
Table of Contents

MD&A TABLE INDEX


Table	Description	Page
1	Summary of Consolidated Statements of Income and Comprehensive Income	6
2	Components of Net Interest Income	6
3	Analysis of Net Interest Yield	7
4	Components of Non-Interest Income	7
5	(Provision) Benefit for Credit Losses	8
6	Components of Non-Interest Expense	8
7	Summarized Condensed Consolidated Balance Sheets	9
8	Mortgage Portfolio	10
9	Mortgage-Related Investments Portfolio	11
10	Other Investments Portfolio	11
11	Single-Family Segment Financial Results	16
12	Multifamily Segment Financial Results	20
13	Allowance for Credit Losses Activity	21
14	Allowance for Credit Losses Ratios	22
15	Single-Family New Business Activity	23
16	Single-Family Mortgage Portfolio Newly Acquired Credit Enhancements	23
17	Single-Family Mortgage Portfolio Credit Enhancement Coverage Outstanding	24
18	Serious Delinquency Rates for Credit-Enhanced and Non-Credit-Enhanced Loans in Our Single-Family Mortgage Portfolio	24
19	Credit Quality Characteristics of Our Single-Family Mortgage Portfolio	25
20	Single-Family Mortgage Portfolio Attribute Combinations	25
21	Single-Family Completed Loan Workout Activity	27
22	Multifamily Mortgage Portfolio CRT Issuance	28
23	Credit-Enhanced and Non-Credit-Enhanced Loans Underlying Our Multifamily Mortgage Portfolio	29
24	Credit Quality of Our Multifamily Mortgage Portfolio Without Credit Enhancement	29
25	PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve	30
26	Duration Gap and PVS Results	30
27	PVS-L Results Before Derivatives and After Derivatives	30
28	Earnings Sensitivity to Changes in Interest Rates	31
29	Liquidity Sources	32
30	Funding Sources	33
31	Debt of Freddie Mac Activity	33
32	Maturity and Redemption Dates	34
33	Debt of Consolidated Trusts Activity	34
34	Net Worth Activity	35
35	Regulatory Capital Components	36
36	Statutory Capital Components	36
37	Capital Metrics Under ERCF	37
38	Forecasted House Price Growth Rates	39


Freddie Mac 1Q 2024 Form 10-Q						ii


Management's Discussion and Analysis						Introduction

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” sections~~MD&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 ~~2016~~2023 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 ~~2016~~2023 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 ~~2016~~2023 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 public~~1970, 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’s~~America'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 customers~~foreclosure and ~~the industry to build a better housing finance system for the nation.~~



~~Freddie Mac Form 10-Q~~		1



~~Management's Discussion and Analysis~~		~~Introduction~~

~~BUSINESS RESULTS~~

~~PORTFOLIO BALANCES~~

~~Guarantee Portfolios~~

~~Investments Portfolios~~

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-Q~~		2



~~Management's Discussion and Analysis~~		~~Introduction~~


◦	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 BUSINESS~~helped 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-Q				31



Management's Discussion and Analysis				Introduction

Business Results

Consolidated Financial Results

Net Revenues and Net Income

(In billions)

~~Treasury,~~

Net Worth

(In billions)

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 ~~holder~~aggregate liquidation preference of the senior preferred stock. The liquidation preference of the senior preferred stock ~~is entitled~~was $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)

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, acting~~well as ~~successor~~for rental housing. We provided $71 billion in liquidity to the ~~rights, titles, powers~~mortgage 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-Q				42



Management's Discussion and Analysis				~~Key Economic Indicators \| Single-Family Home Prices~~Introduction

Mortgage Portfolio Balances

Mortgage Portfolio

(UPB in billions)

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)

~~KEY ECONOMIC INDICATORS~~

Multifamily Mortgage Portfolio with Credit Enhancement

(UPB in billions)

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 Management–Credit Risk for additional information on our credit enhancements.


Freddie Mac 1Q 2024 Form 10-Q						3


Management's Discussion and Analysis						Housing and Mortgage Market Conditions

HOUSING AND MORTGAGE MARKET CONDITIONS

The following ~~graphs and related discussions~~charts present certain ~~macroeconomic~~housing and mortgage market indicators that can significantly affect our business and financial results.

~~SINGLE-FAMILY HOME PRICES~~

~~NATIONAL HOME PRICES~~

~~(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-Q~~		5



~~Management's Discussion and Analysis~~		~~Key Economic Indicators \| Interest Rates~~

~~INTEREST RATES~~

~~KEY MARKET INTEREST RATES~~

~~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-Q~~		6



~~Management's Discussion and Analysis~~		~~Key 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 rates~~these indicators on our ~~financial results, see “Our Business Segments - Capital Markets - Market Conditions.”~~



~~Freddie Mac Form 10-Q~~		7



~~Management's Discussion and Analysis~~		~~Key Economic Indicators \| Unemployment Rate~~

~~UNEMPLOYMENT RATE~~

~~UNEMPLOYMENT RATE AND JOB CREATION~~⁽¹⁾

~~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-Q~~		8



~~Management's Discussion and Analysis~~		~~Consolidated 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-Q~~		9



~~Management's Discussion and Analysis~~		~~Consolidated 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 resell 57,107
166
1.16
62,086
56
0.36
Advances to lenders and other secured lending 804
5
2.51
649
3
2.06
Mortgage-related securities:
Mortgage-related securities 159,640
1,572
3.94
185,235
1,779
3.84
Extinguishment of PCs held by Freddie Mac (85,198 ) (811 ) (3.81 ) (88,066 ) (829 ) (3.76 )
Total mortgage-related securities, net 74,442
761
4.09
97,169
950
3.91
Non-mortgage-related securities 15,127
60
1.62
15,671
26
0.67

Loans held by consolidated trusts⁽¹⁾
1,731,577
14,617
3.38
1,654,288
13,602
3.29

Loans held by Freddie Mac⁽¹⁾
117,298
1,250
4.26
131,945
1,395
4.23
Total interest-earning assets
$2,006,419

$16,873
3.37

$1,983,472

$16,047
3.24
Interest-bearing liabilities:
Debt securities of consolidated trusts including PCs held by Freddie Mac
$1,755,578

($12,663 ) (2.89 )
$1,680,388

($11,716 ) (2.79 )
Extinguishment of PCs held by Freddie Mac (85,198 ) 811
3.81
(88,066 ) 829
3.76
Total debt securities of consolidated trusts held by third parties 1,670,380
(11,852 ) (2.84 ) 1,592,322
(10,887 ) (2.73 )
Other debt:
Short-term debt 68,868
(173 ) (0.99 ) 81,057
(83 ) (0.40 )
Long-term debt 259,075
(1,319 ) (2.02 ) 302,062
(1,384 ) (1.82 )
Total other debt 327,943
(1,492 ) (1.80 ) 383,119
(1,467 ) (1.53 )
Total interest-bearing liabilities 1,998,323
(13,344 ) (2.67 ) 1,975,441
(12,354 ) (2.50 )
Expense related to derivatives —
(40 ) (0.01 ) —
(47 ) (0.01 )
Impact of net non-interest-bearing funding 8,096
—
0.01
8,031
—
0.01
Total funding of interest-earning assets
$2,006,419

($13,384 ) (2.67 )
$1,983,472

($12,401 ) (2.50 )
Net interest income/yield
$3,489
0.70

$3,646
0.74

(1) Loan fees, primarily consisting of amortization of delivery fees, included in interest income were $634 million and $737 million for loans held by consolidated trusts and $37 million and $53 million for loans held by Freddie Mac during 3Q 2017 and 3Q 2016, respectively.



~~Freddie Mac Form 10-Q~~		10



~~Management's Discussion and Analysis~~		~~Consolidated 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 resell 55,903
386
0.92
57,348
149
0.35
Advances to lenders and other secured lending 651
12
2.42
419
7
2.33
Mortgage-related securities:
Mortgage-related securities 168,819
4,886
3.86
193,492
5,546
3.82
Extinguishment of PCs held by Freddie Mac (87,883 ) (2,456 ) (3.73 ) (96,388 ) (2,679 ) (3.71 )
Total mortgage-related securities, net 80,936
2,430
4.00
97,104
2,867
3.94
Non-mortgage-related securities 18,049
207
1.54
14,219
56
0.53
Loans held by consolidated trusts⁽¹⁾
1,720,906
43,810
3.39
1,640,997
41,735
3.39
Loans held by Freddie Mac⁽¹⁾
119,843
3,870
4.31
138,648
4,318
4.15
Total interest-earning assets
$2,007,705

$50,753
3.37

$1,964,847

$49,163
3.33
Interest-bearing liabilities:
Debt securities of consolidated trusts including PCs held by Freddie Mac
$1,744,260

($38,023 ) (2.91 )
$1,665,226

($36,606 ) (2.93 )
Extinguishment of PCs held by Freddie Mac (87,883 ) 2,456
3.73
(96,388 ) 2,679
3.71
Total debt securities of consolidated trusts held by third parties 1,656,377
(35,567 ) (2.86 ) 1,568,838
(33,927 ) (2.88 )
Other debt:
Short-term debt 72,292
(414 ) (0.76 ) 85,995
(258 ) (0.39 )
Long-term debt 270,251
(3,984 ) (1.96 ) 301,791
(4,338 ) (1.91 )
Total other debt 342,543
(4,398 ) (1.71 ) 387,786
(4,596 ) (1.58 )
Total interest-bearing liabilities 1,998,920
(39,965 ) (2.66 ) 1,956,624
(38,523 ) (2.62 )
Expense related to derivatives —
(125 ) (0.01 ) —
(146 ) (0.01 )
Impact of net non-interest-bearing funding 8,785
—
0.01
8,223
—
0.01
Total funding of interest-earning assets
$2,007,705

($40,090 ) (2.66 )
$1,964,847

($38,669 ) (2.62 )
Net interest income/yield
$10,663
0.71

$10,494
0.71

(1) Loan fees, primarily consisting of amortization of delivery fees, included in interest income were $1.7 billion and $1.9 billion for loans held by consolidated trusts and $132 million and $184 million for loans held by Freddie Mac during YTD 2017 and YTD 2016, respectively.



~~Freddie Mac Form 10-Q~~		11



~~Management's Discussion and Analysis~~		~~Consolidated 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 2011 333
292
41
14 % 974
838
136
16 %
Other contractual net interest income 1,604
1,635
(31 ) (2 )% 4,900
5,219
(319 ) (6 )%
Total contractual net interest income 2,745
2,749
(4 ) — % 8,369
8,269
100
1 %
Net amortization - loans and debt securities of consolidated trusts 822
884
(62 ) (7 )% 2,442
2,191
251
11 %
Net amortization - other assets and debt (38 ) 60
(98 ) (163 )% (23 ) 180
(203 ) (113 )%
Expense related to derivatives (40 ) (47 ) 7
15 % (125 ) (146 ) 21
14 %
Net interest income
$3,489

$3,646

($157 ) (4 )%
$10,663

$10,494

$169
2 %

~~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-Q~~		12



~~Management's Discussion and Analysis~~		~~Consolidated 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-Q~~		13



~~Management's Discussion and Analysis~~		~~Consolidated 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-Q~~		14



~~Management's Discussion and Analysis~~		~~Consolidated 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 loans 203
139

$64
46 % 410
136
274
201 %
Gains (losses) on held-for-sale loan purchase commitments 271
391
(120 ) (31 )% 826
635
191
30 %
(Losses) gains on debt where we elected the fair value option 62
(174 ) 236
136 % (129 ) (268 ) 139
52 %
All other 272
249
23
9 % 744
1,024
(280 ) (27 )%
Fair value hedge accounting

Change in fair value of derivatives in qualifying hedge relationships 85
—
85
N/A
(215 ) —
(215 ) N/A
Change in fair value of hedged items in qualifying hedge relationships (15 ) —
(15 ) N/A
351
—
351
N/A
Ineffectiveness related to fair value hedge accounting 70
—
70
N/A
136
—
136
N/A
Total other income (loss)
$5,403

$605

$4,798
793 %
$6,512

$1,527

$4,985
326 %

~~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-Q~~		15



~~Management's Discussion and Analysis~~		~~Consolidated 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-Q~~		16



~~Management's Discussion and Analysis~~		~~Consolidated 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-Q~~		17



~~Management's Discussion and Analysis~~	~~Consolidated 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-Q~~		18



~~Management's Discussion and Analysis~~	~~Consolidated 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-Q~~		19



~~Management's Discussion and Analysis~~		~~Consolidated 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-Q~~		20



~~Management's Discussion and Analysis~~		~~Our 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-Q~~		21



~~Management's Discussion and Analysis~~		~~Our Business Segments \| Segment Earnings~~

~~SEGMENT COMPREHENSIVE INCOME~~

~~The graphs below show our comprehensive income by segment.~~

~~(In billions)~~



~~Freddie Mac Form 10-Q~~		22



~~Management's Discussion and Analysis~~		~~Our 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

Sources: National Association of Realtors, U.S. Census Bureau, and Freddie Mac House Price Index (seasonally adjusted rate).

U.S. Single-Family Mortgage Originations

(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

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

Single-Family Mortgage Debt Outstanding

(UPB in trillions)

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-Q						4


Management's Discussion and Analysis						Housing and Mortgage Market Conditions

Multifamily

Apartment Vacancy Rates and Change in Effective Rents

Source: Reis.

Multifamily Property Price Growth Rate

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

Multifamily Delinquency Rates

Source: 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)

Source: Freddie Mac and Federal Reserve Financial Accounts of the United States of America. The 1Q 2024 U.S. ~~single-family loan origination volumes decreased~~multifamily mortgage debt outstanding balance is not yet available.


