Q 20241Q 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 
(1) Represents the UPB of the assets included in the associated reference pool or securitization trust, as applicable.
(2) For subordination, represents the UPB of the securities that are held by third parties at issuance and are subordinate to the securities we guarantee. For SCR transactions, represents the UPB of securities held by third parties at issuance. For lender risk-sharing, represents the amount of loss recovery that is available subject to the terms of counterparty agreements at issuance.
(3) The credit risk positions to which the maximum coverage applies may vary on a transaction-by-transaction basis.

Multifamily Mortgage Portfolio Credit Enhancement Coverage Outstanding
While we obtain various forms of credit protection in connection with the acquisition, guarantee, and/or securitization of a loan or group of loans, our principal credit enhancement type is subordination, which is created through our senior subordinate securitization transactions. Our maximum coverage provided by subordination in nonconsolidated VIEs was $39.2 billion and $39.5 billion, as of March 31, 2024 and December 31, 2023, respectively.
Freddie Mac 1Q 2024 Form 10-Q28

Management's Discussion and AnalysisRisk Management


The table below presents the UPB and delinquency rates for both credit-enhanced and non-credit-enhanced loans underlying our Multifamily mortgage portfolio.
Table 23 - Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio
March 31, 2024December 31, 2023
(Dollars in millions)UPBDelinquency RateUPBDelinquency Rate
Credit-enhanced:
Subordination$359,244 0.34 %$358,944 0.26 %
SCR/MCIP46,904 0.23 47,011 0.23 
Other8,779 0.86 8,844 0.89 
Total credit-enhanced414,927 0.34 414,799 0.27 
Non-credit-enhanced28,160 0.33 25,998 0.51 
Total$443,087 0.34 $440,797 0.28 
The Multifamily delinquency rate increased to 0.34% at March 31, 2024, primarily driven by an increase in delinquent floating rate loans including small balance loans that are in their floating rate period. As of March 31, 2024, 94% of the delinquent loans in the Multifamily mortgage portfolio have credit enhancement coverage.
The table below contains details on the loans underlying our Multifamily mortgage portfolio that are not credit-enhanced.
Table 24 - Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement
March 31, 2024December 31, 2023
(Dollars in millions)UPBDelinquency RateUPBDelinquency Rate
Mortgage loans held-for-sale$8,602 — %$8,823 — %
Mortgage loans held-for-investment:
  Held by Freddie Mac7,980 0.99 9,941 1.21 
  Held by consolidated trusts9,182 0.14 4,851 0.27 
Other mortgage-related guarantees2,396 — 2,383 — 
Total$28,160 0.33 $25,998 0.51 

Market Risk
Overview
Our business segments have inherentembedded exposure to market risk, including interest-ratewhich is the economic risk associated with adverse changes in interest rates, volatility, and spread risks. Interest-rate risk is consolidated and primarily managed by the Capital Markets segment, while spread risk is owned and managed by each individual business segment.spreads. Market risk can adversely affect future cash flows, or economic value, as well as earnings and net worth. We manage our exposure to market risk on both an economic and GAAP earnings basis.
ECONOMIC MARKET RISK

The majorityprimary sources of our economic interest-rate risk comes fromare our investments in mortgage-related assets, (securities and loans) and the debt we issue to fund them. Our primary goal in managing interest-rate risk is to reduce the amount of change in the value of our future cash flows due to future changes in interest rates. We use models to analyze possible future interest-rate scenarios, along with the cash flows of ourthese assets, and liabilities over those scenarios. Although our models' primary reference rate for estimating interest-rate risk is LIBOR, our interest-rate management activities may be based on various other indices.Single-Family guarantees.
Interest-Rate Risk
Our primary interest-rate risk measures are duration gap and PMVS.Portfolio Value Sensitivity (PVS). Duration gap measures the difference in price sensitivity to interest rate changes between our financial assets and liabilities and is expressed in months relative to the market value of assets. PMVSPVS is an estimate of the change in the marketpresent value of the cash flows of our financial assets and liabilities with spreads held constant from an instantaneous shock to interest rates, assuming spreads are held constant and no rebalancing actions are undertaken. PMVSPVS is measured in two ways, one measuring the estimated sensitivity of our portfolio market value to a 50 basis pointbps parallel movement in interest rates (PMVS-Level or PMVS-L)(PVS-L) and the other to a non-parallel movement resulting from a 25 basis pointbps change in the slope of the LIBOR yield curve (PMVS-Yield Curve or PMVS-YC)(PVS-YC). While we believe that duration gap and PMVSPVS are useful risk management tools, they should be understood as estimates rather than as precise measurements.
The following tables provide our duration gap, estimated point-in-time and minimum and maximum PMVS-LPVS-L and PMVS-YCPVS-YC results, and an average of the daily values and standard deviation. The table below also provides PMVS-LPVS-L estimates assuming an immediate 100 basis pointbps shift in the LIBOR yield curve. The interest-rate sensitivity of a mortgage portfolio varies across a wide range of interest rates.
  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-Q5829



Management's Discussion and Analysis
Risk Management | Market Risk
Table 25 - PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve
March 31, 2024December 31, 2023
PVS-YCPVS-LPVS-YCPVS-L
(In millions)25 bps50 bps100 bps25 bps50 bps100 bps
Assuming shifts of the yield curve, (gains) losses on:(1)
Assets:
Investments$316 $3,047 $6,015 ($301)$3,150 $6,229 
Guarantees(2)
(15)(314)(599)34 (369)(678)
Total assets301 2,733 5,416 (267)2,781 5,551 
Liabilities56 (1,496)(3,044)(52)(1,519)(3,073)
Derivatives(357)(1,267)(2,494)322 (1,274)(2,547)
Total$— ($30)($122)$3 ($12)($69)
PVS$— $— $— $3 $— $— 

(1)The categorization of the PVS impact between assets, liabilities, and derivatives on this table is based upon the economic characteristics of those assets and liabilities, not their accounting classification. For example, purchase and sale commitments of mortgage-related securities and debt of consolidated trusts held by the mortgage-related investments portfolio are both categorized as assets on this table.
(2)Represents the interest-rate risk from our guarantees, which include buy-ups, float, and upfront fees (including buy-downs).
Table 26 - Duration Gap and PVS Results
1Q 20241Q 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
Average0.1 $2 $— — $3 $3 
Minimum(0.1)— — (0.2)— — 
Maximum0.2 0.2 24 
Standard deviation0.1 0.1 
  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
Derivatives enable us to reduce our economic interest-rate risk exposure as we continue to align our derivative portfolio with the changing duration of our economically hedged assets and liabilities. The table below shows that the PMVS-LPVS-L risk levels, assuming a 50 basis pointbps shift in the LIBOR yield curve for the periods presented, would have been higher if we had not used derivatives.
Table 27 - PVS-L Results Before Derivatives and After Derivatives
PVS-L (50 bps)
(In millions)
Before
Derivatives
After
Derivatives
Effect of
Derivatives
March 31, 2024$1,236 $— ($1,236)
December 31, 20231,261 — (1,261)
Earnings Sensitivity to Market Risk
The GAAP accounting treatment for our financial assets and liabilities (i.e., some are measured at amortized cost, while others are measured at fair value) creates variability in our GAAP earnings when interest rates and spreads change. We manage this variability of GAAP earnings, which may not reflect the economics of our business, using fair value hedge accounting. See MD&A - Consolidated Results of Operations and MD&A - Our Business Segments for additional information on the effect of changes in interest rates and market spreads on our financial results.
Freddie Mac 1Q 2024 Form 10-Q30

 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
GAAP EARNINGS VARIABILITY

Interest Rate-Related Earnings Sensitivity
While we manage our interest-rate risk exposure on an economic basis to a low level as measured by our models, our GAAP financial results are still subject to significant earnings variability from period to period. This variability of GAAP earnings, which may not reflect the economics of our business, and the declining capital reserve required under the terms of the Purchase Agreement (ultimately reaching zeroperiod based on changes in 2018) increase the risk of our having a negative net worth and thus being required to draw from Treasury. We could face a risk of a draw for a variety of reasons, including interest-rate volatility and spread volatility.market conditions.
Interest-rate Volatility

We hold assets and liabilities that expose us to interest-rate risk. The way we account for our financial assets and liabilities (i.e., some are measured at amortized cost, while others are measured at fair value) creates volatility in our GAAP earnings when interest rates fluctuate. Based upon the composition of our financial assets and liabilities, including derivatives, at September 30, 2017, we generally recognize fair value losses in earnings when long-term interest rates decline.
In an effort to reduce our GAAP earnings variability and better align our GAAP results with the economics of our business, we began using fair valueelect to use hedge accounting for certain single-family mortgage loans during 1Q 2017. In addition, we continue to explore other strategies and activities that will further reduce our GAAP earnings variability.

Freddie Mac Form 10-Q59



Management's Discussion and AnalysisRisk Management | Market Risk

The table below presents the effect of derivatives used in our interest-rate risk management activities on our comprehensive income, after considering any offsetting interest rate effects related to financial instruments measured at fair value and the effects of fair value hedge accounting.
(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)

(1)Includes the interest-rate effect on our trading securities, available-for-sale securities, mortgage loans held-for-sale, and other assets and debt for which we elected the fair value option, which is reflected in other non-interest income (loss) and total other comprehensive income (loss) on our condensed consolidated statements of comprehensive income.
Our fair value hedges are designed to reduce GAAP earnings variability primarily due to large interest rate movements. During 3Q 2017, the effect of fair value hedge accounting on our comprehensive income was relatively minor as the change in interest rates was relatively small. During YTD 2017, fair value hedge accounting reduced our GAAP earnings variability due to interest-rate changes by $351 million on a pre-tax basis.certain debt instruments. See Note 78 for additional information on hedge accounting, including further details onaccounting.
Earnings Sensitivity to Changes in Interest Rates
We evaluate a range of interest rate scenarios to determine the actual resultssensitivity of our earnings due to changes in interest rates and to determine our fair value hedge accounting on our condensed consolidated statements of comprehensive income.
We evaluate the potential benefits of fair value hedge accounting by evaluating a range of interest-rate scenarios and identifying which of those scenarios produces the most adverse GAAP earnings outcome.strategies. The interest-rateinterest rate scenarios evaluated include parallel shifts in the yield curve of plus and minusin which interest rates increase or decrease by 100 basis points,bps, non-parallel shifts in the yield curve shifts in which long-term interest rates increase or decrease by 100 basis points,bps, and non-parallel shifts in the yield curve shifts in which short-term and medium-term interest rates increase or decrease by 100 basis points.
At September 30, 2017,bps. This evaluation identifies the GAAP adverse scenario beforenet effect on comprehensive income from changes in fair value attributable to changes in interest rates for financial instruments measured at fair value, including the effects of fair value hedge accounting, was a non-parallel shift in which long-term rates decrease by 100 basis points, whilefor each of the GAAP adverse scenario afteridentified scenarios. This evaluation does not include the net effect on comprehensive income from interest-rate sensitive items that are not measured at fair value hedge accounting was a non-parallel shift(e.g., amortization of mortgage loan premiums and discounts, changes in fair value of held-for-sale mortgage loans for which shortwe have not elected the fair value option, etc.) or from changes in our future contractual net interest income due to repricing of our interest-bearing assets and medium-term rates increase by 100 basis points.liabilities. The before-tax results of this evaluation are shown in the table below.
 GAAP Adverse Scenario (Before-Tax)
(Dollars in billions)Before Hedge Accounting After Hedge Accounting % Change
September 30, 2017
($2.8) 
($1.2) 58%
Table 28 - Earnings Sensitivity to Changes in Interest Rates
(In millions)March 31, 2024March 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 bps282 118 
  -100 bps(282)(118)
Non-parallel yield curve shifts - short-term and medium-term interest rates:
 +100 bps(272)(92)
    -100 bps272 92 
Spread Volatility

(1)The earnings sensitivity presented is calculated using the change in interest rates and net effective duration exposure.
The volatilityactual effect of market spreads (i.e., credit spreads, liquidity spreads, risk premiums, etc.), or OAS, is the risk associated with changes in the excess of market interest rates over benchmark rates. We holdon our comprehensive income in any given period may vary based on a number of factors, including, but not limited to, the composition of our assets and liabilities, the actual changes in interest rates that are realized at different terms along the yield curve, and the effectiveness of our hedge accounting strategies. Even if implemented properly, our hedge accounting programs may not be effective in reducing earnings volatility, and our hedges may fail in any given future period, which could expose us to spread volatility, which may contribute to significant GAAP earnings volatility. For financial assets measured at fair value, we generally recognize fair value losses when

variability in that period.
Freddie Mac 1Q 2024 Form 10-Q6031



Management's Discussion and AnalysisRisk Management | Market Risk

market spreads widen. Conversely, for financial liabilities measured at fair value, we generally recognize fair value gains when market spreads widen.
Comprehensive income (loss) was affected by changes in market spreads in amounts estimated to be $0.4 billion and $0.6 billion (after-tax) during 3Q 2017 and 3Q 2016, respectively, and $0.6 billion and ($0.1) billion (after-tax) during YTD 2017 and YTD 2016, respectively.
During the 2017 periods, the increase to comprehensive income was due to market spreads tightening on our agency and non-agency mortgage-related securities, partially offset by market spreads widening on certain multifamily mortgage loan products.
During the 2016 periods, market spreads tightened on our agency and non-agency mortgage-related securities and our multifamily mortgage loans and commitments measured at fair value, resulting in an increase in comprehensive income.

Freddie Mac Form 10-Q61



Management's Discussion and AnalysisLiquidity and Capital Resources | Liquidity Profile


LIQUIDITY AND CAPITAL RESOURCES
LIQUIDITY PROFILE
OTHER DEBT ACTIVITIES
Debt securitiesOur business activities require that we issue are classified eithermaintain adequate liquidity to meet our financial obligations as debt securitiesthey come due and to meet the needs of consolidated trusts heldcustomers in a timely and cost-efficient manner. We also must maintain adequate capital resources to avoid being placed into receivership by third parties or other debt. We issue other debt to fund our operations. Competition for funding can vary with economic, financial market, and regulatory environments. We issue other debt based on a varietyFHFA.
Liquidity
Primary Sources of factors including market conditions and our liquidity requirements. We currently favor a mix of derivatives and shorter- and medium-term debt to fund our business and manage interest-rate risk. This funding mix is a less expensive method than relying more extensively on long-term debt.
The tables below summarize the par value and the average rate of other debt securities we issued or paid off, including regularly scheduled principal payments, payments resulting from calls, and payments for repurchases. We call, exchange or repurchase our outstanding debt securities from time to time for a variety of reasons, including managing our funding composition and supporting the liquidity of our debt securities.
 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% 
$—
 %
Issuances89,827
 0.99% 
 %
Repurchases
 % 
 %
Maturities(93,716) 0.92% 
 %
Ending Balance48,465
 1.05% 
 %
Securities sold under agreements to repurchase:       
Beginning balance4,772
 1.01% 
 %
Additions30,803
 0.92% 
 %
Repayments(27,402) 0.93% 
 %
Ending Balance8,173
 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 balance10,616
 0.82% 151,279
 2.38%
Issuances2,300
 1.07% 7,555
 1.51%
Repurchases
 % (167) 2.54%
Maturities
 % (20,947) 1.62%
Ending Balance12,916
 0.86% 137,720
 2.47%
Total other debt
$69,554
 0.98% 
$251,110
 2.04%
        
        
        

Liquidity
Freddie Mac Form 10-Q62



Management's Discussion and AnalysisLiquidity and Capital Resources | Liquidity Profile

        
 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% 
$—
 %
Issuances289,138
 0.79% 
 %
Repurchases(57) 0.91% 
 %
Maturities(301,658) 0.69% 
 %
Ending Balance48,465
 1.05% 
 %
Securities sold under agreements to repurchase:       
Beginning balance3,040
 0.42% 
 %
Additions93,948
 0.61% 
 %
Repayments(88,815) 0.57% 
 %
Ending Balance8,173
 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 balance7,435
 0.41% 186,806
 2.10%
Issuances12,866
 0.87% 18,673
 1.99%
Repurchases(500) 0.82% (1,211) 1.40%
Maturities(6,885) 0.40% (66,548) 1.46%
Ending Balance12,916
 0.86% 137,720
 2.47%
Total other debt
$69,554
 0.98% 
$251,110
 2.04%

(1)Average rate is weighted based on par value.
(2)Includes STACR debt notes and certain multifamily other debt.
During the 2017 periods, we increased our volume of securities sold under agreements to repurchase as these borrowing transactions reduced the cost of our funding. To replace the medium-term (classified as long-term debt in the table above) and long-term debt that was called or matured during the 2017 periods, we primarily issued callable debt. Overall, our outstanding other debt balance continues to decline as we reduce our indebtedness along with the decline in our mortgage-related investments portfolio.

Freddie Mac Form 10-Q63



Management's Discussion and AnalysisLiquidity and Capital Resources | Liquidity Profile

The following graphs presenttable lists the sources of our other debt by contractual maturity date and earliest redemption date. The earliest redemption date refers toliquidity, the earliest call date for callable debt and the contractual maturity date for all other debt.
Contractual Maturity Datebalances as of September 30, 2017the dates shown, and a brief description of their importance to Freddie Mac.
a20173q10q_chart-10167.jpg
Table 29 - Liquidity Sources
(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 Portfolio24,440 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.
Earliest Redemption Date as of September 30, 2017a20173q10q_chart-12129.jpg


DEBT SECURITIES OF CONSOLIDATED TRUSTS
The table below shows the issuance and extinguishment activity(1)Represents carrying value for the debt securities of our consolidated trusts.

Freddie Mac Form 10-Q64



Management's Discussion and AnalysisLiquidity and Capital Resources | Liquidity Profile

(In millions)3Q 2017 YTD 2017
Beginning balance
$1,625,619
 
$1,602,162
Issuances:   
New issuances to third parties63,552
 187,273
Additional issuances of securities39,425
 100,507
Total issuances102,977
 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 discounts47,612
 47,612
Debt securities of consolidated trusts held by third parties
$1,691,524
 
$1,691,524
Debt securities of our consolidated trusts represent our liability to third parties that hold beneficial interests in our consolidated securitization trusts. Our exposure on debt securities of consolidated trusts is limited to the guarantee we provide on the payment of principalliquidity and interest on these securities, as the primary source of repayment of these debt securities comes from the cash flows of the mortgage loans held by the trusts which back the securities. At September 30, 2017, our estimated exposure (including the amounts that are due to Freddie Mac for debt securities of consolidated trusts that we purchased) to these debt securities is recognized as the allowance for credit losses on mortgage loans held by consolidated trusts. See Note 4 for details on our allowance for loan losses.
OTHER INVESTMENTS AND CASH PORTFOLIO
The investments incontingency operating portfolio, included within our other investments portfolio, and cashUPB for the liquid portion of the mortgage-related investments portfolio.
Other Investments Portfolio
Our other investments portfolio areis important to our cash flow, collateral management, and asset and liability management, and our ability to provide liquidity and stability to the mortgage market. The table below summarizes the balances in our other investments and cash portfolio, which includes the
Our liquidity and contingency operating portfolio.
  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

(1)Consists of amounts related to collateral held by us from derivative and other counterparties, investments in unsecured agency debt that we may not otherwise invest in, other than to pledge as collateral to our counterparties when our derivatives are in a liability position, advances to lenders, and other secured lending transactions.

Freddie Mac Form 10-Q65



Management's Discussion and AnalysisLiquidity and Capital Resources | Liquidity Profile

portfolio primarily includes securities purchased under agreements to resell and non-mortgage-related securities. Our non-mortgage-related investments in the liquidity and contingency operating portfoliosecurities consist of U.S. Treasury securities and other investments that we could sell to provide us with an additional source of liquidity to fund our business operations. We also maintain non-interest-bearing deposits at the Federal Reserve Bank of New York.York and interest-bearing deposits at commercial banks. Our interest-bearing deposits at commercial banks, including custodial accounts, totaled $2.7 billion and $5.1 billion as of March 31, 2024 and December 31, 2023, respectively. See MD&A - Our Portfolios - Investments Portfolio - Other Investments Portfolio for additional information about our other investments portfolio.


Mortgage-Related Investments Portfolio
We invest principally in mortgage-related investments, certain categories of which are largely unencumbered and liquid. Our primary source of liquidity among these mortgage assets is our holdings of agency securities. See MD&A - Our Portfolios - Investments Portfolio - Mortgage-Related Investments Portfolio for additional information about our mortgage loans and mortgage-related securities.
Freddie Mac 1Q 2024 Form 10-Q6632



Management's Discussion and AnalysisLiquidity and Capital Resources | Cash Flows

Primary Sources of Funding

CASH FLOWSThe following table lists the sources of our funding, the balances as of the dates shown, and a brief description of their importance to Freddie Mac.
Table 30 - Funding Sources
(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 Trusts3,050,038 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.
(1)Represents the carrying value of debt balances after consideration of offsetting arrangements.
Debt of Freddie Mac
We evaluateissue debt of Freddie Mac to fund our operations. Competition for funding can vary with economic, financial market, and regulatory environments. The amount, type, and term of debt issued is based on a variety of factors and is designed to meet our ongoing cash flow performance by comparingneeds and to comply with our Liquidity Management Framework.
The table below summarizes the net cash flowspar value and the average rate of debt of Freddie Mac securities we issued or paid off, including regularly scheduled principal payments, payments resulting from operatingcalls, and investing activitiespayments for repurchases. We call, exchange, or repurchase outstanding debt of Freddie Mac securities from time to time for a variety of reasons, including managing our funding composition and supporting the net cash flows required to finance those activities. The following graphs present the results of these activities for YTD 2016 and YTD 2017.
a20173q10q_chart-07487.jpga20173q10q_chart-09350.jpga20173q10q_chart-10565.jpg

Commentary
Cash provided by operating activities increased $0.8 billion primarily due to the following:
Increase in our other income due to settlement proceeds in 3Q 2017 from RBS related to certainliquidity of our non-agency mortgage-relateddebt securities.
This increase was partially offset by:
Increase in net purchasesTable 31 - Debt of mortgage loans acquired as held-for-sale, primarily dueFreddie Mac Activity
1Q 20241Q 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 %
Issuances15,943 5.29 50,739 4.18 
Repayments— — — — 
Maturities(13,043)5.26 (49,739)4.04 
Total short-term debt8,931 5.37 8,716 4.36 
Long-term:
Beginning balance168,009 3.31 170,363 2.22 
Issuances16,438 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 debt160,471 3.24 181,384 2.51 
Total debt of Freddie Mac, net$169,402 3.35 %$190,100 2.60 %
(1)Average rate is weighted based on par value.
As of March 31, 2024, our aggregate indebtedness pursuant to an increase in purchases of multifamily mortgage loans.
Cash provided by investing activities increased $15.4 billion primarily due to the following:
Increase in net proceeds received from sales of investment securities, driven by the continued reduction in the balance of our mortgage investment portfolio as required by the Purchase Agreement was $169.4 billion, which was below the current $270.0 billion debt cap limit. Our aggregate indebtedness calculation primarily includes the par value of short- and FHFA;long-term debt.
Maturity and Redemption Dates
Decrease in restricted cash due to a reduction in prepayment proceeds receivedThe following table presents the par value of debt of Freddie Mac by the custodial account.
This increase was partially offset by:
Decrease in net repayments of mortgage loans acquired as held-for-investment, primarily due to lower single-family liquidation rates.
Cash used in financing activities increased $18.7 billion primarily duecontractual maturity date and earliest redemption date. The earliest redemption date refers to the following:
Decrease in proceeds from issuancesearliest call date for callable debt and the contractual maturity date for all other debt of debt securities of consolidated trusts held by third parties driven by a decline in the volume of single-family PC issuances for cash; and
Increase in the payment of cash dividends on our senior preferred stock.


Freddie Mac.
Freddie Mac 1Q 2024 Form 10-Q6733



Management's Discussion and AnalysisLiquidity and Capital Resources | Capital Resources



Table 32 - Maturity and Redemption Dates
As of March 31, 2024As of December 31, 2023
(In millions)Contractual Maturity DateEarliest Redemption DateContractual Maturity DateEarliest Redemption Date
Debt of Freddie Mac(1):
1 year or less$47,192 $143,141 $47,276 $144,232 
1 year through 2 years54,690 12,049 61,187 15,249 
2 years through 3 years13,032 243 15,645 447 
3 years through 4 years13,154 290 12,530 305 
4 years through 5 years14,957 345 10,947 345 
Thereafter24,328 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 
CAPITAL RESOURCES(1)As of March 31, 2024 and December 31, 2023, excludes $13.8 billion and $10.2 billion, respectively, of payables related to securities sold under agreements to repurchase that we offset against receivables related to securities purchased under agreements to resell on our condensed consolidated balance sheets.
Our entry(2)STACR debt notes and SCR debt notes are subject to prepayment risk as their payments are based upon the performance of a reference pool of mortgage assets that may be prepaid by the related mortgage borrowers at any time generally without penalty and are, therefore, included as a separate category in the table.
Debt of Consolidated Trusts
The largest component of debt on our condensed consolidated balance sheets is debt of consolidated trusts, which relates to securitization transactions that we consolidate for accounting purposes. We primarily issue this type of debt by securitizing mortgage loans to fund our guarantee activities.
The table below shows the issuance and extinguishment activity for the debt of consolidated trusts.
Table 33 - Debt of Consolidated Trusts Activity
(In millions)1Q 20241Q 2023
Beginning balance$2,999,893 $2,929,567 
Issuances84,873 87,021 
Repayments and extinguishments(75,689)(77,867)
Ending balance3,009,077 2,938,721 
Unamortized premiums and discounts40,961 48,329 
Debt of consolidated trusts$3,050,038 $2,987,050 
Off-Balance Sheet Arrangements
We enter into conservatorship resultedcertain business arrangements that are not recorded on our condensed consolidated balance sheets or that may be recorded in significant changes toamounts that differ from the assessment of our capital adequacy and our management of capital. Under the Purchase Agreement, Treasury made a commitment to provide us with equity funding, under certain conditions, to eliminate deficits in our net worth. Obtaining equity funding from Treasury pursuant to its commitment under the Purchase Agreement enables us to avoid being placed into receivership by FHFA and maintain the confidencefull contractual or notional amount of the debt markets as a very high-qualitytransaction that affect our short- and long-term liquidity needs. Our off-balance sheet arrangements primarily consist of guarantees and commitments. Certain of these arrangements present credit upon which our business model is dependent. The amount of available equity funding remaining under the Purchase Agreement is $140.5 billion. This amount will be reduced by any future draws.
At September 30, 2017, our assets exceeded our liabilities under GAAP; therefore, no draw is being requested from Treasury under the Purchase Agreement. Basedrisk exposure. SeeNote 2 and Note 4 for additional information on these transactions. SeeMD&A - Risk Management - Credit Riskfor additional information on our Net Worth Amount of $5.3credit risk exposure on off-balance sheet arrangements.
Cash Flows
Cash and cash equivalents (including restricted cash and cash equivalents) decreased by $2.3 billion from $5.9 billion as of September 30, 2017 and the Capital Reserve Amount of $600 million in 2017, our dividend requirementMarch 31, 2023 to Treasury in December 2017 will be $4.7 billion. Upon the Conservator, acting as successor to the rights, titles, powers and privileges of the Board of Directors, declaring a senior preferred stock dividend equal to our dividend requirement and directing us to pay it before December 31, 2017, we would pay a dividend of $4.7$3.5 billion by December 31, 2017. Under the Purchase Agreement, the payment of dividends does not reduce the outstanding liquidation preference of the senior preferred stock, although we are permitted to pay down the liquidation preference of the outstanding shares of senior preferred stock to the extent of accrued and unpaid dividends previously added to the liquidation preference and not previously paid down.
In June 2016, the FASB issued guidance related to the measurement of credit losses on financial instruments that will be effective as of January 1, 2020, with early adoption permitted asMarch 31, 2024, primarily due to repayment of January 1, 2019. This guidance replaces the incurred loss impairment methodology in current GAAP with a methodology that reflects lifetime expected credit losses. While we are still evaluating the effect that the adoptionoutstanding debt and investment of this guidance will have on our financial results, it will increase (perhaps substantially) our provision for credit losses in the period of adoption. As our capital reserve will decline to zero in 2018, this guidance increases the risk that we will need to request a draw from Treasury for the period of adoption.retained earnings.
Freddie Mac 1Q 2024 Form 10-Q34

Management's Discussion and AnalysisLiquidity and Capital Resources

Capital Resources
The table below presents activity related to our net worth during 3Q 2017worth.
Table 34 - Net Worth Activity
(In millions)1Q 20241Q 2023
Beginning balance$47,722 $37,018 
Comprehensive income2,741 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 Agreement71,648 71,648 
Aggregate cash dividends paid to Treasury119,680 119,680 
Liquidation preference of the senior preferred stock120,370 109,666 
ERCF
The charts below present the ERCF capital adequacy requirements under the risk-based capital requirement (CET1 capital ratio relative to RWA) and YTD 2017.leverage capital requirement (Tier 1 capital ratio relative to ATA). Our required CET1 capital ratio increased to 10.1% as of March 31, 2024, from 9.5% as of December 31, 2023, primarily due to an increase in the stability capital buffer.

Risk-Based Capital Requirement: CET1 Capital Ratio

294
(In millions)3Q 2017 YTD 2017
Beginning balance
$2,586
 
$5,075
Comprehensive (loss) income4,650
 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

Leverage Capital Requirement: Tier 1 Capital Ratio

363
Freddie Mac 1Q 2024 Form 10-Q6835



Management's Discussion and AnalysisConservatorshipLiquidity and Related MattersCapital Resources



CONSERVATORSHIP AND RELATED MATTERS
REDUCING OUR MORTGAGE-RELATED INVESTMENTS PORTFOLIO OVER TIMECapital Metrics
The table below presents the UPBcomponents of our mortgage-related investments portfolioregulatory capital.
Table 35 - Regulatory Capital Components
(In billions)March 31, 2024December 31, 2023
Total equity$50 $48 
Less:
Senior preferred stock73 73 
Preferred stock14 14 
Common equity(37)(39)
Less: deferred tax assets arising from temporary differences that exceed 10% of CET1 capital and other regulatory adjustments
Common equity Tier 1 capital(41)(43)
Add: Preferred stock14 14 
Tier 1 capital(27)(29)
Tier 2 capital adjustments— — 
Adjusted total capital($27)($29)
The table below presents the components of our statutory capital.
Table 36 - Statutory Capital Components
(In billions)March 31, 2024December 31, 2023
Total equity$50 $48 
Less:
Senior preferred stock73 73 
AOCI, net of taxes— — 
Core capital(23)(25)
General allowance for foreclosure losses(1)
Total capital($16)($18)
(1)Represents our allowance for purposes of the limit imposed by the Purchase Agreement and FHFA regulation. The cap for this portfolio will decrease to approximately $288 billion at December 31, 2017.
 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 securities121,108
 
 4,026
 125,134
 125,652
 
 4,776
 130,428
Non-agency mortgage-related securities270
 
 6,856
 7,126
 113
 
 16,059
 16,172
Non-Freddie Mac agency mortgage-related securities7,614
 
 
 7,614
 11,759
 
 
 11,759
Total Capital Markets segment - Mortgage investments portfolio128,992
 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 securities7,211
 
 1,960
 9,171
 7,447
 
 5,070
 12,517
Total Multifamily segment7,211

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 portfolio51% 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

(1)Represents the amount that we manage to under our Retained Portfolio Plan, subject to certain exceptions.
The decline in our mortgage-related investments portfolio during YTD 2017 was primarily due to repayments and the active disposition of less liquid assets.
While we continued to purchase new single-family seriously delinquent loans, our active disposition of less liquid assets included the following:
Sales of $12.1 billion of less liquid assets, including $7.8 billion in UPB of non-agency mortgage-related securities, $0.5 billion in UPB of seriously delinquent unsecuritized single-family loans, and $3.8 billion in UPB of single-family reperforming loans;

credit losses.
Freddie Mac 1Q 2024 Form 10-Q6936



Management's Discussion and AnalysisConservatorshipLiquidity and Related MattersCapital Resources



The table below presents our capital metrics under the ERCF.
Securitizations of $0.7 billion in UPB of less liquid multifamily loans; andTable 37 - Capital Metrics Under ERCF
(In billions)March 31, 2024December 31, 2023
Adjusted total assets$3,786 $3,775
Risk-weighted assets (standardized approach):
    Credit risk893 884
    Market risk54 54
    Operational risk71 71
Total risk-weighted assets$1,018 $1,009
(In billions)March 31, 2024December 31, 2023
Stress capital buffer$28 $28
Stability capital buffer29 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 capital46 $57 103 (41)(144)
Tier 1 capital61 57 118 (27)(145)
Adjusted total capital81 57 138 (27)(165)
Risk-based capital ratios(2):
Total capital8.0 %N/A8.0 %(1.5)%(9.5)%
CET1 capital4.5 5.6 %10.1 (4.0)(14.1)
Tier 1 capital6.0 5.6 11.6 (2.6)(14.2)
Adjusted total capital8.0 5.6 13.6 (2.6)(16.2)
Leverage capital amounts:
Core capital$95 N/A$95 ($23)($118)
Tier 1 capital95 $14 109 (27)(136)
Leverage capital ratios(3):
Core capital2.5 %N/A2.5 %(0.6)%(3.1)%
Tier 1 capital2.5 0.4 %2.9 (0.7)(3.6)
Transfers of $0.9 billion in UPB of less liquid multifamily loans toReferenced footnotes are included after the securitization pipeline.

prior period table.
Freddie Mac 1Q 2024 Form 10-Q7037

Management's Discussion and AnalysisLiquidity and Capital Resources

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 capital45 $51 96 (43)(139)
Tier 1 capital60 51 111 (29)(140)
Adjusted total capital81 51 132 (29)(161)
Risk-based capital ratios(2):
Total capital8.0 %N/A8.0 %(1.8)%(9.8)%
CET1 capital4.5 5.0 %9.5 (4.3)(13.8)
Tier 1 capital6.0 5.0 11.0 (2.9)(13.9)
Adjusted total capital8.0 5.0 13.0 (2.9)(15.9)
Leverage capital amounts:
Core capital$95 N/A$95 ($25)($120)
Tier 1 capital95 $11 106 (29)(135)
Leverage capital ratios(3):
Core capital2.5 %N/A2.5 %(0.7)%(3.2)%
Tier 1 capital2.5 0.3 %2.8 (0.8)(3.6)
(1)PCCBA for risk-based capital and PLBA for leverage capital.
(2)As a percentage of RWA.
(3)As a percentage of ATA.
At March 31, 2024, our maximum payout ratio under the ERCF was 0.0%.
See Note 15 for additional information on our capital amounts and ratios under the ERCF.


Freddie Mac 1Q 2024 Form 10-Q38

Management's Discussion and AnalysisCritical Accounting Estimates
CRITICAL ACCOUNTING ESTIMATES
Our critical accounting estimates and policies relate to the Single-Family allowance for credit losses. For additional information about our critical accounting estimates and other significant accounting policies, see Note 1 and Critical Accounting Estimates in our 2023 Annual Report.
Single-Family Allowance for Credit Losses
The Single-Family allowance for credit losses represents our estimate of expected credit losses over the contractual term of the mortgage loans. The Single-Family allowance for credit losses pertains to all single-family loans classified as held-for-investment on our condensed consolidated balance sheets.
Determining the appropriateness of the Single-Family allowance for credit losses is a complex process that is subject to numerous estimates and assumptions requiring significant management judgment about matters that involve a high degree of subjectivity. This process involves the use of models that require us to make judgments about matters that are difficult to predict.
Changes in forecasted house price growth rates can have a significant effect on our allowance for credit losses estimates. The table below shows our nationwide forecasted house price growth rates that were used in determining our allowance for credit losses. See Note 5 for additional information regarding our current period provision for credit losses.
Table 38 - Forecasted House Price Growth Rates
12-Month Forward13- to 24-Month Forward
March 31, 20240.2 %0.6 %
December 31, 20232.8 2.0 

Freddie Mac 1Q 2024 Form 10-Q39

Management's Discussion and AnalysisRegulation and Supervision



REGULATION AND SUPERVISION
In addition to our oversight by FHFA as our Conservator, we are subject to regulation and oversight by FHFA under our Charter and the GSE Act and to certain regulation by other government agencies. FHFA has the power to require us from time to time to change our processes, take action and/or stop taking action that could impact our business. Furthermore, regulatory activities by other government agencies can affect us indirectly, even if we are not directly subject to such agencies’agencies' regulation or oversight. For example, regulations that modify requirements applicable to the purchase or servicing of mortgages can affect us.
AFFORDABLE HOUSING ALLOCATIONS
The GSE Act requires us to set aside in each fiscal year an amount equal to 4.2 basis points of each dollar of total new business purchasesFederal Housing Finance Agency
FICO 10T and pay this amount to certain housing funds. During 3Q 2017 and YTD 2017, we completed $106 billion and $292 billion, respectively, of new business purchases subject to this requirement and accrued $44 million and $122 million, respectively, of related expense. We expect to pay this amount (and any additional amounts accrued based on our new business purchases during the remainder of 2017) in February 2018. We are prohibited from passing through these costs to the originators of the loans that we purchase.
LEGISLATIVE AND REGULATORY DEVELOPMENTS
AFFORDABLE HOUSING GOALS RESULTS FOR 2016

VantageScore 4.0
In October 2017,2022, FHFA informed us that it had reviewed our performance with respectannounced the validation and approval of the FICO 10T and VantageScore 4.0 credit score models for use by Freddie Mac and Fannie Mae, as well as the transition to a bi-merge credit reporting requirement. Under a bi-merge approach, lenders may obtain credit reports from two, rather than three, of the national consumer reporting agencies for each borrower. In March 2023, FHFA and the Enterprises initiated a public engagement process to solicit input on this initiative and gather information on how to ensure a smooth transition to the affordable housing goalsnew credit score requirements.
On February 29, 2024, FHFA announced further updates to the implementation of new credit score requirements for 2016, and preliminarily determined that we achieved all five single-family affordable housing goals and all threeloans acquired by the Enterprises. FHFA aligned the implementation date of our multifamily goals. Our performance on the goals, as preliminarily determined,bi-merge credit reporting requirement with the transition from the Classic FICO credit score model, which is set forthexpected to occur in the table below. We may achieve a single-family housing goal by meeting or exceeding either:fourth quarter of 2025.
FHFA further announced in February that Freddie Mac and Fannie Mae will accelerate the FHFA benchmark for that goal (Goals); or
publication of VantageScore 4.0 historical data to early in the actual sharethird quarter of 2024. As part of the market that meetstransition, Freddie Mac and Fannie Mae will make available historical VantageScore 4.0 data on loans acquired by the criteriaEnterprises during the 10-year period from April 1, 2013 to March 31, 2023. FHFA and the Enterprises will continue to work towards providing similar data to support the transition to the FICO 10T model, contingent upon achieving the necessary conditions for that goal (Market Levels).acquisition and publication of this data.
Fair Lending Oversight Rule
  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

On April 29, 2024, FHFA issued its final rule on fair lending, fair housing, and equitable housing finance plans. We are currently assessing the impact of the final rule.
Freddie Mac 1Q 2024 Form 10-Q7140



Management's Discussion and AnalysisRegulation and SupervisionForward-Looking Statements




Because we missed two of the five single-family goals in 2015, we will remain under a Housing Plan through 2018.

LIBOR TRANSITION

In July 2017, the Chief Executive of the United Kingdom’s Financial Conduct Authority (FCA) announced the FCA’s intention to cease sustaining LIBOR after 2021. The Federal Reserve Board had previously convened the Alternative Reference Rates Committee (ARRC) to identify a set of alternative reference interest rates for possible use as market benchmarks. We are participating in the ARRC's activities. The ARRC identified an alternative rate in June 2017, and in August 2017, the Federal Reserve Board requested public comment on a proposal to begin publishing that and two other alternative rates beginning in 2018. We are not able to predict whether LIBOR will cease to be available after 2021, whether the alternative rates the Federal Reserve Board proposes to publish will become market benchmarks in place of LIBOR, or what the impact of such a transition may be on our business, results of operations and financial condition.


Freddie Mac Form 10-Q72



Management's Discussion and AnalysisOff-Balance Sheet Arrangements

OFF-BALANCE SHEET ARRANGEMENTS
We enter into certain business arrangements that are not recorded on our condensed consolidated balance sheets or that may be recorded in amounts that differ from the full contract or notional amount of the transaction and that may expose us to potential losses in excess of the amounts recorded on our condensed consolidated balance sheets. For a description of our off-balance sheet arrangements, see "MD&A - Off-Balance Sheet Arrangements" in our 2016 Annual Report. See Note 3 for more information on our off-balance sheet securitization activities and other guarantees.
We have certain off-balance sheet arrangements related to our securitization activities involving guaranteed loans and mortgage-related securities, though most of our securitization activities are on-balance sheet. Our off-balance sheet arrangements related to these securitization activities primarily consist of K Certificates and SB Certificates. We also have off-balance sheet arrangements related to certain other securitization products and other mortgage-related guarantees. Our maximum potential off-balance sheet exposure to credit losses relating to these securitization activities and guarantees is primarily represented by the UPB of the underlying loans and securities, which was $195.3 billion and $166.7 billion at September 30, 2017 and December 31, 2016, respectively.

Freddie Mac Form 10-Q73



Management's Discussion and AnalysisForward-Looking Statements


FORWARD-LOOKING STATEMENTS
We regularly communicate information concerning our business activities to investors, the news media, securities analysts, and others as part of our normal operations. Some of these communications, including this Form 10-Q, contain “forward-looking"forward-looking statements." Examples of forward-looking statements include, but are not limited to, statements pertaining to the conservatorship, our current expectations and objectives for the Single-family Guarantee,Single-Family and Multifamily and Capital Markets segments of our business, our efforts to assist the housing market, our liquidity and capital management, economic and market conditions and trends including, but not limited to, changes in house prices and house price forecasts, our market share, the effect of legislative and regulatory developments and new accounting guidance, the credit quality of loans we own or guarantee, the costs and benefits of our CRT transactions, the impact of banking crises or failures, the effects of catastrophic events or significant climate change effects and actions taken in response thereto on our business, and our results of operations and financial condition on a GAAP, Segment Earnings and fair value basis.condition. Forward-looking statements involve known and unknown risks and uncertainties, some of which are beyond our control. Forward-looking statements are often accompanied by, and identified with, terms such as “objective,” “expect,” “possible,” “trend,” “forecast,” “anticipate,” “believe,” “intend,” “could,” “future,” “may,” “will,”"could," "may," "will," "believe," "expect," "anticipate," "forecast," and similar phrases. These statements are not historical facts, but rather represent our expectations based on current information, plans, judgments, assumptions, estimates, and projections. Actual results may differ significantly from those described in or implied by such forward-looking statements due to various factors and uncertainties, including those described in the “Risk Factors” Risk Factors section ofin our 20162023 Annual Report, and:and including, without limitation, the following:
nThe actions the U.S.federal government (including FHFA, Treasury, and Congress) and state governments may take, or require us to take, or restrict us from taking, including actions to support thepromote equitable access to affordable and sustainable housing, markets orsuch as programs to implement FHFA’sthe expectations in FHFA's Conservatorship Scorecards, recent requirements and guidance related to equitable housing and fair lending, and other objectives for us;
nChanges in the fiscal and monetary policies of the Federal Reserve, including changes in target interest rates and in the amount of agency MBS and agency CMBS held by the Federal Reserve;
nThe effect of the restrictions on our business due to the conservatorship and the Purchase Agreement, includingAgreement;
nThe impact of any changes in our dividend requirement oncredit ratings or those of the senior preferred stock;U.S. government;
nChanges in our Charter, or in applicable legislative or regulatory requirements (including any legislation affecting the future status of our company);, or the Purchase Agreement;
nChanges to our capital requirements and potential effects of such changes on our business strategies;
nChanges in the fiscaltax laws;
nChanges in privacy and monetarycybersecurity laws and regulations;
nChanges in accounting policies, of the Federal Reserve, including the recently announced plan to begin reducing the size of holdings of mortgage-related securities;practices, standards, or guidance;
nChanges in economic and market conditions, including volatility in the financial services industry, changes in employment rates, inflation, interest rates, spreads, and homehouse prices;
nChanges in the U.S. residential mortgage market, including changes in the supply and type of loan products (e.g., refinance vs. purchase, and fixed-rate vs. ARM);products;
nThe success of our efforts to mitigate our losses on our Legacy and relief refinance single-family loan portfolio and our investments in non-agency mortgage-related securities;losses;
nThe success of our strategy to transfer mortgage credit risk through STACR debt note, ACIS, K Certificate, SB Certificate, and other credit risk transfer transactions;risk;
nOur ability to maintain adequate liquidity to fund our operations;
nOur ability to maintain the security and resiliency of our operational systems and infrastructure, (e.g.,including against cyberattacks);cybersecurity incidents or other security incidents, whether due to insider error or malfeasance or system errors or vulnerabilities in our or our third parties' systems;
nOur ability to effectively execute our business strategies, implement new initiatives,significant changes, and improve efficiency;
nThe adequacy of our risk management framework;framework, including the adequacy of our regulatory capital framework prescribed by FHFA and internal models for measuring risk;
nOur ability to manage mortgage credit risks,risk, including the effect of changes in underwriting and servicing practices;
nOur ability to limit or manage our economic exposure and GAAP earnings exposure to interest-rate volatility and spread volatility, including the availability of derivative financial instruments needed for

Freddie Mac Form 10-Q74



Management's Discussion and AnalysisForward-Looking Statements


interest-rate risk management purposes;purposes and our ability to apply hedge accounting;
nOur operational ability to issue new securities, make timely and correct payments on securities, and provide initial and ongoing disclosures;
ChangesnOur reliance on CSS and the CSP for the operation of the majority of our Single-Family securitization activities, limits on our influence over CSS Board decisions, and any additional changes FHFA may require in our relationship with, or errorssupport of, CSS;
nPerformance of and changes in the methodologies, models, assumptions, and estimates we use to prepare our financial statements, make business decisions, and manage risks;
nChanges in investor demand for our debt or mortgage-related securities;
Freddie Mac 1Q 2024 Form 10-Q41

Management's Discussion and AnalysisForward-Looking Statements

nOur ability to maintain market acceptance of our mortgage-related securities, (e.g., single-family PCs, multifamily K Certificatesincluding our ability to maintain alignment of the prepayment speeds and SB Certificates);pricing performance of our and Fannie Mae's respective UMBS;
nChanges in the practices of loan originators, servicers, investors, and other participants in the secondary mortgage market;
nCompetition from other market participants, which could affect the pricing we offer for our products, the credit characteristics of the loans we purchase, and our ability to meet our affordable housing goals and other mandated activities;
nThe adverse consequences on our business and operations that may occur from the transition to SOFR as the replacement for LIBOR;
nThe availability of critical third parties, or their vendors and other business partners, to deliver products or services, or to manage risks, including cybersecurity risk, effectively;
nThe occurrence of a catastrophic event or significant climate change effects in areas in which our offices, significant portions of our total mortgage portfolio, or the offices of critical third parties are located, and for which we may be uninsured or significantly underinsured; and
nOther factors and assumptions described in this Form 10-Q and our 20162023 Annual Report, including in the “MD&A”MD&A section.
Forward-looking statements speakare made only as of the date they are made,of this Form 10-Q, and we undertake no obligation to update any forward-looking statements we make to reflect events or circumstances occurring after the date of this Form 10-Q.



Freddie Mac 1Q 2024 Form 10-Q7542

Financial Statements



Financial Statements







FINANCIAL STATEMENTS


Freddie Mac 1Q 2024 Form 10-Q7643



Financial StatementsCondensed Consolidated Statements of Income and Comprehensive Income

FREDDIE MAC
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (UNAUDITED)
(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 securities821
 976
 2,637
 2,923
Other185
 74
 436
 187
Total interest income16,873
 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 income3,489
 3,646
 10,663
 10,494
Benefit (provision) for credit losses(716) (113) (178) 1,129
Net interest income after benefit (provision) for credit losses2,773
 3,533
 10,485
 11,623
Non-interest income (loss)       
Gains (losses) on extinguishment of debt27
 (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 earnings723
 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) benefit7,190
 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 relationships26
 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 diluted3,234
 3,234
 3,234
 3,234
Condensed Consolidated Statements of Income and Comprehensive Income (Unaudited)
(In millions, except share-related amounts)
1Q 20241Q 2023
Net interest income
Interest income$28,385 $24,987 
Interest expense(23,626)(20,486)
Net interest income4,759 4,501 
Non-interest income
Guarantee income496 466 
Investment gains, net405 (225)
Other income97 85 
Non-interest income998 326 
Net revenues5,757 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 recoveries49 
Legislative assessments expense(754)(735)
Other expense(351)(342)
Non-interest expense(2,122)(1,932)
Income before income tax expense3,454 2,500 
Income tax expense(688)(505)
Net income2,766 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 
The accompanying notes are an integral part of these condensed consolidated financial statements.

Freddie Mac 1Q 2024 Form 10-Q7744


Financial StatementsCondensed Consolidated Balance Sheets


FREDDIE MAC
CONDENSED CONSOLIDATED BALANCE SHEETS (UNAUDITED)Condensed Consolidated Balance Sheets (Unaudited)

(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 liabilities2,025,406
 2,018,301
Commitments and contingencies (Notes 3, 7, and 14)
 
Equity (Note 9)   
Senior preferred stock72,336
 72,336
Preferred stock, at redemption value14,109
 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 plans18
 21
Total AOCI, net of taxes780
 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)
20242023
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 resell102,257 95,148 
Investment securities, at fair value41,400 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, net10,047 9,925 
Deferred tax assets, net4,227 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 liabilities3,236,910 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 value14,109 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 securities51 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 
The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on our condensed consolidated balance sheets.
(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 assets26,510
 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 liabilities4,950
 4,846
Total liabilities of consolidated VIEs
$1,696,474
 
$1,653,529
March 31,December 31,
(In millions)20242023
Assets:
Cash and cash equivalents (includes $1,483 and $890 of restricted cash and cash equivalents)$1,484$891 
Securities purchased under agreements to resell10,7779,396 
Investment securities, at fair value65 
Mortgage loans held-for-investment, net3,044,2153,039,461 
Accrued interest receivable, net9,0518,885 
Other assets5,5254,858 
Total assets of consolidated VIEs$3,071,052$3,063,556
Liabilities:
Accrued interest payable$7,702 $7,527 
Debt3,050,038 3,041,927 
Total liabilities of consolidated VIEs$3,057,740 $3,049,454 
The accompanying notes are an integral part of these condensed consolidated financial statements.

Freddie Mac 1Q 2024 Form 10-Q7845



Financial StatementsCondensed Consolidated Statements of Cash FlowsEquity




FREDDIE MAC
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWSCondensed Consolidated Statements of Equity (Unaudited)
(UNAUDITED)
(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 securities115,727
 45,650
Proceeds from maturities and repayments of trading securities6,775
 18,602
Purchases of available-for-sale securities(6,361) (21,988)
Proceeds from sales of available-for-sale securities14,695
 17,009
Proceeds from maturities and repayments of available-for-sale securities9,541
 11,412
Purchases of held-for-investment mortgage loans(92,311) (120,753)
Proceeds from sales of mortgage loans held-for-investment4,641
 2,605
Repayments of mortgage loans held-for-investment206,705
 245,212
(Increase) decrease in restricted cash2,167
 (4,598)
Advances to lenders(25,383) (20,457)
Net proceeds from dispositions of real estate owned and other recoveries1,457
 2,023
Net (increase) decrease in securities purchased under agreements to resell4,346
 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 activities120,557
 105,216
Cash flows from financing activities   
Proceeds from issuance of debt securities of consolidated trusts held by third parties135,697
 178,727
Repayments and redemptions of debt securities of consolidated trusts held by third parties(221,844) (251,296)
Proceeds from issuance of other debt461,222
 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 year12,369
 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 taxes887
 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, 2023464 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)— — — — — — — — 
Other (net of taxes of $1 million)— — — — — — — (4)— (4)
Comprehensive income      2,766 (25) 2,741 
Ending balance at March 31, 20241 464 650 $72,648 $14,109 $— ($32,362)($47)($3,885)$50,463 
Balance at December 31, 2022464 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)— — — — — — — — 
Comprehensive income      1,995 54  2,049 
Ending balance at March 31, 20231 464 650 $72,648 $14,109 $— ($43,671)($134)($3,885)$39,067 
The accompanying notes are an integral part of these condensed consolidated financial statements.

Freddie Mac 1Q 2024 Form 10-Q46

Financial StatementsCondensed Consolidated Statements of Cash Flows


FREDDIE MAC
Condensed Consolidated Statements of Cash Flows (Unaudited)
(In millions)1Q 20241Q 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 sales16,257 34,919 
Proceeds from maturities and repayments1,595 5,464 
Mortgage loans acquired held-for-investment:
Purchases(23,751)(19,991)
Proceeds from sales714 1,661 
Proceeds from repayments57,248 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 derivatives1,890 61 
Other, net320 (112)
Net cash provided by (used in) investing activities8,926 2,314 
Cash flows from financing activities
Debt of consolidated trusts:
Proceeds from issuance43,851 44,187 
Repayments and redemptions(57,074)(55,197)
Debt of Freddie Mac:
Proceeds from issuance32,281 64,864 
Repayments(36,920)(52,748)
Net increase (decrease) in securities sold under agreements to repurchase3,555 (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 year6,019 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)
The accompanying notes are an integral part of these condensed consolidated financial statements.
Freddie Mac 1Q 2024 Form 10-Q7947



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



Notes to Condensed Consolidated Financial Statements
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS
NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES1
Summary of Significant Accounting Policies
Freddie Mac is a GSE chartered by Congress in 1970. Our public1970, with a mission is to provide liquidity, stability, and affordability to the U.S. housing market. We are regulated by FHFA, the SEC, HUD, and Treasury, and are currently operating under the conservatorship of FHFA. The conservatorship and related matters significantly affect our management, business activities, financial condition, and results of operations. In connection with our entry into conservatorship, we entered into the Purchase Agreement with Treasury, under which we issued Treasury both senior preferred stock and a warrant to purchase common stock. Our Purchase Agreement with Treasury is critical to keeping us solvent and avoiding the appointment of a receiver by FHFA under statutory mandatory receivership provisions. We believe the support provided by Treasury pursuant to the Purchase Agreement currently enables us to have adequate liquidity to conduct normal business activities. For more information on the conservatorship, the roles of FHFA and Treasury, and the Purchase Agreement, see Note 2 in this Form 10-Q and in our Annual Report on Form 10-K for the year ended December 31, 2016, or 20162023 Annual Report. Throughout our unaudited condensed consolidated financial statements and related notes, we use certain acronyms and terms which are defined in the “Glossary” Glossary of our 20162023 Annual Report and our Form 10-Q for the second quarter of 2017. Throughout this Form 10-Q, we refer to the three months ending December 31, 2017, the three months ended September 30, 2017, the three months ended June 30, 2017, the three months ended March 31, 2017, the three months ended December 31, 2016, the three months ended September 30, 2016, the three months ended June 30, 2016, and the three months ended December 31, 2015 as "4Q 2017," 3Q 2017, “2Q 2017,” “1Q 2017,” “4Q 2016,” 3Q 2016, “2Q 2016,” and “4Q 2015,” respectively. We refer to the nine months ended September 30, 2017 and the nine months ended September 30, 2016 as “YTD 2017” and “YTD 2016,” respectively.Report.
The accompanying unaudited condensed consolidated financial statements should be read in conjunction with the audited consolidated financial statements and related notes in our 20162023 Annual Report.
BASIS OF PRESENTATION
Basis of Presentation
The accompanying unaudited condensed consolidated financial statements have been prepared in accordance with GAAP and include our accounts as well as the accounts of other entities in which we have a controlling financial interest. All intercompany balances and transactions have been eliminated.
We are operating under the basis that we will realize assets and satisfy liabilities in the normal course of business as a going concern and in accordance with the delegation of authority fromprovided by FHFA to our Board of Directors and management. Certain amounts in prior periods’ condensed consolidated financial statements have been reclassified to conform to the current presentation.oversee management's conduct of our business operations. In the opinion of management, our unaudited condensed consolidated financial statements contain all adjustments, which include only normal recurring adjustments, necessary for a fair statement of our results.
We evaluate the materialityUse of identified errors in the financial statements using both an income statement, or “rollover,” and a balance sheet, or “iron curtain,” approach, based on relevant quantitative and qualitative factors. Net income includes certain adjustments to correct immaterial errors related to previously reported periods.
USE OF ESTIMATES
Estimates
The preparation of our condensed consolidated financial statements requires usmanagement to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses, and disclosure of contingent assets and liabilities at the date of

Freddie Mac Form 10-Q80



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 1


the financial statements and the reported amounts of revenues, expenses, gains, and losses during the reporting period.statements. Management has made significant estimates in preparing the financial statements for establishingto report the allowance for loancredit losses and reserve for guarantee losses, valuing financial instruments and other assets and liabilities, and assessing impairments on investments.single-family mortgage loans. Actual results could be different from these estimates.
RECENTLY ISSUED ACCOUNTING GUIDANCE
Consolidation and Equity Investments
Recently Adopted Accounting Guidance
For each entity with which we are involved, we determine whether the entity should be consolidated in our financial statements. We consolidate entities in which we have a controlling financial interest. The method for determining whether a controlling financial interest exists varies depending on whether the entity is a VIE. For entities that are not VIEs, we hold a controlling financial interest in entities where we hold a majority of the voting rights or a majority of a limited partnership's kick-out rights through voting interests. We do not currently consolidate any entities which are not VIEs. We use the equity method to account for our interests in entities in which we do not have a controlling financial interest, but over which we have significant influence.
We invest in LIHTC partnerships to support and preserve the supply of affordable housing. We have elected to account for these investments using the proportional amortization method when applicable. The carrying amount of our investments in LIHTC partnerships is presented in other assets on our condensed consolidated balance sheets and totaled $3.6 billion as of March 31, 2024.
Freddie Mac 1Q 2024 Form 10-Q48

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

Recently Issued Accounting Guidance
Recently Adopted Accounting Guidance
StandardDescription
StandardDescriptionDate of
 Adoption
Effect on Consolidated Financial Statements
ASU 2016-06, Derivatives2023-02, Investments - Equity Method and HedgingJoint Ventures (Topic 815)323): Accounting for Investments in Tax Credit Structures Using the Proportional Amortization Method
The amendment clarifiesamendments in this Update expand the requirements for assessing whether contingent call (put) optionsuse of the proportional amortization method of accounting to equity investments in other tax credit structures that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. An entity performing the assessment under the amendment is requiredmeet certain conditions. This Update also amends those conditions primarily to assess projected benefits on a discounted basis and expands the embedded call (put) options solely in accordance with the four-step decision sequence.disclosure requirements of those investments.January 1, 20172024
The adoption of this amendmentthese amendments did not have a material effect on our consolidated financial statements. See the preceding sectionConsolidation and Equity Investments for further information.

Recently Issued Accounting Guidance, Not Yet Adopted Within Our Consolidated Financial Statements
StandardDescriptionDate of
 Adoption
Effect on Consolidated Financial Statements
ASU 2016-17 - Consolidation2023-07, Segment Reporting (Topic 810)280): Interests Held through Related Parties That Are under Common ControlImprovements to Reportable Segment Disclosures
The Board issuedamendments in this Update to amendrequire the consolidation guidance on how a reporting entity that is the single decision makerdisclosure of a VIE should treat indirect interests in the entity held through related partiesmore detailed quantitative and qualitative information about significant segment expenses that are under common control withregularly provided to the reporting entity when determining whether it isCODM and included in each reported measure of segment profit or loss.December 31, 2024We do not expect the primary beneficiary of that VIE.
January 1, 2017The adoption of this amendment did not
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, 2025We do not expect the adoption of
these amendments to have a
material effect on our consolidated
financial statements.