Freddie Mac 1Q 2024 Form 10-Q						5


Management's Discussion and Analysis						Consolidated 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 2024	1Q 2023	$	%
Net interest income	$4,759	$4,501	$258	6	%
Non-interest income	998	326	672	206
Net revenues	5,757	4,827	930	19
(Provision) benefit for credit losses	(181)	(395)	214	54
Non-interest expense	(2,122)	(1,932)	(190)	(10)
Income before income tax expense	3,454	2,500	954	38
Income tax expense	(688)	(505)	(183)	(36)
Net income	2,766	1,995	771	39
Other comprehensive income (loss), net of taxes and reclassification adjustments	(25)	54	(79)	(146)
Comprehensive income	$2,741	$2,049	$692	34	%

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 2024	1Q 2023	$	%
Guarantee net interest income:
Contractual net interest income	$3,772	$3,666	$106	3	%
Deferred fee income	166	207	(41)	(20)
Total guarantee net interest income	3,938	3,873	65	2
Investments net interest income	1,514	1,432	82	6
Impact on net interest income from hedge accounting	(693)	(804)	111	14
Net interest income	$4,759	$4,501	$258	6	%

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 volume~~continued 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 is~~short-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 volume~~l1Q 2024 vs. 1Q 2023 - Expense decreased primarily due to ~~a gradual increase~~lower interest expense on derivatives in ~~housing supply, and lower refinance volume driven~~hedge 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) rates~~an unfavorable change in the ~~U.S. generally continued to decline~~earnings 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-Q				236



Management's Discussion and Analysis				~~Our Business Segments \| Single-Family Guarantee~~Consolidated 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 2024				1Q 2023
(Dollars in millions)	Average Balance	Interest Income (Expense)	Average Rate		Average Balance	Interest Income (Expense)	Average Rate
Interest-earning assets:
Cash and cash equivalents	$12,141	$125	4.09	%	$13,758	$121	3.51	%
Securities purchased under agreements to resell	111,796	1,532	5.48		107,516	1,220	4.54
Investment securities	41,293	470	4.56		38,126	316	3.31
Mortgage loans(1)	3,100,111	26,229	3.38		3,042,128	23,304	3.06
Other assets	1,784	29	6.48		1,930	26	5.30
Total interest-earning assets	3,267,125	28,385	3.47		3,203,458	24,987	3.12
Interest-bearing liabilities:
Debt of consolidated trusts	3,035,073	(21,122)	(2.78)		2,975,417	(18,261)	(2.45)
Debt of Freddie Mac	180,850	(2,504)	(5.53)		187,599	(2,225)	(4.74)
Total interest-bearing liabilities	3,215,923	(23,626)	(2.94)		3,163,016	(20,486)	(2.59)
Impact of net non-interest-bearing funding	51,202	—	0.05		40,442	—	0.03
Total funding of interest-earning assets	3,267,125	(23,626)	(2.89)		3,203,458	(20,486)	(2.56)
Net interest income/yield		$4,759	0.58	%		$4,501	0.56	%

(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 2024	1Q 2023	$	%
Guarantee income	$496	$466	$30	6	%
Investment gains, net	405	(225)	630	280
Other income	97	85	12	14
Non-interest income	$998	$326	$672	206	%

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 ~~workouts~~purchase 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-Q				247


Management's Discussion and Analysis						Consolidated 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 2024	1Q 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 2024	1Q 2023	$	%

Salaries and employee benefits	($421)	($374)	($47)	(13)	%
Credit enhancement expense	(597)	(530)	(67)	(13)
Benefit for (decrease in) credit enhancement recoveries	1	49	(48)	(98)
Legislative assessments expense:
Legislated guarantee fees expense	(724)	(708)	(16)	(2)
Affordable housing funds allocation	(30)	(27)	(3)	(11)
Total legislative assessments expense	(754)	(735)	(19)	(3)
Other expense	(351)	(342)	(9)	(3)
Non-interest expense	($2,122)	($1,932)	($190)	(10)	%

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-Q						8


Management's Discussion and Analysis						Consolidated 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, 2024	December 31, 2023	$	%
Assets:
Cash and cash equivalents	$3,531	$6,019	($2,488)	(41)	%
Securities purchased under agreements to resell	102,257	95,148	7,109	7
Investment securities, at fair value	41,400	43,275	(1,875)	(4)
Mortgage loans held-for-sale	12,034	12,941	(907)	(7)
Mortgage loans held-for-investment	3,088,687	3,083,665	5,022	—
Accrued interest receivable, net	10,047	9,925	122	1
Deferred tax assets, net	4,227	4,076	151	4
Other assets	25,190	25,927	(737)	(3)
Total assets	$3,287,373	$3,280,976	$6,397	—	%

Liabilities and Equity:
Liabilities:
Accrued interest payable	$8,712	$8,812	($100)	(1)	%
Debt	3,211,742	3,208,346	3,396	—
Other liabilities	16,456	16,096	360	2
Total liabilities	3,236,910	3,233,254	3,656	—
Total equity	50,463	47,722	2,741	6
Total liabilities and equity	$3,287,373	$3,280,976	$6,397	—	%

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-Q						9



Management's Discussion and Analysis				Our Portfolios

OUR PORTFOLIOS

Mortgage Portfolio

The table below presents the UPB of our mortgage portfolio by segment.

Table 8 - Mortgage Portfolio


	March 31, 2024			December 31, 2023
(In millions)	Single-Family	Multifamily	Total	Single-Family	Multifamily	Total
Mortgage loans held-for-investment:
By consolidated trusts	$2,965,370	$51,757	$3,017,127	$2,963,296	$47,433	$3,010,729
By Freddie Mac	35,643	10,000	45,643	33,213	11,770	44,983
Total mortgage loans held-for-investment	3,001,013	61,757	3,062,770	2,996,509	59,203	3,055,712
Mortgage loans held-for-sale	3,104	9,446	12,550	3,527	9,905	13,432
Total mortgage loans	3,004,117	71,203	3,075,320	3,000,036	69,108	3,069,144
Mortgage-related guarantees:
Mortgage loans held by nonconsolidated trusts	30,324	361,164	391,488	30,182	360,928	391,110
Other mortgage-related guarantees	8,511	10,720	19,231	8,692	10,761	19,453
Total mortgage-related guarantees	38,835	371,884	410,719	38,874	371,689	410,563
Total mortgage portfolio	$3,042,952	$443,087	$3,486,039	$3,038,910	$440,797	$3,479,707
Guaranteed mortgage-related securities:
Issued by consolidated trusts	$2,975,161	$51,811	$3,026,972	$2,970,707	$47,436	$3,018,143
Issued by nonconsolidated trusts	24,762	321,905	346,667	24,600	321,262	345,862
Total guaranteed mortgage-related securities	$2,999,923	$373,716	$3,373,639	$2,995,307	$368,698	$3,364,005

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-Q						10


Management's Discussion and Analysis						Our Portfolios

The table below presents the details of our mortgage-related investments portfolio.

Table 9 - Mortgage-Related Investments Portfolio


	March 31, 2024			December 31, 2023
(In millions)	Single-Family	Multifamily	Total	Single-Family	Multifamily	Total
Unsecuritized mortgage loans:
Securitization pipeline loans(1)	$9,749	$13,057	$22,806	$8,225	$15,197	$23,422
Other loans(2)	28,998	6,389	35,387	28,515	6,478	34,993
Total unsecuritized mortgage loans	38,747	19,446	58,193	36,740	21,675	58,415
Mortgage-related securities:
Investment securities	2,916	4,486	7,402	2,667	4,613	7,280
Debt of consolidated trusts	18,367	684	19,051	18,639	660	19,299
Total mortgage-related securities	21,283	5,170	26,453	21,306	5,273	26,579
Mortgage-related investments portfolio	$60,030	$24,616	$84,646	$58,046	$26,948	$84,994
10% of notional amount of interest-only securities			$23,126			$22,186
Mortgage-related investments portfolio for purposes of Purchase Agreement cap			107,772			107,180

(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, 2024				December 31, 2023
(In millions)	Liquidity and Contingency Operating Portfolio	Custodial Account	Other	Total Other Investments Portfolio (1)	Liquidity and Contingency Operating Portfolio	Custodial Account	Other	Total Other Investments Portfolio (1)
Cash and cash equivalents	$1,947	$1,483	$101	$3,531	$5,041	$890	$88	$6,019
Securities purchased under agreements to resell	104,243	10,777	1,037	116,057	94,904	9,396	1,093	105,393
Non-mortgage related securities(2)	22,960	—	5,593	28,553	24,153	—	6,119	30,272
Other assets	—	—	6,479	6,479	—	—	5,555	5,555
Other investments portfolio	$129,150	$12,260	$13,210	$154,620	$124,098	$10,286	$12,855	$147,239

(1)Represents carrying value.

(2)Primarily consists of U.S. Treasury securities.


Freddie Mac 1Q 2024 Form 10-Q						11


Management's Discussion and Analysis						Our 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.


Segment			Description
Single-Family			Reflects results from our purchase, securitization, and guarantee of single-family loans, our investments in single-family loans and mortgage-related securities, the management of Single-Family mortgage credit risk and market risk, and any results of our treasury function that are not allocated to each segment.


Multifamily			Reflects results from our purchase, securitization, and guarantee of multifamily loans, our investments in multifamily loans and mortgage-related securities, and the management of Multifamily mortgage credit risk and market risk.

Segment Net Revenues and Net Income

The charts below show our net revenues and net income by segment.

Segment Net Revenues

(In billions)

Segment Net Income

(In billions)


Freddie Mac 1Q 2024 Form 10-Q						12


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

Single-Family

~~BUSINESS RESULTS~~

Business Results

The ~~following~~charts, tables, ~~graphs~~ and related discussion below present the business results of our ~~Single-family Guarantee~~Single-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)~~

~~Percentage of Single-Family Loan Purchases and Guarantees by Loan Purpose~~



~~Freddie Mac Form 10-Q~~		25



~~Management's Discussion and Analysis~~		~~Our 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-Q~~		26



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

~~Single-Family Credit Guarantee Portfolio~~

~~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-Q~~		27



~~Management's Discussion and Analysis~~		~~Our 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 in~~calculation excludes the ~~applicable period. This rate consists primarily of:~~

~~Contractual~~legislated 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 recognize~~recognized over the estimated life of the related ~~loans using our expectations~~loans.

Number of ~~prepayments~~Families Helped to Own a Home and ~~other liquidations.~~

Average ~~Portfolio Segment Earnings Guarantee Fee Rate~~⁽¹⁾

~~Average Guarantee Fee Rate Charged on~~Loan UPB of New Acquisitions⁽¹⁾

(Loan count in thousands)

n1Q 2024 vs. 1Q 2023

~~(1) Excludes the legislated 10 basis point increase~~lOur 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 Earnings~~lThe 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-Q				2813



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 ~~charged~~is 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-Q				2914



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

Credit Enhancements

~~Credit Risk Transfer (CRT) Activity~~

~~In 2013, we began transferring~~We obtain credit ~~risk~~enhancements on a portion of our ~~Core single-family loan~~Single-Family mortgage portfolio to ~~the private market, which reduces~~reduce the risk of future losses to us ~~and taxpayers~~ when borrowers ~~go into~~ default. ~~Our principal methods~~The 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 from~~periods presented that were covered by primary mortgage insurance, the ~~PCs~~UPB 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)

New CRT Issuance

(In billions)

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 ~~“MD~~MD&A - ~~Our Business Segments~~Risk Management - Single-Family ~~Guarantee -~~Mortgage Credit Risk ~~Transfer Transactions”in our 2016 Annual Report~~- Transferring Credit Risk to Third-Party Investors for ~~more~~additional 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~~
~~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-Q				3015



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 fee~~Table 11 - Single-Family Segment Financial Results


			Change
(Dollars in millions)	1Q 2024	1Q 2023	$	%
Net interest income	$4,488	$4,296	$192	4	%
Non-interest income	(14)	(93)	79	85
Net revenues	4,474	4,203	271	6
(Provision) benefit for credit losses	(120)	(318)	198	62
Non-interest expense	(1,925)	(1,783)	(142)	(8)
Income before Income tax expense	2,429	2,102	327	16
Income tax expense	(484)	(425)	(59)	(14)
Net income	1,945	1,677	268	16
Other comprehensive income (loss), net of taxes and reclassification adjustments	(5)	(1)	(4)	(400)
Comprehensive income	$1,940	$1,676	$264	16	%

Key Business Drivers:

n 1Q 2024 vs. 1Q 2023

lNet income ~~on the PCs related~~of $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 STACR~~new 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 a~~increasing mortgage interest rates. The provision for credit losses ~~on the mortgage loans in the reference pools and when we recognize the related recovery~~of $0.3 billion for ~~the majority of our STACR debt note transactions. A~~1Q 2023 was driven by a modest credit reserve build primarily attributable to new acquisitions.

–Non-interest expense ~~on a loan in a reference pool~~was $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-Q				3116



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

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-Q~~		32



~~Management's Discussion and Analysis~~		~~Our 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-Q~~		33



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

~~Single-Family Loan Performance~~

~~Serious Delinquency Rates~~

~~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-Q~~		34



~~Management's Discussion and Analysis~~		~~Our 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, net 995
346
3,706
1,121
REO operations expense 35
56
128
169
Total credit losses
$1,030

$402

$3,834

$1,290

Total credit losses⁽¹⁾ (in bps)
22.7
9.2
28.4
9.9

~~(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-Q~~		35



~~Management's Discussion and Analysis~~		~~Our 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-Q~~		36



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

~~Loss Mitigation Activities~~

~~Loan Workout Activity~~

~~(UPB in billions, number of loan workouts in thousands)~~

~~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-Q~~		37



~~Management's Discussion and Analysis~~		~~Our 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-Q~~		38



~~Management's Discussion and Analysis~~		~~Our 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-Q~~		39



~~Management's Discussion and Analysis~~		~~Our 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-Q~~		40



~~Management's Discussion and Analysis~~		~~Our 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~~

~~Source: REIS, Inc.~~

~~Apartment Vacancy Rates~~

~~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-Q~~		41



~~Management's Discussion and Analysis~~		~~Our Business Segments \| Multifamily~~

~~K Certificate Benchmark Spreads~~

~~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-Q~~		42



~~Management's Discussion and Analysis~~		~~Our 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 in~~In billions)

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-Q				4317



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)

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 ~~subject~~remained 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 $21.6~~our 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, 2017~~March 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-Q				4418



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~~

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 Portfolio~~

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-investment 20,019
25,874
Unsecuritized non-mortgage loans 303
—
Mortgage-related securities 9,172
12,517
Guarantee portfolio 184,200
157,992
Total multifamily portfolio 232,812
212,927
Add: Unguaranteed securities⁽¹⁾
28,376
24,573
Less: Acquired mortgage-related securities⁽²⁾
(5,413 ) (5,793 )
Total multifamily market support
$255,775

$231,707


~~(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-Q				4519



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 2024	1Q 2023	$	%
Net interest income	$271	$205	$66	32	%
Non-interest income	1,012	419	593	142



Net revenues	1,283	624	659	106
(Provision) benefit for credit losses	(61)	(77)	16	21
Non-interest expense	(197)	(149)	(48)	(32)





Income before income tax expense	1,025	398	627	158
Income tax expense	(204)	(80)	(124)	(155)
Net income	821	318	503	158
Other comprehensive income (loss), net of taxes and reclassification adjustments	(20)	55	(75)	(136)
Comprehensive income	$801	$373	$428	115	%

~~Commentary~~

Key Drivers:

~~Our Multifamily segment provides liquidity~~n1Q 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 multifamily~~higher 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 our~~◦Non-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 ~~loans~~loan purchase and ~~mortgage-related securities, which are measured at~~securitization activities, and favorable fair value ~~or lower-of-cost-or-fair-value, declined slightly~~changes from ~~December 31, 2016. The decline, which~~spreads 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-Q				4620



Management's Discussion and Analysis				~~Our Business Segments \| Multifamily~~Risk Management

~~Credit Risk Transfer Activity~~

~~New K Certificate and SB Certificate Issuances~~

~~(UPB in billions)~~

~~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-Q~~		47



~~Management's Discussion and Analysis~~		~~Our Business Segments \| Multifamily~~

~~Financial Guarantee Activity~~

~~Guarantee Assets~~

~~(In millions)~~

~~Unearned Guarantee Fees~~



~~Freddie Mac Form 10-Q~~		48



~~Management's Discussion and Analysis~~		~~Our 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-Q~~		49



~~Management's Discussion and Analysis~~		~~Our 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-Q~~		50



~~Management's Discussion and Analysis~~		~~Our 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 (%)~~

~~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-Q~~		51



~~Management's Discussion and Analysis~~		~~Our 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~~

~~Mortgage Investments Portfolio~~

~~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-Q~~		52



~~Management's Discussion and Analysis~~		~~Our Business Segments \| Capital Markets~~

~~Net Interest Yield and Average Balances~~

~~Net Interest Yield & Average Investments Portfolio Balances~~

~~(UPB in billions)~~

~~Commentary~~

~~Net Interest Yield~~


◦	~~3Q 2017 vs. 3Q 2016 and YTD 2017 vs. YTD 2016~~ ~~- remained relatively flat.~~



~~Freddie Mac Form 10-Q~~		53



~~Management's Discussion and Analysis~~		~~Our 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 earnings 50
94
(44 ) (47 )% 194
224
(30 ) (13 )%
Derivative gains (losses) (324 ) 212
(536 ) (253 )% (757 ) (4,386 ) 3,629
83 %
Gains (losses) on trading securities (26 ) (203 ) 177
87 % (207 ) (12 ) (195 ) (1,625 )%
Other non-interest income 5,754
664
5,090
767 % 6,916
1,401
5,515
394 %
Administrative expense (73 ) (79 ) 6
8 % (242 ) (227 ) (15 ) (7 )%
Segment Earnings before income tax (expense) benefit 6,185
1,621
4,564
282 % 8,512
(113 ) 8,625
7,633 %
Income tax (expense) benefit (2,143 ) (533 ) (1,610 ) (302 )% (2,921 ) 35
(2,956 ) (8,446 )%
Segment Earnings, net of taxes 4,042
1,088
2,954
272 % 5,591
(78 ) 5,669
7,268 %
Total other comprehensive income (loss), net of tax (17 ) (64 ) 47
73 % 261
220
41
19 %
Total comprehensive income (loss)
$4,025

$1,024

$3,001
293 %
$5,852

$142

$5,710
4,021 %

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-related 0.5
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-Q~~		54



~~Management's Discussion and Analysis~~		~~Our 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-Q~~		55



~~Management's Discussion and Analysis~~		~~Risk Management~~

RISK MANAGEMENT

~~Risk is~~To achieve our mission, we take risks as an ~~inherent~~integral part of our business activities. We are exposed to ~~four major~~the following key types of risk: credit risk, market risk, liquidity risk, operational risk, compliance risk, legal risk, strategic risk, and ~~operational~~reputation risk.

Credit Risk

Allowance for Credit Losses

For ~~more discussion~~financial assets measured at amortized cost, we recognize an allowance for credit losses that is deducted from or added to the amortized cost basis of ~~these~~the 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 Report~~allowance for credit losses and ~~“Liquidity~~key allowance for credit losses ratios.

Table 13 - Allowance for Credit Losses Activity


	1Q 2024						1Q 2023
(Dollars in millions)	Single-Family		Multifamily		Total		Single-Family		Multifamily		Total
Allowance for credit losses:
Beginning balance	$6,402		$447		$6,849		$7,746		$147		$7,893
Provision (benefit) for credit losses	120		61		181		318		77		395
Charge-offs	(123)		—		(123)		(90)		—		(90)
Recoveries collected	26		—		26		32		—		32
Net charge-offs	(97)		—		(97)		(58)		—		(58)
Other(1)	83		—		83		91		—		91
Ending balance	$6,508		$508		$7,016		$8,097		$224		$8,321

Average loans outstanding during the period(2)	$3,030,531		$58,504		$3,089,035		$2,985,726		$47,748		$3,033,474
Net charge-offs to average loans outstanding	—	%	—	%	—	%	—	%	—	%	—	%

Components of ending balance of allowance for credit losses:
Mortgage loans held-for-investment	$6,189		$381		$6,570		$7,675		$160		$7,835



Other(3)	319		127		446		422		64		486
Total ending balance	$6,508		$508		$7,016		$8,097		$224		$8,321

(1)Primarily includes capitalization of past due interest related to non-accrual loans that received payment deferral plans and ~~Capital Resources” in this report~~loan 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-Q				5621



Management's Discussion and Analysis				Risk Management ~~\| Operational Risk~~

Table 14 - Allowance for Credit Losses Ratios


	March 31, 2024						December 31, 2023
(Dollars in millions)	Single-Family		Multifamily		Total		Single-Family		Multifamily		Total
Allowance for credit losses ratios:
Allowance for credit losses(1) to total loans outstanding	0.20	%	0.64	%	0.21	%	0.20	%	0.57	%	0.21	%
Non-accrual loans to total loans outstanding	0.43		0.17		0.42		0.44		0.11		0.44
Allowance for credit losses to non-accrual loans	47.90		369.90		50.45		45.01		509.38		47.20
Balances:
Allowance for credit losses on mortgage loans held-for-investment	$6,189		$381		$6,570		$6,057		$326		$6,383
Total loans outstanding(2)	3,033,817		59,509		3,093,326		3,031,136		57,107		3,088,243
Non-accrual loans(2)	12,921		103		13,024		13,458		64		13,522

~~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 transmission~~amortized cost basis of ~~confidential and other information in our computer systems and networks and with customers, counterparties, service providers, and financial institutions. Information security risks~~mortgage 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 impact~~elected 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 impacts~~ratio 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 or~~monitor and evaluate market conditions that could affect the ~~confidentiality~~credit quality of our ~~information~~single-family loan purchases. Additionally, when managing our new acquisitions, we consider our risk limits and guidance from ~~cyberattack~~FHFA and ~~other unauthorized access, disclosure,~~capital requirements under the ERCF. This may affect the volume and ~~disruption” in~~characteristics 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 Ratio 3298534884161



Freddie Mac 1Q 2024 Form 10-Q				5722



Management's Discussion and Analysis				Risk Management ~~\| Market Risk~~

The table below contains additional information about the single-family loans we purchased.

~~MARKET RISK~~Table 15 - Single-Family New Business Activity


	1Q 2024			1Q 2023
(Dollars in millions)	Amount	% of Total		Amount	% of Total
20- and 30-year, amortizing fixed-rate	$59,091	95	%	$55,469	94	%
15-year or less, amortizing fixed-rate	2,278	4		2,214	4
Adjustable-rate	900	1		1,282	2
Total	$62,269	100	%	$58,965	100	%

Percentage of purchases
DTI ratio > 45%		28	%		23	%
Original LTV ratio > 90%		25			28
Transaction type:
Guarantor swap		66			72
Cash window		34			28

Property type:
Detached single-family houses and townhouses		91			91
Condominium or co-op		9			9
Occupancy type:
Primary residence		93			92
Second home		2			2
Investment property		5			6
Loan purpose:
Purchase		86			86
Cash-out refinance		8			9
Other refinance		6			5

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 2024		1Q 2023
(In millions)	UPB(1)(2)	Maximum Coverage(3)(4)	UPB(1)(2)	Maximum Coverage(3)(4)
Primary mortgage insurance	$25,135	$6,616	$26,518	$6,920

CRT transactions:
STACR	41,402	1,284	14,887	611
ACIS	15,523	559	—	—
Other	692	107	46	46

Total CRT issuance	$57,617	$1,950	$14,933	$657

(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-Q						23


Management's Discussion and Analysis						Risk 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
STACR	1,187,102	39		31,085
ACIS	804,323	26		17,535
Other	39,871	1		10,911
Less: UPB with multiple credit enhancements and other reconciling items(5)	(801,385)	(26)		—
Single-Family mortgage portfolio - credit-enhanced	1,866,646	61		226,017
Single-Family mortgage portfolio - non-credit-enhanced	1,176,306	39		N/A
Total	$3,042,952	100	%	$226,017


	December 31, 2023
(Dollars in millions)	UPB(1)	% of Portfolio		Maximum Coverage(2)(3)
Primary mortgage insurance(4)	$637,037	21	%	$165,738
STACR	1,175,837	39		31,222
ACIS	821,048	27		17,647
Other	39,901	1		11,027
Less: UPB with multiple credit enhancements and other reconciling items(5)	(813,966)	(27)		—
Single-Family mortgage portfolio - credit-enhanced	1,859,857	61		225,634
Single-Family mortgage portfolio - non-credit-enhanced	1,179,053	39		N/A
Total	$3,038,910	100	%	$225,634

(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, 2024				December 31, 2023
(% of portfolio based on UPB)(1)	% of Portfolio(2)		SDQ Rate		% of Portfolio(2)		SDQ Rate
Credit-enhanced:
Primary mortgage insurance	21	%	0.92	%	21	%	0.95	%
CRT and other	55		0.57		55		0.60
Non-credit-enhanced	39		0.40		39		0.42
Total	N/A		0.52		N/A		0.55

(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-Q						24


Management's Discussion and Analysis						Risk 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	754	754	78	%	78	%
2023	278,342	751	744	79		75
2022	426,234	746	744	76		68
2021	968,107	752	755	71		53
2020	707,779	761	767	71		46
2019 and prior	620,009	738	751	75		34
Total	$3,042,952	750	754	73		52


	December 31, 2023
(Dollars in millions)	UPB	Original Credit Score (1)	Current Credit Score(1)(2)	Original LTV Ratio		Current LTV Ratio
Single-Family mortgage portfolio year of origination:
2023	$265,072	751	745	79	%	75	%
2022	433,252	745	746	76		68
2021	984,004	752	756	71		54
2020	719,822	761	768	71		46
2019	119,557	746	753	76		46
2018 and prior	517,203	736	751	75		32
Total	$3,038,910	750	755	73		52

(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 ≤ 60				CLTV > 60 to 80				CLTV > 80 to 90				CLTV > 90 to 100				CLTV > 100			All Loans
Original credit score	% of Portfolio		SDQ Rate		% of Portfolio		SDQ Rate(2)		% of Portfolio		SDQ Rate(2)		% of Portfolio		SDQ Rate(2)		% of Portfolio		SDQ Rate(2)	% of Portfolio		SDQ Rate
740 and above	44	%	0.15	%	15	%	0.23	%	4	%	0.31	%	2	%	0.29	%	—	%	NM	65	%	0.17	%
700 to 739	12		0.49		6		0.79		2		0.89		1		0.73		—		NM	21		0.58
680 to 699	4		0.85		2		1.48		—		NM		—		NM		—		NM	6		1.00
660 to 679	3		1.21		1		2.13		—		NM		—		NM		—		NM	4		1.40
620 to 659	2		1.89		1		3.28		—		NM		—		NM		—		NM	3		2.10
Less than 620	1		4.30		—		NM		—		NM		—		NM		—		NM	1		4.63
Total	66	%	0.46		25	%	0.67		6	%	0.71		3	%	0.59		—	%	NM	100	%	0.52

Referenced footnotes are included after the prior period table.


Freddie Mac 1Q 2024 Form 10-Q						25


Management's Discussion and Analysis						Risk Management


	December 31, 2023
	CLTV ≤ 60				CLTV > 60 to 80				CLTV > 80 to 90				CLTV > 90 to 100				CLTV > 100			All Loans
Original credit score	% of Portfolio		SDQ Rate		% of Portfolio		SDQ Rate(2)		% of Portfolio		SDQ Rate(2)		% of Portfolio		SDQ Rate(2)		% of Portfolio		SDQ Rate(2)	% of Portfolio		SDQ Rate
740 and above	45	%	0.16	%	15	%	0.24	%	4	%	0.32	%	1	%	0.27	%	—	%	NM	65	%	0.18	%
700 to 739	13		0.53		5		0.82		2		0.93		1		0.59		—		NM	21		0.61
680 to 699	4		0.90		2		1.50		—		NM		—		NM		—		NM	6		1.05
660 to 679	3		1.28		1		2.18		—		NM		—		NM		—		NM	4		1.45
620 to 659	2		2.00		1		3.37		—		NM		—		NM		—		NM	3		2.21
Less than 620	1		4.41		—		NM		—		NM		—		NM		—		NM	1		4.74
Total	68	%	0.49		24	%	0.70		6	%	0.72		2	%	0.52		—	%	NM	100	%	0.55

(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.

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-Q						26


Management's Discussion and Analysis						Risk 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 2024		1Q 2023
(UPB in millions, loan count in thousands)	UPB	Loan Count	UPB	Loan Count
Payment deferral plans	$2,670	10	$2,735	11
Loan modifications	1,382	6	1,259	6
Forbearance plans and other(1)	1,180	5	1,490	7
Total	$5,232	21	$5,484	24

(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-Q						27


Management's Discussion and Analysis						Risk 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

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 2024		1Q 2023
(In millions)	UPB(1)	Maximum Coverage(2)(3)	UPB(1)	Maximum Coverage(2)(3)
Subordination	$6,598	$399	$6,149	$425
SCR	—	—	1,166	105

Lender risk-sharing	—	—	239	48

Total CRT issuance	$6,598	$399	$7,554	$578

(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-Q						28


Management's Discussion and Analysis						Risk 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, 2024			December 31, 2023
(Dollars in millions)	UPB	Delinquency Rate			UPB	Delinquency Rate
Credit-enhanced:
Subordination	$359,244	0.34	%		$358,944	0.26	%
SCR/MCIP	46,904	0.23			47,011	0.23
Other	8,779	0.86			8,844	0.89
Total credit-enhanced	414,927	0.34			414,799	0.27
Non-credit-enhanced	28,160	0.33			25,998	0.51
Total	$443,087	0.34			$440,797	0.28

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, 2024			December 31, 2023
(Dollars in millions)	UPB	Delinquency Rate			UPB	Delinquency Rate
Mortgage loans held-for-sale	$8,602	—	%		$8,823	—	%
Mortgage loans held-for-investment:
Held by Freddie Mac	7,980	0.99			9,941	1.21
Held by consolidated trusts	9,182	0.14			4,851	0.27
Other mortgage-related guarantees	2,396	—			2,383	—
Total	$28,160	0.33			$25,998	0.51

Market Risk

Overview

Our business segments have ~~inherent~~embedded exposure to market risk, ~~including interest-rate~~which 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 ~~majority~~primary sources of ~~our economic~~ interest-rate risk ~~comes from~~are 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. ~~PMVS~~PVS is an estimate of the change in the ~~market~~present 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. ~~PMVS~~PVS is measured in two ways, one measuring the estimated sensitivity of our portfolio ~~market~~ value to a 50 ~~basis point~~bps 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 point~~bps change in the slope of the ~~LIBOR~~ yield curve ~~(PMVS-Yield Curve or PMVS-YC)~~(PVS-YC). While we believe that duration gap and ~~PMVS~~PVS 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-L~~PVS-L and ~~PMVS-YC~~PVS-YC results, and an average of the daily values and standard deviation. The table below also provides ~~PMVS-L~~PVS-L estimates assuming an immediate 100 ~~basis point~~bps 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-Q				5829



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, 2024			December 31, 2023
	PVS-YC	PVS-L		PVS-YC	PVS-L
(In millions)	25 bps	50 bps	100 bps	25 bps	50 bps	100 bps
Assuming shifts of the yield curve, (gains) losses on:(1)
Assets:
Investments	$316	$3,047	$6,015	($301)	$3,150	$6,229
Guarantees(2)	(15)	(314)	(599)	34	(369)	(678)
Total assets	301	2,733	5,416	(267)	2,781	5,551
Liabilities	56	(1,496)	(3,044)	(52)	(1,519)	(3,073)
Derivatives	(357)	(1,267)	(2,494)	322	(1,274)	(2,547)
Total	$—	($30)	($122)	$3	($12)	($69)
PVS	$—	$—	$—	$3	$—	$—

(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 2024			1Q 2023
(Duration gap in months, dollars in millions)	Duration Gap	PVS-YC 25 bps	PVS-L 50 bps	Duration Gap	PVS-YC 25 bps	PVS-L 50 bps
Average	0.1	$2	$—	—	$3	$3
Minimum	(0.1)	—	—	(0.2)	—	—
Maximum	0.2	5	5	0.2	9	24
Standard deviation	0.1	1	1	0.1	2	6

3Q 2017 3Q 2016
(Duration gap in months, dollars in millions)
Duration
Gap

PMVS-YC
25 bps

PMVS-L
50 bps

Duration
Gap

PMVS-YC
25 bps

PMVS-L
50 bps
Average —

$9

$35
0.1

$6

$14
Minimum (0.4 )
$—

$—
(0.4 )
$—

$—
Maximum 0.4

$26

$78
0.6

$21

$68
Standard deviation 0.2

$7

$17
0.2

$4

$17

YTD 2017 YTD 2016
(Duration gap in months, dollars in millions)
Duration
Gap

PMVS-YC
25 bps

PMVS-L
50 bps

Duration
Gap

PMVS-YC
25 bps

PMVS-L
50 bps
Average 0.1

$7

$16
0.1

$6

$21
Minimum (0.4 )
$—

$—
(0.4 )
$—

$—
Maximum 0.8

$26

$78
0.7

$31

$92
Standard deviation 0.2

$6

$20
0.2

$5

$22

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-L~~PVS-L risk levels, assuming a 50 ~~basis point~~bps 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, 2023	1,261	—	(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-Q						30

PMVS-L (50 bps)
(In millions)
Before
Derivatives

After
Derivatives

Effect of
Derivatives
September 30, 2017
$3,214

$6

($3,208 )
December 31, 2016
$3,651

$—

($3,651 )


Management's Discussion and Analysis						Risk Management

~~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 value~~elect 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-Q~~		59



~~Management's Discussion and Analysis~~		~~Risk 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 on~~accounting.

Earnings Sensitivity to Changes in Interest Rates

We evaluate a range of interest rate scenarios to determine the ~~actual results~~sensitivity 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-rate~~interest rate scenarios evaluated include parallel shifts in the yield curve ~~of plus and minus~~in 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 before~~net 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, while~~for each of the ~~GAAP adverse scenario after~~identified 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 ~~short~~we 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, 2024	March 31, 2023
Interest Rate Scenarios(1)
Parallel yield curve shifts:
+100 bps	$10	$25
-100 bps	(10)	(25)
Non-parallel yield curve shifts - long-term interest rates:
+100 bps	282	118
-100 bps	(282)	(118)
Non-parallel yield curve shifts - short-term and medium-term interest rates:
+100 bps	(272)	(92)
-100 bps	272	92

~~Spread Volatility~~

(1)The earnings sensitivity presented is calculated using the change in interest rates and net effective duration exposure.

The ~~volatility~~actual 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 hold~~on 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-Q				6031



Management's Discussion and Analysis				~~Risk 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-Q~~		61



~~Management's Discussion and Analysis~~		Liquidity and Capital Resources ~~\| Liquidity Profile~~

LIQUIDITY AND CAPITAL RESOURCES

~~LIQUIDITY PROFILE~~

~~OTHER DEBT ACTIVITIES~~

~~Debt securities~~Our business activities require that we ~~issue are classified either~~maintain adequate liquidity to meet our financial obligations as ~~debt securities~~they come due and to meet the needs of ~~consolidated trusts held~~customers 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 %
$—
— %
Issuances 89,827
0.99 % —
— %
Repurchases —
— % —
— %
Maturities (93,716 ) 0.92 % —
— %
Ending Balance 48,465
1.05 % —
— %
Securities sold under agreements to repurchase:
Beginning balance 4,772
1.01 % —
— %
Additions 30,803
0.92 % —
— %
Repayments (27,402 ) 0.93 % —
— %
Ending Balance 8,173
0.75 % —
— %
Callable debt:
Beginning balance —
— % 120,450
1.53 %
Issuances —
— % 9,850
1.90 %
Repurchases —
— % (49 ) 2.39 %
Calls —
— % (13,011 ) 1.80 %
Maturities —
— % (3,850 ) 0.92 %
Ending Balance —
— % 113,390
1.51 %
Non-callable debt:⁽²⁾

Beginning balance 10,616
0.82 % 151,279
2.38 %
Issuances 2,300
1.07 % 7,555
1.51 %
Repurchases —
— % (167 ) 2.54 %
Maturities —
— % (20,947 ) 1.62 %
Ending Balance 12,916
0.86 % 137,720
2.47 %
Total other debt
$69,554
0.98 %
$251,110
2.04 %

Liquidity



~~Freddie Mac Form 10-Q~~		62



~~Management's Discussion and Analysis~~		~~Liquidity 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 %
$—
— %
Issuances 289,138
0.79 % —
— %
Repurchases (57 ) 0.91 % —
— %
Maturities (301,658 ) 0.69 % —
— %
Ending Balance 48,465
1.05 % —
— %
Securities sold under agreements to repurchase:
Beginning balance 3,040
0.42 % —
— %
Additions 93,948
0.61 % —
— %
Repayments (88,815 ) 0.57 % —
— %
Ending Balance 8,173
0.75 % —
— %
Callable debt:
Beginning balance —
— % 98,420
1.44 %
Issuances —
— % 46,979
1.90 %
Repurchases —
— % (49 ) 2.39 %
Calls —
— % (24,227 ) 1.76 %
Maturities —
— % (7,733 ) 0.85 %
Ending Balance —
— % 113,390
1.51 %
Non-callable debt:⁽²⁾

Beginning balance 7,435
0.41 % 186,806
2.10 %
Issuances 12,866
0.87 % 18,673
1.99 %
Repurchases (500 ) 0.82 % (1,211 ) 1.40 %
Maturities (6,885 ) 0.40 % (66,548 ) 1.46 %
Ending Balance 12,916
0.86 % 137,720
2.47 %
Total other debt
$69,554
0.98 %
$251,110
2.04 %


~~(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-Q~~		63



~~Management's Discussion and Analysis~~		~~Liquidity and Capital Resources \| Liquidity Profile~~

The following ~~graphs present~~table lists the sources of our ~~other debt by contractual maturity date and earliest redemption date. The earliest redemption date refers to~~liquidity, the ~~earliest call date for callable debt and the contractual maturity date for all other debt.~~

~~Contractual Maturity Date~~balances as of ~~September 30, 2017~~the dates shown, and a brief description of their importance to Freddie Mac.

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 Portfolio

24,440

24,469

The liquid portion of our mortgage-related investments portfolio can be pledged or sold for liquidity purposes. The amount of cash we may be able to successfully raise may be substantially less than the balance.

~~Earliest Redemption Date as of September 30, 2017~~

~~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-Q~~		64



~~Management's Discussion and Analysis~~		~~Liquidity and Capital Resources \| Liquidity Profile~~

(In millions) 3Q 2017 YTD 2017
Beginning balance
$1,625,619

$1,602,162
Issuances:
New issuances to third parties 63,552
187,273
Additional issuances of securities 39,425
100,507
Total issuances 102,977
287,780
Extinguishments:
Purchases of debt securities from third parties (7,221 ) (27,492 )
Debt securities received in settlement of advances to lenders (8,630 ) (24,341 )
Repayments of debt securities (68,833 ) (194,197 )
Total extinguishments (84,684 ) (246,030 )
Ending balance
$1,643,912

$1,643,912
Unamortized premiums and discounts 47,612
47,612
Debt securities of consolidated trusts held by third parties
$1,691,524

$1,691,524

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 in~~contingency operating portfolio, included within our other investments portfolio, and ~~cash~~UPB for the liquid portion of the mortgage-related investments portfolio.

Other Investments Portfolio

Our other investments portfolio ~~are~~is 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-Q~~		65



~~Management's Discussion and Analysis~~		~~Liquidity 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 portfolio~~securities 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-Q				6632



Management's Discussion and Analysis				Liquidity and Capital Resources ~~\| Cash Flows~~

Primary Sources of Funding

~~CASH FLOWS~~The 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 Trusts	3,050,038	3,041,927	Debt of consolidated trusts is used primarily to fund our Single-Family guarantee activities. This type of debt is principally repaid by the cash flows of the associated mortgage loans. As a result, our repayment obligation is limited to amounts paid pursuant to our guarantee of principal and interest and to purchase modified or seriously delinquent loans from the trusts.

(1)Represents the carrying value of debt balances after consideration of offsetting arrangements.

Debt of Freddie Mac

We ~~evaluate~~issue 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 comparing~~needs and to comply with our Liquidity Management Framework.

The table below summarizes the ~~net cash flows~~par value and the average rate of debt of Freddie Mac securities we issued or paid off, including regularly scheduled principal payments, payments resulting from ~~operating~~calls, and ~~investing activities~~payments 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.~~

~~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 certain~~liquidity of our ~~non-agency mortgage-related~~debt securities.

~~This increase was partially offset by:~~

~~Increase in net purchases~~Table 31 - Debt of ~~mortgage loans acquired as held-for-sale, primarily due~~Freddie Mac Activity


	1Q 2024			1Q 2023
(Dollars in millions)	Par Value	Average Rate(1)		Par Value	Average Rate(1)
Short-term:
Beginning balance	$6,031	5.39	%	$7,716	3.49	%
Issuances	15,943	5.29		50,739	4.18
Repayments	—	—		—	—
Maturities	(13,043)	5.26		(49,739)	4.04
Total short-term debt	8,931	5.37		8,716	4.36






Long-term:
Beginning balance	168,009	3.31		170,363	2.22
Issuances	16,438	5.38		14,192	5.33
Repayments	(20,812)	5.62		(2,491)	5.93
Maturities	(3,164)	2.62		(680)	1.50
Total long-term debt	160,471	3.24		181,384	2.51
Total debt of Freddie Mac, net	$169,402	3.35	%	$190,100	2.60	%

(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 received~~The 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 due~~contractual maturity date and earliest redemption date. The earliest redemption date refers to the ~~following:~~

~~Decrease in proceeds from issuances~~earliest 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-Q				6733



Management's Discussion and Analysis				Liquidity and Capital Resources ~~\| Capital Resources~~

Table 32 - Maturity and Redemption Dates


	As of March 31, 2024		As of December 31, 2023
(In millions)	Contractual Maturity Date	Earliest Redemption Date	Contractual Maturity Date	Earliest Redemption Date
Debt of Freddie Mac(1):
1 year or less	$47,192	$143,141	$47,276	$144,232
1 year through 2 years	54,690	12,049	61,187	15,249
2 years through 3 years	13,032	243	15,645	447
3 years through 4 years	13,154	290	12,530	305
4 years through 5 years	14,957	345	10,947	345
Thereafter	24,328	11,285	24,278	11,285
STACR and SCR debt(2)	2,049	2,049	2,177	2,177
Total debt of Freddie Mac	$169,402	$169,402	$174,040	$174,040

~~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 2024	1Q 2023
Beginning balance	$2,999,893	$2,929,567
Issuances	84,873	87,021
Repayments and extinguishments	(75,689)	(77,867)
Ending balance	3,009,077	2,938,721
Unamortized premiums and discounts	40,961	48,329
Debt of consolidated trusts	$3,050,038	$2,987,050

Off-Balance Sheet Arrangements

We enter into ~~conservatorship resulted~~certain business arrangements that are not recorded on our condensed consolidated balance sheets or that may be recorded in ~~significant changes to~~amounts 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-quality~~transaction 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. Based~~risk 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 $5.3~~credit 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 requirement~~March 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 as~~March 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-Q						34


Management's Discussion and Analysis						Liquidity and Capital Resources

Capital Resources

The table below presents activity related to our net ~~worth during 3Q 2017~~worth.

Table 34 - Net Worth Activity


(In millions)	1Q 2024	1Q 2023
Beginning balance	$47,722	$37,018
Comprehensive income	2,741	2,049
Capital draw from Treasury	—	—
Senior preferred stock dividends declared	—	—
Total equity / net worth	$50,463	$39,067

Remaining Treasury funding commitment	$140,162	$140,162
Aggregate draws under Purchase Agreement	71,648	71,648
Aggregate cash dividends paid to Treasury	119,680	119,680
Liquidation preference of the senior preferred stock	120,370	109,666

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

(In millions) 3Q 2017 YTD 2017
Beginning balance
$2,586

$5,075
Comprehensive (loss) income 4,650
8,870
Capital draw from Treasury —
—
Senior preferred stock dividends declared (1,986 ) (8,695 )
Total equity / net worth
$5,250

$5,250
Aggregate draws under Purchase Agreement
$71,336

$71,336
Aggregate cash dividends paid to Treasury
$110,143

$110,143

Leverage Capital Requirement: Tier 1 Capital Ratio



Freddie Mac 1Q 2024 Form 10-Q				6835



Management's Discussion and Analysis	~~Conservatorship~~	Liquidity and ~~Related Matters~~Capital Resources

~~CONSERVATORSHIP AND RELATED MATTERS~~

~~REDUCING OUR MORTGAGE-RELATED INVESTMENTS PORTFOLIO OVER TIME~~Capital Metrics

The table below presents the ~~UPB~~components of our ~~mortgage-related investments portfolio~~regulatory capital.