Freddie Mac 1Q 2024 Form 10-Q8149



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

NOTE 2

Securitizations and Variable Interest Entities
Recently Issued Accounting Guidance, Not Yet Adopted Within Our Condensed Consolidated Financial Statements
Nonconsolidated VIEs
StandardDescriptionDate of Planned AdoptionEffect on Consolidated Financial Statements
ASU 2017-12, Derivatives and Hedging (Topic 815)The amendments in this Update made targeted improvements to accounting for hedging activities. The Update changes the recognition and presentation requirements of hedge accounting and provides new alternatives on how to measure and account for certain aspects of hedging activities.4Q 2017The adoption of the amendments will not affect the application of hedge accounting for our existing hedge strategies; however, the amendments will modify the presentation of hedge results on our consolidated statements of comprehensive income and in the financial statement notes.
ASU 2016-15, Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments (a consensus of the Emerging Issues Task Force)The main objective of this Update is to address the diversity in practice that currently exists in regards to how certain cash receipts and cash payments are presented and classified in the statement of cash flows under Topic 230, Statement of Cash Flows, and other Topics. This Update addresses eight specific cash flow issues with the objective of reducing the existing diversity in practice.January 1, 2018Upon adoption, the portion of the cash payment attributable to the accreted interest related to zero-coupon debt will be presented in the operating activities section, a classification change from the financing activity section where this item is currently presented. We are evaluating the financial effect the adoption of this amendment will have on our consolidated financial statements.
ASU 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash (a consensus of the FASB Emerging Issues Task Force)The amendments in this Update address the diversity in the classification and presentation of changes in restricted cash on the statement of cash flows under Topic 230, Statement of Cash Flows. Specifically, this amendment dictates that the statement of cash flows should explain the change in the period of the total of cash, cash equivalents, and restricted cash balances.January 1, 2018
The adoption of the amendments will not have a material effect on our consolidated financial statements.

ASU 2016-13, Financial Instruments—Credit Losses (Topic 326): Measurement of Credit Losses on Financial InstrumentsThe amendments in this Update replace the incurred loss impairment methodology in current GAAP with a methodology that reflects lifetime expected credit losses and requires consideration of a broader range of reasonable and supportable information to inform credit loss estimates.January 1, 2020While we are evaluating the effect that the adoption of the amendments will have on our consolidated financial statements, it will increase (perhaps substantially) our provision for credit losses in the period of adoption.


Freddie Mac Form 10-Q82



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 2


NOTE 2: CONSERVATORSHIP AND RELATED MATTERS
BUSINESS OBJECTIVES
We operate under the conservatorship that commenced on September 6, 2008, conducting our business under the direction of FHFA, as our Conservator. The conservatorship and related matters significantly affect our management, business activities, financial condition and results of operations. Upon its appointment, FHFA, as Conservator, immediately succeeded to all rights, titles, powers and privileges of Freddie Mac, and of any stockholder, officer or director thereof, with respect to the company and its assets. The Conservator also succeeded to the title to all books, records, and assets of Freddie Mac held by any other legal custodian or third party. The Conservator delegated certain authority to the Board of Directors to oversee, and management to conduct, business operations so that the company can continue to operate in the ordinary course. The directors serve on behalf of, and exercise authority as directed by, the Conservator.
We are also subject to certain constraints on our business activities under the Purchase Agreement. However, we believe that the support provided by Treasury pursuant to the Purchase Agreement currently enables us to maintain our access to the debt markets and to have adequate liquidity to conduct our normal business activities, although the costs of our debt funding could vary.
IMPACT OF CONSERVATORSHIP AND RELATED DEVELOPMENTS ON THE MORTGAGE-RELATED INVESTMENTS PORTFOLIO
For purposes of the limit imposed by the Purchase Agreement and FHFA regulation, the UPB of our mortgage-related investments portfolio cannot exceed $288.4 billion at December 31, 2017 and was $266.7 billion at September 30, 2017. Our Retained Portfolio Plan provides for us to manage the UPB of the mortgage-related investments portfolio so that it does not exceed 90% of the annual cap established by the Purchase Agreement (subject to certain exceptions). Our mortgage-related investments portfolio cap is reduced by 15% annually until it reaches $250 billion. This amount is calculated based on the maximum allowable size of the mortgage-related investments portfolio, rather than the actual UPB of the mortgage-related investments portfolio, as of December 31 of the preceding year. Our ability to acquire and sell mortgage assets is significantly constrained by limitations of the Purchase Agreement and those imposed by FHFA.
GOVERNMENT SUPPORT FOR OUR BUSINESS
We receive substantial support from Treasury and are dependent upon its continued support in order to continue operating our business. Our ability to access funds from Treasury under the Purchase Agreement is critical to:
Keeping us solvent;
Allowing us to focus on our primary business objectives under conservatorship; and
Avoiding the appointment of a receiver by FHFA under statutory mandatory receivership provisions.
At June 30, 2017, our assets exceeded our liabilities under GAAP; therefore, FHFA did not request a draw on our behalf and, as a result, we did not receive any funding from Treasury under the Purchase Agreement during 3Q 2017. The amount of available funding remaining under the Purchase Agreement is $140.5 billion and would be reduced by any future draws.

Freddie Mac Form 10-Q83



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 2


See Note 6 and Note 9 for more information on the conservatorship and the Purchase Agreement.
RELATED PARTIES AS A RESULT OF CONSERVATORSHIP
We are deemed related parties with Fannie Mae as both we and Fannie Mae have the same relationships with FHFA and Treasury. Common Securitization Solutions, LLC (CSS) was formed in 2013 as a limited liability company equally-owned by Freddie Mac and Fannie Mae. Therefore, CSS is also deemed a related party. During YTD 2017, we contributed $78 million of capital to CSS.


Freddie Mac Form 10-Q84



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 3


NOTE 3: SECURITIZATION AND GUARANTEE ACTIVITIES
Our primary business activities in our Single-family Guarantee and Multifamily segments involve the securitization of loans or other mortgage-related assets using trusts that are VIEs. These trusts issue beneficial interests in the loans or other mortgage-related assets that they own. We guarantee the principal and interest payments on some or all of the issued beneficial interests in substantially all of our securitization transactions. We consolidate VIEs when we have a controlling financial interest in the VIE and are therefore considered the primary beneficiary of the VIE.
VIEs FOR WHICH WE ARE THE PRIMARY BENEFICIARY
The table below presents the carrying value and classification of the assets and liabilities of consolidated VIEs on our consolidated balance sheets.
(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

Freddie Mac Form 10-Q85



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 3


VIEs FOR WHICH WE ARE NOT THE PRIMARY BENEFICIARY
Our involvement with VIEs for which we are not the primary beneficiary takes one or both of two forms - purchasing an investment in these entities or providing a guarantee to these entities. The following table presents the carrying amounts and classification of the assets and liabilities recorded on our condensed consolidated balance sheets relatedthat relate to our variable interests in non-consolidated VIEs for which we are not the primary beneficiary and with which we were involved in the design and creation and have a significant continuing involvement, as well as our maximum exposure to loss.loss as a result of our involvement with such VIEs, and the total assets of the VIEs. Our involvement with such VIEs primarily consists of guarantees that we have issued to the VIE, some of which are accounted for as derivative instruments, and investments in debt securities issued by the VIE. See Note 4 for additional information on our guarantees to nonconsolidated VIEs.
Total assets shown in the table below represents the remaining UPB of the mortgage loans or other noncash financial assets held by the VIE and excludes cash and nonfinancial assets held by the VIE. Maximum exposure to loss shown in the table below is primarily based on the remaining UPB of the guaranteed securities issued by the VIE and represents the contractual amounts that could be lost if the assets of the VIE (including the assets in the related reference pool for CRT products) became worthless at the balance sheet date, without consideration of proceeds from related collateral liquidation and possible recoveries under credit enhancements. We do not believe the maximum exposure to loss from our involvement with nonconsolidated VIEs is representative of the actual loss we are likely to incur based on our historical loss experience and after consideration of proceeds from related collateral liquidation and available credit enhancements.
Table 2.1 - Nonconsolidated VIEs
March 31, 2024
Carrying Amounts of the Assets and Liabilities On the Condensed Consolidated Balance SheetsTotal AssetsMaximum 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-Family6,350 323 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 Multifamily5,775 5,111 4,534 362,519 321,916 
Other 7 5 112 483 
Total$12,125 $5,441 $5,971 $531,396 $456,386 
Referenced footnotes are included after the prior period table.

Freddie Mac 1Q 2024 Form 10-Q50

(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

(1)Financial StatementsIncludes our variable interests in REMICs and Stripped Giant PCs, K Certificates, SB Certificates, senior subordinate securitization structures, and other securitization products that we do not consolidate.
                                       Notes to the Condensed Consolidated Financial Statements|Note 2
December 31, 2023
Carrying Amounts of the Assets and Liabilities On the Condensed Consolidated Balance SheetsTotal AssetsMaximum 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-Family6,224 331 1,273 169,744 134,934 
Multifamily:
Securitization products(4)
5,985 5,082 4,652 360,928 321,262 
CRT products(3)
— 11 1,359 
Total Multifamily5,985 5,093 4,659 362,287 321,270 
Other 7 5 117 468 
Total$12,209 $5,431 $5,937 $532,148 $456,672 
(1)    Other assets primarily include our guarantee assets. Liabilities primarily include our guarantee obligations.
(2)    Total assets and maximum exposure to loss are based on the UPB of Fannie Mae securities underlying commingled Freddie Mac resecuritization trusts. We exclude noncommingled resecuritization trusts from these amounts as we have already guaranteed the underlying collateral and therefore noncommingled resecuritizations do not involve any incremental assets or create any incremental exposure to credit risk. Total assets exclude less than $0.1 billion and $0.1 billion as of March 31, 2024 and December 31, 2023, respectively, of Fannie Mae securities that we have guaranteed that are included in resecuritization trusts that we have consolidated as we own all of the outstanding securities issued by the VIE.
(3)    Maximum exposure to loss is based on our expected recovery receivables and excludes our obligations to make certain payments to the VIE to support payment of the interest due on the notes issued by the VIE, which we account for as derivative instruments. The notional value of these derivative instruments is equal to the total assets of the VIE.
(4)    Includes total assets of $0.7 billion and $0.3 billion as of March 31, 2024 and December 31, 2023, respectively, related to VIEs in which our interest would no longer absorb significant variability as the guaranteed securities have completely paid off.

(2)Freddie Mac 1Q 2024 Form 10-QOur maximum exposure to loss includes the guaranteed UPB of assets held by the non-consolidated VIEs related to K Certificates, SB Certificates, senior subordinate securitization structures, and other securitization products, as well as the UPB of unguaranteed securities that we acquired from these securitization transactions.51

(3)Financial StatementsOur maximum exposure
                         Notes to loss and total assets of non-consolidated VIEs exclude our investments in and obligations to REMICs and Stripped Giant PCs, because we already consolidate the underlying collateral of these trusts on our consolidated balance sheets.Condensed Consolidated Financial Statements | Note 3
We also obtain interests in various other VIEs created by third parties through

NOTE 3
Mortgage Loans
The table below provides details of the normal courseloans on our condensed consolidated balance sheets.
Table 3.1 - Mortgage Loans
March 31, 2024 December 31, 2023
(In millions)Single-FamilyMultifamilyTotalSingle-FamilyMultifamilyTotal
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, net2,486 9,548 12,034 2,815 10,126 12,941 
Held-for-investment UPB3,001,013 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 
(1)Includes ($0.5) billion and ($0.2) billion of business, suchbasis adjustments maintained on a closed portfolio basis related to existing portfolio layer method hedge relationships as through our investments in certain non-Freddie Mac mortgage-related securities, purchasesof March 31, 2024 and December 31, 2023, respectively.
(2)Includes $1.9 billion and $1.8 billion of multifamily held-for-investment loans for which we have elected the fair value option as of March 31, 2024 and December 31, 2023, respectively.
The table below provides details of the UPB of loans we purchased and sold during the periods presented.
Table 3.2 - Loans Purchased and Sold
(In millions)1Q 20241Q 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 loans2,625 3,349 
  Held-for-sale loans6,459 2,695 
Sales of held-for-sale loans(2)
6,603 6,150 
(1)Our sales of single-family loans reflect the sale of single-family seasoned loans.
(2)Our sales of multifamily loans guaranteesoccur primarily through the issuance of multifamily housing revenue bonds,Multifamily K Certificates.
Freddie Mac 1Q 2024 Form 10-Q52

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


Reclassifications
The table below presents the allowance for credit losses or valuation allowance that was reversed or established due to loan reclassifications between held-for-investment and held-for-sale during the periods presented.
Table 3.3 - Loan Reclassifications(1)
1Q 20241Q 2023
(In millions)UPBAllowance for Credit Losses Reversed or (Established)Valuation Allowance (Established) or ReversedUPBAllowance 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 48 
Multifamily reclassifications from:
Held-for-investment to held-for-sale264 (5)4,731 (27)
   Held-for-sale to held-for-investment(2)
369 — 561 — 16 
(1)Amounts exclude reclassifications related to loans for which we have elected the fair value option.
(2)Allowance for credit losses established upon loan reclassifications from held-for-sale to held-for-investment to reflect the net amount we expect to collect on the loan. Loans with prior charge-offs may have a negative allowance for credit losses established upon reclassification.
Interest Income
The table below presents the amortized cost basis of non-accrual loans as a derivative counterparty, or through other activities. Toof the extentbeginning and the end of the periods presented, including the interest income recognized for the period that is related to the loans on non-accrual status as of the period end.
Table 3.4 - Amortized Cost Basis of Held-for-Investment Loans on Non-Accrual(1)
Non-Accrual Amortized Cost Basis
Interest Income Recognized(2)
(In millions)March 31, 2024December 31, 20231Q 2024
Single-Family:
20- and 30-year or more, amortizing fixed-rate$12,189 $12,682 $31 
15-year or less, amortizing fixed-rate485 519 
Adjustable-rate and other247 257 
Total Single-Family12,921 13,458 33 
Total Multifamily103 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, 2023December 31, 20221Q 2023
Single-Family:
20- and 30-year or more, amortizing fixed-rate$9,348 $9,307 $28 
15-year or less, amortizing fixed-rate434 427 
Adjustable-rate and other332 361 
Total Single-Family10,114 10,095 30 
Total Multifamily41 42 1 
Total Single-Family and Multifamily$10,155 $10,137 $31 
(1)Excludes amounts related to loans for which we have elected the fair value option.
(2)Represents the amount of payments received during the period, including those received while the loans were not involvedon accrual status, for the held-for-investment loans on non-accrual status as of period end.
Freddie Mac 1Q 2024 Form 10-Q53

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


The table below provides the amount of accrued interest receivable, net presented on our condensed consolidated balance sheets and the amount of accrued interest receivable related to loans on non-accrual status at the end of the periods that was charged off.
Table 3.5 - Accrued Interest Receivable, Net and Related Charge-Offs
Accrued Interest Receivable, NetAccrued Interest Receivable Related Charge-Offs
(In millions)March 31, 2024December 31, 20231Q 20241Q 2023
Single-Family loans$8,980 $8,833 ($46)($48)
Multifamily loans297 287 (1)— 
Credit Quality
Single-Family
The current LTV ratio is one key factor we consider when estimating our allowance for credit losses for single-family loans. As current LTV ratios increase, the borrower's equity in the designhome decreases, which may negatively affect the borrower's ability to refinance or to sell the property for an amount at or above the balance of the outstanding loan.
The table below presents the amortized cost basis of single-family held-for-investment loans by current LTV ratio. Our current LTV ratios are estimates based on available data through the end of each period presented.
Freddie Mac 1Q 2024 Form 10-Q54

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


Table 3.6 - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratio and creationVintage
March 31, 2024
Year of OriginationTotal
(In millions)20242023202220212020Prior
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 8016,569 108,193 181,642 301,741 87,998 18,128 714,271 
> 80 to 906,969 63,047 86,453 25,075 1,309 467 183,320 
> 90 to 10010,954 52,215 21,489 1,673 106 94 86,531 
> 10079 971 55 12 85 1,209 
  Total 20- and 30-year or more, amortizing fixed-rate40,492 265,898 385,751 848,684 629,019 514,604 2,684,448 
  Current period gross charge-offs(1)
— 10 29 55 
  15-year or less, amortizing fixed-rate
≤ 60681 4,466 20,462 119,250 95,360 64,690 304,909 
> 60 to 80734 3,925 7,361 3,364 209 19 15,612 
> 80 to 90108 627 376 20 — 1,132 
> 90 to 10068 164 28 — — — 260 
> 100— — — — — 
  Total 15-year or less, amortizing fixed-rate1,591 9,182 28,227 122,634 95,569 64,711 321,914 
  Current period gross charge-offs(1)
— — — — — 
  Adjustable-rate and other
≤ 6055 422 1,670 3,314 1,432 12,960 19,853 
> 60 to 80220 1,296 2,603 1,019 87 240 5,465 
> 80 to 90109 796 997 45 17 1,967 
> 90 to 10084 356 246 — 697 
> 100— — 15 — — 19 
  Total adjustable-rate and other468 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:
≤ 606,729 47,252 117,328 642,704 636,386 573,480 2,023,879 
> 60 to 8017,523 113,414 191,606 306,124 88,294 18,387 735,348 
> 80 to 907,186 64,470 87,826 25,140 1,312 485 186,419 
> 90 to 10011,106 52,735 21,763 1,676 106 102 87,488 
> 10079 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 
Referenced footnotes are included after the prior period table.
Freddie Mac 1Q 2024 Form 10-Q55

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


December 31, 2023
Year of OriginationTotal
(In millions)20232022202120202019Prior
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 80105,384 183,251 318,965 95,102 12,402 7,296 722,400 
> 80 to 9055,973 90,785 27,750 1,272 213 262 176,255 
> 90 to 10051,994 23,460 1,542 71 16 77 77,160 
> 10028 912 24 88 1,066 
  Total 20- and 30-year or more, amortizing fixed-rate252,879 391,687 861,548 638,903 106,984 419,386 2,671,387 
  Full-year gross charge-offs(1)
— 12 37 43 45 243 380 
  15-year or less, amortizing fixed-rate
≤ 604,221 20,246 121,709 98,338 12,488 56,493 313,495 
> 60 to 803,973 8,314 4,491 278 19 17,080 
> 80 to 90623 509 25 — — — 1,157 
> 90 to 100198 33 — — — 232 
> 100— — — 
  Total 15-year or less, amortizing fixed-rate9,016 29,103 126,226 98,616 12,507 56,499 331,967 
  Full-year gross charge-offs(1)
— — 
  Adjustable-rate and other
≤ 60356 1,650 3,325 1,465 586 12,950 20,332 
> 60 to 801,153 2,651 1,105 89 25 227 5,250 
> 80 to 90689 1,040 48 — 18 1,798 
> 90 to 100317 276 — — 603 
> 100— 16 — — — 20 
  Total adjustable-rate and other2,515 5,633 4,480 1,557 611 13,207 28,003 
  Full-year gross charge-offs(1)
— — — — — 
Total for all loan product types by current LTV ratio:
≤ 6044,077 115,175 638,301 642,252 107,422 481,106 2,028,333 
> 60 to 80110,510 194,216 324,561 95,469 12,446 7,528 744,730 
> 80 to 9057,285 92,334 27,823 1,275 213 280 179,210 
> 90 to 10052,509 23,769 1,545 71 16 85 77,995 
> 10029 929 24 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 
(1)Excludes charge-offs related to accrued interest receivable and advances of these VIEs, they are excluded frompre-foreclosure costs.
Multifamily
The table below presents the table above. Our interests in these VIEs are generally passive in natureamortized cost basis of our multifamily held-for-investment loans, for which we have not elected the fair value option, by credit quality indicator, based on available data through the end of each period presented. These indicators involve significant management judgment and are defined as follows:
n"Pass" is current and adequately protected by the borrower's current financial strength and debt service capacity;
n"Special mention" has administrative issues that may affect future repayment prospects but does not expectedhave current credit weaknesses. In addition, this category generally includes loans in forbearance;
n"Substandard" has a weakness that jeopardizes the timely full repayment; and
n"Doubtful" has a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions.
Freddie Mac 1Q 2024 Form 10-Q56

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


Table 3.7 - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator and Vintage
March 31, 2024
Year of OriginationTotal
(In millions)20242023202220212020PriorRevolving 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 OriginationTotal
(In millions)20232022202120202019PriorRevolving Loans
Category:
Pass$13,804 $17,845 $7,430 $6,345 $4,420 $3,254 $2,266 $55,364 
Special mention20 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 
Past Due Status
The table below presents the amortized cost basis of our single-family and multifamily held-for-investment loans, for which we have not elected the fair value option, by payment status.
Table 3.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status(1)
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-rate319,876 1,335 231 472 321,914 
Adjustable-rate and other27,350 331 81 239 28,001 47 
Total Single-Family2,992,937 23,538 5,378 12,510 3,034,363 447 
Total Multifamily59,396 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)CurrentOne
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-rate329,601 1,589 270 507 331,967 
Adjustable-rate and other27,317 342 95 249 28,003 49 
Total Single-Family2,984,681 27,459 6,152 13,065 3,031,357 459 
Total Multifamily57,031 12  64 57,107 23 
Total Single-Family and Multifamily$3,041,712 $27,471 $6,152 $13,129 $3,088,464 $482 
Referenced footnotes are on the next page.
Freddie Mac 1Q 2024 Form 10-Q57

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


(1)There were no held-for-investment loans that were three months or more past due and accruing interest as of both March 31, 2024 and December 31, 2023.
(2)Includes $2.0 billion of single-family loans that were in the process of foreclosure as of both March 31, 2024 and December 31, 2023.
(3)Loans with no allowance for loan losses primarily represent loans that were previously charged off and for which the amount we expect to collect is sufficiently in excess of the amortized cost to result in us obtainingrecovery of the entire amortized cost basis if the property were foreclosed upon or otherwise subject to disposition. We exclude the amounts of allowance for credit losses on advances of pre-foreclosure costs when determining whether a controllingloan has an allowance for credit losses.
Loan Restructurings
Single-Family Loan Restructurings
We offer several types of restructurings to single-family borrowers that may result in a payment delay, interest rate reduction, term extension, or combination thereof. We do not offer principal forgiveness.
For purposes of the disclosure related to single-family loan restructurings involving borrowers experiencing financial interestdifficulty, we exclude loans that were held-for-sale either at the time of restructuring or at the period end. The table below presents the amortized cost basis of single-family held-for-investment loan restructurings involving borrowers experiencing financial difficulty that we entered into during the periods presented. The amortized cost basis of loans in trial period modification plans was $2.2 billion and $1.8 billion as of both March 31, 2024 and March 31, 2023, respectively. Most of these VIEsloans are 20- and 30-year or more, amortizing fixed-rate loans.
Table 3.9 - Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty(1)
1Q 2024
(Dollars in millions)
Payment Delay(2)
Payment Delay and Term ExtensionPayment Delay, Term Extension, and Interest Rate ReductionTotal
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-rate222 — — 222 0.1 
Adjustable-rate and other57 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 ExtensionPayment Delay, Term Extension, and Interest Rate ReductionTotal
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-rate332 19 352 0.1 
Adjustable-rate and other76 13 93 0.3 
Total Single-Family loan restructurings$6,765 $1,069 $91 $7,925 0.3 
(1)     Type of loan restructurings reflects the cumulative effects of the loan restructurings received during the period. Includes loan modifications in the future.period in which the borrower completes the trial period and the loan is permanently modified.
(2)    Includes $2.6 billion and $2.7 billion related to payment deferral plans for 1Q 2024 and 1Q 2023, respectively. Also includes forbearance plans, repayment plans, and loan modifications that only involve payment delays.
FINANCIAL GUARANTEES(3)    Based on the amortized cost basis as of period end, divided by the total period-end amortized cost basis of the corresponding financing receivable class of single-family held-for-investment loans.
Freddie Mac 1Q 2024 Form 10-Q58

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


The table below shows the financial effect of single-family held-for-investment loan restructurings involving borrowers experiencing financial difficulty that we entered into during the periods presented.
Table 3.10 – Financial Effects of Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty(1)
1Q 2024
(Dollars in thousands)Weighted-Average Interest Rate ReductionWeighted-Average Months of Term Extension
Weighted-Average Payment Deferral or Principal Forbearance(2)
Single-Family:
20- and 30-year or more, amortizing fixed-rate1.2 %171$16 
15-year or less, amortizing fixed-rate— 2214 
Adjustable-rate and other0.8 21716 
1Q 2023
(Dollars in thousands)Weighted-Average Interest Rate ReductionWeighted-Average Months of Term Extension
Weighted-Average Payment Deferral or Principal Forbearance(2)
Single-Family:
20- and 30-year or more, amortizing fixed-rate0.9 %180$16 
15-year or less, amortizing fixed-rate0.4 35416 
Adjustable-rate and other2.0 20619 
(1)     Averages are based on payment deferral plans and loan modifications completed during the periods presented. The financial effects of forbearance plans and repayment plans consist of a payment delay of between one and twelve months. In addition, the financial effect of a forbearance plan is included at the time the forbearance plan is completed if the borrower exits forbearance by entering into a payment deferral plan or loan modification.
(2)     Primarily related to payment deferral plans. Amounts are based on non-interest-bearing principal balances on the restructured loans.
The following table provides the amortized cost basis of single-family held-for-investment loans that had a payment default (i.e., loans that became two months delinquent) during the periods presented and had been restructured within the previous 12 months preceding the payment default, when the borrower was experiencing financial difficulty at the time of the restructuring.
Table 3.11 - Subsequent Defaults of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty(1)
1Q 2024
(In millions)Payment DelayPayment Delay and Term ExtensionPayment Delay, Term Extension, and Interest Rate ReductionTotal
Single-Family:
20- and 30-year or more, amortizing fixed-rate$798 $397 $5 $1,200 
15-year or less, amortizing fixed-rate30 — — 30 
Adjustable-rate and other— — 
Total Single-Family$837 $397 $5 $1,239 
1Q 2023
(In millions)Payment DelayPayment Delay and Term ExtensionPayment Delay, Term Extension, and Interest Rate ReductionTotal
Single-Family:
20- and 30-year or more, amortizing fixed-rate$704 $175 $206 $1,085 
15-year or less, amortizing fixed-rate32 — — 32 
Adjustable-rate and other10 17 
Total Single-Family$746 $177 $211 $1,134 
(1)    Excludes forbearance plans and repayment plans as borrowers are typically past due based on the loan's original contractual terms at the time the borrowers enter into these plans.
Freddie Mac 1Q 2024 Form 10-Q59

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


The following table provides the single-family held-for-investment loan performance in the 12 months after a restructuring involving borrowers experiencing financial difficulty. While a single-family loan is in a forbearance plan or repayment plan, payments continue to be due based on the loan’s original contractual terms because the loan has not been permanently modified. As a result, we report single-family loans in forbearance plans and repayment plans as delinquent to the extent that payments are past due based on the loan’s original contractual terms. Loans that have been restructured by entering into a payment deferral plan or loan modification are reported as delinquent to the extent that payments are past due based on the loan's restructured terms.
Table 3.12 - Amortized Cost Basis of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty by Payment Status
March 31, 2024
(In millions)CurrentOne Month Past DueTwo Months Past DueThree Months or More Past DueTotal
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-rate394 84 49 191 718 
Adjustable-rate and other102 19 14 53 188 
Total Single-Family$11,934 $2,662 $1,426 $5,445 $21,467 
March 31, 2023
(In millions)CurrentOne Month Past DueTwo Months Past DueThree Months or More Past DueTotal
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-rate670 98 71 310 1,149 
Adjustable-rate and other227 33 17 115 392 
Total Single-Family$17,388 $2,512 $1,660 $7,067 $28,627 
Non-Cash Investing and Financing Activities
During 1Q 2024 and 1Q 2023, we acquired $41.5 billion and $42.5 billion, respectively, of loans held-for-investment in exchange for the issuance of debt of consolidated trusts in guarantor swap transactions. We received approximately $18.2 billion and $21.3 billion of loans held-for-investment from sellers during 1Q 2024 and 1Q 2023, respectively, to satisfy advances to lenders that were recorded in other assets on our condensed consolidated balance sheets.

Freddie Mac 1Q 2024 Form 10-Q60

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

NOTE 4
Guarantees and Other Off-Balance Sheet Credit Exposures
Guarantee Activities
The table below presents information about our mortgage-related guarantees and guarantees of Fannie Mae securities, including the UPB of the loans or securities underlying the guarantee, the maximum exposure,potential amount of future payments that we could be required to make under the guarantee, the liability we have recognized liability,on our condensed consolidated balance sheets for the guarantee, and the maximum remaining term of our recognized financial guarantees to non-consolidated VIEs and other third parties.the guarantee. This table does not include our unrecognized financial guarantees, such as guarantees to consolidated VIEs or to resecuritization trusts that do not expose us to incremental credit risk. We do not believe the potential amount of future payments we could be required to make is representative of the actual payments we will be required to make or the actual loss we are likely to incur, based on our historical loss experience and after consideration of proceeds from related collateral liquidation, including possible recoveries under credit enhancements.

Table 4.1 - Financial Guarantees
March 31, 2024
(Dollars in millions, terms in years)
UPBMaximum 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 guarantees8,511 8,511 152 28
Total Single-Family mortgage-related guarantees38,945 33,273 547 
Multifamily mortgage-related guarantees:
Nonconsolidated securitization products(2)(3)
361,164 321,905 4,451 36
Other mortgage-related guarantees10,720 10,720 363 35
Total Multifamily mortgage-related guarantees371,884 332,625 4,814 
Guarantees of Fannie Mae securities(4)
109,215 109,215 — 38
Other112 483 — 30
December 31, 2023
(Dollars in millions, terms in years)
UPBMaximum 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 guarantees8,692 8,692 161 28
Total Single-Family mortgage-related guarantees38,981 33,292 543 
Multifamily mortgage-related guarantees:
Nonconsolidated securitization products(2)(3)
360,928 321,262 4,577 36
Other mortgage-related guarantees10,761 10,761 383 35
Total Multifamily mortgage-related guarantees371,689 332,023 4,960 
Guarantees of Fannie Mae securities(4)
110,320 110,320 — 38
Other117 468 — 30
(1)    Excludes allowance for credit losses on off-balance sheet credit exposures. See Note 5 for additional information on our allowance for credit losses on off-balance sheet credit exposures.
(2)    Maximum exposure is based on remaining UPB of the guaranteed securities issued by the VIE.
(3)    Includes UPB of $0.7 billion and $0.3 billion as of March 31, 2024 and December 31, 2023, respectively, related to VIEs in which our interest would no longer absorb significant variability as the guaranteed securities have completely paid off. In addition, includes guarantees that are accounted for as derivatives with UPB of $2.1 billion as of both March 31, 2024 and December 31, 2023.
(4)    Excludes less than $0.1 billion and $0.1 billion as of March 31, 2024 and December 31, 2023, respectively, of Fannie Mae securities that we have guaranteed that are included in resecuritization trusts that we have consolidated as we own all of the outstanding securities issued by the VIE.
Freddie Mac 1Q 2024 Form 10-Q8661


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


The table below presents the payment status of the mortgage loans underlying our mortgage-related guarantees.
Table 4.2 – UPB of Loans Underlying Our Mortgage-Related Guarantees by Payment Status
March 31, 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 
Multifamily370,265 298 125 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 
Multifamily369,785 850 98 956 371,689 
Total$404,309 $3,022 $925 $2,414 $410,670 
Other Off-Balance Sheet Credit Exposures
In addition to our guarantees, we enter into other agreements that expose us to off-balance sheet credit risk. These agreements may require us to transfer cash before or upon settlement of our contractual obligation. We recognize an allowance for credit losses for those agreements not measured at fair value or otherwise recognized in the financial statements. Most of these commitments expire in less than one year. See Note 5 for additional discussion of our allowance for credit losses on our off-balance sheet credit exposures. The table below presents our other off-balance sheet credit exposures.
Table 4.3 – Other Off-Balance Sheet Credit Exposures
(In millions)March 31, 2024December 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 
(1)Includes $2.8 billion and $1.9 billion of commitments for which we have elected the fair value option as of March 31, 2024 and December 31, 2023, respectively. Excludes mortgage loan purchase commitments accounted for as derivative instruments. See Note 8 for additional information on commitments accounted for as derivative instruments.
(2)Net of $4.0 billion of unsettled securities sold under agreements to repurchase as of both March 31, 2024 and December 31, 2023.
(3)Consists of unfunded portion of revolving lines of credit, liquidity guarantees, and other commitments.
Freddie Mac 1Q 2024 Form 10-Q62

Financial Statements
Notes to the Condensed Consolidated Financial Statements | Note 35

NOTE 5

Allowance for Credit Losses
 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 guarantees16,577

669

33
16,445

679

34
Derivative instruments11,603

136

28
6,396

127

29
(1)The maximum exposure represents the contractual amounts that could be lost if counterparties or borrowers defaulted, without consideration of possible recoveries under credit enhancement arrangements, such as recourse provisions, third-party insurance contracts, or from collateral held or pledged. For derivative instruments, this amount represents the notional value, although our exposure to certain of these derivative instruments may be unlimited. We generally reduce our exposure to those derivative instruments with unlimited exposure through separate contracts with third parties.
(2)For K Certificates, SB Certificates, senior subordinate securitization structures, other securitization products, and other mortgage-related guarantees, this amount represents the guarantee obligation on our consolidated balance sheets. This amount excludes our reserve for guarantee losses, which totaled $62 million and $67 million as of September 30, 2017 and December 31, 2016, respectively, and is included within other liabilities on our consolidated balance sheets.
The table below summarizes changes in our allowance for credit losses.
CREDIT ENHANCEMENTS
For manyTable 5.1 - Details of the Allowance for Credit Losses
1Q 20241Q 2023
 (In millions)Single-FamilyMultifamilyTotalSingle-FamilyMultifamilyTotal
Beginning balance$6,402 $447 $6,849 $7,746 $147 $7,893 
Provision (benefit) for credit losses120 61 181 318 77 395 
Charge-offs(123)— (123)(90)— (90)
Recoveries collected26 — 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 
(1)Primarily includes capitalization of past due interest related to non-accrual loans underlying our single-family PCs, other securitization products,that received payment deferral plans and other mortgage-related guarantees, we obtained credit enhancements from third parties covering a portion of our credit risk exposure. See Note 4loan modifications.
(2)Primarily includes allowance for information about credit enhancements on single-family loans.
In connection with the securitization activities of the Multifamily segment, we have various forms of credit protection. The most prevalent type is subordination, primarily through our K Certificates and SB Certificates. Through subordination, we mitigate our credit risk exposure by structuring our securities to transfer a large majority of expected and stress credit losses related to private investors who purchase the subordinate tranches, as shown in the table below. These subordinate tranches will absorbadvances of pre-foreclosure costs and off-balance sheet credit exposures.
n1Q 2024 vs. 1Q 2023 - The provision for credit losses priorfor 1Q 2024 was primarily driven by a modest credit reserve build in Single-Family attributable to any loss being recognized pursuantnew acquisitions and increasing mortgage interest rates. The provision for credit losses for 1Q 2023 was driven by a modest credit reserve build primarily attributable to our financial guarantee contract.new acquisitions in Single-Family.
The following table presents the maximum exposure of our recognized financial guarantees to non-consolidated multifamily VIEs and the related maximum coverage provided primarily by the subordinate tranches.
  
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

(1)Our maximum exposure to loss includes the guaranteed UPB of assets held by the non-consolidated VIEs.
(2)For K Certificates and SB Certificates, this represents the UPB of the securities that are subordinate to our guarantee. For other securitization products, this represents the remaining amount of loss recovery that is available subject to the terms of the counterparty agreement or the UPB of the securities that are subordinate to our guarantee.
In addition to subordination, the Multifamily segment also has various other credit enhancements, primarily related to our mortgage loans and other mortgage-related guarantees, in the form of collateral posting requirements, loss sharing agreements, credit-linked notes, and other similar arrangements. These credit enhancements, along with the proceeds received from the sale of the underlying mortgage collateral, will enable us to recover all or a portion of our losses on our mortgage loans or the amounts


Freddie Mac 1Q 2024 Form 10-Q8763



Financial Statements
Notes to the Condensed Consolidated Financial Statements | Note 36

NOTE 6

Investment Securities
paid under our financial guarantee contract. Our historical losses and related recoveries pursuant to these agreements have not been significant.
Similar to our non-consolidated VIEs, certain of our mortgage loans held by multifamily consolidated VIEs are credit-enhanced through unguaranteed and subordinated tranches. Our historical losses and related recoveries pursuant to these transactions have also not been significant.



Freddie Mac Form 10-Q88



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 4



NOTE 4: MORTGAGE LOANS AND LOAN LOSS RESERVES
The table below provides details of the loans on our condensed consolidated balance sheets.
  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
On February 2, 2017, we started applying fair value hedge accounting to certain single-family mortgage loans. The fair value hedge accounting related loan basis adjustments are included in the table above.
During 3Q 2017 and YTD 2017, we purchased $86.8 billion and $245.7 billion, respectively, in UPB of single-family loans that were classified as held-for-investment, compared to $115.7 billion and $273.9 billion of such loans purchased during 3Q 2016 and YTD 2016, respectively.
We also purchased $1.1 billion and $3.0 billion in UPB of multifamily loans that were classified as held-for-investment during 3Q 2017 and YTD 2017, respectively, compared to $1.7 billion and $3.7 billion of such loans purchased during 3Q 2016 and YTD 2016, respectively.
Our sales of multifamily loans occur primarily through the issuance of multifamily K Certificates and SB Certificates. During 3Q 2017 and 3Q 2016, we sold $16.0 billion and $10.2 billion, respectively, in UPB of held-for-sale multifamily loans. During YTD 2017 and YTD 2016, we sold $38.7 billion and $36.4 billion, respectively, in UPB of held-for-sale multifamily loans. See Note 3 for more information on our K Certificates and SB Certificates.
As part of our strategy to mitigate losses and reduce our holdings of less liquid assets, we completed sales of $2.7 billion and $0.6 billion in UPB of seasoned single-family loans during 3Q 2017 and 3Q 2016, respectively, and $4.3 billion and $2.4 billion in UPB of seasoned single-family loans during YTD 2017 and YTD 2016, respectively. Seasoned single-family mortgage loans include seriously delinquent and reperforming loans.
We reclassified $7.2 billion and $0.3 billion in UPB of seasoned single-family loans from held-for-investment to held-for-sale during 3Q 2017 and 3Q 2016, respectively, and $20.0 billion and $3.8 billion in UPB of seasoned single-family loans during YTD 2017 and YTD 2016, respectively. In addition, we reclassified $0.2 billion and $0.9 billion in UPB of multifamily mortgage loans from held-for-investment to held-for-sale during 3Q 2017 and YTD 2017, respectively. We did not reclassify any multifamily mortgage

Freddie Mac Form 10-Q89



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 4



loans during the 2016 periods. For additional information regarding the fair value of our loans classified as held-for-sale, see Note 13.
CREDIT QUALITY
The current LTV ratio is one key factor we consider when estimating our loan loss reserves for single-family loans. As current LTV ratios increase, the borrower’s equity in the home decreases, which may negatively affect the borrower’s ability to refinance (outside of HARP) or to sell the property for an amount at or above the balance of the outstanding loan. A second-lien loan also reduces the borrower’s equity in the home and has a similar negative effect on the borrower’s ability to refinance or sell the property for an amount at or above the combined balances of the first and second loans. As of September 30, 2017 and December 31, 2016, based on data collected by us at loan delivery, approximately 10% and 11%, respectively, of loans in our single-family credit guarantee portfolio had second-lien financing by third parties at origination of the first loan. However, borrowers are free to obtain second-lien financing after origination, and we are not entitled to receive notification when a borrower does so. For further information about concentrations of risk associated with our single-family and multifamily loans, see Note 12.
For reporting purposes:
Loans within the Alt-A category continue to be presented in that category following modification, even though the borrower may have provided full documentation of assets and income to complete the modification; and
Loans within the option ARM category continue to be presented in that category following modification, even though the modified loan no longer provides for optional payment or adjustable interest-rate provisions.
The table below presents the recorded investment of single-family held-for-investment loans by current LTV ratios. Our current LTV ratios are estimates based on available data through the end of each respective period presented.
 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-rate49,703
 3,222
 35
 52,960
 52,319
 2,955
 85
 55,359
Alt-A, interest-only, and option ARM22,118
 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
(1)The serious delinquency rate for the total of single-family held-for-investment mortgage loans with current LTV ratios in excess of 100% was 7.50% and 6.80% as of September 30, 2017 and December 31, 2016, respectively.
(2)The majority of our loan modifications result in new terms that include fixed interest rates after modification. As of September 30, 2017 and December 31, 2016, we have categorized UPB of approximately $25.5 billion and $32.0 billion, respectively, of modified loans as fixed-rate loans (instead of as adjustable rate loans), even though the modified loans have rate adjustment provisions. In these cases, while the terms of the modified loans provide for the interest rate to adjust, such rates and the timing of the adjustment are determined at the time of modification rather than at a subsequent date.
The following table presents the recorded investment in our multifamily held-for-investment loans, by credit quality indicator based on available data through the end of each period presented. These indicators involve significant management judgment.

Freddie Mac Form 10-Q90



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 4



(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

(1)
A loan categorized as: Pass is current and adequately protected by the current financial strength and debt service capacity of the borrower; Special mention has signs of potential financial weakness; Substandard has a weakness that jeopardizes the timely full repayment; and Doubtful has a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions.
MORTGAGE LOAN PERFORMANCE
The following tables present the recorded investment of our single-family and multifamily loans, held-for-investment, by payment status.
 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-rate277,161
 1,315
 175
 279
 278,930
 279
Adjustable-rate52,363
 358
 69
 170
 52,960
 170
Alt-A, interest-only, and option ARM25,680
 1,404
 497
 1,657
 29,238
 1,655
Total single-family1,761,806
 21,646
 5,198
 11,505
 1,800,155
 11,498
Total multifamily22,755
 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-rate285,373
 1,010
 178
 309

286,870

309
Adjustable-rate54,738
 354
 77
 190

55,359

190
Alt-A, interest-only, and option ARM35,994
 1,748
 650
 1,927

40,319

1,927
Total single-family1,730,616

19,757

5,770

13,301

1,769,444

13,294
Total multifamily28,902
 
 
 

28,902

89
Total single-family and multifamily
$1,759,518


$19,757


$5,770


$13,301


$1,798,346


$13,383

(1)Includes $4.7 billion and $5.3 billion of loans that were in the process of foreclosure as of September 30, 2017 and December 31, 2016, respectively.

Freddie Mac Form 10-Q91



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 4



The table below summarizes the delinquency rates of loans within our single-family credit guarantee and multifamily mortgage portfolios.
(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
(1)Serious delinquencies on single-family loans underlying certain REMICs, other securitization products, and other mortgage-related guarantees may be reported on a different schedule due to variances in industry practice.
(2)The credit-enhanced categories are not mutually exclusive, as a single loan may be covered by both primary mortgage insurance and other credit protection.
(3)Consists of single-family loans covered by financial arrangements (other than primary mortgage insurance) that are designed to reduce our credit risk exposure. See "Credit Protection and Other Forms of Credit Enhancement" for more information.
(4)Multifamily delinquency performance is based on UPB of loans that are two monthly payments or more past due or those in the process of foreclosure.
LOAN LOSS RESERVES
The loan loss reserves represent estimates of probable incurred credit losses. We recognize probable incurred losses by recording a charge to the provision for credit losses in our condensed consolidated statements of comprehensive income. The loan loss reserves include:
Our allowance for loan losses, which pertains to all single-family and multifamily loans classified as held-for-investment on our consolidated balance sheets; and
Our reserve for guarantee losses, which pertains to single-family and multifamily loans underlying our K Certificates, SB Certificates, other securitization products, and other mortgage-related guarantees.
On January 1, 2017, we elected a new accounting policy for loan reclassifications from held-for-investment to held-for-sale. See the Loan Reclassifications section below for further information about this change.

Freddie Mac Form 10-Q92



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 4



The tables below present our loan loss reserves activity.
 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)
Recoveries143

2



145

113

2



115
Transfers, net(2)
192

(136)


56

98

(16)


82
Ending balance6,420

3,632

54

10,106

10,426

2,906

56

13,388
Multifamily ending balance32

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)
Recoveries322

5



327

387

8



395
Transfers, net(2)
656

(477)


179

335

(64)


271
Ending balance6,420

3,632

54

10,106

10,426

2,906

56

13,388
Multifamily ending balance32

1

8

41

22

2

14

38
Total ending balance
$6,452


$3,633


$62


$10,147


$10,448


$2,908


$70


$13,426

(1)3Q 2016 and YTD 2016 do not include lower-of-cost-or-fair-value adjustments and other expenses related to property taxes and insurance recognized when we transfer loans from held-for-investment to held-for-sale, which totaled $75 million and $949 million, respectively. 3Q 2017 and YTD 2017 include charge-offs of $0.8 billion and $3.0 billion, respectively, related to the transfer of loans from held-for-investment to held-for-sale.
(2)Consists of approximately $0.1 billion during both 3Q 2017 and 3Q 2016, and $0.2 billion and $0.3 billion during YTD 2017 and YTD 2016, respectively, primarily attributable to capitalization of past due interest on modified loans, as well as amounts associated with reclassified single-family reserves related to our removal of loans previously held by consolidated trusts, net of reclassifications for single-family loans subsequently resecuritized after such removal.

The allowance for loan losses associated with our held-for-investment unsecuritized loans represented approximately 8.0% and 9.9% of the recorded investment in such loans at September 30, 2017 and December 31, 2016, respectively, and a substantial portion of the allowance associated with these loans represented interest rate concessions provided to borrowers as part of loan modifications. The allowance for loan losses associated with loans held by our consolidated trusts represented approximately 0.2% of the recorded investment in such loans as of both September 30, 2017 and December 31, 2016.

Freddie Mac Form 10-Q93



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 4



The table below presents the volume of single-family and multifamily loans that were newly classified as TDRs, based on the original category of the loan before the loan was classified as a TDR. Loans classified as a TDR in one period may be subject to further action (such as a modification or remodification) in a subsequent period. In such cases, the subsequent action would not be reflected in the table below since the loan would already have been classified as a TDR.
  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
(1)The pre-TDR recorded investment for single-family loans initially classified as TDR during 3Q 2017 and YTD 2017 was $1.3 billion and $4.2 billion, respectively, compared to $1.4 billion and $4.6 billion during 3Q 2016 and YTD 2016, respectively.
(2)The post-TDR recorded investment is not meaningful.
The table below presents the volume of our TDR modifications that experienced payment defaults (i.e., loans that became two months delinquent or completed a loss event) during the applicable periods and had completed a modification during the year preceding the payment default. The table presents loans based on their original product category before modification.
 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-rate3,526
 
$555
 4,043
 
$626
 10,183
 
$1,642
 11,947
 
$1,859
15-year amortizing fixed-rate191
 14
 206
 17
 505
 40
 631
 52
Adjustable-rate47
 8
 74
 9
 156
 24
 211
 30
Alt-A, interest-only, and option ARM336
 62
 358
 71
 924
 188
 1,202
 240
Total single-family4,100
 
$639
 4,681
 
$723
 11,768
 
$1,894
 13,991
 
$2,181
Multifamily
 
$—
 
 
$—
 
 
$—
 
 
$—
In addition to modifications, loans may be initially classified as TDRs as a result of other loss mitigation activities (i.e., repayment plans, forbearance agreements, or loans in modification trial periods). During YTD 2017 and YTD 2016, 5,523 and 6,352, respectively, of such loans (with a post-TDR recorded investment of $0.7 billion and $0.8 billion, respectively) experienced a payment default within a year after the loss mitigation activity occurred.

Freddie Mac Form 10-Q94



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 4



Loans may also be initially classified as TDRs because the borrowers’ debts were discharged in Chapter 7 bankruptcy (and the loan was not already classified as a TDR for other reasons). During YTD 2017 and YTD 2016, 665 and 920, respectively, of such loans (with a post-TDR recorded investment of $0.1 billion in both periods) experienced a payment default within a year after the borrowers' Chapter 7 bankruptcy.
Single-Family TDRs
Approximately 37% and 43% of the single-family loan modifications completed during 3Q 2017 and 3Q 2016, respectively, and 41% and 42% during YTD 2017 and YTD 2016, respectively, that were classified as TDRs involved interest rate reductions and, in certain cases, term extensions. Approximately 11% and 15% of the single-family loan modifications completed during 3Q 2017 and 3Q 2016, respectively, and 12% and 16% during YTD 2017 and YTD 2016, respectively, that were classified as TDRs involved principal forbearance in addition to interest rate reductions and, in certain cases, term extensions. During 3Q 2017 and 3Q 2016, the average term extension was 179 months and 177 months, respectively, and the average interest rate reduction was 0.4% and 0.8%, respectively, on completed single-family loan modifications classified as TDRs. During YTD 2017 and YTD 2016, the average term extension was 175 months and 178 months, respectively, and the average interest rate reduction was 0.7% and 0.8%, respectively, on completed single-family loan modifications classified as TDRs.

Freddie Mac Form 10-Q95



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 4



Impaired Loans
The tables below present the UPB, recorded investment, related allowance for loan losses, average recorded investment and interest income recognized for individually impaired loans.
  September 30, 2017December 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)


Freddie Mac Form 10-Q96



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 4



  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

Freddie Mac Form 10-Q97



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 4



  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

(1)Individually impaired loans with no specific related valuation allowance primarily represent those loans for which the collateral value is sufficiently in excess of the loan balance to result in recovery of the entire recorded investment if the property were foreclosed upon or otherwise subject to disposition.
(2)Consists primarily of loans classified as TDRs.
(3)Consists of income recognized during the period related to loans on non-accrual status.

Freddie Mac Form 10-Q98



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 4



The table below presents our allowance for loan losses and our recorded investment in loans, held-for-investment, by impairment evaluation methodology.
  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
CREDIT PROTECTION AND OTHER FORMS OF CREDIT ENHANCEMENT
In connection with many of our single-family loans and other mortgage-related guarantees, we have various forms of credit protection.
The table below presents the UPB of single-family loans on our condensed consolidated balance sheets or underlying certain of our financial guarantees with credit protection and the maximum amounts of potential loss recovery by type of credit protection.

Freddie Mac Form 10-Q99



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 4



  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
(1)Except for the majority of our single-family credit risk transfer transactions, our credit enhancements generally provide protection for the first, or initial, credit losses associated with the related loans. Excludes: (a) FHA/VA and other governmental loans; (b) credit protection associated with $5.9 billion and $6.7 billion in UPB of single-family loans underlying other structured transactions where data was not available as of September 30, 2017 and December 31, 2016, respectively; and (c) repurchase rights (subject to certain conditions and limitations) we have under representations and warranties provided by our agreements with seller/servicers to underwrite loans and service them in accordance with our standards. The UPB of single-family loans covered by insurance or partial guarantees issued by federal agencies (such as FHA, VA and USDA) was $2.6 billion and $2.8 billion as of September 30, 2017 and December 31, 2016, respectively.
(2)Except for subordination and whole loan securities, this represents the remaining amount of loss recovery that is available subject to terms of counterparty agreements. For subordination and whole loan securities, this represents the UPB of the securities that are subordinate to our guarantee, which could provide protection by absorbing first losses.
(3)Collateralized coverage includes cash received by Freddie Mac upon issuance of STACR debt notes and unguaranteed whole loan securities, as well as cash and securities pledged for our benefit primarily related to ACIS transactions.
(4)Credit risk transfer transactions. The substantial majority of single-family loans covered by these transactions were acquired after 2012.
(5)Includes approximately $6.5 billion and $3.1 billion in UPB at September 30, 2017 and December 31, 2016, where the related loans are also covered by primary mortgage insurance. Deep mortgage insurance credit risk transfer began in the third quarter of 2016.
(6)In aggregate, includes approximately $1.1 billion and $1.0 billion in UPB at September 30, 2017 and December 31, 2016, respectively, where the related loans are also covered by primary mortgage insurance.

Freddie Mac Form 10-Q100



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 4



(7)Includes approximately $164.5 billion and $123.5 billion in UPB at September 30, 2017 and December 31, 2016, respectively, where the related loans are also covered by primary mortgage insurance. Maximum coverage amounts presented represent the outstanding balance of STACR debt notes held by third parties.
(8)Includes $161.7 billion and $127.4 billion in UPB at September 30, 2017 and December 31, 2016, respectively, where the related loans are also covered by primary mortgage insurance. Maximum coverage amounts presented represent the remaining aggregate limit of insurance purchased from third parties in ACIS transactions.
Primary mortgage insurance and credit risk transfer transactions are the most prevalent types of credit enhancement protecting our single-family credit guarantee portfolio. For information about counterparty risk associated with mortgage insurers, see Note 12.
Our credit risk transfer transactions provide credit enhancement by transferring a portion of our credit losses to third-party investors, insurers, and selected sellers. The value of these transactions to us is a reduction in our mortgage credit risk.
LOAN RECLASSIFICATIONS
On January 1, 2017, we elected a new accounting policy for loan reclassifications from held-for-investment to held-for-sale. Under the new policy, when we reclassify (transfer) a loan from held-for-investment to held-for-sale, we charge off the entire difference between the loan’s recorded investment and its fair value if the loan has a history of credit-related issues. Expenses related to property taxes and insurance are included as part of the charge-off. If the charge-off amount exceeds the existing loan loss reserve amount, an additional provision for credit losses is recorded. Any declines in loan fair value after the date of transfer will be recognized as a valuation allowance, with an offset recorded to other income (loss). This new policy election was applied prospectively, as it was not practical to apply it retrospectively.
The new policy election did not affect our net income; however, it affected where the loan reclassifications from held-for-investment to held-for-sale were recorded in our condensed consolidated statements of comprehensive income. Prior to the policy change, upon a loan reclassification from held-for-investment to held-for-sale, we reversed the related allowance for loan losses to the benefit (provision) for credit losses, recorded a valuation allowance for any difference between the loan's recorded investment and its fair value to other income (loss), and recorded property taxes and insurance expenses related to the transferred loans in other expense. Under the new policy, benefit (provision) for credit losses is the only line item affected when a transfer occurs.
NON-CASH INVESTING AND FINANCING ACTIVITIES
During YTD 2017 and YTD 2016, we acquired $161.5 billion and $165.3 billion, respectively, of loans held-for-investment in exchange for the issuance of debt securities of consolidated trusts in guarantor swap transactions. We received approximately $25.3 billion and $20.0 billion of loans from sellers during YTD 2017 and YTD 2016, respectively, to satisfy advances to lenders that were recorded in other assets on our condensed consolidated balance sheets. These loans were primarily included in the guarantor swap transactions.
In addition, we acquire REO properties through foreclosure transfers or by deed in lieu of foreclosure. These acquisitions represent non-cash transfers. During YTD 2017 and YTD 2016, we had transfers of $0.9 billion and $1.1 billion, respectively, from loans to REO.


Freddie Mac Form 10-Q101



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 5


NOTE 5: INVESTMENTS IN SECURITIES
The table below summarizes the fair values of our investments in debt securities by classification.
Table 6.1 - Investment Securities
(In millions)March 31, 2024December 31, 2023
Trading securities$36,671 $38,385 
Available-for-sale securities4,729 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 securities51,422
 66,757
Total
$87,148
 
$111,547
As of September 30, 2017 and December 31, 2016, we did not classify any securities as held-to-maturity, although we may elect to do so in the future.
TRADING SECURITIES
Trading Securities
The table below presents the estimated fair values of our trading securities by major security type. Our non-mortgage-related securities primarily consist of investments in U.S. Treasury securities.
Table 6.2 - Trading Securities
(In millions)March 31, 2024December 31, 2023
Mortgage-related securities$8,118 $8,113 
Non-mortgage-related securities28,553 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
We recorded net unrealized gains (losses) onFor trading securities held at September 30, 2017 of ($49) millionMarch 31, 2024 and ($196) million during 3Q 2017 and YTD 2017, respectively. WeMarch 31, 2023, we recorded net unrealized gains (losses) on trading securities held at September 30, 2016losses of ($166) million$0.2 billion during both 1Q 2024 and $38 million during 3Q 2016 and YTD 2016, respectively.1Q 2023.


Available-for-Sale Securities
Freddie Mac Form 10-Q102



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 5


AVAILABLE-FOR-SALE SECURITIES
The table below provides details of the securities classified as available-for-sale on our condensed consolidated balance sheets. At September 30, 2017March 31, 2024 and December 31, 2016,2023, all available-for-sale securities were mortgage-related securities.
Table 6.3 - Available-for-Sale Securities
March 31, 2024
Amortized
Cost
Basis
Gross Unrealized Gains in Other Comprehensive IncomeGross Unrealized
Losses in Other Comprehensive Income
Fair ValueAccrued Interest Receivable
(In millions)
Agency mortgage-related securities$4,355 $7 ($126)$4,236 $10 
Other mortgage-related securities317 187 (11)493 
Total available-for-sale securities$4,672 $194 ($137)$4,729 $13 
The tables below present the amortized cost, gross unrealized gains and losses, and fair value by major security type for our securities classified as available-for-sale.
  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

(1)Represents the gross unrealized losses for securities for which we have previously recognized other-than-temporary impairment in earnings.
(2)Represents the gross unrealized losses for securities for which we have not previously recognized other-than-temporary impairment in earnings.

December 31, 2023
Amortized
Cost
Basis
Gross Unrealized Gains in Other Comprehensive IncomeGross Unrealized
Losses in Other Comprehensive Income
Fair ValueAccrued Interest Receivable
(In millions)
Agency mortgage-related securities$4,467 $13 ($110)$4,370 $10 
Other mortgage-related securities340 188 (8)520 
Total available-for-sale securities$4,807 $201 ($118)$4,890 $13 
The fair value of our available-for-sale securities held at September 30, 2017March 31, 2024 scheduled to contractually mature after ten years was $48.1$1.3 billion, with an additional $2.9$2.0 billion scheduled to contractually mature after five years through ten years.

Freddie Mac 1Q 2024 Form 10-Q10364



Financial Statements
Notes to the Condensed Consolidated Financial Statements | Note 56


Available-For-Sale Securities in a Gross Unrealized Loss Position
The tablestable below presentpresents available-for-sale securities in a gross unrealized loss position and whether such securities have been in an unrealized loss position for less than 12 months, or 12 months or greater.
Table 6.4 - Available-for-Sale Securities in a Gross Unrealized Loss Position
March 31, 2024
Less than 12 Months12 Months or Greater
(In millions)Fair ValueGross Unrealized LossesFair ValueGross Unrealized Losses
Agency mortgage-related securities$575 ($6)$2,842 ($120)
Other mortgage-related securities14 (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 Months12 Months or Greater
(In millions)Fair ValueGross Unrealized LossesFair ValueGross Unrealized Losses
Agency mortgage-related securities$374 ($1)$3,006 ($108)
Other mortgage-related securities23 (4)23 (5)
Total available-for-sale securities in a gross unrealized loss position$397 ($5)$3,029 ($113)
At September 30, 2017,March 31, 2024, the gross unrealized losses relate to 255 separate185 securities.
Impairment Recognition on Investments in Securities
We recognized $1 million and $9 million in net impairment of available-for-sale securities in earnings during 3Q 2017 and 3Q 2016, respectively. We recognized $17 million and $138 million in net impairment of available-for-sale securities in earnings during YTD 2017 and YTD 2016, respectively. For our available-for-sale securities in an unrealized loss position at September 30, 2017, we have asserted that we have no intent to sell and believe it is not more likely than not that we will be required to sell the security before recovery of its amortized cost basis.
The ending balance of remaining credit losses on available-for-sale securities where a portion of other-than-temporary impairment was recognized in other comprehensive income was $1.3 billion, $3.6 billion and $4.1 billion as of 3Q 2017, 2Q 2017 and 4Q 2016, respectively.