Table 35 - Regulatory Capital Components


(In billions)	March 31, 2024	December 31, 2023
Total equity	$50	$48
Less:
Senior preferred stock	73	73
Preferred stock	14	14
Common equity	(37)	(39)
Less: deferred tax assets arising from temporary differences that exceed 10% of CET1 capital and other regulatory adjustments	4	4
Common equity Tier 1 capital	(41)	(43)
Add: Preferred stock	14	14
Tier 1 capital	(27)	(29)
Tier 2 capital adjustments	—	—
Adjusted total capital	($27)	($29)

The table below presents the components of our statutory capital.

Table 36 - Statutory Capital Components


(In billions)	March 31, 2024	December 31, 2023
Total equity	$50	$48
Less:
Senior preferred stock	73	73
AOCI, net of taxes	—	—
Core capital	(23)	(25)
General allowance for foreclosure losses(1)	7	7
Total capital	($16)	($18)

(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 securities 121,108
—
4,026
125,134
125,652
—
4,776
130,428
Non-agency mortgage-related securities 270
—
6,856
7,126
113
—
16,059
16,172
Non-Freddie Mac agency mortgage-related securities 7,614
—
—
7,614
11,759
—
—
11,759
Total Capital Markets segment - Mortgage investments portfolio 128,992
13,343
64,254
206,589
137,524
13,113
79,161
229,798
Single-family Guarantee segment - Single-family unsecuritized seriously delinquent loans —
—
11,784
11,784
—
—
13,692
13,692
Multifamily segment:

Unsecuritized loans —
18,416
20,721
39,137
—
16,372
26,047
42,419
Mortgage-related securities 7,211
—
1,960
9,171
7,447
—
5,070
12,517
Total Multifamily segment 7,211

18,416

22,681
48,308
7,447

16,372

31,117
54,936
Total mortgage-related investments portfolio
$136,203

$31,759

$98,719

$266,681

$144,971

$29,485

$123,970

$298,426
Percentage of total mortgage-related investments portfolio 51 % 12 % 37 % 100 % 49 % 10 % 41 % 100 %
Mortgage-related investments portfolio cap at December 31, 2017 and December 31, 2016
$288,408

$339,304
90% of mortgage-related investments portfolio cap at December 31, 2017 and December 31, 2016⁽¹⁾

$259,567

$305,374


~~(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-Q				6936



Management's Discussion and Analysis	~~Conservatorship~~	Liquidity and ~~Related Matters~~Capital Resources

The table below presents our capital metrics under the ERCF.

~~Securitizations of $0.7 billion in UPB of less liquid multifamily loans; and~~Table 37 - Capital Metrics Under ERCF


(In billions)				March 31, 2024					December 31, 2023
Adjusted total assets			$3,786				$3,775
Risk-weighted assets (standardized approach):
Credit risk			893				884
Market risk			54				54
Operational risk			71				71
Total risk-weighted assets			$1,018				$1,009

(In billions)				March 31, 2024					December 31, 2023
Stress capital buffer			$28				$28
Stability capital buffer			29				23
Countercyclical capital buffer amount			—				—
PCCBA			$57				$51
PLBA			$14				$11

	March 31, 2024
(Dollars in billions)	Minimum Capital Requirement		Applicable Buffer(1)			Capital Requirement (Including Buffer(1))			Available Capital (Deficit)		Capital Shortfall
Risk-based capital amounts:
Total capital	$81		N/A			$81			($16)		($97)
CET1 capital	46		$57			103			(41)		(144)
Tier 1 capital	61		57			118			(27)		(145)
Adjusted total capital	81		57			138			(27)		(165)
Risk-based capital ratios(2):
Total capital	8.0	%	N/A			8.0		%	(1.5)	%	(9.5)	%
CET1 capital	4.5		5.6		%	10.1			(4.0)		(14.1)
Tier 1 capital	6.0		5.6			11.6			(2.6)		(14.2)
Adjusted total capital	8.0		5.6			13.6			(2.6)		(16.2)
Leverage capital amounts:
Core capital	$95		N/A			$95			($23)		($118)
Tier 1 capital	95		$14			109			(27)		(136)
Leverage capital ratios(3):
Core capital	2.5	%	N/A			2.5		%	(0.6)	%	(3.1)	%
Tier 1 capital	2.5		0.4		%	2.9			(0.7)		(3.6)

~~Transfers of $0.9 billion in UPB of less liquid multifamily loans to~~Referenced footnotes are included after the ~~securitization pipeline.~~

prior period table.



Freddie Mac 1Q 2024 Form 10-Q				7037


Management's Discussion and Analysis						Liquidity 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 capital	45		$51		96		(43)		(139)
Tier 1 capital	60		51		111		(29)		(140)
Adjusted total capital	81		51		132		(29)		(161)
Risk-based capital ratios(2):
Total capital	8.0	%	N/A		8.0	%	(1.8)	%	(9.8)	%
CET1 capital	4.5		5.0	%	9.5		(4.3)		(13.8)
Tier 1 capital	6.0		5.0		11.0		(2.9)		(13.9)
Adjusted total capital	8.0		5.0		13.0		(2.9)		(15.9)
Leverage capital amounts:
Core capital	$95		N/A		$95		($25)		($120)
Tier 1 capital	95		$11		106		(29)		(135)
Leverage capital ratios(3):
Core capital	2.5	%	N/A		2.5	%	(0.7)	%	(3.2)	%
Tier 1 capital	2.5		0.3	%	2.8		(0.8)		(3.6)

(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-Q						38



Management's Discussion and Analysis					Critical 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 Forward		13- to 24-Month Forward


March 31, 2024	0.2	%	0.6	%
December 31, 2023	2.8		2.0


Freddie Mac 1Q 2024 Form 10-Q						39


Management's Discussion and Analysis						Regulation and Supervision

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 purchases~~Federal 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 respect~~announced 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 goals~~new 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 three~~loans 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 forth~~expected 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 share~~third quarter of 2024. As part of the ~~market that meets~~transition, Freddie Mac and Fannie Mae will make available historical VantageScore 4.0 data on loans acquired by the ~~criteria~~Enterprises 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-Q				7140



Management's Discussion and Analysis		~~Regulation and Supervision~~Forward-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-Q~~		72



~~Management's Discussion and Analysis~~		~~Off-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-Q~~		73



~~Management's Discussion and Analysis~~	~~Forward-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 ~~2016~~2023 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 the~~promote equitable access to affordable and sustainable housing, ~~markets or~~such as programs to implement ~~FHFA’s~~the 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, including~~Agreement;

nThe impact of any changes in our ~~dividend requirement on~~credit 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 fiscal~~tax laws;

nChanges in privacy and ~~monetary~~cybersecurity 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 ~~home~~house 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-Q~~		74



~~Management's Discussion and Analysis~~	~~Forward-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;

~~Changes~~nOur 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 ~~errors~~support 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-Q						41


Management's Discussion and Analysis			Forward-Looking Statements

nOur ability to maintain market acceptance of our mortgage-related securities, ~~(e.g., single-family PCs, multifamily K Certificates~~including 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 ~~2016~~2023 Annual Report, including in the ~~“MD&A”~~MD&A section.

Forward-looking statements ~~speak~~are 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-Q				7542


Financial Statements

Financial Statements

~~FINANCIAL STATEMENTS~~



Freddie Mac 1Q 2024 Form 10-Q				7643



Financial Statements	Condensed 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 securities 821
976
2,637
2,923
Other 185
74
436
187
Total interest income 16,873
16,047
50,753
49,163
Interest expense (13,344 ) (12,354 ) (39,965 ) (38,523 )
Expense related to derivatives (40 ) (47 ) (125 ) (146 )
Net interest income 3,489
3,646
10,663
10,494
Benefit (provision) for credit losses (716 ) (113 ) (178 ) 1,129
Net interest income after benefit (provision) for credit losses 2,773
3,533
10,485
11,623
Non-interest income (loss)
Gains (losses) on extinguishment of debt 27
(92 ) 295
(266 )
Derivative gains (losses) (678 ) (36 ) (2,076 ) (6,655 )
Net impairment of available-for-sale securities recognized in earnings (1 ) (9 ) (17 ) (138 )
Other gains on investment securities recognized in earnings 723
309
840
1,062
Other income (loss) 5,403
605
6,512
1,527
Non-interest income (loss) 5,474
777
5,554
(4,470 )
Non-interest expense
Salaries and employee benefits (272 ) (248 ) (813 ) (727 )
Professional services (110 ) (129 ) (340 ) (347 )
Occupancy expense (17 ) (13 ) (46 ) (41 )
Other administrative expense (125 ) (108 ) (349 ) (306 )
Total administrative expense (524 ) (498 ) (1,548 ) (1,421 )
Real estate owned operations expense (35 ) (56 ) (128 ) (169 )
Temporary Payroll Tax Cut Continuation Act of 2011 expense (339 ) (293 ) (990 ) (845 )
Other expense (159 ) (138 ) (361 ) (442 )
Non-interest expense (1,057 ) (985 ) (3,027 ) (2,877 )
Income (loss) before income tax (expense) benefit 7,190
3,325
13,012
4,276
Income tax (expense) benefit (2,519 ) (996 ) (4,466 ) (1,308 )
Net income (loss) 4,671
2,329
8,546
2,968
Other comprehensive income (loss), net of taxes and reclassification adjustments:
Changes in unrealized gains (losses) related to available-for-sale securities (47 ) (47 ) 246
181
Changes in unrealized gains (losses) related to cash flow hedge relationships 26
29
81
95
Changes in defined benefit plans —
(1 ) (3 ) (1 )
Total other comprehensive income (loss), net of taxes and reclassification adjustments (21 ) (19 ) 324
275
Comprehensive income (loss)
$4,650

$2,310

$8,870

$3,243
Net income (loss)
$4,671

$2,329

$8,546

$2,968
Undistributed net worth sweep and senior preferred stock dividends (4,650 ) (2,310 ) (8,870 ) (3,243 )
Net income (loss) attributable to common stockholders
$21

$19

($324 )
($275 )
Net income (loss) per common share — basic and diluted
$0.01

$0.01

($0.10 )
($0.09 )
Weighted average common shares outstanding (in millions) — basic and diluted 3,234
3,234
3,234
3,234
Condensed Consolidated Statements of Income and Comprehensive Income (Unaudited)


(In millions, except share-related amounts)	1Q 2024	1Q 2023
Net interest income
Interest income	$28,385	$24,987
Interest expense	(23,626)	(20,486)
Net interest income	4,759	4,501

Non-interest income
Guarantee income	496	466
Investment gains, net	405	(225)
Other income	97	85
Non-interest income	998	326
Net revenues	5,757	4,827

(Provision) benefit for credit losses	(181)	(395)

Non-interest expense
Salaries and employee benefits	(421)	(374)


Credit enhancement expense	(597)	(530)
Benefit for (decrease in) credit enhancement recoveries	1	49

Legislative assessments expense	(754)	(735)
Other expense	(351)	(342)
Non-interest expense	(2,122)	(1,932)

Income before income tax expense	3,454	2,500
Income tax expense	(688)	(505)
Net income	2,766	1,995




Other comprehensive income (loss), net of taxes and reclassification adjustments	(25)	54
Comprehensive income	$2,741	$2,049

Net income	$2,766	$1,995
Amounts attributable to senior preferred stock	(2,741)	(2,049)
Net income attributable to common stockholders	$25	($54)
Net income per common share	$0.01	($0.02)
Weighted average common shares (in millions)	3,234	3,234

The accompanying notes are an integral part of these condensed consolidated financial statements.



Freddie Mac 1Q 2024 Form 10-Q				7744



Financial Statements	Condensed 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 liabilities 2,025,406
2,018,301
Commitments and contingencies (Notes 3, 7, and 14)

Equity (Note 9)
Senior preferred stock 72,336
72,336
Preferred stock, at redemption value 14,109
14,109
Common stock, $0.00 par value, 4,000,000,000 shares authorized, 725,863,886 shares issued and 650,054,731 shares and 650,046,828 shares outstanding —
—
Additional paid-in capital —
—
Retained earnings (accumulated deficit) (78,092 ) (77,941 )
AOCI, net of taxes, related to:
Available-for-sale securities (includes $726 and $782, related to net unrealized gains on securities for which other-than-temporary impairment has been recognized in earnings) 1,161
915
Cash flow hedge relationships (399 ) (480 )
Defined benefit plans 18
21
Total AOCI, net of taxes 780
456
Treasury stock, at cost, 75,809,155 shares and 75,817,058 shares (3,883 ) (3,885 )
Total equity (See Note 9 for information on our dividend requirement to Treasury) 5,250
5,075
Total liabilities and equity
$2,030,656

$2,023,376


	March 31,	December 31,
(In millions, except share-related amounts)	2024	2023
Assets
Cash and cash equivalents (includes $1,584 and $978 of restricted cash and cash equivalents)	$3,531	$6,019
Securities purchased under agreements to resell	102,257	95,148
Investment securities, at fair value	41,400	43,275
Mortgage loans held-for-sale (includes $7,926 and $7,356 at fair value)	12,034	12,941
Mortgage loans held-for-investment (net of allowance for credit losses of $6,570 and $6,383 and includes $1,931 and $1,806 at fair value)	3,088,687	3,083,665
Accrued interest receivable, net	10,047	9,925
Deferred tax assets, net	4,227	4,076
Other assets (includes $5,849 and $6,095 at fair value)	25,190	25,927
Total assets	$3,287,373	$3,280,976
Liabilities and equity
Liabilities
Accrued interest payable	$8,712	$8,812
Debt (includes $2,696 and $2,476 at fair value)	3,211,742	3,208,346
Other liabilities (includes $1,053 and $873 at fair value)	16,456	16,096
Total liabilities	3,236,910	3,233,254
Commitments and contingencies
Equity
Senior preferred stock (liquidation preference of $120,370 and $117,309)	72,648	72,648
Preferred stock, at redemption value	14,109	14,109
Common stock, $0.00 par value, 4,000,000,000 shares authorized, 725,863,886 shares issued and 650,059,553 shares outstanding	—	—

Retained earnings	(32,362)	(35,128)
AOCI, net of taxes, related to:
Available-for-sale securities	51	72
Other	(98)	(94)
AOCI, net of taxes	(47)	(22)
Treasury stock, at cost, 75,804,333 shares	(3,885)	(3,885)
Total equity	50,463	47,722
Total liabilities and equity	$3,287,373	$3,280,976

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 assets 26,510
32,262
Total assets of consolidated VIEs
$1,765,368

$1,722,480
Liabilities: (Note 3)
Debt, net
$1,691,524

$1,648,683
All other liabilities 4,950
4,846
Total liabilities of consolidated VIEs
$1,696,474

$1,653,529


	March 31,	December 31,
(In millions)	2024	2023

Assets:

Cash and cash equivalents (includes $1,483 and $890 of restricted cash and cash equivalents)	$1,484	$891
Securities purchased under agreements to resell	10,777	9,396
Investment securities, at fair value	—	65
Mortgage loans held-for-investment, net	3,044,215	3,039,461
Accrued interest receivable, net	9,051	8,885
Other assets	5,525	4,858
Total assets of consolidated VIEs	$3,071,052	$3,063,556
Liabilities:
Accrued interest payable	$7,702	$7,527
Debt	3,050,038	3,041,927
Total liabilities of consolidated VIEs	$3,057,740	$3,049,454

The accompanying notes are an integral part of these condensed consolidated financial statements.