Freddie Mac Form 10-Q104



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 5


Realized Gains and Losses on Sales of Available-For-Sale Securities
The table below summarizes the total proceeds, gross realized gains and gross realized losses from the salesales of available-for-sale securities.
Table 6.5 - Total Proceeds, Gross Realized Gains and Gross Realized Losses from Sales of Available-for-Sale Securities
(In millions)1Q 20241Q 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
NON-CASH INVESTING AND FINANCING ACTIVITIES
Non-Cash Investing and Financing Activities
During 1Q 2023, we recognized $0.6 billion of investment securities in exchange for the third quarterissuance of 2017,debt of consolidated trusts through partial sales of commingled single-class resecuritization products that were previously consolidated.
During 1Q 2024 and 1Q 2023, we derecognized $0.5 billion and $1.4 billion, respectively, of mortgage-related securities and debt of consolidated trusts where we were no longer deemed the primary beneficiary.
During 1Q 2024, we purchased $3.2$5.0 billion and sold $3.3$4.0 billion of non-mortgage-related securities that were traded, but not settled.settled at March 31, 2024. We settled our purchase and sale obligationobligations during the fourth quarter of 2017.


2Q 2024.
Freddie Mac 1Q 2024 Form 10-Q10565



Financial Statements
Notes to the Condensed Consolidated Financial Statements|Note 67



NOTE 6: DEBT SECURITIES AND SUBORDINATED BORROWINGS7
Debt
The table below summarizes the interest expense per our condensed consolidated statements of comprehensive income and the balances of total debt net peron our condensed consolidated balance sheets.
Table 7.1 - Total Debt
(In millions)March 31, 2024December 31, 2023
Debt of consolidated trusts$3,050,038 $3,041,927 
Debt of Freddie Mac:
Short-term debt8,887 5,976 
Long-term debt152,817 160,443 
Total debt of Freddie Mac161,704 166,419 
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 debt69,430
 71,451
 173
 83
 414
 258
Long-term debt248,624
 281,870
 1,319
 1,384
 3,984
 4,338
Total other debt318,054
 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
Our debt cap under the Purchase Agreement is $407.2 billion in 2017 and will decline to $346.1 billion on January 1, 2018. AsDebt of September 30, 2017, our aggregate indebtedness for purposes of the debt cap was $321.2 billion. Our aggregate indebtedness calculation primarily includes the par value of other short- and long-term debt.
DEBT SECURITIES OF CONSOLIDATED TRUSTS HELD BY THIRD PARTIES
Consolidated Trusts
The table below summarizes the debt securities of consolidated trusts held by third parties based on underlying loan product type.
Table 7.2 - Debt of Consolidated Trusts
March 31, 2024December 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-rate2024 - 2061$2,616,819 $2,653,655 3.12 %2024 - 2061$2,603,100 $2,640,550 3.06 %
15-year or less, fixed-rate2024 - 2039317,001 321,732 2.22 2024 - 2039326,242 331,291 2.20 
Adjustable-rate and other2024 - 205423,490 23,973 4.10 2024 - 205423,251 23,749 3.93 
Total Single-Family2,957,310 2,999,360 2,952,593 2,995,590 
Multifamily2024 - 205351,767 50,678 3.46 2024 - 205347,300 46,337 3.35 
Total debt of consolidated trusts$3,009,077 $3,050,038 $2,999,893 $3,041,927 
(1)Includes $2.3 billion and $2.1 billion as of March 31, 2024 and December 31, 2023, respectively, of debt of consolidated trusts that represents the fair value of debt for which the fair value option was elected.
(2)The effective interest rate for debt of consolidated trusts was 2.79% and 2.73% as of March 31, 2024 and December 31, 2023, respectively.

 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-rate2017 - 2037 74,560
 76,772
 3.44
 2017 - 2037 74,033
 76,331
 3.49
15-year fixed-rate2017 - 2032 262,508
 268,335
 2.87
 2017 - 2032 267,739
 273,978
 2.90
Adjustable-rate2017 - 2047 48,867
 49,965
 2.81
 2017 - 2047 52,991
 54,205
 2.69
Interest-only2026 - 2041 7,819
 7,892
 3.71
 2026 - 2041 10,007
 10,057
 3.47
FHA/VA2017 - 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
  
Short-Term Debt
(1)The effective interest rate for debt securities of consolidated trusts held by third parties was 2.80% and 2.63% as of September 30, 2017 and December 31, 2016, respectively.
(2)Carrying amount includes securities recorded at fair value.

Freddie Mac Form 10-Q106



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 6


Other Debt
The table below summarizes the balances and effective interest rates for othershort-term debt. Securities sold under agreements to repurchase are effectively collateralized borrowing transactions where we sell securities with an agreement to repurchase such securities. These agreements require the underlying securities to be delivered to the counterparties to the transactions.
  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
  

(1)Represents par value, net of associated discounts or premiums, issuance cost and hedge-related basis adjustments. Includes $5.3 billion and $5.9 billion at September 30, 2017 and December 31, 2016, respectively, of other long-term debt that represents the fair value of debt securities with the fair value option elected.
(2)Based on carrying amount.
(3)
Carrying amount for other long-term debt includes callable debt of $113.3 billion and $97.7 billion at September 30, 2017 and December 31, 2016, respectively.

Table 7.3 - Short-Term Debt
March 31, 2024December 31, 2023
(Dollars in millions)Par ValueCarrying AmountWeighted
Average
Effective Rate
Par ValueCarrying AmountWeighted
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-Q10766

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

Long-Term Debt
The table below summarizes our long-term debt.
Table 7.4 - Long-Term Debt
March 31, 2024December 31, 2023
(Dollars in millions)Contractual MaturityPar Value
Carrying Amount(1)
Weighted
Average
Effective Rate(2)
Contractual MaturityPar Value
Carrying Amount(1)
Weighted
Average
Effective Rate(2)
Long-term debt:
Fixed-rate:
Medium-term notes — callable2024 - 2050$132,076 $131,981 3.04 %2024 - 2050$139,344 $139,257 3.13 %
Medium-term notes — non-callable2024 - 20281,573 1,574 0.98 2024 - 20281,573 1,574 0.98 
Reference Notes securities — non-callable2025 - 203218,162 18,209 3.19 2025 - 203218,162 18,209 3.19 
SCR debt notes2031 - 203280 82 13.00 2031 - 203282 83 13.00 
Variable-rate:
Medium-term notes — callable 2024 - 20291,729 1,727 4.60  2024 - 20281,869 1,867 4.81 
Medium-term notes — non-callable202647 47 8.10 202647 47 8.10 
STACR2024 - 20421,969 1,885 11.60 2024 - 20422,095 2,006 11.45 
Zero-coupon:
Medium-term notes — non-callable 2024 - 20394,835 3,148 6.19  2024 - 20394,836 3,100 6.17 
Other2047 - 2053— 122 0.83 2047 - 2053— 121 0.84 
Hedging-related basis adjustmentsN/A(5,958)N/A(5,821)
Total long-term debt$160,471 $152,817 3.23 %$168,008 $160,443 3.30 %
(1)Represents par value, net of associated discounts or premiums and issuance cost. Includes $0.4 billion at both March 31, 2024 and December 31, 2023 of long-term debt that represents the fair value of debt for which the fair value option was elected.
(2)Based on carrying amount.

The table below summarizes the contractual maturities of long-term debt and debt securities.
Table 7.5 - Contractual Maturities of Long-Term Debt and Debt Securities
March 31, 2024
(In millions)Amounts
Annual Maturities
Long-term debt (excluding STACR and SCR debt notes):
2024$27,525 
202557,582 
202617,711 
202713,738 
202810,248 
Thereafter31,618 
Debt of consolidated trusts, STACR, and SCR debt notes(1)
3,011,126 
Total3,169,548 
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 
(1)Contractual maturities of these debt securities are not presented because they are subject to prepayment risk, as their payments are based upon the performance of a pool of mortgage assets that may be prepaid by the related mortgage borrower at any time generally without penalty.
(2)Other basis adjustments primarily represent changes in fair value on debt where we have elected the fair value option.


Freddie Mac 1Q 2024 Form 10-Q67

Financial Statements
Notes to the Condensed Consolidated Financial Statements |Note 78



NOTE 7: DERIVATIVES8
USE OF DERIVATIVES
Derivatives
We use derivatives primarily to hedge economic interest-rate sensitivity mismatches between our financial assets and liabilities. We analyze the interest-rate sensitivity of financial assets and liabilities on a daily basis across a variety of interest-rate scenarios based on market prices, models, and economics. We use derivatives primarily to hedge interest-rate sensitivity mismatches between our financial assets and liabilities. We designate certain derivatives as hedging instruments in qualifying hedge accounting relationships. Interest-rate risk management derivatives that are not designated in qualifying hedge accounting relationships are economic hedges of financial instruments measured at fair value on a recurring basis or of other transactions or instruments that expose us to interest-rate risk. When we use derivatives to mitigate our exposures, we consider a number of factors, including cost, exposure to counterparty credit risk, and our overall risk management strategy.
We classify derivatives into three categories:
Exchange-traded derivatives;
Cleared derivatives; and
OTC derivatives.
Exchange-traded derivatives include standardized interest-rate futures contracts and options on futures contracts. Cleared derivatives refer to those interest-rate swaps that the U.S. Commodity Futures Trading Commission (CFTC) has determined are subject to the central clearing requirement of the Dodd-Frank Act. OTC derivatives refer to those derivatives that are neither exchange-traded derivatives nor cleared derivatives.
TYPES OF DERIVATIVES
We principally use the following types of derivatives:
LIBOR-based interest-rate swaps;
LIBOR- and Treasury-based options (including swaptions); and
LIBOR- and Treasury-based exchange-traded futures.
We also purchase swaptions on credit indices in order to obtain protection against adverse movements in multifamily spreads which may affect the profitability of our K Certificate or SB Certificate transactions.
In addition to swaps, futures, and purchased options, our derivative positions include written options and swaptions, commitments, and credit derivatives.
HEDGE ACCOUNTING
Fair Value Hedges
On February 2, 2017, we started applyingapply fair value hedge accounting to certain single-family mortgage loans and certain issuances of debt where we hedge the changes in fair value of these loansitems attributable to the designated benchmark interest rate, (i.e., LIBOR), using LIBOR-based interest-rate swaps. The hedge period is one day,
Derivative Assets and we re-balance our hedge relationships on a daily basis.
We apply hedge accounting to qualifying hedge relationships. A qualifying hedge relationship exists when changes in the fair value of a derivative hedging instrument are expected to be highly effective in offsetting changes in the fair value of the hedged item attributable to the risk being hedged during the

Liabilities at Fair Value
Freddie Mac Form 10-Q108



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 7


term of the hedge relationship. To assess hedge effectiveness, we use a statistical regression analysis. We prepare formal contemporaneous documentation, at inception of the hedge relationship, of our risk management objective and strategies for undertaking the hedge.
If a hedge relationship qualifies for hedge accounting, changes in fair value of the hedging instrument (swaps) are recognized in other income (loss), rather than derivative gains (losses), and changes in the fair value of the hedged item (loans) attributable to the risk being hedged are also recognized in other income (loss). The amount by which the gain or loss on the designated derivative instrument does not exactly offset the gain or loss on the hedged item attributable to the risk being hedged is hedge ineffectiveness. Changes in the fair value of the hedged item attributable to the risk being hedged are recognized as a cumulative basis adjustment against the loans. The basis adjustments are amortized into interest income in the same manner as all other basis adjustments related to the loans (i.e., effective interest method over the remaining contractual maturity of the loan).
Cash Flow Hedges
There are amounts recorded in AOCI related to discontinued cash flow hedges which are recognized in earnings when the originally forecasted transactions affect earnings. Amounts reclassified from AOCI are recorded primarily in expense related to derivatives. During YTD 2017 and YTD 2016, we reclassified from AOCI into earnings, pre-tax losses of $125 million and $147 million, respectively, related to closed cash flow hedges. See Note 9 for information about future reclassifications of deferred net losses related to closed cash flow hedges to net income.
For additional discussion of significant accounting policies related to derivatives, see Note 7 in our 2016 Annual Report.

Freddie Mac Form 10-Q109



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 7


DERIVATIVE ASSETS AND LIABILITIES AT FAIR VALUE
The table below presents the notional value and fair value of derivatives reported on our condensed consolidated balance sheets.
Table 8.1 - Derivative Assets and Liabilities at Fair Value
 September 30, 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-fixed215,069
 1,370
 (5,595) 271,477
 2,586
 (9,684)
Basis (floating to floating)100
 
 
 1,450
 1
 
Total interest-rate swaps541,466
 3,712
 (7,082) 586,033
 6,924
 (12,387)
Option-based:           
Call swaptions           
Purchased60,335
 3,147
 
 60,730
 2,817
 
Written7,400
 
 (99) 1,350
 
 (78)
Put swaptions           
Purchased(1)
51,635
 1,260
 
 48,080
 1,442
 
Written2,750
 
 (18) 3,200
 
 (28)
Other option-based derivatives(2)
10,767
 808
 
 11,032
 795
 
Total option-based132,887
 5,215
 (117) 124,392
 5,054
 (106)
Futures277,940
 
 
 138,294
 
 
Commitments85,992
 133
 (77) 45,353
 289
 (151)
Credit derivatives3,100
 1
 (47) 2,951
 1
 (27)
Other2,879
 1
 (19) 2,879
 
 (21)
Total derivatives not designated as hedges1,044,264
 9,062
 (7,342) 899,902
 12,268
 (12,692)
Designated as fair value hedges           
Interest-rate swaps:           
Pay-fixed45,481
 159
 (924) 
 
 
Total derivatives designated as fair value hedges45,481
 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, 2024December 31, 2023
 Notional or
Contractual
Amount
Derivative AssetsDerivative LiabilitiesNotional or
Contractual
Amount
Derivative AssetsDerivative Liabilities
(In millions)
Not designated as hedges
Interest-rate risk management derivatives:
Swaps$308,358 $1,896 ($394)$351,193 $1,638 ($462)
Written options45,423 — (1,690)48,227 — (1,746)
Purchased options(1)
82,160 4,107 — 89,790 4,251 — 
Futures90,146 — — 132,982 — — 
Total interest-rate risk management derivatives526,087 6,003 (2,084)622,192 5,889 (2,208)
Mortgage commitment derivatives45,803 15 (8)26,911 43 (10)
CRT-related derivatives(2)
30,535 — (300)30,578 — (228)
Other15,777 33 (656)14,572 (567)
Total derivatives not designated as hedges618,202 6,051 (3,048)694,253 5,935 (3,013)
Designated as fair value hedges
Interest-rate risk management derivatives:
Swaps169,942 187 (5,797)172,202 276 (5,658)
Total derivatives designated as fair value hedges169,942 187 (5,797)172,202 276 (5,658)
Receivables (payables)(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)

(1)Includes swaptions on credit indices with a notional or contractual amount of $7.3 billion and $6.4 billion at March 31, 2024 and December 31, 2023, respectively, and a fair value of $2.0 million and $1.0 million at March 31, 2024 and December 31, 2023, respectively.
(1)Includes swaptions on credit indices with a notional or contractual amount of $17.5 billion and $10.9 billion, respectively and a fair value of $5 million at both September 30, 2017 and December 31, 2016.
(2)Primarily consists of purchased interest-rate caps and floors and options on Treasury futures.
(3)Represents counterparty netting and cash collateral netting.
See Note 8 for information(2)Includes derivative instruments related to our derivative counterpartiesCRT transactions that are considered freestanding credit enhancements.
(3)Represents counterparty netting and cash collateral held and posted.

netting.
Freddie Mac 1Q 2024 Form 10-Q11068



Financial Statements
Notes to the Condensed Consolidated Financial Statements |Note 78



Derivative Counterparty Credit Risk
GAINS AND LOSSES ON DERIVATIVES
The table below presents offsetting and collateral information related to derivatives which are subject to enforceable master netting agreements or similar arrangements.
Table 8.2 - Offsetting of Derivatives
March 31, 2024December 31, 2023
 Derivative AssetsDerivative LiabilitiesDerivative AssetsDerivative Liabilities
(In millions)
OTC derivatives$6,191 ($7,877)$6,165 ($7,866)
Cleared and exchange-traded derivatives(21)13 (36)
Mortgage commitment derivatives18 (8)47 (10)
Other33 (956)(795)
Total derivatives6,244 (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 sheets292 (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)
(1)Excess cash collateral held is presented as a derivative liability, while excess cash collateral posted is presented as a derivative asset.
(2)Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability, netted by counterparty, presented on the condensed consolidated balance sheets.
Gains and Losses on Derivatives
The table below presents the gains and losses on derivatives while not designated in fair valuequalifying hedge relationships and the accrual of periodic cash settlements on all derivatives.relationships. These amounts are reported inon our condensed consolidated statements of comprehensive income as investment gains, net.
Table 8.3 - Gains and Losses on Derivatives
(In millions)1Q 20241Q 2023
Not designated as hedges
Interest-rate risk management derivatives:
Swaps$262 $29 
Written options37 195 
Purchased options56 (504)
Futures374 (307)
      Total interest-rate risk management derivatives fair value gains (losses)729 (587)
Mortgage commitment derivatives40 (80)
CRT-related derivatives(1)
(43)(76)
Other(108)61 
        Total derivatives not designated as hedges fair value gains (losses)$618 ($682)
(1)Includes derivative gains (losses).
(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-fixed352
 1,717
 (78) (11,221)
Basis (floating to floating)
 
 (1) 1
Total interest-rate swaps23
 541
 116
 (7,513)
Option based:       
Call swaptions       
Purchased(67) (116) (106) 3,283
Written5
 1
 6
 (88)
Put swaptions       
Purchased(145) (98) (481) (612)
Written7
 2
 49
 49
Other option-based derivatives(1)
2
 (24) 13
 209
Total option-based(198) (235) (519) 2,841
Other:       
Futures18
 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 swaps343
 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)
(1)Primarily consists of purchased interest-rate caps and floors and options on Treasury futures.









instruments related to CRT transactions that are considered freestanding credit enhancements.
Freddie Mac 1Q 2024 Form 10-Q11169



Financial Statements
Notes to the Condensed Consolidated Financial Statements |Note 78



Fair Value Hedges
The tablestable below presentpresents the effects of fair value hedge accounting by condensed consolidated statements of income line item, including the gains and losses on derivatives whileand hedged items designated in qualifying fair value hedge relationships. During 2016, there were no derivatives designated in qualifying fair valuerelationships and other components due to the application of hedge relationships.accounting.
Table 8.4 - Gains and Losses on Fair Value Hedges
1Q 20241Q 2023
(In millions)Interest IncomeInterest ExpenseInterest IncomeInterest 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 instruments953 — (1,073)— 
Interest accruals on hedging instruments234 — 211 — 
Discontinued hedge related basis adjustments amortization43 — 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)
The table below presents the cumulative basis adjustments and the carrying amounts of the hedged item by its respective balance sheet line item.
 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
Table 8.5 - Cumulative Basis Adjustments Due to Fair Value Hedging
March 31, 2024
Carrying Amount Assets / (Liabilities)Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying AmountClosed Portfolio Under the Portfolio Layer Method
(In millions)TotalUnder the Portfolio Layer MethodDiscontinued - Hedge RelatedTotal Amount by Amortized Cost BasisDesignated Amount by UPB
Mortgage loans held-for-investment$1,107,342 ($3,205)($546)($2,659)$59,281 $11,845 
Mortgage loans held-for-sale131 — — — 
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 AmountClosed Portfolio Under the Portfolio Layer Method
(In millions)TotalUnder the Portfolio Layer MethodDiscontinued - Hedge RelatedTotal Amount by Amortized Cost BasisDesignated Amount by UPB
Mortgage loans held-for-investment$1,115,454 ($2,253)($220)($2,033)$59,786 $11,670 
Mortgage loans held-for-sale128 — — — 
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
(1)Gains or losses on derivatives while in fair value hedge relationships and changes in the fair value of the related hedged items attributable to the risk being hedged are both recorded in other income (loss) in our condensed consolidated statements of comprehensive income.
(2)No amounts have been excluded from the assessment of effectiveness.


Freddie Mac 1Q 2024 Form 10-Q11270



Financial Statements
Notes to the Condensed Consolidated Financial Statements |Note 89



NOTE 8: COLLATERALIZED AGREEMENTS AND OFFSETTING ARRANGEMENTS9
DERIVATIVE PORTFOLIO
Derivative Counterparties
Collateralized Agreements
Our use of cleared derivatives, exchange-traded derivatives,Securities Purchased Under Agreements to Resell and OTC derivatives exposes usSecurities Sold Under Agreements to counterparty credit risk. For additional information, see Note 8 in our 2016 Annual Report.Repurchase
Our use of interest-rate swaps and option-based derivatives is subject to internal credit and legal reviews. On an ongoing basis, we review the credit fundamentals of all of our derivative counterparties, clearinghouses, and clearing members to confirm that they continue to meet our internal risk management standards.
Over-The-Counter Derivatives
We use master netting and collateral agreements to reduce our credit risk exposure to our OTC derivative counterparties.
In the event that all of our counterparties for OTC derivatives were to have defaulted simultaneously on September 30, 2017, our maximum loss for accounting purposes after applying netting agreements and collateral on an individual counterparty basis would have been approximately $32 million.
Regulations adopted by certain financial institution regulators (including FHFA) that became effective March 1, 2017 require posting of variation margin without the application of any thresholds for OTC derivative transactions executed after that date. As a result, our and the counterparties' credit ratings are no longer used in determining the amount of collateral to be posted in connection with these transactions.
Cleared and Exchange-Traded Derivatives
The majority of our interest-rate swaps are subject to the central clearing requirement of the Dodd-Frank Act. A reduction in our credit ratings could cause the clearinghouses or clearing members we use for our cleared and exchange-traded derivatives to demand additional collateral.
Other Derivatives
We also execute forward purchase and sale commitments of loans and mortgage-related securities, including dollar roll transactions, that are treated as derivatives for accounting purposes. The total exposure on our forward purchase and sale commitments, which are treated as derivatives,
was $133 million and $289 million at September 30, 2017 and December 31, 2016, respectively.
Many of our transactions involving forward purchase and sale commitments of mortgage-related securities utilize the Mortgage Backed Securities Division of the Fixed Income Clearing Corporation (“MBSD/FICC”) as a clearinghouse. As a clearing member of the clearinghouse, we post margin to the MBSD/FICC and are exposed to the counterparty credit risk of the organization (including its clearing members).

Freddie Mac Form 10-Q113



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 8


SECURITIES PURCHASED UNDER AGREEMENTS TO RESELL
As an investor, we enter into arrangements to purchase securities under agreements to subsequently resell the identical or substantially the same securities to our counterparty. While such transactions involve the legal transfer of securities, they are accounted for as secured financings because the transferor does not relinquish effective control over the securities transferred. Our counterparties to these transactions pledge the purchased securities as collateral for their obligation to repurchase those securities at a later date. These agreements may allow us to repledge all or a portion of the collateral.
We consider the types of securities being pledged to us as collateral when determining how much we lend in transactions involving securities purchased under agreements to resell. Additionally, we regularly review the market values of these securities compared to amounts loaned in an effort to manage our exposure to losses.
SECURITIES SOLD UNDER AGREEMENTS TO REPURCHASE
Securities sold under agreements to repurchase are effectively collateralized borrowings where we sell securities with an agreement to repurchase such securities at a future date. Similar to the securities purchased under agreements to resell transactions, these transactions involve the legal transfer of securities. However, they are accounted for as secured financings because we do not relinquish effective control over the securities transferred. We pledge the sold securities to the counterparties as collateral for our obligation to repurchase these securities at a later date. These agreements may allow our counterparties to repledge all or a portion of the collateral.
OFFSETTING OF FINANCIAL ASSETS AND LIABILITIES
At September 30, 2017 and December 31, 2016, all amounts of cash collateral related to derivatives with master netting and collateral agreements were offset against derivative assets, net or derivative liabilities, net, as applicable.
During 1Q 2017, we began to utilize the Government Securities Division of the Fixed Income Clearing Corporation (“GSD/FICC”) as a clearinghouse to transact many of our trades involving securities purchased under agreements to resell and securities sold under agreements to repurchase. As a clearing member of GSD/FICC, we are required to post initial and variation margin payments, which expose us to the counterparty credit risk of GSD/FICC and its clearing members. Although our membership provides us with the right to offset certain of our open receivable and payable positions by collateral type, we have elected not to offset these positions within our condensed consolidated balance sheets. As of September 30, 2017, our net exposure to GSD/FICC involving securities purchased under agreements to resell and securities sold under agreements to repurchase was fully collateralized.
In October 2017, the CFTC issued an interpretation letter clarifying that variation margin payments for cleared swaps constitute daily settlement of exposure and not the posting of margin collateral. For certain of our cleared swaps transacted with the Chicago Mercantile Exchange (CME), during 1Q 2017 we changed the characterization of variation margin payments from posting of margin collateral to a settlement, as a result of certain rule amendments made by the CME. We are still evaluating the October 2017 interpretation from the CFTC to determine what impacts, if any, it has on the characterization of variation margin payments on our remaining cleared swaps transacted with the LCH Group. However, we

Freddie Mac Form 10-Q114



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 8


do not expect any changes would materially affect our 2017 financial statements and accompanying notes.
The tablestable below displaypresents offsetting and collateral information related to derivatives, securities purchased under agreements to resell, and securities sold under agreements to repurchase, which are subject to enforceable master netting agreements or similar arrangements. Securities sold
Table 9.1 - Offsetting and Collateral Information of Certain Financial Assets and Liabilities
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 — — — 
(1)For securities purchased under agreements to repurchase are included in debt, net on our condensed consolidated balance sheets. The September 30, 2017 table below reflects the change in the legal characterizationresell, includes $112.6 billion and $104.2 billion of variation margin payments for our CME cleared swaps from posting of margin collateral to a settlement.

Freddie Mac Form 10-Q115



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 8


 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 derivatives2,012
 (1,924) 190
 278
 
 278
Other135
 
 
 135
 
 135
Total derivatives10,614
 (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 derivatives4,889
 (4,674) (162) 53
 
 53
Other290
 
 
 290
 
 290
Total derivatives13,710
 (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)

Freddie Mac Form 10-Q116



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 8


(1)Excess cash collateral held is presented as a derivative liability, while excess cash collateral posted is presented as a derivative asset.
(2)Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability, netted by counterparty, presented on the consolidated balance sheets. For cleared and exchange-traded derivatives, does not include non-cash collateral posted by us as initial margin with an aggregate fair value of $3.3 billion and $3.4 billion as of September 30, 2017 and December 31, 2016, respectively.
(3)At September 30, 2017 and December 31, 2016, we had $8.3 billion and $4.0 billion, respectively, of securities pledged to us for transactions involving securities purchased under agreements to resell that we had the right to repledge.
COLLATERAL PLEDGED
Collateral Pledged to Freddie Mac
We have cash pledged to us as collateral primarily related to OTC derivative transactions. At September 30, 2017, we had $2.5the right to repledge as of March 31, 2024 and December 31, 2023, respectively. We repledged $0.5 billion pledged to usand $0.4 billion of collateral as collateral that was classified as restricted cash on our condensed consolidated balance sheets.of March 31, 2024 and December 31, 2023, respectively.
Collateral Pledged by Freddie Mac
The tables below summarize the fair value of the securities we pledged as collateral for derivatives and other transactions where the secured party may repledge the collateral.
  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

(1)Represents PCs held by us in our Capital Markets segment mortgage investments portfolio which are recorded as a reduction to debt securities of consolidated trusts held by third parties on our condensed consolidated balance sheets.
(2)Includes other collateralized borrowings and collateral related to transactions with certain clearinghouses.

Freddie Mac Form 10-Q117



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 8


The table below summarizes the underlying collateral pledged andpresents the remaining contractual maturity of our gross obligations underfor securities sold under agreements to repurchase. The collateral for such obligations consisted primarily of U.S. Treasury securities.
Table 9.2 - Remaining Contractual Maturity
March 31, 2024
(In millions)Overnight and Continuous30 Days or LessAfter 30 Days Through 90 DaysGreater Than 90 DaysTotal
Securities sold under agreements to repurchase$10,434 $3,366 $— $— $13,800 
 September 30, 2017
December 31, 2023December 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 Continuous30 Days or LessAfter 30 Days Through 90 DaysGreater Than 90 DaysTotal
U.S. Treasury securities 
$—
 
$8,240
 
$—
 
$—
 
$8,240
Securities sold under agreements to repurchase
Freddie Mac 1Q 2024 Form 10-Q11871



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



Collateral Pledged
NOTE 9: STOCKHOLDERS’ EQUITY AND EARNINGS PER SHAREThe table below summarizes the carrying value of the collateral pledged by us for derivatives and collateralized borrowing transactions, including securities that the secured party may repledge.
ACCUMULATED OTHER COMPREHENSIVE INCOME
Table 9.3 - Collateral in the Form of Securities Pledged
March 31, 2024
(In millions)DerivativesSecurities Sold Under Agreements to Repurchase
Other(1)
Total
Cash equivalents(2)
$— $75 $— $75 
Trading securities1,903 5,500 2,330 9,733 
Other assets— 4,002 — 4,002 
Total securities pledged$1,903 $9,577 $2,330 $13,810 
The tables below present changes in AOCI after the effects of our 35%federal statutory tax rate
December 31, 2023
(In millions)DerivativesSecurities 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 
(1)Includes other collateralized borrowings and collateral related to available-for-saletransactions with certain clearinghouses.
(2)Represents U.S. Treasury securities closedaccounted for as cash flow hedges, and our defined benefit plans.
  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
(1)For YTD 2017 and YTD 2016, net of tax expense of $0.5 billion and $0.4 billion, respectively, for AOCI related to available-for-sale securities.

equivalents.
Freddie Mac 1Q 2024 Form 10-Q11972



Financial Statements
Notes to the Condensed Consolidated Financial Statements|Note 910

NOTE 10

Reclassifications from AOCI to Net Interest Income
The table below presents reclassifications from AOCI tothe components of net interest income including the affected line item inper our condensed consolidated statements of comprehensive income.
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
Future Reclassifications from AOCI toTable 10.1 - Components of Net Interest Income Related to Closed Cash Flow Hedges
The total AOCI related to derivatives designated as cash flow hedges was a loss of $0.4 billion and $0.5 billion at September 30, 2017 and September 30, 2016, respectively, composed of deferred net losses on closed cash flow hedges. Closed cash flow hedges involve derivatives that have been terminated or are no longer designated as cash flow hedges. Fluctuations in prevailing market interest rates have no effect on the deferred portion of AOCI relating to losses on closed cash flow hedges.
The previously deferred amount related to closed cash flow hedges remains in our AOCI balance and will be recognized into earnings over the expected time period for which the forecasted transactions affect earnings, unless it is deemed probable that the forecasted transactions will not occur. Over the next 12 months, we estimate that approximately $109 million, net of taxes, of the $0.4 billion of cash flow hedge losses in AOCI at September 30, 2017 will be reclassified into earnings. The maximum remaining length of time over which we have hedged the exposure related to the variability in future cash flows on forecasted transactions, primarily forecasted debt issuances, is 16 years.

(In millions)1Q 20241Q 2023
Interest income:
Mortgage loans$26,229 $23,304 
Investment securities470 316 
Securities purchased under agreements to resell1,532 1,220 
Other154 147 
Total interest income28,385 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 income4,759 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-Q12073



Financial Statements
Notes to the Condensed Consolidated Financial Statements|Note 911



NOTE 11
SENIOR PREFERRED STOCK
Segment Reporting
At September 30, 2017, our assets exceeded our liabilities under GAAP; therefore, no draw is being requested from Treasury underAs shown in the Purchase Agreement. Based on our Net Worth Amount of $5.3 billion as of September 30, 2017table below, we have two reportable segments, Single-Family and the Capital Reserve Amount of $600 million in 2017, our dividend requirement to Treasury in December 2017 will be $4.7 billion. See Note 2 for additional information. Upon the Conservator, acting as successor to the rights, titles, powers and privileges of the Board of Directors, declaring a senior preferred stock dividend equal to our dividend requirement and directing us to pay it before December 31, 2017, we would pay a dividend of $4.7 billion by December 31, 2017. If for any reason we were not to pay the amount of our dividend requirement on the senior preferred stock in full, the unpaid amount would be added to the liquidation preference, but this would not affect our ability to draw funds from Treasury under the Purchase Agreement. Our cumulative senior preferred stock dividend payments totaled $110.1 billion as of September 30, 2017. The aggregate liquidation preference on the senior preferred stock owned by Treasury was $72.3 billion as of both September 30, 2017 and December 31, 2016.
STOCK ISSUANCES AND REPURCHASES
We did not repurchase or issue any of our common shares or non-cumulative preferred stock during 3Q 2017, except for issuances of treasury stock relating to stock-based compensation granted prior to conservatorship.
EARNINGS PER SHARE
We have participating securities related to options and restricted stock units with dividend equivalent rights that receive dividends as declared on an equal basis with common shares but are not obligated to participate in undistributed net losses. These participating securities consist of:
Vested options to purchase common stock; and
Vested restricted stock units that earn dividend equivalents at the same rate when and as declared on common stock.
Consequently, in accordance with accounting guidance, we use the “two-class” method of computing earnings per common share. The “two-class” method is an earnings allocation formula that determines earnings per share for common stock and participating securities based on dividends declared and participation rights in undistributed earnings.
Basic earnings per common share is computed as net income attributable to common stockholders divided by the weighted average common shares outstanding for the period. The weighted average common shares outstanding for the period includes the weighted average number of shares that are associated with the warrant for our common stock issued to Treasury pursuant to the Purchase Agreement. These shares are included since the warrant is unconditionally exercisable by the holder at a minimal cost.
Diluted earnings per common share is computed as net income attributable to common stockholders divided by the weighted average common shares outstanding during the period adjusted for the dilutive effect of common equivalent shares outstanding. For periods with net income attributable to common stockholders, the calculation includes the effect of the following common stock equivalent shares

Multifamily.
SegmentDescription
Single-Family
Freddie Mac Form 10-Q121



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 9


outstanding:
Weighted average shares related to stock options if the average market price during the period exceeds the exercise price; and
The weighted-average of restricted stock units.
During periods in which a net loss attributable to common stockholders has been incurred, potential common equivalent shares outstanding are not included in the calculation because it would have an antidilutive effect.
For purposes of the earnings-per-share calculation, all stock options outstanding at September 30, 2017 and September 30, 2016 were out of the money and excluded from the computation of dilutive potential common shares during 3Q 2017 and YTD 2017, and 3Q 2016 and YTD 2016, respectively.
DIVIDENDS DECLARED
No common dividends were declared during YTD 2017. During 1Q 2017, 2Q 2017 and 3Q 2017, we paid dividends of $4.5 billion, $2.2 billion and $2.0 billion, respectively, in cash on the senior preferred stock at the direction of our Conservator. We did not declare or pay dividends on any other series of Freddie Mac preferred stock outstanding during YTD 2017.

Freddie Mac Form 10-Q122



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 10


NOTE 10: INCOME TAXES
INCOME TAX (EXPENSE) BENEFIT
For 3Q 2017 and 3Q 2016, we reported an income tax expense of $2.5 billion and $1.0 billion, respectively, resulting in effective tax rates of 35.0% and 30.0%, respectively. For YTD 2017 and YTD 2016, we reported an income tax expense of $4.5 billion and $1.3 billion, respectively, resulting in effective tax rates of 34.3% and 30.6%, respectively. Our effective tax rate differed from the statutory rate of 35% in most of these periods primarily due to our recognition of low income housing tax credits.
DEFERRED TAX ASSETS, NET
We had net deferred tax assets of $14.6 billion and $15.8 billion as of September 30, 2017 and December 31, 2016, respectively. At September 30, 2017, our net deferred tax assets consisted primarily of basis differences related to derivative instruments and deferred fees.
Based on all positive and negative evidence available at September 30, 2017, we determined that it is more likely than not that our net deferred tax assets, except for a portion of our capital loss carryforward deferred tax asset, will be realized. A valuation allowance of $54 million has been recorded against our capital loss carryforward deferred tax asset.
UNRECOGNIZED TAX BENEFITS
We evaluated all income tax positions and determined that there were no uncertain tax positions that required reserves as of September 30, 2017.

Freddie Mac Form 10-Q123



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 11


NOTE 11: SEGMENT REPORTING
We have threereportable segments, which are based on the type of business activities each performs - Single-family Guarantee, Multifamily, and Capital Markets (previously reported as the "Investments" segment in our 2016 Annual Report). The chart below provides a summary of our three reportable segments and the All Other category. For more information, see our 2016 Annual Report.
Segment/CategoryDescriptionFinancial Performance Measurement Basis
Single-family GuaranteeThe Single-family Guarantee segment reflectsReflects 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-familySingle-Family mortgage credit risk.Contributionrisk and market risk, and any results of our treasury function that are not allocated to GAAP net income (loss)each segment.

MultifamilyThe Multifamily segment reflects
Reflects results from our purchase, sale, securitization, and guarantee of multifamily loans, and securities, our investments in thosemultifamily loans and mortgage-related securities, and the management of multifamilyMultifamily mortgage credit risk and market spread risk.
Contribution to GAAP comprehensive income (loss)


Capital MarketsThe Capital Markets segment reflects results from managing the company's mortgage-related investments portfolio (excluding Multifamily segment investments, single-family seriously delinquent loans, and the credit risk of single-family performing and reperforming loans), treasury function, single-family securitization activities, and interest-rate risk.Contribution to GAAP comprehensive income (loss)
All OtherThe All Other category consists of material corporate-level activities that are infrequent in nature and based on decisions outside the control of the management of our reportable segments.N/A
SEGMENT EARNINGS
Segment Results
We present
The table below presents the financial results for our Single-Family and Multifamily segments.
Table 11.1 - Segment Earnings by reclassifying certain credit guarantee-related activitiesFinancial Results
1Q 20241Q 2023
(In millions)Single-FamilyMultifamilyTotalSingle-FamilyMultifamilyTotal
Net interest income$4,488 $271 $4,759 $4,296 $205 $4,501 
Non-interest income
Guarantee income19 477 496 32 434 466 
Investment gains, net(86)491 405 (179)(46)(225)
Other income53 44 97 54 31 85 
Non-interest income(14)1,012 998 (93)419 326 
Net revenues4,474 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 expense2,429 1,025 3,454 2,102 398 2,500 
Income tax expense(484)(204)(688)(425)(80)(505)
Net income1,945 821 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 
The table below presents total assets for our Single-Family and investment-related activities between various lineMultifamily segments.
Table 11.2 - Segment Assets
(In millions)March 31, 2024December 31, 2023
Single-Family$3,042,952 $3,038,910 
Multifamily443,087 440,797 
Total segment assets3,486,039 3,479,707 
Reconciling items(1)
(198,666)(198,731)
Total assets per condensed consolidated balance sheets$3,287,373 $3,280,976 
(1)Reconciling items include assets in our mortgage portfolio that are not recognized on our GAAPcondensed consolidated statements of comprehensive incomebalance sheets and allocating certain revenues and expenses, including funding costs and administrative expenses, toassets recognized on our three reportable segments.
We docondensed consolidated balance sheets that are not consider our assets by segment when evaluating segment performance or allocating resources. We operate our business in the United States and its territories, and accordingly, we generate no revenue from and have no long-lived assets, other than financial instruments, in geographic locations other than the United States and its territories.
We evaluate segment performance and allocate resources based on a Segment Earnings approach, subjectallocated to the conduct of our business under the direction of the Conservator. See Note 2 for information about the conservatorship.reportable segments.
During 1Q 2017, we changed how we calculate certain components of our Segment Earnings for our Capital Markets segment. The purpose of this change is to simplify Segment Earnings results relative to GAAP results in order to better reflect how management evaluates the Capital Markets segment. Prior period results have been revised to conform to the current period presentation. The change includes:
The discontinuation of adjustments to net interest income which reflected the reclassification of amortization of upfront cash paid and received upon acquisitions and issuances of swaptions and options from derivative gains (losses) to net interest income for the Capital Markets segment. The discontinuation of the adjustments resulted in an increase to net interest income for the Capital


Freddie Mac 1Q 2024 Form 10-Q12474


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


NOTE 12
Concentration of Credit and Other Risks
Single-Family Mortgage Portfolio
The table below summarizes the concentration by geographic area of our Single-Family mortgage portfolio. See Note 2, Note 3, Note 4, and Note 5 for additional information about credit risk associated with single-family loans that we hold or guarantee.
Table 12.1 - Concentration of Credit Risk of Our Single-Family Mortgage Portfolio
March 31, 2024
(Dollars in millions)
Portfolio UPB(1)
% of PortfolioSDQ Rate
Region:(2)
West$909,769 30 %0.41 %
Northeast704,001 23 0.61 
Southeast532,815 17 0.54 
Southwest453,381 15 0.51 
North Central442,742 15 0.52 
Total$3,042,708 100 %0.52 
State:
California$513,997 17 %0.41 
Texas214,630 0.54 
Florida201,175 0.61 
New York132,747 0.89 
Illinois113,777 0.69 
All other1,866,382 61 0.49 
Total$3,042,708 100 %0.52 
(1)Excludes UPB of loans underlying certain securitization products for which data was not available.
(2)Region designation: West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA); Northeast (CT, DE, DC, MA, ME, MD, NH, NJ, NY, PA, RI, VT, VA, WV); Southeast (AL, FL, GA, KY, MS, NC, PR, SC, TN, VI); Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY); North Central (IL, IN, IA, MI, MN, ND, OH, SD, WI).
Freddie Mac 1Q 2024 Form 10-Q75

Financial Statements
Notes to the Condensed Consolidated Financial Statements | Note 1112




Markets segment of $401 million and $1.0 billion for 3Q 2016 and YTD 2016, respectively, to align with the current presentation.
The table below presents Segment Earnings by segment.
(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
Multifamily374
 744
 1,212
 1,156
Capital Markets4,042
 1,088
 5,591
 (78)
All Other
 
 
 
Total Segment Earnings, net of taxes4,671
 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
Multifamily370
 790
 1,277
 1,212
Capital Markets4,025
 1,024
 5,852
 142
All Other
 
 
 
Comprehensive income of segments4,650
 2,310
 8,870
 3,243
Comprehensive income
$4,650
 
$2,310
 
$8,870
 
$3,243

Multifamily Mortgage Portfolio
Freddie Mac Form 10-Q125



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 11


The tables below present detailed reconciliations between our GAAP financial statements and Segment Earnings for our reportable segments and All Other.

 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 income255
 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 income1,743

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

Freddie Mac Form 10-Q126



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 11


 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 income497

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 losses113
 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

(1)Guarantee fee income is included in other income (loss) on our GAAP condensed consolidated statements of comprehensive income.

Freddie Mac Form 10-Q127



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 12



NOTE 12: CONCENTRATION OF CREDIT AND OTHER RISKS
SINGLE-FAMILY CREDIT GUARANTEE PORTFOLIO
The table below summarizes the concentration by loan portfolio and geographic area of the approximately $1.8 trillion UPB of our single-family credit guarantee portfolio at both September 30, 2017 and December 31, 2016.Multifamily mortgage portfolio. See Note 2, Note 3, Note 4, and Note 5 for moreadditional information about credit risk associated with multifamily loans and mortgage-related securities that we hold or guarantee.
Table 12.2 - Concentration of Credit Risk of Our Multifamily Mortgage Portfolio
March 31, 2024
(Dollars in millions)Portfolio UPB% of Portfolio
Delinquency Rate(1)
Region(2)(3):
West$110,321 25 %0.10 %
Northeast107,670 24 0.72 
Southwest91,795 21 0.32 
Southeast89,530 20 0.16 
North Central43,771 10 0.41 
Total$443,087 100 %0.34 
State(3):
California$58,752 13 %0.03
Texas56,448 13 0.34
Florida39,019 0.12
New York33,941 1.87
Georgia18,316 0.11
All other236,611 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 portfolio77% 0.19% 73% 0.20% 3% 6%
Legacy and relief refinance single-family loan portfolio23
 2.14% 27
 2.28% 97
 94
Total100% 0.86% 100% 1.00% 100% 100%
Region(1)(3)
           
West30% 0.47% 30% 0.57% 27% 10%
Northeast25
 1.24% 25
 1.45% 34
 40
North Central16
 0.81% 16
 0.93% 16
 25
Southeast16
 1.02% 16
 1.19% 19
 19
Southwest13
 0.67% 13
 0.78% 4
 6
Total100% 0.86% 100% 1.00% 100% 100%
State(2)(3)
           
California18% 0.40% 18% 0.46% 18% 4%
Florida6
 1.17% 6
 1.42% 12
 9
Illinois5
 1.14% 5
 1.34% 9
 10
New Jersey3
 1.82% 3
 2.26% 9
 11
New York5
 1.75% 5
 2.05% 8
 9
All other63
 0.78% 63
 0.90% 44
 57
Total100% 0.86% 100% 1.00% 100% 100%
(1)Based on loans two monthly payments or more delinquent or in foreclosure.

(2)Region designation: West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA); Northeast (CT, DE, DC, MA, ME, MD, NH, NJ, NY, PA, RI, VT, VA, WV); Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY); Southeast (AL, FL, GA, KY, MS, NC, PR, SC, TN, VI); North Central (IL, IN, IA, MI, MN, ND, OH, SD, WI).
(1)Region designation: West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA); Northeast (CT, DE, DC, MA, ME, MD, NH, NJ, NY, PA, RI, VT, VA, WV); North Central (IL, IN, IA, MI, MN, ND, OH, SD, WI); Southeast (AL, FL, GA, KY, MS, NC, PR, SC, TN, VI); Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY).
(2)States presented based on those with the highest percentage of credit losses during YTD 2017.
(3)On January 1, 2017, we elected a new accounting policy for reclassifications of loans from held-for-investment to held-for-sale. The charge-offs taken under the new policy affected some states more than others. See Note 4 for further information about this change.

(3)The UPB of loans collateralized by properties located in multiple regions or states are reported entirely in the region or state with the largest underlying collateral UPB as of origination.
Freddie Mac 1Q 2024 Form 10-Q12876



Financial Statements
Notes to the Condensed Consolidated Financial Statements|Note 1213




CREDIT PERFORMANCE OF CERTAIN HIGHER RISK SINGLE-FAMILY LOAN CATEGORIES
Participants in the mortgage market have characterized single-family loans based upon their overall credit quality at the time of origination, including as prime or subprime. Mortgage market participants have classified single-family loans as Alt-A if these loans have credit characteristics that range between their prime and subprime categories, if they are underwritten with lower or alternative income or asset documentation requirements compared to a full documentation loan, or both. Although we discontinued new purchases of loans with lower documentation standards beginning March 1, 2009, we continued to purchase certain amounts of these loans in cases where the loan was either:
Purchased pursuant to a previously issued other mortgage-related guarantee;
Part of our relief refinance initiative; or
In another refinance loan initiative and the pre-existing loan (including Alt-A loans) was originated under less than full documentation standards.
In the event we purchase a refinance loan and the original loan had been previously identified as Alt-A, such refinance loan may no longer be categorized or reported as Alt-A in the table below because the new refinance loan replacing the original loan would not be identified by the seller/servicer as an Alt-A loan. As a result, our reported Alt-A balances may be lower than would otherwise be the case had such refinancing not occurred.
Although we do not categorize single-family loans we purchase or guarantee as prime or subprime, we recognize that there are a number of loan types with certain characteristics that indicate a higher degree of credit risk.
For example, a borrower’s credit score is a useful measure for assessing the credit quality of the borrower. Statistically, borrowers with higher credit scores are more likely to repay or have the ability to refinance than those with lower scores.
Presented below is a summary of the serious delinquency rates of certain higher-risk categories (based on characteristics of the loan at origination) of loans in our single-family credit guarantee portfolio. The table includes a presentation of each higher-risk category in isolation. A single loan may fall within more than one category (for example, an interest-only loan may also have an original LTV ratio greater than 90%). Loans with a combination of these attributes will have an even higher risk of delinquency than those with an individual attribute.
 
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-only1% 1% 4.68% 4.34%
Alt-A2% 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%

(1)Excludes loans underlying certain other securitization products for which data was not available.
(2)Includes HARP loans, which we purchase as part of our participation in the MHA Program.

Freddie Mac Form 10-Q129



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 12



SELLERS AND SERVICERS
We acquire a significant portion of our single-family and multifamily loan purchase volume from several large sellers. The table below summarizes the concentration of single-family and multifamily sellers who provided 10% or more of our purchase volume.
  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%
In recent years, there has been a shift in our purchase volume from depository institutions to non-depository and smaller depository financial institutions. Some of these non-depository sellers have grown rapidly in recent years, and we purchase a significant share of our loans from them. Our top three non-depository sellers provided approximately 14% of our single-family purchase volume during YTD 2017.
Significant portions of our single-family and multifamily loans are serviced by several large servicers. The table below summarizes the concentration of single-family and multifamily servicers who serviced 10% or more of our single-family credit guarantee portfolio and our multifamily mortgage portfolio, excluding loans where we are not in first loss position, primarily K Certificates and SB Certificates.
  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%
In recent years, there has been a shift in our servicing from depository institutions to non-depository servicers. Some of these non-depository servicers have grown rapidly in recent years and now service a large share of our loans. As of September 30, 2017 and December 31, 2016, approximately 11% and 10% of our single-family credit guarantee portfolio, respectively, was serviced by our top three non-

Freddie Mac Form 10-Q130



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 12



depository servicers.Several of these non-depository servicers also service a large share of the loans underlying our investments in non-agency mortgage-related securities. We routinely monitor the performance of our largest non-depository servicers.
MORTGAGE INSURERS
We have counterparty credit risk relating to the potential insolvency of, or non-performance by, mortgage insurers that insure single-family loans we purchase or guarantee. We evaluate the recovery and collectability from mortgage insurers as part of the estimate of our loan loss reserves. See Note 4 for additional information. As of September 30, 2017, mortgage insurers provided coverage with maximum loss limits of $82.8 billion, for $322.5 billion of UPB, in connection with our single-family credit guarantee portfolio. These amounts are based on gross coverage without regard to netting of coverage that may exist to the extent an affected loan is covered under both primary and pool insurance.
The table below summarizes the concentration of mortgage insurer counterparties who provided 10% or more of our overall mortgage insurance coverage. On January 3, 2017, Arch Capital Group Ltd. announced that it had completed its purchase of United Guaranty Corporation at the end of 2016. The table below reflects this transaction. On October 23, 2016, Genworth Financial, Inc. announced that it had entered into an agreement to be acquired by China Oceanwide Holdings Group Co., Ltd. Regulatory approvals of the acquisition are still pending. Genworth Mortgage Insurance Corporation is a subsidiary of Genworth Financial, Inc.
    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%
(1)Ratings are for the corporate entity to which we have the greatest exposure. Coverage amounts may include coverage provided by affiliates and subsidiaries of the counterparty. Latest rating available as of September 30, 2017. Represents the lower of S&P and Moody’s credit ratings stated in terms of the S&P equivalent.
We received proceeds of $0.3 billion and $0.4 billion during YTD 2017 and YTD 2016, respectively, from our primary and pool mortgage insurance policies for recovery of losses on our single-family loans. We had outstanding receivables from mortgage insurers of $0.1 billion (excluding deferred payment obligations associated with unpaid claim amounts) as of both September 30, 2017 and December 31, 2016. The balance of these receivables, net of associated reserves, was approximately $0.1 billion at both September 30, 2017 and December 31, 2016.
PMI Mortgage Insurance Co. and Triad Guaranty Insurance Corp. are both under the control of their state regulators and are in run-off. A substantial portion of their claims is recorded by us as deferred payment obligations. As of both September 30, 2017 and December 31, 2016, we had cumulative unpaid deferred payment obligations of $0.5 billion from these insurers. We reserved for all of these unpaid amounts as collectability is uncertain. It is not clear how the regulators of these companies will administer their respective deferred payment plans in the future, nor when or if those obligations will be paid.

Freddie Mac Form 10-Q131



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 12



OTHER INVESTMENTS AND CASH COUNTERPARTIES
We are exposed to counterparty credit risk relating to the potential insolvency of, or the non-performance by, counterparties relating to other investments and cash (including non-mortgage-related securities and cash equivalents) transactions, including those entered into on behalf of our securitization trusts. Our policies require that the issuer be rated as investment grade at the time the financial instrument is purchased. We base the permitted term and dollar limits for each of these transactions on the counterparty's financial strength in order to further mitigate our risk.
Our other investments and cash counterparties are primarily major financial institutions, including other GSEs, Treasury, the Federal Reserve Bank of New York, highly-rated supranational institutions, and government money market funds. As of September 30, 2017 and December 31, 2016, $159 million and $0 million of our securities purchased under agreements to resell were used to provide financing to investors in Freddie Mac securities to increase liquidity and grow the investor base for those securities. These transactions differ from the securities purchased under agreements to resell that we use for liquidity purposes as the counterparties we face may not be major financial institutions and we are exposed to the counterparty risk of these institutions. As of September 30, 2017 and December 31, 2016, including amounts related to our consolidated VIEs, there were $81.9 billion and $96.2 billion, respectively, primarily of cash and securities purchased under agreements to resell invested with counterparties, U.S. Treasury securities, cash deposited with the Federal Reserve Bank of New York, or cash advanced to lenders. As of September 30, 2017, all of our securities purchased under agreements to resell were fully collateralized.
NON-AGENCY MORTGAGE-RELATED SECURITY ISSUERS
We are engaged in various loss mitigation efforts concerning certain investments in non-agency mortgage-related securities, including the matters described below.
In 2011, FHFA, as Conservator for Freddie Mac and Fannie Mae, filed lawsuits against a number of corporate families of financial institutions and related defendants alleging securities laws violations and, in some cases, fraud. On July 12, 2017, FHFA reached a settlement with the Royal Bank of Scotland Group plc, related companies and specifically named individuals (collectively RBS). The settlement resolves all claims in the lawsuit filed by FHFA against RBS in the U.S. District Court for the District of Connecticut. Under the terms of the agreement, RBS paid Freddie Mac $4.5 billion. We recognized this amount within non-interest income on our condensed consolidated statements of comprehensive income during the third quarter of 2017. The separate lawsuit filed by FHFA against Nomura Holding America, Inc. (or Nomura) and RBS in the U.S. District Court for the Southern District of New York remains outstanding. This case went to trial in March 2015. In May 2015, the judge ruled against the defendants and ordered them to pay an aggregate of $806 million, of which $779 million will be paid to Freddie Mac. The order also provides for Freddie Mac to transfer the mortgage-related securities at issue in this trial to the defendants. The defendants have agreed to pay for certain costs, legal fees and expenses if FHFA prevails in the litigation. This expense reimbursement payment is subject to various conditions, and is capped at $33 million (half of any such payment would be made to Freddie Mac). The defendants filed a notice of appeal in the U.S. Court of Appeals for the Second Circuit. On September 28, 2017, the Second Circuit affirmed the District Court's decision in full. The defendants may petition the U.S. Supreme Court to review the Second Circuit's decision.

Freddie Mac Form 10-Q132



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 12



We worked with an investor consortium to enforce certain claims with J.P. Morgan Chase & Co. relating to a number of non-agency mortgage-related securities. A settlement agreement was entered into with respect to these claims. The settlement is subject to certain conditions, which have not yet been satisfied. Our expected benefit from the settlement, which currently totals approximately $29 million, will be recognized in earnings over the expected remaining life of the securities, unless the securities are sold, at which time the benefit would be considered in the sales price of the securities.

Freddie Mac Form 10-Q133



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 13


NOTE 13: FAIR VALUE DISCLOSURE13
The accounting guidance for fair value measurements and disclosures defines fair value, establishes a framework for measuring fair value, and sets forth disclosure requirements regarding fair value measurements. This guidance applies whenever other accounting guidance requires or permits assets or liabilities to be measured at fair value. Fair value represents the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value measurement assumes that the transaction to sell the asset or transfer the liability takes place either in the principal market for the asset or liability, or, in the absence of a principal market, in the most advantageous market for the asset or liability.Value Disclosures
We use fair value measurements for the initial recording of certain assets and liabilities and periodic remeasurement of certain assets and liabilities on a recurring or non-recurring basis.
FAIR VALUE MEASUREMENTS
Assets and Liabilities Measured at Fair Value on a Recurring Basis
The accounting guidance for fair value measurements and disclosures establishes a three-level fair value hierarchy that prioritizes the inputs into the valuation techniques used to measure fair value. The levels of the fair value hierarchy are defined as follows in priority order:
Level 1 - inputs to the valuation techniques are based on quoted prices in active markets for identical assets or liabilities.
Level 2 - inputs to the valuation techniques are based on observable inputs other than quoted prices in active markets for identical assets or liabilities.
Level 3 - one or more inputs to the valuation technique are unobservable and significant to the fair value measurement.
We use quoted market prices and valuation techniques that seek to maximize the use of observable inputs, where available, and minimize the use of unobservable inputs. Our inputs are based on the assumptions a market participant would use in valuing the asset or liability. Assets and liabilities are classified in their entirety within the fair value hierarchy based on the lowest level input that is significant to the fair value measurement.
VALUATION RISK AND CONTROLS OVER FAIR VALUE MEASUREMENTS
Valuation risk is the risk that fair values used for financial disclosures, risk metrics and performance measures do not reasonably reflect market conditions and prices.
We designed our control processes so that our fair value measurements are appropriate and reliable, that they are based on observable inputs where possible, and that our valuation approaches are consistently applied and the assumptions and inputs are reasonable. Our control processes provide a framework for segregation of duties and oversight of our fair value methodologies, techniques, validation procedures, and results.

Freddie Mac Form 10-Q134



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 13


VALUATION TECHNIQUES
HARP Loans

For loans that have been refinanced under HARP, we value our guarantee obligation using the guarantee fees currently charged by us under that initiative. HARP loans valued using this technique are classified as Level 2, as the fees charged by us are observable. The majority of our HARP loans are classified as Level 2. If, subsequent to delivery, the refinanced loan no longer qualifies for purchase based on current underwriting standards (such as becoming past due or being modified), the fair value of the guarantee obligation is then measured using our internal credit models or the median of external sources, if the loan’s principal market has changed to the whole loan market. HARP loans valued using either of these techniques are classified as Level 3 as significant inputs are unobservable.
The total compensation that we receive for the delivery of a HARP loan reflects the pricing that we are willing to offer because HARP is a part of a broader government program intended to provide assistance to homeowners and prevent foreclosures. When HARP ends on December 31, 2018, the beneficial pricing afforded to HARP loans may no longer be reflected in the pricing structure of our guarantee fees. If these benefits were not reflected in the pricing for these loans, the fair value of our loans would have decreased by $2.9 billion and $5.3 billion as of September 30, 2017 and December 31, 2016, respectively. The total fair value of the loans in our portfolio that reflect the pricing afforded to HARP loans as of September 30, 2017 and December 31, 2016 was $35.7 billion and $52.8 billion, respectively.
ASSETS AND LIABILITIES ON OUR CONDENDSED CONSOLIDATED BALANCE SHEETS MEASURED AT FAIR VALUE ON A RECURRING BASIS
The following tables presenttable below presents our assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments where we have elected the fair value option.
Table 13.1 - Assets and Liabilities Measured at Fair Value on a Recurring Basis
March 31, 2024
(In millions)Level 1Level 2Level 3
Netting Adjustments(1)
Total
Assets:
Investment securities:
Available-for-sale$— $4,092 $637 $— $4,729 
Trading:
Mortgage-related securities— 5,116 3,002 — 8,118 
Non-mortgage-related securities28,136 417 — — 28,553 
Total trading securities28,136 5,533 3,002  36,671 
Total investment securities28,136 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, net8,763 78 (7,793)1,052 
Other liabilities— — — 
Total other liabilities4 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 









Referenced footnote is included after the prior period table.
Freddie Mac 1Q 2024 Form 10-Q13577



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



 December 31, 2023
(In millions)Level 1Level 2Level 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 securities29,854 418 — — 30,272 
Total trading securities29,854 5,760 2,771  38,385 
Total investment securities29,854 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 (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 
(1)     Represents counterparty netting and cash collateral netting.
 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 securities14,648
 2,859
 
 
 17,507
Total trading securities, at fair value14,648
 19,509
 1,569
 
 35,726
Total investments in securities14,648
 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

Level 3 Fair Value Measurements
Freddie Mac Form 10-Q136



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 13


 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 securities19,402
 1,735
 
 
 21,137
Total trading securities, at fair value19,402
 24,168
 1,220
 
 44,790
Total investments in securities19,402
 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

(1)Represents counterparty netting, cash collateral netting and net derivative interest receivable or payable.