Freddie Mac 1Q 2024 Form 10-Q				7845



Financial Statements	Condensed Consolidated Statements of ~~Cash Flows~~Equity

FREDDIE MAC

~~CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS~~Condensed 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 securities 115,727
45,650
Proceeds from maturities and repayments of trading securities 6,775
18,602
Purchases of available-for-sale securities (6,361 ) (21,988 )
Proceeds from sales of available-for-sale securities 14,695
17,009
Proceeds from maturities and repayments of available-for-sale securities 9,541
11,412
Purchases of held-for-investment mortgage loans (92,311 ) (120,753 )
Proceeds from sales of mortgage loans held-for-investment 4,641
2,605
Repayments of mortgage loans held-for-investment 206,705
245,212
(Increase) decrease in restricted cash 2,167
(4,598 )
Advances to lenders (25,383 ) (20,457 )
Net proceeds from dispositions of real estate owned and other recoveries 1,457
2,023
Net (increase) decrease in securities purchased under agreements to resell 4,346
7,971
Derivative premiums and terminations, swap collateral, and exchange settlement payments, net (1,646 ) (6,528 )
Changes in other assets (248 ) (254 )
Net cash provided by investing activities 120,557
105,216
Cash flows from financing activities
Proceeds from issuance of debt securities of consolidated trusts held by third parties 135,697
178,727
Repayments and redemptions of debt securities of consolidated trusts held by third parties (221,844 ) (251,296 )
Proceeds from issuance of other debt 461,222
504,447
Repayments of other debt (496,982 ) (541,125 )
Payment of cash dividends on senior preferred stock (8,695 ) (2,673 )
Changes in other liabilities (3 ) (4 )
Net cash used in financing activities (130,605 ) (111,924 )
Net (decrease) increase in cash and cash equivalents (4,186 ) (1,655 )
Cash and cash equivalents at beginning of year 12,369
5,595
Cash and cash equivalents at end of period
$8,183

$3,940

Supplemental cash flow information
Cash paid for:
Debt interest
$47,847

$46,399
Income taxes 887
1,834
Non-cash investing and financing activities (Note 4 and 5)


	Shares Outstanding			Senior Preferred Stock	Preferred Stock, at Redemption Value	Common Stock, at Par Value	Retained Earnings	AOCI, Net of Tax	Treasury Stock, at Cost	Total Equity
(In millions)	Senior Preferred Stock	Preferred Stock	Common Stock
Balance at December 31, 2023	1	464	650	$72,648	$14,109	$—	($35,128)	($22)	($3,885)	$47,722
Comprehensive income:
Net income	—	—	—	—	—	—	2,766	—	—	2,766
Other comprehensive income (loss):
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $7 million)	—	—	—	—	—	—	—	(25)	—	(25)
Reclassification adjustment for (gains) losses on available-for-sale securities included in net income (net of taxes of $1 million)	—	—	—	—	—	—	—	4	—	4
Other (net of taxes of $1 million)	—	—	—	—	—	—	—	(4)	—	(4)
Comprehensive income	—	—	—	—	—	—	2,766	(25)	—	2,741
Ending balance at March 31, 2024	1	464	650	$72,648	$14,109	$—	($32,362)	($47)	($3,885)	$50,463

Balance at December 31, 2022	1	464	650	$72,648	$14,109	$—	($45,666)	($188)	($3,885)	$37,018
Comprehensive income:
Net income	—	—	—	—	—	—	1,995	—	—	1,995
Other comprehensive income (loss):
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $14 million)	—	—	—	—	—	—	—	52	—	52
Reclassification adjustment for (gains) losses on available-for-sale securities included in net income (net of taxes of $0 million)	—	—	—	—	—	—	—	—	—	—
Other (net of taxes of $1 million)	—	—	—	—	—	—	—	2	—	2
Comprehensive income	—	—	—	—	—	—	1,995	54	—	2,049
Ending balance at March 31, 2023	1	464	650	$72,648	$14,109	$—	($43,671)	($134)	($3,885)	$39,067

The accompanying notes are an integral part of these condensed consolidated financial statements.


Freddie Mac 1Q 2024 Form 10-Q						46


Financial Statements			Condensed Consolidated Statements of Cash Flows

FREDDIE MAC

Condensed Consolidated Statements of Cash Flows (Unaudited)


(In millions)	1Q 2024	1Q 2023
Net cash provided by (used in) operating activities	$2,894	$3,435
Cash flows from investing activities
Investment securities:
Purchases	(15,067)	(39,052)
Proceeds from sales	16,257	34,919
Proceeds from maturities and repayments	1,595	5,464
Mortgage loans acquired held-for-investment:
Purchases	(23,751)	(19,991)
Proceeds from sales	714	1,661
Proceeds from repayments	57,248	55,034

Advances under secured lending arrangements	(19,544)	(22,317)

Net (increase) decrease in securities purchased under agreements to resell	(10,736)	(13,353)
Cash flows related to derivatives	1,890	61
Other, net	320	(112)
Net cash provided by (used in) investing activities	8,926	2,314
Cash flows from financing activities
Debt of consolidated trusts:
Proceeds from issuance	43,851	44,187
Repayments and redemptions	(57,074)	(55,197)
Debt of Freddie Mac:
Proceeds from issuance	32,281	64,864
Repayments	(36,920)	(52,748)
Net increase (decrease) in securities sold under agreements to repurchase	3,555	(7,339)


Other, net	(1)	(3)
Net cash provided by (used in) financing activities	(14,308)	(6,236)
Net increase (decrease) in cash and cash equivalents (includes restricted cash and cash equivalents)	(2,488)	(487)
Cash and cash equivalents (includes restricted cash and cash equivalents) at the beginning of year	6,019	6,360
Cash and cash equivalents (includes restricted cash and cash equivalents) at end of period	$3,531	$5,873

Supplemental cash flow information
Cash paid for:
Debt interest	$24,220	$20,806
Income taxes	—	—
Non-cash investing and financing activities (Notes 3 and 6)

The accompanying notes are an integral part of these condensed consolidated financial statements.



Freddie Mac 1Q 2024 Form 10-Q				7947



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 POLICIES~~1

Summary of Significant Accounting Policies

Freddie Mac is a GSE chartered by Congress in ~~1970. Our public~~1970, 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 2016~~2023 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 ~~2016~~2023 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 ~~2016~~2023 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 ~~from~~provided 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 materiality~~Use 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-Q~~		80



~~Financial Statements~~	~~Notes 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 establishing~~to report the allowance for ~~loan~~credit 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-Q						48


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

Recently Issued Accounting Guidance


Recently Adopted Accounting Guidance
Standard			Description
~~Standard~~	~~Description~~	Date of Adoption	Effect on Consolidated Financial Statements
ASU ~~2016-06, Derivatives~~2023-02, Investments - Equity Method and ~~Hedging~~Joint Ventures (Topic ~~815)~~323): Accounting for Investments in Tax Credit Structures Using the Proportional Amortization Method			The ~~amendment clarifies~~amendments in this Update expand the ~~requirements for assessing whether contingent call (put) options~~use 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 required~~meet 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, ~~2017~~2024	The adoption of ~~this amendment~~these 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

Standard

Description

Date of
Adoption

Effect on Consolidated Financial Statements

ASU ~~2016-17 - Consolidation~~2023-07, Segment Reporting (Topic ~~810)~~280): ~~Interests Held through Related Parties That Are under Common Control~~Improvements to Reportable Segment Disclosures

The ~~Board issued~~amendments in this Update ~~to amend~~require the ~~consolidation guidance on how a reporting entity that is the single decision maker~~disclosure of ~~a VIE should treat indirect interests in the entity held through related parties~~more detailed quantitative and qualitative information about significant segment expenses that are ~~under common control with~~regularly provided to the ~~reporting entity when determining whether it is~~CODM and included in each reported measure of segment profit or loss.

December 31, 2024

We do not expect the ~~primary beneficiary of that VIE.~~

~~January 1, 2017~~

~~The~~ 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, 2025

We do not expect the adoption of
these amendments to have a
material effect on our consolidated
financial statements.



Freddie Mac 1Q 2024 Form 10-Q				8149



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



~~Standard~~	~~Description~~	~~Date of Planned Adoption~~	~~Effect 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 2017~~	The 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, 2018~~	Upon 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 Instruments~~	The 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, 2020~~	While 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-Q~~		82



~~Financial Statements~~	~~Notes 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-Q~~		83



~~Financial Statements~~	~~Notes 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-Q~~		84



~~Financial Statements~~	~~Notes 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-Q~~		85



~~Financial Statements~~	~~Notes 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 ~~related~~that 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 Sheets			Total Assets	Maximum Exposure to Loss
(In millions)	Investment securities	Accrued Interest Receivable and Other Assets(1)	Liabilities(1)
Single-Family:
Securitization products	$1,576	$168	$440	$30,434	$24,762
Resecuritization products(2)	4,774	65	708	109,215	109,215
CRT products(3)	—	90	284	29,116	10
Total Single-Family	6,350	323	1,432	168,765	133,987
Multifamily:
Securitization products(4)	5,775	5,097	4,519	361,164	321,905
CRT products(3)	—	14	15	1,355	11
Total Multifamily	5,775	5,111	4,534	362,519	321,916
Other	—	7	5	112	483
Total	$12,125	$5,441	$5,971	$531,396	$456,386

Referenced footnotes are included after the prior period table.


Freddie Mac 1Q 2024 Form 10-Q						50

(In millions) September 30, 2017 December 31, 2016
Assets and Liabilities Recorded on our Consolidated Balance Sheets⁽¹⁾

Assets:

Investments in securities

$52,355

$58,995
Accrued interest receivable
236
254
Other assets
2,030
1,708
Liabilities:

Other liabilities
1,902
1,604
Maximum Exposure to Loss⁽²⁾⁽³⁾

$178,765

$150,227
Total Assets of Non-Consolidated VIEs⁽³⁾

$207,985

$175,713


~~(1)~~Financial Statements			Includes 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 Sheets			Total Assets	Maximum Exposure to Loss
(In millions)	Investment securities	Accrued Interest Receivable and Other Assets(1)	Liabilities(1)
Single-Family:
Securitization products	$1,272	$172	$427	$30,298	$24,600
Resecuritization products(2)	4,952	67	626	110,320	110,320
CRT products(3)	—	92	220	29,126	14
Total Single-Family	6,224	331	1,273	169,744	134,934
Multifamily:
Securitization products(4)	5,985	5,082	4,652	360,928	321,262
CRT products(3)	—	11	7	1,359	8
Total Multifamily	5,985	5,093	4,659	362,287	321,270
Other	—	7	5	117	468
Total	$12,209	$5,431	$5,937	$532,148	$456,672

(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-Q			Our 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 Statements			~~Our 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 course~~loans on our condensed consolidated balance sheets.

Table 3.1 - Mortgage Loans


	March 31, 2024			December 31, 2023
(In millions)	Single-Family	Multifamily	Total	Single-Family	Multifamily	Total
Held-for-sale UPB	$3,104	$9,446	$12,550	$3,527	$9,905	$13,432
Cost basis and fair value adjustments, net	(618)	102	(516)	(712)	221	(491)
Total held-for-sale loans, net	2,486	9,548	12,034	2,815	10,126	12,941
Held-for-investment UPB	3,001,013	61,757	3,062,770	2,996,509	59,203	3,055,712
Cost basis and fair value adjustments, net(1)	32,804	(317)	32,487	34,627	(291)	34,336
Allowance for credit losses	(6,189)	(381)	(6,570)	(6,057)	(326)	(6,383)
Total held-for-investment loans, net(2)	3,027,628	61,059	3,088,687	3,025,079	58,586	3,083,665
Total mortgage loans, net	$3,030,114	$70,607	$3,100,721	$3,027,894	$68,712	$3,096,606

(1)Includes ($0.5) billion and ($0.2) billion of ~~business, such~~basis 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, purchases~~of 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 2024	1Q 2023
Single-Family:
Purchases:
Held-for-investment loans	$62,269	$58,965
Sales of held-for-sale loans(1)	618	—
Multifamily:
Purchases:
Held-for-investment loans	2,625	3,349
Held-for-sale loans	6,459	2,695
Sales of held-for-sale loans(2)	6,603	6,150

(1)Our sales of single-family loans reflect the sale of single-family seasoned loans.

(2)Our sales of multifamily loans ~~guarantees~~occur primarily through the issuance of ~~multifamily housing revenue bonds,~~Multifamily K Certificates.


Freddie Mac 1Q 2024 Form 10-Q						52


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 2024			1Q 2023
(In millions)	UPB	Allowance for Credit Losses Reversed or (Established)	Valuation Allowance (Established) or Reversed	UPB	Allowance for Credit Losses Reversed or (Established)	Valuation Allowance (Established) or Reversed
Single-Family reclassifications from:
Held-for-investment to held-for-sale	$376	$8	$—	$—	$—	$—
Held-for-sale to held-for-investment(2)	50	4	4	48	4	4
Multifamily reclassifications from:
Held-for-investment to held-for-sale	264	1	(5)	4,731	1	(27)
Held-for-sale to held-for-investment(2)	369	—	3	561	—	16

(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. To~~of the ~~extent~~beginning and the end of the periods presented, including the interest income recognized for the period that is related to the loans on non-accrual status as of the period end.