Freddie Mac Form 10-Q137



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 13


ASSETS ON OUR CONDENSED CONSOLIDATED BALANCE SHEETS MEASURED AT FAIR VALUE ON A NON-RECURRING BASIS
We may be required, from time to time, to measure certain assets at fair value on a non-recurring basis after our initial recognition. These adjustments usually result from the application of lower-of-cost-or-fair-value accounting or measurement of impairment based on the fair value of the underlying collateral.
The table below presents assets measured on our condensed consolidated balance sheets at fair value on a non-recurring basis.
 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
(1)Includes loans that are classified as held-for-investment and have been measured for impairment based on the fair value of the underlying collateral and held-for-sale loans where the fair value is below cost.
LEVEL 3 FAIR VALUE MEASUREMENTS
The tables below present a reconciliation of all assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis using significant unobservable inputs (Level 3), including transfers into and out of Level 3 assets and liabilities.3. The tablestable also presentpresents gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized inon our condensed consolidated statements of comprehensive income for Level 3 assets and liabilities. When assets and liabilities are transferred between levels, we recognize the transfer as of the beginning of the period.

Freddie Mac 1Q 2024 Form 10-Q13878



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



Table 13.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs
1Q 2024
Balance,
January 1,
2024
Total Realized/Unrealized Gains/Losses(1)
PurchasesIssuesSalesSettlements,
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)
Trading2,771 (112)— 359 — — (16)— — 3,002 19 — 
Total investment securities3,449 (112)(5)359   (52)  3,639 19 (4)
Mortgage loans held-for-sale896 (6)— 294 — (273)— 35 (159)787 (7)— 
Mortgage loans held-for-investment473 (24)— — — — (47)298 (5)695 (29)— 
Other assets:
Guarantee assets5,351 111 — — 105 — (226)— — 5,341 111 — 
Other assets168 20 — (10)(5)25 — — 199 19 — 
Total other assets5,519 131  (10)106 (5)(201)  5,540 130  
Total assets10,337 (11)(5)643 106 (278)(300)333 (164)10,661 113 (4)
Liabilities
Debt$433 $5 $— ($4)$19 $— ($3)$— $— $450 $10 $— 
Other liabilities63 15 — — — (1)— — 79 16 — 
Total liabilities$496 $20 $— ($2)$19 $— ($4)$— $— $529 $26 $— 
 1Q 2023
 Balance,
January 1,
2023
Total Realized/Unrealized Gains/Losses(1)
PurchasesIssuesSalesSettlements,
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)
Trading2,731 (139)— 324 — — (11)— — 2,905 33 — 
Total investment securities3,625 (138)(3)324   (50)  3,758 33 (3)
Mortgage loans held-for-sale310 — 26 — — (1)11 — 347 — — 
Mortgage loans held-for-investment110 — — — — — — (48)64 — 
Other assets:
Guarantee assets5,442 85 — — 127 — (222)— — 5,432 85 — 
Other assets131 16 — (10)— — (9)— — 128 16 — 
Total other assets5,573 101  (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 liabilities97 (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 agency51
 
 
 
 
 
 
 (3) 
 
 48
 
Non-agency RMBS8,639
 854
 (128) 726
 
 
 (3,953) (277) 
 
 5,135
 38
Non-agency CMBS3,470
 1
 5
 6
 
 
 
 (7) 
 
 3,469
 1
Obligations of states and political subdivisions481
 
 (1) (1) 
 
 
 (78) 
 
 402
 
Total available-for-sale mortgage-related securities18,327

851

(42) 809
 141
 
 (3,953)
(690)




14,634

35
Trading, at fair value:                    

  
Mortgage-related securities:                    

  
Freddie Mac888
 (45) 
 (45) 587
 
 
 (4) 
 (396) 1,030
 (43)
Other agency10
 (1) 
 (1) 259
 
 
 
 
 
 268
 (1)
All other108
 (2) 
 (2) 176
 
 
 (11) 
 
 271
 (2)
Total trading mortgage-related securities1,006

(48)


(48)
1,022





(15)


(396)
1,569

(46)
Other assets:                       
Guarantee asset2,480
 (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 value89
 
 
 
 
 
 
 
 
 
 89
 
Net derivatives(2)
68
 2
 
 2
 
 (1) 
 (2) 
 
 67
 (2)
Other liabilities:                       
All other, at fair value17
 (12) 
 (12) 5
 
 13
 
 
 
 23
 (12)
(1)For assets, increase and decrease in earnings and other comprehensive income is shown as gains and (losses), respectively. For liabilities, increase and decrease in earnings and comprehensive income is shown as (gains) and losses, respectively.

(2)Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains and losses related to assets and liabilities classified as Level 3 that were still held at March 31, 2024 and March 31, 2023.
Freddie Mac 1Q 2024 Form 10-Q13979



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 agency66
 
 (1) (1) 
 
 
 (9) 
 (8) 48
 
Non-agency RMBS11,797
 1,285
 (68) 1,217
 
 
 (6,649) (1,230) 
 
 5,135
 111
Non-agency CMBS3,366
 4
 128
 132
 
 
 
 (29) 
 
 3,469
 4
Obligations of states and political subdivisions665
 1
 (2) (1) 
 
 
 (262) 
 
 402
 
Total available-for-sale mortgage-related securities25,741
 1,284

174
 1,458
 635



(7,556)
(2,557)
17

(3,104) 14,634
 100
Trading, at fair value:                       
Mortgage-related securities:                    

  
Freddie Mac1,095
 (121) 
 (121) 889
 
 (592) (9) 14
 (246) 1,030
 (92)
Other agency12
 (3) 
 (3) 259
 
 
 
 
 
 268
 (3)
All other113
 
 
 
 176
 
 
 (18) 
 
 271
 
Total trading mortgage-related securities1,220
 (124) 
 (124) 1,324



(592)
(27)
14

(246) 1,569
 (95)
Other assets:    
           
 
 

  
Guarantee asset2,299
 (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 value95
 
 
 
 
 
 
 (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)

Freddie Mac Form 10-Q140



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 13


 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 agency73
 
 
 
 
 
 
 (4) 
 
 69
 
Non-agency RMBS15,497
 437
 214
 651
 
 
 (2,869) (672) 
 
 12,607
 87
Non-agency CMBS3,611
 1
 125
 126
 
 
 
 (8) 
 
 3,729
 1
Obligations of states and political subdivisions890
 
 (2) (2) 
 
 
 (92) 
 
 796
 
Total available-for-sale mortgage-related securities31,533
 438
 299
 737
 462
 
 (3,235) (1,022) 
 (4,134) 24,341
 87
Trading, at fair value:                       
Mortgage-related securities:                       
Freddie Mac315
 11
 
 11
 753
 
 (5) (5) 99
 (234) 934
 3
Other agency615
 4
 
 4
 
 
 (112) (20) 
 (474) 13
 
All other1
 
 
 
 
 
 
 
 
 
 1
 
Total trading mortgage-related securities931
 15
 
 15
 753
 
 (117) (25) 99
 (708) 948
 3
Other assets:                       
Guarantee asset2,057
 
 
 
 
 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 value15
 10
 
 10
 (25) 
 
 
 
 
 
 10

Freddie Mac Form 10-Q141



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 13


 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 agency91
 
 (1) (1) 
 
 
 (15) 
 (6) 69
 
Non-agency RMBS20,333
 810
 (73) 737
 
 
 (5,887) (2,576) 
 
 12,607
 201
Non-agency CMBS3,530
 2
 224
 226
 
 
 
 (27) 
 
 3,729
 2
Obligations of states and political subdivisions1,205
 1
 (4) (3) 
 
 
 (406) 
 
 796
 
Total available-for-sale mortgage-related securities27,767
 833

174

1,007

5,618



(6,378)
(3,352)


(321)
24,341

202
Trading, at fair value:                       
Mortgage-related securities:                       
Freddie Mac331
 (4) 
 (4) 800
 
 (142) (3) 74
 (122) 934
 (4)
Other agency41
 (1) 
 (1) 
 
 (20) (7) 
 
 13
 (2)
All other2
 
 
 
 
 
 
 (1) 
 
 1
 
Total trading mortgage-related securities374
 (5)


(5)
800



(162)
(11)
74

(122)
948

(6)
Other assets:                       
Guarantee asset1,753
 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 value10
 7
 
 7
 (17) 
 
 
 
 
 
 7

(1)Transfers out of Level 3 during 3Q 2017 and YTD 2017 consisted primarily of certain mortgage-related securities due to an increased volume and level of activity in the market and availability of price quotes from dealers and third-party pricing services. Certain Freddie Mac securities are classified as Level 3 at issuance and generally are classified as Level 2 when they begin trading. Transfers into Level 3 during 3Q 2017 and YTD 2017 consisted primarily of certain mortgage-related securities due to a lack of market activity and relevant price quotes from dealers and third-party pricing services.
(2)Amounts are prior to counterparty netting, cash collateral netting, net trade/settle receivable or payable and net derivative interest receivable or payable.
(3)Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains and losses related to assets and liabilities classified as Level 3 that were still held at September 30, 2017 and September 30, 2016, respectively. Included in these amounts are other-than temporary impairments recorded on available-for-sale securities.

Freddie Mac Form 10-Q142



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 13


The tablestable below provideprovides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis.
Table 13.3 - Quantitative Information about Recurring Level 3 Fair Value Measurements
March 31, 2024
 
Level 3
Fair
Value
Predominant
Valuation
Technique(s)
Unobservable Inputs
(Dollars in millions, except for certain unobservable inputs as shown)

TypeRange
Weighted
Average(1)
Assets
Investment securities:
   Available-for-sale$469 Median of external sourcesExternal pricing sources$59.7 - $70.6$65.5 
169 Other
   Trading2,235 Single external sourceExternal pricing source$0.0 - $4,251.3$129.4 
767 Other
Mortgage loans held-for-sale787 Single external sourceExternal pricing source$64.9 - $108.3$100.3 
Mortgage loans held-for-investment695 Single external sourceExternal pricing source$29.5 - $100.0$80.8 
Guarantee assets5,012  Discounted cash flowsOAS17 - 233 bps47 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)

TypeRange
Weighted
Average(1)
Assets
Investment securities:
   Available-for-sale$489 Median of external sourcesExternal pricing sources$61.2 - $71.6$66.7 

189 Other
   Trading2,085 Single external sourceExternal pricing source$0.0 - $4,471.7$147.3 
686 Other
Mortgage loans held-for-sale896 Single external sourceExternal pricing source$59.3 - $110.4$100.3 
Mortgage loans held-for-investment473 Single external sourceExternal pricing source$24.7 - $99.2$74.7 
    Guarantee assets5,014  Discounted cash flowsOAS17 - 233 bps47 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 
(1)     Unobservable inputs were weighted primarily by the relative fair value of the financial instruments.
(2) Represents the aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis using unobservable inputs (Level 3).
that are individually and in the aggregate insignificant.
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 Mac5,580        
Other agency29 Median of external sources      
 19 Single external source      
Total other agency48        
Non-agency RMBS4,511 Median of external sources External pricing sources $74.7 - $79.3 $76.4
 624 Other      
Total non-agency RMBS5,135        
Non-agency CMBS3,468 Single external source External pricing sources $6.3 - $107.8 $95.7
 1 Other      
Total non-agency CMBS3,469        
Obligations of states and political subdivisions366 Median of external sources External pricing sources $101.3 - $101.7 $101.5
 36 Other      
Total obligations of states and political subdivisions402        
Total available-for-sale mortgage-related securities14,634        
Trading, at fair value         
Mortgage-related securities         
Freddie Mac664 Discounted cash flows OAS (7,125) - 27,202 bps 144 bps
 99 Risk metrics     
 98 Single external source      
 169 Other      
Total Freddie Mac1,030        
Other agency208 Discounted cash flows OAS (562) - 424 bps (60) bps
 60 Risk metrics      
Total other agency268        
          
All other171 Risk metrics Effective duration 0.00 - 7.32 years 7.32 years
 99 Single external source      
 1 Other      
Total all other271        
Total trading mortgage-related securities1,569        
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 value531  Single External Source  External Pricing Sources  $100.0 - $100.5 $100.1
Other debt, at fair value89 Other      
Net derivatives67 Other      
Other liabilities         
All other, at fair value23 Other      




Freddie Mac 1Q 2024 Form 10-Q14380



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 Mac9,847








Other agency32 Median of external sources     

 23 Single external source      

11
Other






Total other agency66








Non-agency RMBS9,974
Median of external sources
External pricing sources
$74.0 - $78.8

$76.0

1,823
Other






Total non-agency RMBS11,797








Non-agency CMBS3,365
Risk Metrics
Effective duration
2.15 - 10.02 years
8.57 years

1
Other






Total non-agency CMBS3,366








Obligations of states and political subdivisions619
Median of external sources
External pricing sources
$100.9 - $101.5

$101.2

46
Other






Total obligations of states and political subdivisions665








Total available-for-sale mortgage-related securities25,741








Trading, at fair value 








Mortgage-related securities









Freddie Mac452
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 Mac1,095








Other agency12
Discounted cash flows






All other113
Risk metrics
Effective duration
0.14 - 4.08 years
2.52 years
Total trading mortgage-related securities1,220








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 value2,298








All other at fair value2 Other      
Total other assets2,300  ��     
Liabilities 








Other debt, at fair value95 Other      
Net derivatives49
Other






Assets Measured at Fair Value on a Non-Recurring Basis
(1)Certain unobservable input types, range, and weighted average data are not disclosed in these tables if they are associated with a class: (a) that has a Level 3 fair value measurement that is not considered material; or (b) where we have disclosed the predominant valuation technique with related unobservable inputs for the most significant portion of that class.


Freddie Mac Form 10-Q144



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 13


We may be required, from time to time, to measure certain assets at fair value on a non-recurring basis. These adjustments usually result from the application of lower-of-cost-or-fair-value accounting or measurement of impairment based on the fair value of the underlying collateral. Certain fair values in the tables below were not obtained as of period end, but were obtained during the period.
The tablestable below providepresents assets measured on our condensed consolidated balance sheets at fair value on a non-recurring basis.
Table 13.4 - Assets Measured at Fair Value on a Non-Recurring Basis
March 31, 2024December 31, 2023
(In millions)Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total
Mortgage loans(1)
$— $407 $1,280 $1,687 $— $640 $1,578 $2,218 
(1)Includes loans that are classified as held-for-investment and have an allowance for credit losses based on the fair value of the underlying collateral and held-for-sale loans where the fair value is below cost.
The table below provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets and liabilities measured on our condensed consolidated balance sheets at fair value on a non-recurring basis using unobservablebasis.
Table 13.5 - Quantitative Information About Non-Recurring Level 3 Fair Value Measurements
March 31, 2024
Level 3
Fair
Value
Predominant
Valuation
Technique(s)
Unobservable Inputs
(Dollars in millions, except for certain unobservable inputs as shown)
TypeRange
Weighted
Average(1)
Mortgage loans$1,076 Median of external sourcesExternal pricing sources$74.8 - $98.6$83.2
204Other
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)
TypeRange
Weighted
Average(1)
Mortgage loans$1,394 Median of external sourcesExternal pricing sources$72.9 - $98.8$82.4
184Other
Total$1,578 
(1) Unobservable inputs (Level 3). Certainwere weighted primarily by the relative fair value of the fair values in the tables below were not obtained as of the period end, but were obtained during the period.financial instruments.

Freddie Mac 1Q 2024 Form 10-Q
September 30, 2017
Level 3
Fair
Value
Predominant
Valuation
Technique(s)
Unobservable Inputs
(Dollars in millions, except for certain unobservable inputs as shown)TypeRange
Weighted
Average
Non-recurring fair value measurements
Mortgage loans
$5,715
Internal modelHistorical sales
proceeds
$3,000 - $808,500$175,116
Internal modelHousing sales index39 - 354 bps99 bps
Income capitalization(1)
Capitalization rates7% - 8%7%
Median of external sourcesExternal pricing sources$36.5-$94.9$80.0
 December 31, 2016
Level 3
Fair
Value
Predominant
Valuation
Technique(s)
Unobservable Inputs
(Dollars in millions, except for certain unobservable inputs as shown)TypeRange
Weighted
Average
Non-recurring fair value measurements
Mortgage loans
$2,483
Internal modelHistorical sales
proceeds
$3,000 - $770,000$167,137
Internal modelHousing sales index42 - 374 bps96 bps
Income capitalization(1)
Capitalization rates7% - 10%7%
Median of external sourcesExternal pricing sources$37.0 - $94.3$75.081


(1)Financial StatementsThe predominant valuation technique used for multifamily loans. Certain loans in this population are valued using other techniques, and
                      Notes to the capitalization rate for those is not represented in the “Range” or “Weighted Average” above.Condensed Consolidated Financial Statements|Note 13
FAIR VALUE OF FINANCIAL INSTRUMENTS

Fair Value of Financial Instruments
The tablestable below presentpresents the carrying value and estimated fair value of our financial instruments. For certain types of financial instruments, such as cash and cash equivalents, restricted cash and cash equivalents, securities purchased under agreements to resell, advances to lenders, other secured lending, and certain other debt, including securities sold under agreements to repurchase, the carrying value on our GAAPcondensed consolidated balance sheets approximates fair value, as these assets and liabilities are short-term in nature and have limited marketfair value volatility.

Table 13.6 - Fair Value of Financial Instruments
March 31, 2024
GAAP Measurement Category(1)
Carrying  AmountFair Value
(In millions)Level 1Level 2Level 3
Netting 
Adjustments(2)
Total
Financial Assets
Cash and cash equivalentsAmortized cost$3,531 $3,531 $— $— $— $3,531 
Securities purchased under agreements to resellAmortized cost102,257 — 116,057 — (13,800)102,257 
Investment securities:
Available-for-saleFV - OCI4,729 — 4,092 637 — 4,729 
TradingFV - NI36,671 28,136 5,533 3,002 — 36,671 
 Total investment securities41,400 28,136 9,625 3,639  41,400 
Mortgage loans:
Mortgage loans held-for-sale12,034 — 8,826 3,383 — 12,209 
Mortgage loans held-for-investment, net of allowance for credit losses3,088,687 — 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 assetsFV - NI5,341 — — 5,343 — 5,343 
Derivative assets, netFV - NI292 — 6,206 32 (5,946)292 
Other assets(4)
Various2,910 — 434 2,482 — 2,916 
   Total other assets8,543  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 Mac161,704 — 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 obligationsAmortized cost5,302 — 102 6,348 — 6,450 
Derivative liabilities, netFV - NI1,052 8,763 78 (7,793)1,052 
Other liabilities(4)
FV - NI14 — 423 169 — 592 
 Total other liabilities6,368 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 
Referenced footnotes are included after the prior period table.
Freddie Mac 1Q 2024 Form 10-Q14582



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



December 31, 2023
 
GAAP Measurement Category(1)
Carrying  AmountFair Value
(In millions)Level 1Level 2Level 3
Netting Adjustments(2)
Total
Financial Assets
Cash and cash equivalentsAmortized cost$6,019 $6,019 $— $— $— $6,019 
Securities purchased under agreements to resellAmortized cost95,148 — 105,393 — (10,245)95,148 
Investment securities:
Available-for-saleFV - OCI4,890 — 4,212 678 — 4,890 
TradingFV - NI38,385 29,854 5,760 2,771 — 38,385 
Total investment securities43,275 29,854 9,972 3,449  43,275 
Mortgage loans:
Mortgage loans held-for-sale12,941 — 9,276 3,868 — 13,144 
Mortgage loans held-for-investment, net of allowance for credit losses3,083,665 — 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 assetsFV - NI5,351 — — 5,353 — 5,353 
Derivative assets, netFV - NI486 — 6,209 (5,725)486 
Other assets(4)
Various2,107 — 946 1,165 — 2,111 
Total other assets7,944  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 Mac166,419 — 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 obligationsAmortized cost5,451 — 103 6,023 — 6,126 
Derivative liabilities, netFV - NI873 — 8,608 63 (7,798)873 
Other liabilities(4)
FV - NI14 — 465 194 — 659 
Total other liabilities6,338  9,176 6,280 (7,798)7,658 
Total financial liabilities$3,214,684 $— $2,856,072 $10,398 ($18,043)$2,848,427 
(1)FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income.
(2)Represents counterparty netting and cash collateral netting.
(3)The GAAP carrying amounts measured at amortized cost, lower-of-cost-or-fair-value, and FV - NI were $3.1 trillion, $4.1 billion, and $9.9 billion as of March 31, 2024, respectively, and $3.1 trillion, $5.6 billion and $9.2 billion as of December 31, 2023, respectively.
(4)For other assets, includes advances to lenders, secured lending, and loan commitments. For other liabilities, includes loan commitments.
(5)The GAAP carrying amounts measured at amortized cost and FV - NI were $3.2 trillion and $2.7 billion as of March 31, 2024, respectively, and $3.2 trillion and $2.5 billion as of December 31, 2023, respectively.
 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 equivalents7,684
 7,684
 
 
 
 7,684
Securities purchased under agreements to resell47,202
 
 47,202
 
 
 47,202
Investments in securities:
 
 
 
 
  
Available-for-sale, at fair value51,422
 
 36,788
 14,634
 
 51,422
Trading, at fair value35,726
 14,648
 19,509
 1,569
 
 35,726
Total investments in securities87,148
 14,648
 56,297
 16,203
 
 87,148
Mortgage loans:           
Loans held by consolidated trusts1,738,858
 
 1,613,122
 141,914
 
 1,755,036
Loans held by Freddie Mac106,034
 
 34,015
 75,050
 
 109,065
Total mortgage loans1,844,892
 
 1,647,137
 216,964
 
 1,864,101
Derivative assets, net705
 
 9,218
 3
 (8,516) 705
Guarantee asset2,621
 
 
 2,789
 
 2,789
Non-derivative purchase commitments, at fair value140
 
 140
 45
 
 185
Advances to lenders and other secured lending1,649
 
 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 debt318,054
 
 318,649
 4,166
 
 322,815
Total debt, net2,009,578
 
 2,019,204
 7,585
 
 2,026,789
Derivative liabilities, net212
 
 8,199
 67
 (8,054) 212
Guarantee obligation2,503
 
 
 3,217
 
 3,217
Non-derivative purchase commitments, at fair value36
 
 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-Q14683



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 equivalents9,851
 9,851
 
 
 
 9,851
Securities purchased under agreements to resell51,548
 
 51,548
 
 
 51,548
Investments in securities:          

Available-for-sale, at fair value66,757
 
 41,016
 25,741
 
 66,757
Trading, at fair value44,790
 19,402
 24,168
 1,220
 
 44,790
Total investments in securities111,547
 19,402

65,184

26,961


 111,547
Mortgage loans:          

Loans held by consolidated trusts1,690,218
 
 1,554,143
 142,121
 
 1,696,264
Loans held by Freddie Mac112,785
 
 31,004
 84,227
 
 115,231
Total mortgage loans1,803,003
 

1,585,147

226,348


 1,811,495
Derivative assets, net747
 
 12,265
 3
 (11,521) 747
Guarantee asset2,298
 
 
 2,490
 
 2,490
Non-derivative purchase commitments, at fair value108
 
 108
 18
 
 126
Advances to lenders and other secured lending1,278
 
 
 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 debt353,321
 
 352,837
 4,809
 
 357,646
Total debt, net2,002,004
 

2,004,150

5,414


 2,009,564
Derivative liabilities, net795
 
 12,640
 52
 (11,897) 795
Guarantee obligation2,208
 
 
 3,399
 
 3,399
Non-derivative purchase commitments, at fair value37
 
 37
 45
 
 82
Total financial liabilities
$2,005,044
 
$—


$2,016,827


$8,910


($11,897) 
$2,013,840
Fair Value Option
(1)Represents counterparty netting, cash collateral netting and net derivative interest receivable or payable.

Freddie Mac Form 10-Q147



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 13


FAIR VALUE OPTION
We elected the fair value option for certain multifamily held-for-salemortgage loans multifamily held-for-saleand loan purchase commitments and certain debt.debt issuances.
The table below presents the fair value and UPB related to certain items for which we have elected the fair value option.
  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


$—
Table 13.7 - Difference between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected(1)
March 31, 2024December 31, 2023
(In millions)Fair valueUPBDifferenceFair valueUPBDifference
Mortgage loans held-for-sale$7,926 $7,793 $133 $7,356 $7,080 $276 
Mortgage loans held-for-investment1,931 2,227 (296)1,806 2,095 (289)
Debt of Freddie Mac200 194 240 234 
Debt of consolidated trusts1,950 2,070 (120)1,705 1,799 (94)
Other assets (other liabilities)48 N/AN/A95 N/AN/A
(1)    Does not includeExcludes interest-only securities related to debt of consolidated trusts and debt of Freddie Mac with a fair value of $15 million and $144 million$0.5 billion as of September 30, 2017both March 31, 2024 and December 31, 2016, respectively.2023.
Changes in Fair Value underUnder the Fair Value Option Election
We recorded gains (losses) of ($91) million and $118 million for 3Q 2017 and 3Q 2016, respectively, and ($83) million and $697 million for YTD 2017 and YTD 2016, respectively, fromThe table below presents the changechanges in fair value on multifamily held-for-sale loans recorded atrelated to items for which we have elected the fair value option. These amounts are included in other income (loss) ininvestment gains, net, on our condensed consolidated statements of comprehensive income.
We recorded gains of $271 million and $391 million for 3Q 2017 and 3Q 2016, respectively, and $826 million and $635 million for YTD 2017 and YTD 2016, respectively, fromTable 13.8 - Changes in Fair Value Under the change in fair value of multifamily held-for-sale loan purchase commitments recorded at fair value in other income (loss) in our condensed consolidated statements of comprehensive income.
Gains (losses) on debt securities with the fair value option elected were $62 million and ($174) million for 3Q 2017 and 3Q 2016, respectively, and ($129) million and ($268) million for YTD 2017 and YTD 2016, respectively, and were recorded in other income (loss) in our condensed consolidated statements of comprehensive income.Fair Value Option Election
1Q 20241Q 2023
(In millions)Gains (Losses)
Mortgage loans held-for-sale($159)$4 
Mortgage loans held-for-investment(31)26 
Debt of Freddie Mac14 
Debt of consolidated trusts(35)
Other assets/other liabilities143 55 
Changes in fair value attributable to instrument-specific credit risk were not material for 3Q 2017 and YTD 2017 andthe periods presented for 3Q 2016 and YTD 2016 for any assets or liabilities for which we elected the fair value option.


Freddie Mac 1Q 2024 Form 10-Q14884



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



NOTE 14: LEGAL CONTINGENCIES14
Legal Contingencies
We are involved, as a partydirectly or indirectly, in a variety of legal and regulatory proceedings arising from time to time in the ordinary course of business including,(including, among other things, contractual disputes, personal injury claims, employment-related litigation, and other legal proceedings incidental to our business.business) and in connection with the conservatorship and Purchase Agreement. We are frequently involved, directly or indirectly, in litigation involving mortgage foreclosures. From time to time, we are also involved in proceedings arising from our termination of a seller/servicer’sseller's or servicer's eligibility to sell loans to, and/or service loans for, us. In these cases, the former seller/seller or servicer sometimes seeks damages against us for wrongful termination under a variety of legal theories. In addition, we are sometimes sued in connection with the origination or servicing of loans. These suits typically involve claims alleging wrongful actions of seller/sellers and servicers. Our contracts with our seller/sellers and servicers generally provide for indemnification of Freddie Mac against liability arising from seller/sellers' and servicers' wrongful actions with respect to loans sold to or serviced for Freddie Mac.
Litigation claims and claims resolutionproceedings of all types are subject to many uncertainties (including appeals and are not susceptibleprocedural filings), and there can be no assurance as to accurate prediction.the ultimate outcome of those actions (including the matters described below). In accordance with the accounting guidance for contingencies, we reserve for litigation claims and assessments asserted or threatened against us when a loss is probable (as defined in such guidance) and the amount of the loss can be reasonably estimated. The actual costs of resolving legal actions may be substantially higher or lower than the amounts accrued for those actions.
PUTATIVE SECURITIES CLASS ACTION LAWSUIT: OHIO PUBLIC EMPLOYEES RETIREMENT SYSTEM VS. FREDDIE MAC, SYRON, ET AL.It is not possible for us to predict the actions the U.S. government (including Treasury and FHFA) might take in connection with any of these lawsuits or any future lawsuits. However, it is possible that we could be adversely affected by these actions, including, for example, by changes to the Purchase Agreement, or any resulting actual or perceived changes in the level of U.S. government support for our business.