Table 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, 2024	December 31, 2023	1Q 2024
Single-Family:
20- and 30-year or more, amortizing fixed-rate	$12,189	$12,682	$31
15-year or less, amortizing fixed-rate	485	519	1
Adjustable-rate and other	247	257	1
Total Single-Family	12,921	13,458	33
Total Multifamily	103	64	1
Total Single-Family and Multifamily	$13,024	$13,522	$34


	Non-Accrual Amortized Cost Basis		Interest Income Recognized(2)
(In millions)	March 31, 2023	December 31, 2022	1Q 2023
Single-Family:
20- and 30-year or more, amortizing fixed-rate	$9,348	$9,307	$28
15-year or less, amortizing fixed-rate	434	427	1
Adjustable-rate and other	332	361	1
Total Single-Family	10,114	10,095	30
Total Multifamily	41	42	1
Total Single-Family and Multifamily	$10,155	$10,137	$31

(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 involved~~on accrual status, for the held-for-investment loans on non-accrual status as of period end.


Freddie Mac 1Q 2024 Form 10-Q						53


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, Net		Accrued Interest Receivable Related Charge-Offs
(In millions)	March 31, 2024	December 31, 2023	1Q 2024	1Q 2023
Single-Family loans	$8,980	$8,833	($46)	($48)
Multifamily loans	297	287	(1)	—

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 ~~design~~home 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-Q						54


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 ~~creation~~Vintage


	March 31, 2024
	Year of Origination						Total
(In millions)	2024	2023	2022	2021	2020	Prior
Current LTV ratio:
20- and 30-year or more, amortizing fixed-rate
≤ 60	$5,993	$42,364	$95,196	$520,140	$539,594	$495,830	$1,699,117
> 60 to 80	16,569	108,193	181,642	301,741	87,998	18,128	714,271
> 80 to 90	6,969	63,047	86,453	25,075	1,309	467	183,320
> 90 to 100	10,954	52,215	21,489	1,673	106	94	86,531
> 100	7	79	971	55	12	85	1,209
Total 20- and 30-year or more, amortizing fixed-rate	40,492	265,898	385,751	848,684	629,019	514,604	2,684,448
Current period gross charge-offs(1)	—	1	9	10	6	29	55
15-year or less, amortizing fixed-rate
≤ 60	681	4,466	20,462	119,250	95,360	64,690	304,909
> 60 to 80	734	3,925	7,361	3,364	209	19	15,612
> 80 to 90	108	627	376	20	—	1	1,132
> 90 to 100	68	164	28	—	—	—	260
> 100	—	—	—	—	—	1	1
Total 15-year or less, amortizing fixed-rate	1,591	9,182	28,227	122,634	95,569	64,711	321,914
Current period gross charge-offs(1)	—	—	—	—	—	1	1
Adjustable-rate and other
≤ 60	55	422	1,670	3,314	1,432	12,960	19,853
> 60 to 80	220	1,296	2,603	1,019	87	240	5,465
> 80 to 90	109	796	997	45	3	17	1,967
> 90 to 100	84	356	246	3	—	8	697
> 100	—	—	15	—	—	4	19
Total adjustable-rate and other	468	2,870	5,531	4,381	1,522	13,229	28,001
Current period gross charge-offs(1)	—	—	—	—	—	—	—
Total for all loan product types by current LTV ratio:
≤ 60	6,729	47,252	117,328	642,704	636,386	573,480	2,023,879
> 60 to 80	17,523	113,414	191,606	306,124	88,294	18,387	735,348
> 80 to 90	7,186	64,470	87,826	25,140	1,312	485	186,419
> 90 to 100	11,106	52,735	21,763	1,676	106	102	87,488
> 100	7	79	986	55	12	90	1,229
Total Single-Family loans	$42,551	$277,950	$419,509	$975,699	$726,110	$592,544	$3,034,363
Total current period gross charge-offs(1)	$—	$1	$9	$10	$6	$30	$56

Referenced footnotes are included after the prior period table.


Freddie Mac 1Q 2024 Form 10-Q						55


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


	December 31, 2023
	Year of Origination						Total
(In millions)	2023	2022	2021	2020	2019	Prior
Current LTV ratio:
20- and 30-year or more, amortizing fixed-rate
≤ 60	$39,500	$93,279	$513,267	$542,449	$94,348	$411,663	$1,694,506
> 60 to 80	105,384	183,251	318,965	95,102	12,402	7,296	722,400
> 80 to 90	55,973	90,785	27,750	1,272	213	262	176,255
> 90 to 100	51,994	23,460	1,542	71	16	77	77,160
> 100	28	912	24	9	5	88	1,066
Total 20- and 30-year or more, amortizing fixed-rate	252,879	391,687	861,548	638,903	106,984	419,386	2,671,387
Full-year gross charge-offs(1)	—	12	37	43	45	243	380
15-year or less, amortizing fixed-rate
≤ 60	4,221	20,246	121,709	98,338	12,488	56,493	313,495
> 60 to 80	3,973	8,314	4,491	278	19	5	17,080
> 80 to 90	623	509	25	—	—	—	1,157
> 90 to 100	198	33	1	—	—	—	232
> 100	1	1	—	—	—	1	3
Total 15-year or less, amortizing fixed-rate	9,016	29,103	126,226	98,616	12,507	56,499	331,967
Full-year gross charge-offs(1)	—	1	2	1	—	2	6
Adjustable-rate and other
≤ 60	356	1,650	3,325	1,465	586	12,950	20,332
> 60 to 80	1,153	2,651	1,105	89	25	227	5,250
> 80 to 90	689	1,040	48	3	—	18	1,798
> 90 to 100	317	276	2	—	—	8	603
> 100	—	16	—	—	—	4	20
Total adjustable-rate and other	2,515	5,633	4,480	1,557	611	13,207	28,003
Full-year gross charge-offs(1)	—	—	—	—	—	1	1
Total for all loan product types by current LTV ratio:
≤ 60	44,077	115,175	638,301	642,252	107,422	481,106	2,028,333
> 60 to 80	110,510	194,216	324,561	95,469	12,446	7,528	744,730
> 80 to 90	57,285	92,334	27,823	1,275	213	280	179,210
> 90 to 100	52,509	23,769	1,545	71	16	85	77,995
> 100	29	929	24	9	5	93	1,089
Total Single-Family loans	$264,410	$426,423	$992,254	$739,076	$120,102	$489,092	$3,031,357
Total full-year gross charge-offs(1)	$—	$13	$39	$44	$45	$246	$387

(1)Excludes charge-offs related to accrued interest receivable and advances of ~~these VIEs, they are excluded from~~pre-foreclosure costs.

Multifamily

The table below presents the ~~table above. Our interests in these VIEs are generally passive in nature~~amortized 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 ~~expected~~have current credit weaknesses. In addition, this category generally includes loans in forbearance;

n"Substandard" has a weakness that jeopardizes the timely full repayment; and

n"Doubtful" has a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions.


Freddie Mac 1Q 2024 Form 10-Q						56


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 Origination						Total
(In millions)	2024	2023	2022	2021	2020	Prior		Revolving Loans
Category:
Pass	$1,512	$14,753	$17,617	$7,264	$6,208	$7,602	$2,289	$57,245
Special mention	—	20	307	63	35	410	—	835
Substandard	—	—	96	299	319	680	—	1,394
Doubtful	—	—	35	—	—	—	—	35
Total	$1,512	$14,773	$18,055	$7,626	$6,562	$8,692	$2,289	$59,509


	December 31, 2023
	Year of Origination						Total
(In millions)	2023	2022	2021	2020	2019	Prior		Revolving Loans
Category:
Pass	$13,804	$17,845	$7,430	$6,345	$4,420	$3,254	$2,266	$55,364
Special mention	20	85	28	43	294	106	—	576
Substandard	—	33	188	259	223	464	—	1,167
Doubtful	—	—	—	—	—	—	—	—
Total	$13,824	$17,963	$7,646	$6,647	$4,937	$3,824	$2,266	$57,107

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-rate	319,876	1,335	231	472	321,914	4
Adjustable-rate and other	27,350	331	81	239	28,001	47
Total Single-Family	2,992,937	23,538	5,378	12,510	3,034,363	447
Total Multifamily	59,396	6	4	103	59,509	16
Total Single-Family and Multifamily	$3,052,333	$23,544	$5,382	$12,613	$3,093,872	$463


	December 31, 2023
(In millions)	Current	One Month Past Due	Two Months Past Due	Three Months or More Past Due, or in Foreclosure(2)	Total	Non-Accrual with No Allowance(3)
Single-Family:
20- and 30-year or more, amortizing fixed-rate	$2,627,763	$25,528	$5,787	$12,309	$2,671,387	$406
15-year or less, amortizing fixed-rate	329,601	1,589	270	507	331,967	4
Adjustable-rate and other	27,317	342	95	249	28,003	49
Total Single-Family	2,984,681	27,459	6,152	13,065	3,031,357	459
Total Multifamily	57,031	12	—	64	57,107	23
Total Single-Family and Multifamily	$3,041,712	$27,471	$6,152	$13,129	$3,088,464	$482

Referenced footnotes are on the next page.


Freddie Mac 1Q 2024 Form 10-Q						57


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 obtaining~~recovery of the entire amortized cost basis if the property were foreclosed upon or otherwise subject to disposition. We exclude the amounts of allowance for credit losses on advances of pre-foreclosure costs when determining whether a ~~controlling~~loan 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 ~~interest~~difficulty, 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 ~~VIEs~~loans 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 Extension	Payment Delay, Term Extension, and Interest Rate Reduction	Total	Total as % of Class of Financing Receivable(3)
Single-Family:
20- and 30-year or more, amortizing fixed-rate	$5,461	$1,311	$6	$6,778	0.3	%
15-year or less, amortizing fixed-rate	222	—	—	222	0.1
Adjustable-rate and other	57	4	1	62	0.2
Total Single-Family loan restructurings	$5,740	$1,315	$7	$7,062	0.2


	1Q 2023
(Dollars in millions)	Payment Delay(2)	Payment Delay and Term Extension	Payment Delay, Term Extension, and Interest Rate Reduction	Total	Total as % of Class of Financing Receivable(3)
Single-Family:
20- and 30-year or more, amortizing fixed-rate	$6,357	$1,037	$86	$7,480	0.3	%
15-year or less, amortizing fixed-rate	332	19	1	352	0.1
Adjustable-rate and other	76	13	4	93	0.3
Total Single-Family loan restructurings	$6,765	$1,069	$91	$7,925	0.3

(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-Q						58


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 Reduction		Weighted-Average Months of Term Extension	Weighted-Average Payment Deferral or Principal Forbearance(2)
Single-Family:
20- and 30-year or more, amortizing fixed-rate	1.2	%	171	$16
15-year or less, amortizing fixed-rate	—		22	14
Adjustable-rate and other	0.8		217	16


	1Q 2023
(Dollars in thousands)	Weighted-Average Interest Rate Reduction		Weighted-Average Months of Term Extension	Weighted-Average Payment Deferral or Principal Forbearance(2)
Single-Family:
20- and 30-year or more, amortizing fixed-rate	0.9	%	180	$16
15-year or less, amortizing fixed-rate	0.4		354	16
Adjustable-rate and other	2.0		206	19

(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 Delay	Payment Delay and Term Extension	Payment Delay, Term Extension, and Interest Rate Reduction	Total
Single-Family:
20- and 30-year or more, amortizing fixed-rate	$798	$397	$5	$1,200
15-year or less, amortizing fixed-rate	30	—	—	30
Adjustable-rate and other	9	—	—	9
Total Single-Family	$837	$397	$5	$1,239


	1Q 2023
(In millions)	Payment Delay	Payment Delay and Term Extension	Payment Delay, Term Extension, and Interest Rate Reduction	Total
Single-Family:
20- and 30-year or more, amortizing fixed-rate	$704	$175	$206	$1,085
15-year or less, amortizing fixed-rate	32	—	—	32
Adjustable-rate and other	10	2	5	17
Total Single-Family	$746	$177	$211	$1,134

(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-Q						59


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)	Current	One Month Past Due	Two Months Past Due	Three Months or More Past Due	Total
Single-Family:
20- and 30-year or more, amortizing fixed-rate	$11,438	$2,559	$1,363	$5,201	$20,561
15-year or less, amortizing fixed-rate	394	84	49	191	718
Adjustable-rate and other	102	19	14	53	188
Total Single-Family	$11,934	$2,662	$1,426	$5,445	$21,467


	March 31, 2023
(In millions)	Current	One Month Past Due	Two Months Past Due	Three Months or More Past Due	Total
Single-Family:
20- and 30-year or more, amortizing fixed-rate	$16,491	$2,381	$1,572	$6,642	$27,086
15-year or less, amortizing fixed-rate	670	98	71	310	1,149
Adjustable-rate and other	227	33	17	115	392
Total Single-Family	$17,388	$2,512	$1,660	$7,067	$28,627

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-Q						60


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)	UPB	Maximum Exposure	Recognized Liability(1)	Maximum Remaining Term
Single-Family mortgage-related guarantees:
Nonconsolidated securitization products(2)	$30,434	$24,762	$395	40
Other mortgage-related guarantees	8,511	8,511	152	28
Total Single-Family mortgage-related guarantees	38,945	33,273	547
Multifamily mortgage-related guarantees:
Nonconsolidated securitization products(2)(3)	361,164	321,905	4,451	36
Other mortgage-related guarantees	10,720	10,720	363	35
Total Multifamily mortgage-related guarantees	371,884	332,625	4,814
Guarantees of Fannie Mae securities(4)	109,215	109,215	—	38
Other	112	483	—	30


	December 31, 2023
(Dollars in millions, terms in years)	UPB	Maximum Exposure	Recognized Liability(1)	Maximum Remaining Term
Single-Family mortgage-related guarantees:
Nonconsolidated securitization products(2)	$30,289	$24,600	$382	40
Other mortgage-related guarantees	8,692	8,692	161	28
Total Single-Family mortgage-related guarantees	38,981	33,292	543
Multifamily mortgage-related guarantees:
Nonconsolidated securitization products(2)(3)	360,928	321,262	4,577	36
Other mortgage-related guarantees	10,761	10,761	383	35
Total Multifamily mortgage-related guarantees	371,689	332,023	4,960
Guarantees of Fannie Mae securities(4)	110,320	110,320	—	38
Other	117	468	—	30

(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-Q				8661


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
Multifamily	370,265	298	125	1,196	371,884
Total	$404,712	$2,506	$960	$2,651	$410,829


	December 31, 2023
(In millions)	Current	One Month Past Due	Two Months Past Due	Three Months or More Past Due, or in Foreclosure	Total
Single-Family	$34,524	$2,172	$827	$1,458	$38,981
Multifamily	369,785	850	98	956	371,689
Total	$404,309	$3,022	$925	$2,414	$410,670