Putative Securities Class Action Lawsuit: Ohio Public Employees Retirement System vs. Freddie Mac, Syron, Et Al.
This putative securities class action lawsuit was filed against Freddie Mac and certain former officers on January 18, 2008 in the U.S. District Court for the Northern District of Ohio purportedly on behalf of a class of purchasers of Freddie Mac stock from August 1, 2006 through November 20, 2007. FHFA later intervened as Conservator, and the plaintiff amended its complaint on several occasions. The plaintiff alleged, among other things, that the defendants violated federal securities laws by making false and misleading statements concerning our business, risk management, and the procedures we put into place to protect the company from problems in the mortgage industry. The plaintiff seeks unspecified damages and interest, and reasonable costs and expenses, including attorney and expert fees.
In October 2013, defendants filed motions to dismiss the complaint. In October 2014,August 2018, the District Court granted defendants’ motions and dismisseddenied the case in its entirety against all defendants, with prejudice. In November 2014, plaintiff filed a notice of appeal in the U.S. Court of Appealsplaintiff's motion for class certification. On April 6, 2023, the Sixth Circuit. On July 20, 2016, the Court of AppealsCircuit reversed the District Court's dismissalSeptember 17, 2020 decision to grant the plaintiff's request for summary judgment and enter final judgment in favor of Freddie Mac and other defendants. The Sixth Circuit remanded the case to the District Court for further proceedings.
At present, it is not possible for us to predict the probable outcome of this lawsuit or any potential effect on our business, financial condition, liquidity, or results of operations. In addition, we are unable to reasonably estimate the possible loss or range of possible loss in the event of an adverse judgment in the foregoing matter due to the following factors, among others: the inherent uncertainty of pre-trial litigation and the fact that the District Court has not yet ruled upon motions for class certification or summary judgment. In particular, absent the certification of a class, the identification of a class period, and the identification of the alleged statement or statements that survive dispositive motions, we cannot reasonably estimate any possible loss or range of possible loss.


Freddie Mac Form 10-Q149



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 14


LIBOR LAWSUIT

On March 14, 2013, Freddie Mac filed a lawsuit in the U.S. District Court for the Eastern District of Virginia against the British Bankers Association and the 16 U.S. Dollar LIBOR panel banks and a number of their affiliates. The case was subsequently transferred to the U.S. District Court for the Southern District of New York. The complaint alleges, among other things, that the defendants fraudulently and collusively depressed LIBOR, a benchmark interest rate indexed to trillions of dollars of financial products, and asserts claims for antitrust violations, breach of contract, tortious interference with contract and fraud. Freddie Mac filed an amended complaint in July 2013, and a second amended complaint in October 2014. In August 2015, the District Court dismissed the portion of our claim related to antitrust violations and fraud and we filed a motion for reconsideration. On March 31, 2016, the District Court granted a portion of our motion, finding personal jurisdiction over certain defendants, and denied the portion of our motion with respect to statutes of limitation for our fraud claims. Subsequently, in a related case, the U.S. Court of Appeals for the Second Circuit reversed the District Court’s dismissal of certain plaintiffs’ antitrust claims and remanded the case to the District Court for consideration of whether, among other things, the plaintiffs are “efficient enforcers” of the antitrust laws.
On December 20, 2016, after briefing and argument on the defendants' renewed motions to dismiss on personal jurisdiction and efficient enforcer grounds, the District Court denied defendants' motions in part and granted them in part. The District Court held that Freddie Mac is an efficient enforcer ofscheduled the antitrust laws, but dismissedtrial to begin on personal jurisdiction grounds Freddie Mac's antitrust claims against all defendants except HSBC USA, N.A. Freddie Mac and other plaintiffs requested clarification of the District Court's ruling to determine whether it intended to dismiss defendants located in the United States for lack of personal jurisdiction, which request the District Court denied on February 2, 2017. The Court also effectively dismissed Freddie Mac's remaining antitrust claim against HSBC USA, N.A. Freddie Mac filed a motion for reconsideration of the District Court's opinion dismissing Freddie Mac's (and other plaintiffs') antitrust claims on personal jurisdiction grounds. On February 16, 2017, the Court denied Freddie Mac's motion for reconsideration. On March 14, 2017, Freddie Mac and other plaintiffs sought leave to file an appeal of the dismissal of the antitrust and fraud claims or, in the alternative, for the Court to certify its orders dated February 2, 2017 and February 16, 2017 for interlocutory review. On May 3, 2017, the District Court denied Freddie Mac’s requests. On May 24, 2017, Freddie Mac filed a petition for a writ of mandamus asking the Second Circuit to direct the District Court to enter a judgment allowing Freddie Mac to appeal or to certify the District Court’s orders for review, which the Second Circuit denied on July 25, 2017. October 21, 2024.
LITIGATION CONCERNING THE PURCHASE AGREEMENT
Since July 2013, a number of lawsuits have been filed against us concerning the August 2012 amendment toLitigation Concerning the Purchase Agreement which created the net worth sweep dividend provisions of the senior preferred stock. The plaintiffs in the lawsuits allege that they are holders of common stock and/or junior preferred stock issued by Freddie Mac and Fannie Mae. (For purposes of this discussion, junior preferred stock refers to the various series of preferred stock of Freddie Mac and Fannie Mae other than the senior preferred stock issued to Treasury.) It is possible that similar lawsuits will be filed in the future. The lawsuits against us are described below.

Freddie Mac Form 10-Q150



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 14


Litigation in the U.S. District Court for the District of Columbia
In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations. This case is the resulta consolidated class action lawsuit filed by private individual and institutional investors (collectively, "Class Plaintiffs") against FHFA, Fannie Mae, and Freddie Mac.
Fairholme Funds, Inc., et al. v. FHFA, et al. This is an individual plaintiffs’ lawsuit by certain institutional investors (“Individual Plaintiffs”) against FHFA, Fannie Mae, and Freddie Mac.
Plaintiffs in each of the consolidationDistrict of three putative class action lawsuits: CacciapelleColumbia lawsuits filed an amended complaint on November 1, 2017 alleging claims for breach of contract, breach of the implied covenant of good faith and Bareiss vs. Federal National Mortgage Association, Federal Home Loan Mortgage Corporationfair dealing, breach of fiduciary duties, and violation of Delaware and Virginia corporate law. Additionally, the Class Plaintiffs brought derivative claims against FHFA, filed for breach of fiduciary duties and the Individual Plaintiffs brought claims under the Administrative Procedure Act. Both sets of claims are generally based on allegations that the net worth sweep dividend provisions of the senior preferred stock that were implemented pursuant to the August 2012 amendments nullified certain of the shareholders’ rights, including the rights to receive dividends and a liquidation preference. On September 28, 2018, the District Court dismissed all of the claims except those for breach of the implied covenant of good faith and fair dealing. The cases were consolidated for trial.
Freddie Mac 1Q 2024 Form 10-Q85

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

Court rulings limited the Plaintiffs’ damages theories to those based on the decline in Freddie Mac’s and Fannie Mae’s share value immediately after the Third Amendment. The Plaintiffs asserted losses based on the decline in value of Freddie Mac’s common and junior preferred stock from August 16 to August 17, 2012. During the trial in October and early November 2022, the Plaintiffs requested that the jury award $832 million plus pre-judgment interest as damages against Freddie Mac. The jury in that trial was not able to reach a unanimous verdict and on November 7, 2022 the judge declared a mistrial. The retrial started on July 29, 2013; American European Insurance Company vs. Federal National Mortgage Association, Federal Home Loan Mortgage Corporation24, 2023. On August 14, 2023, the jury returned a verdict against FHFA, Fannie Mae, and FHFA, filedFreddie Mac awarding compensatory damages of $282 million to Freddie Mac junior preferred shareholders and $31 million to Freddie Mac common shareholders. The jury declined to award the Freddie Mac shareholders prejudgment interest. In 3Q 2023, we recorded a $313 million accrual in other expense on July 30, 2013;our condensed consolidated statements of income for the adverse judgment. On March 20, 2024, the District Court entered final judgment.
Freddie Mac 1Q 2024 Form 10-Q86

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

NOTE 15
Regulatory Capital
ERCF
The table below presents our capital metrics under the ERCF.
Table 15.1 - ERCF Available Capital and Marneu Holdings, Co. vs. FHFA, Treasury, Federal National Mortgage AssociationCapital Requirements
(In billions)March 31, 2024December 31, 2023
Adjusted total assets$3,786 $3,775 
Risk-weighted assets (standardized approach)1,018 1,009 
March 31, 2024
AmountsRatios
(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
AmountsRatios
(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 
(1)PCCBA for risk-based capital and Federal Home Loan Mortgage Corporation, filed on September 18, 2013. (The Marneucase was also filedPLBA for leverage capital.
(2)As a percentage of RWA for risk-based capital and ATA for leverage capital.

END OF CONDENSED CONSOLIDATED FINANCIAL STATEMENTS AND ACCOMPANYING NOTES
Freddie Mac 1Q 2024 Form 10-Q87

Other Information
Other Information
LEGAL PROCEEDINGS
We are involved, directly or indirectly, in a variety of legal proceedings arising from time to time in the ordinary course of business and in connection with the conservatorship and Purchase Agreement. See Note 14for additional information regarding our involvement as a shareholder derivative lawsuit.) A consolidated amended complaint wasparty to various legal proceedings, including those in connection with the conservatorship and Purchase Agreement.
Over the last several years, numerous lawsuits have been filed against the U.S. government and, in December 2013. Insome cases, the consolidated amended complaint, plaintiffs allege, among other items, thatSecretary of the Treasury and the Director of FHFA, challenging certain government actions related to the conservatorship (including actions taken in connection with the imposition of conservatorship) and the Purchase Agreement. Freddie Mac is not a party to all of these lawsuits. Several of the lawsuits seek to invalidate the net worth sweep dividend provisions of the senior preferred stock, which were implemented pursuant to the August 2012 amendment to the Purchase Agreement breached Freddie Mac'sAgreement. Some of these cases also have challenged the constitutionality of the structure of FHFA. A number of cases have been dismissed (some of which have been appealed), and Fannie Mae's respective contracts with the holders of junior preferred stock and common stock and the covenant of good faith and fair dealing inherent in such contracts. Plaintiffs sought unspecified damages, equitable and injunctive relief, and costs and expenses, including attorney and expert fees.others remain pending.
The Cacciapelle and American European Insurance Company lawsuits were filed purportedly on behalf of a class of purchasers of junior preferred stock issued by Freddie Mac or Fannie Mae who held stock prior to, and as of, August 17, 2012. The Marneu lawsuitThese cases include one that was filed purportedly on behalf of a class of purchasers of junior preferred stock and purchasers of common stock issued by Freddie Mac or Fannie Mae over a not-yet-defined period of time.
Arrowood Indemnity Company vs. Federal National Mortgage Association, Federal Home Loan Mortgage Corporation, FHFA and Treasury. This case was filed on September 20, 2013. The allegations and demands made by plaintiffs in this case were generally similar to those made by the plaintiffs in the In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations case described above. Plaintiffs in the Arrowood lawsuit also requested that, if injunctive relief were not granted, the Arrowood plaintiffs be awarded damages against the defendants in an amount to be determined including, but not limited to, the aggregate par valueU.S. Court of their junior preferred stock, the total of which they stated to be approximately $42 million.
American European Insurance Company, Cacciapalle and Miller vs. Treasury and FHFA. This case was filedFederal Claims as a shareholder derivative lawsuit, purportedly on behalf of Freddie Mac as a “nominal” defendant, on July 30, 2014. The complaint alleged that, through the August 2012 amendment to the Purchase Agreement, Treasury and FHFA breached their respective fiduciary duties to Freddie Mac, causing Freddie Mac to suffer damages. The plaintiffs asked that Freddie Mac be awarded compensatory damages and disgorgement, as well as attorneys’ fees, costs and other expenses.
FHFA, joined by Freddie Mac and Fannie Mae, moved to dismiss the In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations case and the other related cases in January 2014. Treasury filed a motion to dismiss the same day. In September 2014, the District Court granted the motions and dismissed the plaintiffs’ claims. In October 2014, plaintiffs in the In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations case filed a notice of appeal of the District Court’s decision. The scope of this appeal includes the American European Insurance Company shareholder derivative lawsuit. In October 2014, Arrowood filed a notice of appeal of the District Court’s decision. On February 21, 2017, the U.S. Court of Appeals for the District of Columbia Circuit affirmed in part and remanded in part the appealed decision granting the motions to dismiss. The

Freddie Mac Form 10-Q151



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 14


Court of Appeals affirmed dismissal of all claims except certain claims seeking monetary damages for breach of contract and breach of implied duty of good faith and fair dealing. On March 24, 2017, institutional plaintiffs including Arrowood filed a petition for panel rehearing, and on March 31, 2017, the class plaintiffs in the American European Insurance Company litigation also filed a petition for panel rehearing with respect to certain of the claims. On July 17, 2017, the Court of Appeals granted the petitions for rehearing and issued a modified decision, which permitted the institutional plaintiffs to pursue the breach of contract and breach of implied duty of good faith and fair dealing claims that had been remanded. The Court of Appeals also removed language related to the standard to be applied to the implied duty claims, leaving that issue for the District Court to determine on remand. On October 16, 2017, certain institutional and class plaintiffs filed petitions for writ of certiorari in the U.S. Supreme Court challenging whether the prohibition on injunctive relief against FHFA in the Housing and Economic Recovery Act (HERA) bars judicial review of the net worth sweep dividend provisions of the August 2012 amendment to the Purchase Agreement, as well as whether HERA bars shareholders from pursuing derivative litigation where they allege the conservator faces a conflict of interest.
Litigation in the U.S. Court of Federal Claims
defendant: Reid and Fisher vs. the United States of America and Federal Home Loan Mortgage Corporation.Corporation. This case was filed as a derivative lawsuit, purportedly on behalf of Freddie Mac as a “nominal” defendant, on February 26, 2014. The complaint alleges, among other items, that the net worth sweep dividend provisions of the senior preferred stock constitute an unlawful taking of private property for public use without just compensation. The plaintiffs ask that Freddie Mac be awarded just compensation for the U.S. government’sgovernment's alleged taking of its property, attorneys’attorneys' fees, costs, and other expenses. The Court dismissed the case with prejudice on September 1, 2023 and entered judgment for the defendants. On October 31, 2023, the plaintiffs filed a notice of appeal to the Federal Circuit.
Rafter, RattienPursuant to the Purchase Agreement, in addition to satisfying other conditions, all currently pending material litigation related to our conservatorship and/or the Purchase Agreement must be resolved or settled and Pershing Square Capital Management vs.we must indemnify Treasury and the United States from and against any loss, cost, or damage of America et al. This case was filed as a shareholder derivative lawsuit, purportedly on behalfany kind arising out of Freddie Mac as a “nominal” defendant, on August 14, 2014. The complaint alleges that the net worth sweep dividend provisions of the senior preferred stock constitute an unlawful taking of private property for public use without just compensation, and the U.S government breached an implied-in-fact contract with Freddie Mac. In September 2015, plaintiffs filed an amended complaint, which contains one claim involving Freddie Mac. The amended complaint alleges that Freddie Mac’s charter is a contract with its common stockholders, and that, throughour placement into conservatorship or the August 2012 amendment to the Purchase Agreement the U.S. government breached the implied covenant of good faith and fair dealing inherent in such contract. Plaintiffs ask that they be awarded damages or other appropriate relief for the alleged breach of contract as well as attorneys’ fees, costs and expenses.order to exit from conservatorship.

Freddie Mac Form 10-Q152



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 14


Litigation in the U.S. District Court for the District of Delaware
Jacobs and Hindes vs. FHFA and Treasury. This case was filed on August 17, 2015 as a putative class action lawsuit purportedly on behalf of a class of holders of preferred stock or common stock issued by Freddie Mac or Fannie Mae. The case was also filed as a shareholder derivative lawsuit, purportedly on behalf of Freddie Mac and Fannie Mae as “nominal” defendants. The complaint alleges, among other items, that the August 2012 amendment to the Purchase Agreement violated applicable state law and constituted a breach of contract, as well as a breach of covenants of good faith and fair dealing. Plaintiffs seek equitable and injunctive relief (including restitution of the monies paid by Freddie Mac and Fannie Mae to Treasury under the net worth sweep dividend), compensatory damages, attorneys’ fees, costs and expenses. Plaintiffs filed an application for certification of a state-law question to the Delaware and Virginia Supreme Courts, which was denied on September 12, 2016. On September 7, 2016, plaintiffs filed a motion to amend the complaint, which the Court granted on February 24, 2017. On April 17, 2017, FHFA, Freddie Mac, Fannie Mae, and Treasury each moved to dismiss the amended complaint. Plaintiffs have opposed that motion.
At present, it is not possible for us to predict the probable outcome of the lawsuits discussed above in the U.S. District Courts and the U.S. Court of Federal Claims (including the outcome of any appeal) or any potential effect on our business, financial condition, liquidity, or results of operations. In addition, we are unable to reasonably estimate the possible loss or range of possible loss in the event of an adverse judgment in the foregoing matters due to a number of factors, including the inherent uncertainty of pre-trial litigation. In addition, with respect to the In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations case, the plaintiffs have not demanded a stated amount of damages they believe are due, and the Court has not certified a class.



Freddie Mac Form 10-Q153



Financial StatementsNotes to the Condensed Consolidated Financial Statements | Note 15


NOTE 15: SELECTED FINANCIAL STATEMENT LINE ITEMS
The table below presents the significant components of other income (loss) on our condensed consolidated statements of comprehensive income.
(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 commitments271
 391
 826
 635
(Losses) gains on debt recorded at fair value62
 (174) (129) (268)
All other545
 388
 1,290
 1,160
Total other income (loss)
$5,403
 
$605
 
$6,512
 
$1,527
The table below presents the significant components of other assets and other liabilities on our condensed consolidated balance sheets.
(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 asset2,621
 2,298
All other2,677
 3,779
Total other assets
$13,998
 
$12,358
Other liabilities:   
Guarantee obligation
$2,503
 
$2,208
Payables related to securities3,190
 4,510
Income taxes payable1,602
 
All other2,331
 2,769
Total other liabilities
$9,626
 
$9,487
(1)Primarily consists of servicer receivables and other non-interest receivables.

END OF CONDENSED CONSOLIDATED FINANCIAL STATEMENTS AND ACCOMPANYING NOTES

Freddie Mac Form 10-Q154



Other Information

OTHER INFORMATION
LEGAL PROCEEDINGS
We are involved as a party to a variety of legal proceedings. For more information, see Note 14 in this report, our 2016 Annual Report and our Form 10-Qs for the first and second quarters of 2017.
In addition, a number of lawsuits have been filed against the U.S. government related to the conservatorship and the Purchase Agreement. For information on these lawsuits, see the “Legal Proceedings”sections in our 2016 Annual Report and in our Form 10-Qs for the first and second quarters of 2017. Some of these cases were filed in the U.S. District Court for the District of Columbia. With respect to these cases, the Court of Appeals for the District of Columbia Circuit in February 2017 affirmed in part and remanded in part the appealed decision granting the motions to dismiss. In March 2017, institutional plaintiffs and the class plaintiffs in the American European Insurance Company litigation filed petitions for panel rehearing with respect to certain of the claims, and on July 17, 2017, the Court of Appeals granted the petitions for rehearing and issued a modified decision, which permitted the institutional plaintiffs to pursue the breach of contract and breach of implied duty of good faith and fair dealing claims that had been remanded. The Court of Appeals also removed language related to the standard to be applied to the implied duty claims, leaving that issue for the U.S. District Court for the District of Columbia to determine on remand. On October 16, 2017, certain institutional and class plaintiffs filed petitions for writ of certiorari in the U.S. Supreme Court challenging whether HERA's prohibition on injunctive relief against FHFA bars judicial review of the net worth sweep dividend provisions of the August 2012 amendment to the Purchase Agreement, as well as whether HERA bars shareholders from pursuing derivative litigation where they allege the conservator faces a conflict of interest. Freddie Mac is not a party to any of these lawsuits.
RISK FACTORS
This Form 10-Q should be read together with the “Risk Factors”Risk Factors section in our 20162023 Annual Report, which describedescribes various risks and uncertainties to which we are or may become subject. These risks and uncertainties could, directly or indirectly, adversely affect our business, financial condition, results of operations, cash flows, strategies, and/or prospects.
UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS
RECENT SALES OF UNREGISTERED SECURITIESRecent Sales of Unregistered Securities
The securities we issue are “exempted securities”"exempted securities" under the Securities Act of 1933, as amended. As a result, we do not file registration statements with the SEC with respect to offerings of our securities.
Following our entry into conservatorship, we suspended the operation of, and ceased making grants under, equity compensation plans. Previously, we had provided equity compensation under those plans to employees and members of the Board of Directors. Under the Purchase Agreement, we cannot issue any new options, rights to purchase, participations, or other equity interests without Treasury’sTreasury's prior approval.

Information About Certain Securities Issuances by Freddie Mac
We make available, free of charge through our website atwww.freddiemac.com/investors, our annual reports on Form 10-K, quarterly reports on Form 10-Q, current reports on Form 8-K, and all other SEC reports and amendments to those reports as soon as reasonably practicable after we electronically file the material with the SEC. The SEC also maintains an internet site (www.sec.gov) that contains reports, proxy and information statements, and other information regarding companies that file electronically with the SEC.
We provide information on the ERCF on our website at www.freddiemac.com/investors.
Freddie Mac 1Q 2024 Form 10-Q15588



Other Information

However, grants outstanding as of the date of the Purchase Agreement remain in effect in accordance with their terms.
No stock options were exercised during 3Q 2017. See Note 9 in our 2016 Annual Report for more information.
DIVIDEND RESTRICTIONS
Our payment of dividends on Freddie Mac common stock or any series of Freddie Mac preferred stock (other than senior preferred stock) is subject to certain restrictions as described in "Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities - Dividends and Dividend Restrictions” in our 2016 Annual Report.
INFORMATION ABOUT CERTAIN SECURITIES ISSUANCES BY FREDDIE MAC
Pursuant to SEC regulations, public companies are required to disclose certain information when they incur a material direct financial obligation or become directly or contingently liable for a material obligation under an off-balance sheet arrangement. The disclosure must be made in a current report on Form 8-K under Item 2.03 or, if the obligation is incurred in connection with certain types of securities offerings, in prospectuses for those offerings that are filed with the SEC.
Freddie Mac’s securities offerings are exempted from SEC registration requirements. As a result, we do not file registration statements or prospectuses with the SEC with respect to our securities offerings. To comply with the disclosure requirements of Form 8-K relating to the incurrence of material financial obligations, we report these types of obligations either in offering circulars or supplements thereto that we post on our web site or in a current report on Form 8-K, in accordance with a “no-action” letter we received from the SEC staff. In cases where the information is disclosed in an offering circular posted on our web site, the document will be posted within the same time period that a prospectus for a non-exempt securities offering would be required to be filed with the SEC.
The web site address forWe provide disclosure about our debt securities other than on our website at www.freddiemac.com/debt securities of consolidated trusts, is www.freddiemac.com/debt.. From this address, investors can access the offering circular and related supplements for debt securities offerings under Freddie Mac’sMac's global debt facility, including pricing supplements for individual issuances of debt securities. Similar information about our STACR debt notes, Whole Loan Securitiestransactions and SCR debt notestransactions is available at www.freddiemac.com/creditriskofferingscrt.freddiemac.com and www.freddiemac.com/multifamily/investors/structured-credit-risk,mf.freddiemac.com/investors, respectively.
DisclosureWe provide disclosure about theour mortgage-related securities, we issue, some of which are off-balance sheet obligations (e.g., K Certificates and SB Certificates), can be foundon our website at www.freddiemac.com/mbs.mbs and mf.freddiemac.com/investors. From this address,these addresses, investors can access information and documents, about our mortgage-related securities, including offering circulars and related offering circular supplements.supplements, for mortgage-related securities offerings.
We provide additional information, including product descriptions, investor presentations, securities issuance calendars, transactions volumes and details, redemption notices, Freddie Mac research, and material developments or other events that may be important to investors, in each case as applicable, on the websites for our business activities, which can be found at sf.freddiemac.com, mf.freddiemac.com, and capitalmarkets.freddiemac.com/capital-markets.

We provide information on our sustainability efforts on our website at freddiemac.com/about/sustainability.
OTHER INFORMATION
Insider Trading Arrangements and Policies
No executive officer or director adopted or terminated any contract, instruction, or written plan for the purchase or sale of, or any other such trading arrangement for, our securities during 1Q 2024. For additional information on executive officer and director compensation and security ownership by our executive officers and directors, see Directors, Corporate Governance, and Executive Officers, Executive Compensation, and Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters in our 2023 Annual Report.
EXHIBITS
The exhibits are listed in the Exhibit Index of this Form 10-Q.

Freddie Mac 1Q 2024 Form 10-Q15689



Controls and Procedures



CONTROLS AND PROCEDURESControls and Procedures
EVALUATION OF DISCLOSURE CONTROLS AND PROCEDURES
Disclosure controls and procedures include, without limitation, controls and procedures designed to ensure that the information we are required to disclose in reports that we file or submit under the Exchange Act is recorded, processed, summarized, and reported within the time periods specified by the SEC’sSEC's rules and forms and that such information is accumulated and communicated to management of the company, including the company’s Chief Executive Officercompany's Interim CEO and Chief Financial Officer,CFO, as appropriate, to allow timely decisions regarding required disclosure. In designing our disclosure controls and procedures, we recognize that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and we must apply judgment in implementing possible controls and procedures.
Management, including the company’s Chief Executive Officercompany's Interim CEO and Chief Financial Officer,CFO, conducted an evaluation of the effectiveness of our disclosure controls and procedures as of September 30, 2017.March 31, 2024. As a result of management’smanagement's evaluation, our Chief Executive OfficerInterim CEO and Chief Financial OfficerCFO concluded that our disclosure controls and procedures were not effective as of September 30, 2017,March 31, 2024, at a reasonable level of assurance, because we have not been able to update our disclosure controls and procedures to provide reasonable assurance that information known by FHFA on an ongoing basis is communicated from FHFA to Freddie Mac’sMac's management in a manner that allows for timely decisions regarding our required disclosure under the federal securities laws. We consider this situation to be a material weakness in our internal control over financial reporting.
CHANGES IN INTERNAL CONTROL OVER FINANCIAL REPORTING DURING 3Q 20171Q 2024
We evaluated the changes in our internal control over financial reporting that occurred during 3Q 20171Q 2024 and concluded that there were no changes that materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

Freddie Mac Form 10-Q157



Controls and Procedures


MITIGATING ACTIONS RELATED TO THE MATERIAL WEAKNESS IN INTERNAL CONTROL OVER FINANCIAL REPORTING
As described above under “EvaluationEvaluation of Disclosure Controls and Procedures, we have one material weakness in internal control over financial reporting as of September 30, 2017March 31, 2024 that we have not remediated.
Based on discussions with FHFA and givenGiven the structural nature of this material weakness, we believe it is likely that we will not remediate it while we are under conservatorship. However, both we and FHFA have continued to engage in activities and employ procedures and practices intended to permit accumulation and communication to management of information needed to meet our disclosure obligations under the federal securities laws. These include the following:
nFHFA has established the Division of Conservatorship Oversight and Readiness, which is intended to facilitate operation of the company with the oversight of the Conservator.
nWe provide drafts of our SEC filings to FHFA personnel for their review and comment prior to filing. We also provide drafts of certain external press releases statements and speechesstatements to FHFA personnel for their review and comment prior to release.
nFHFA personnel, including senior officials, review our SEC filings prior to filing, including this Form 10-Q, and engage in discussions with us regarding issues associated with the information contained in those filings. Prior to filing this Form 10-Q, FHFA provided us with a written acknowledgment that it had reviewed the Form 10-Q, was not aware of any material misstatements or omissions in the Form 10-Q, and had no objection to our filing the Form 10-Q.
The Director ofnOur senior management meets regularly with senior leadership at FHFA, is in frequent communication with our Chief Executive Officer, typically meeting (in person or by phone) on at least a bi-weekly basis.including, but not limited to, the Director.
nFHFA representatives attend meetings frequently with various groups within the company to enhance the flow of information and to provide oversight on a variety of matters, including accounting, credit and capital markets management, external communications, and legal matters.
nSenior officials within FHFA’sFHFA's accounting group meet frequently with our senior financial executives regarding our accounting policies, practices, and procedures.
In viewAlthough we and FHFA have attempted to design and implement disclosure policies and procedures to account for the conservatorship and accomplish the same objectives as disclosure controls and procedures for a typical reporting company, there are inherent structural limitations on our ability to design, implement, test, or operate effective disclosure controls and procedures under the circumstances of conservatorship. Despite our mitigating actions related to this material weakness, we believe that our condensed consolidated financial statements for 3Q 20171Q 2024 have been prepared in conformity with GAAP.


Freddie Mac 1Q 2024 Form 10-Q15890

Exhibit Index


Exhibit Index
ExhibitDescription*
Exhibit Index


EXHIBIT INDEX
101.INSXBRL 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.SCHXBRL Taxonomy Extension Schema
101.CAL
101. CALXBRL Taxonomy Extension Calculation
101.LAB
101.DEFXBRL Taxonomy Extension LabelsDefinition
101.LABXBRL Taxonomy Label
101.PRE
101. PREXBRL Taxonomy Extension Presentation
104Cover 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
101.DEFXBRL Taxonomy Extension Definition
*The SEC file numbers for the Registrant’sRegistrant's Registration Statement on Form 10, Annual Reports on Form 10-K, Quarterly Reports on Form 10-Q, and Current Reports on Form 8-K are 000-53330 and 001-34139.



Freddie Mac 1Q 2024 Form 10-Q159



Signatures91


Signatures


SIGNATURESSignatures
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
 
Federal Home Loan Mortgage Corporation
By:/s/ Michael T. Hutchins
By:/s/ Donald H. LaytonMichael T. Hutchins
Donald H. Layton
President and Interim Chief Executive Officer
(Principal Executive Officer)
Date: October 31, 2017May 1, 2024
 
By:/s/ Christian M. Lown
Christian M. Lown
By:/s/ James G. Mackey
James G. Mackey
Executive Vice President and Chief Financial Officer
(Principal Financial Officer)
Date: October 31, 2017May 1, 2024
 





Freddie Mac 1Q 2024 Form 10-Q16092

Form 10-Q Index




Form 10-Q Index
Item NumberPage(s)
PART IFINANCIAL INFORMATION
Index



FORM 10-Q INDEX

Item NumberPage(s)
PART IFINANCIAL INFORMATION
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 IIOTHER INFORMATION
Item 1.Legal Proceedings
Item 1A1A.Risk Factors
Item 2.Unregistered Sales of Equity Securities and Use of Proceeds
Item 6.5.ExhibitsOther Information
Item 6.EXHIBIT INDEXExhibits
Exhibit IndexSIGNATURES
Signatures



Freddie Mac 1Q 2024 Form 10-Q16193