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, 2024	December 31, 2023
Mortgage loan purchase commitments(1)	$12,523	$10,378
Unsettled securities purchased under agreements to resell, net(2)	29,896	22,276
Other commitments(3)	4,640	4,701
Total	$47,059	$37,355

(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-Q						62



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 guarantees 16,577

669

33
16,445

679

34
Derivative instruments 11,603

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 many~~Table 5.1 - Details of the Allowance for Credit Losses


	1Q 2024			1Q 2023
(In millions)	Single-Family	Multifamily	Total	Single-Family	Multifamily	Total
Beginning balance	$6,402	$447	$6,849	$7,746	$147	$7,893
Provision (benefit) for credit losses	120	61	181	318	77	395
Charge-offs	(123)	—	(123)	(90)	—	(90)
Recoveries collected	26	—	26	32	—	32
Other(1)	83	—	83	91	—	91
Ending balance	$6,508	$508	$7,016	$8,097	$224	$8,321

Components of the ending balance of the allowance for credit losses:
Mortgage loans held-for-investment	$6,189	$381	$6,570	$7,675	$160	$7,835
Other(2)	319	127	446	422	64	486



Total ending balance	$6,508	$508	$7,016	$8,097	$224	$8,321

(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 4~~loan 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 absorb~~advances of pre-foreclosure costs and off-balance sheet credit exposures.

n1Q 2024 vs. 1Q 2023 - The provision for credit losses ~~prior~~for 1Q 2024 was primarily driven by a modest credit reserve build in Single-Family attributable to ~~any loss being recognized pursuant~~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 ~~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-Q				8763



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-Q~~		88



~~Financial Statements~~	~~Notes 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-Q~~		89



~~Financial Statements~~	~~Notes 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-rate 49,703
3,222
35
52,960
52,319
2,955
85
55,359
Alt-A, interest-only, and option ARM 22,118
5,199
1,921
29,238
26,293
9,392
4,634
40,319
Total single-family loans
$1,547,816

$233,035

$19,304

$1,800,155

$1,474,301

$259,474

$35,669

$1,769,444


~~(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-Q~~		90



~~Financial Statements~~	~~Notes 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-rate 277,161
1,315
175
279
278,930
279
Adjustable-rate 52,363
358
69
170
52,960
170
Alt-A, interest-only, and option ARM 25,680
1,404
497
1,657
29,238
1,655
Total single-family 1,761,806
21,646
5,198
11,505
1,800,155
11,498
Total multifamily 22,755
25
—
—
22,780
48
Total single-family and multifamily
$1,784,561

$21,671

$5,198

$11,505

$1,822,935

$11,546

December 31, 2016
(In millions) Current
One
Month
Past Due

Two
Months
Past Due

Three
Months or
More Past Due,
or in
Foreclosure⁽¹⁾

Total
Non-accrual
Single-family:

20 and 30-year or more, amortizing fixed-rate
$1,354,511

$16,645

$4,865

$10,875

$1,386,896

$10,868
15-year amortizing fixed-rate 285,373
1,010
178
309

286,870

309
Adjustable-rate 54,738
354
77
190

55,359

190
Alt-A, interest-only, and option ARM 35,994
1,748
650
1,927

40,319

1,927
Total single-family 1,730,616

19,757

5,770

13,301

1,769,444

13,294
Total multifamily 28,902
—
—
—

28,902

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

$19,757

$5,770

$13,301

$1,798,346

$13,383


~~(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-Q~~		91



~~Financial Statements~~	~~Notes 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-Q~~		92



~~Financial Statements~~	~~Notes 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 )
Recoveries 143

2

—

145

113

2

—

115
Transfers, net⁽²⁾
192

(136 )
—

56

98

(16 )
—

82
Ending balance 6,420

3,632

54

10,106

10,426

2,906

56

13,388
Multifamily ending balance 32

1

8

41

22

2

14

38
Total ending balance
$6,452

$3,633

$62

$10,147

$10,448

$2,908

$70

$13,426

YTD 2017
YTD 2016
Allowance for Loan Losses
Reserve for
Guarantee
Losses

Allowance for Loan Losses
Reserve for
Guarantee
Losses

(in millions) Held by Freddie Mac
Held By
Consolidated
Trusts

Total
Held by Freddie Mac
Held By
Consolidated
Trusts

Total
Single-family:

Beginning balance
$10,442

$2,969

$54

$13,465

$12,516

$2,775

$57

$15,348
Provision (benefit) for credit losses (1,058 )
1,223

3

168

(1,424 )
308

6

(1,110 )
Charge-offs⁽¹⁾
(3,942 )
(88 )
(3 )
(4,033 )
(1,388 )
(121 )
(7 )
(1,516 )
Recoveries 322

5

—

327

387

8

—

395
Transfers, net⁽²⁾
656

(477 )
—

179

335

(64 )
—

271
Ending balance 6,420

3,632

54

10,106

10,426

2,906

56

13,388
Multifamily ending balance 32

1

8

41

22

2

14

38
Total ending balance
$6,452

$3,633

$62

$10,147

$10,448

$2,908

$70

$13,426

~~(1)~~

~~(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-Q~~		93



~~Financial Statements~~	~~Notes 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-rate 3,526

$555
4,043

$626
10,183

$1,642
11,947

$1,859
15-year amortizing fixed-rate 191
14
206
17
505
40
631
52
Adjustable-rate 47
8
74
9
156
24
211
30
Alt-A, interest-only, and option ARM 336
62
358
71
924
188
1,202
240
Total single-family 4,100

$639
4,681

$723
11,768

$1,894
13,991

$2,181
Multifamily —

$—
—

$—
—

$—
—

$—

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-Q~~		94



~~Financial Statements~~	~~Notes 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-Q~~		95



~~Financial Statements~~	~~Notes 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, 2017 December 31, 2016
(In millions) UPB
Recorded
Investment

Associated
Allowance
UPB Recorded Investment Associated
Allowance
Single-family —
With no specific allowance recorded:⁽¹⁾

20 and 30-year or more, amortizing fixed-rate
$4,095

$3,152
N/A

$4,963

$3,746
N/A
15-year amortizing fixed-rate 28
24
N/A
31
26
N/A
Adjustable-rate 278
276
N/A
292
289
N/A
Alt-A, interest-only, and option ARM 1,626
1,354
N/A
1,935
1,561
N/A
Total with no specific allowance recorded 6,027
4,806
N/A
7,221
5,622
N/A
With specific allowance recorded:⁽²⁾

20 and 30-year or more, amortizing fixed-rate 52,901
51,669

($6,430 ) 67,853
66,143

($9,678 )
15-year amortizing fixed-rate 761
764
(23 ) 847
851
(25 )
Adjustable-rate 246
241
(15 ) 319
312
(19 )
Alt-A, interest-only, and option ARM 8,208
7,755
(1,238 ) 12,699
12,105
(2,258 )
Total with specific allowance recorded 62,116
60,429
(7,706 ) 81,718
79,411
(11,980 )
Combined single-family:
20 and 30-year or more, amortizing fixed-rate 56,996
54,821
(6,430 ) 72,816
69,889
(9,678 )
15-year amortizing fixed-rate 789
788
(23 ) 878
877
(25 )
Adjustable-rate 524
517
(15 ) 611
601
(19 )
Alt-A, interest-only, and option ARM 9,834
9,109
(1,238 ) 14,634
13,666
(2,258 )
Total single-family
$68,143

$65,235

($7,706 )
$88,939

$85,033

($11,980 )
Multifamily —
With no specific allowance recorded⁽¹⁾

$113

$105
N/A

$321

$308
N/A
With specific allowance recorded 15
15

($4 ) 44
42

($9 )
Total multifamily
$128

$120

($4 )
$365

$350

($9 )
Total single-family and multifamily
$68,271

$65,355

($7,710 )
$89,304

$85,383

($11,989 )



~~Freddie Mac Form 10-Q~~		96



~~Financial Statements~~	~~Notes 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-Q~~		97



~~Financial Statements~~	~~Notes 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-Q~~		98



~~Financial Statements~~	~~Notes 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-Q~~		99



~~Financial Statements~~	~~Notes 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-Q~~		~~100~~



~~Financial Statements~~	~~Notes 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-Q~~		~~101~~



~~Financial Statements~~	~~Notes 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, 2024	December 31, 2023
Trading securities	$36,671	$38,385
Available-for-sale securities	4,729	4,890
Total fair value of investment securities	$41,400	$43,275

(In millions) September 30, 2017 December 31, 2016
Trading securities
$35,726

$44,790
Available-for-sale securities 51,422
66,757
Total
$87,148

$111,547

~~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, 2024	December 31, 2023
Mortgage-related securities	$8,118	$8,113
Non-mortgage-related securities	28,553	30,272
Total fair value of trading securities	$36,671	$38,385

(In millions) September 30, 2017 December 31, 2016
Mortgage-related securities:
Freddie Mac
$12,911

$15,343
Other agency 5,010
8,161
All other 298
149
Total mortgage-related securities 18,219
23,653
Non-mortgage-related securities 17,507
21,137
Total fair value of trading securities
$35,726

$44,790

~~We recorded net unrealized gains (losses) on~~For trading securities held at ~~September 30, 2017 of ($49) million~~March 31, 2024 and ~~($196) million during 3Q 2017 and YTD 2017, respectively. We~~March 31, 2023, we recorded net unrealized ~~gains (losses) on trading securities held at September 30, 2016~~losses 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-Q~~		~~102~~



~~Financial Statements~~	~~Notes 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, 2017~~March 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 Income	Gross Unrealized Losses in Other Comprehensive Income	Fair Value	Accrued Interest Receivable
(In millions)
Agency mortgage-related securities	$4,355	$7	($126)	$4,236	$10
Other mortgage-related securities	317	187	(11)	493	3
Total available-for-sale securities	$4,672	$194	($137)	$4,729	$13

~~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 Income	Gross Unrealized Losses in Other Comprehensive Income	Fair Value	Accrued Interest Receivable
(In millions)
Agency mortgage-related securities	$4,467	$13	($110)	$4,370	$10
Other mortgage-related securities	340	188	(8)	520	3
Total available-for-sale securities	$4,807	$201	($118)	$4,890	$13

The fair value of our available-for-sale securities held at ~~September 30, 2017~~March 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-Q				~~103~~64



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

~~Available-For-Sale Securities in a Gross Unrealized Loss Position~~

The ~~tables~~table below ~~present~~presents 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 Months		12 Months or Greater
(In millions)	Fair Value	Gross Unrealized Losses	Fair Value	Gross Unrealized Losses
Agency mortgage-related securities	$575	($6)	$2,842	($120)
Other mortgage-related securities	14	(3)	40	(8)
Total available-for-sale securities in a gross unrealized loss position	$589	($9)	$2,882	($128)

September 30, 2017
Less than 12 Months 12 Months or Greater
(In millions)
Fair
Value
Gross Unrealized Losses
Fair
Value
Gross Unrealized Losses
Available-for-sale securities:
Freddie Mac
$9,741

($160 )
$5,612

($189 )
Other agency 4
—
1,551
(14 )
Non-agency RMBS 6
—
122
(8 )
Non-agency CMBS 241
(1 ) 59
(6 )
Obligations of states and political subdivisions 37
—
—
—
Total available-for-sale securities in a gross unrealized loss position
$10,029

($161 )
$7,344

($217 )

December 31, 2016
Less than 12 Months 12 Months or Greater
(In millions) Fair
Value Gross Unrealized Losses Fair
Value Gross Unrealized Losses
Available-for-sale securities:
Freddie Mac
$19,786

($559 )
$1,732

($23 )
Other agency 542
(6 ) 2,040
(19 )
Non-agency RMBS 309
(1 ) 2,188
(79 )
Non-agency CMBS 383
(2 ) 204
(24 )
Obligations of states and political subdivisions 83
—
—
—
Total available-for-sale securities in a gross unrealized loss position
$21,103

($568 )
$6,164

($145 )


	December 31, 2023
	Less than 12 Months		12 Months or Greater
(In millions)	Fair Value	Gross Unrealized Losses	Fair Value	Gross Unrealized Losses
Agency mortgage-related securities	$374	($1)	$3,006	($108)
Other mortgage-related securities	23	(4)	23	(5)
Total available-for-sale securities in a gross unrealized loss position	$397	($5)	$3,029	($113)

At ~~September 30, 2017,~~March 31, 2024, the gross unrealized losses relate to ~~255 separate~~185 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-Q~~		~~104~~



~~Financial Statements~~	~~Notes 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 sale~~sales 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 2024	1Q 2023
Total Proceeds	$399	$459
Gross realized gains	$1	$2
Gross realized losses	(6)	(2)
Net realized gains (losses)	($5)	$—

(In millions) 3Q 2017 3Q 2016 YTD 2017 YTD 2016
Gross realized gains
$806

$510

$1,153

$1,003
Gross realized losses (10 ) (13 ) (44 ) (48 )
Net realized gains (losses)
$796

$497

$1,109

$955

~~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 quarter~~issuance 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 ~~obligation~~obligations during ~~the fourth quarter of 2017.~~

2Q 2024.



Freddie Mac 1Q 2024 Form 10-Q				~~105~~65



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

NOTE ~~6: DEBT SECURITIES AND SUBORDINATED BORROWINGS~~7

Debt

The table below summarizes the ~~interest expense per our condensed consolidated statements of comprehensive income and the~~ balances of total debt ~~net per~~on our condensed consolidated balance sheets.

Table 7.1 - Total Debt


(In millions)	March 31, 2024	December 31, 2023
Debt of consolidated trusts	$3,050,038	$3,041,927
Debt of Freddie Mac:
Short-term debt	8,887	5,976
Long-term debt	152,817	160,443
Total debt of Freddie Mac	161,704	166,419
Total debt	$3,211,742	$3,208,346

Balance, Net Interest Expense
(In millions) September 30, 2017 December 31, 2016 3Q 2017 3Q 2016 YTD 2017 YTD 2016
Debt securities of consolidated trusts held by third parties
$1,691,524

$1,648,683

$11,852

$10,887

$35,567

$33,927
Other debt:
Short-term debt 69,430
71,451
173
83
414
258
Long-term debt 248,624
281,870
1,319
1,384
3,984
4,338
Total other debt 318,054
353,321

1,492

1,467
4,398
4,596
Total debt, net
$2,009,578

$2,002,004

$13,344

$12,354

$39,965

$38,523

~~Our debt cap under the Purchase Agreement is $407.2 billion in 2017 and will decline to $346.1 billion on January 1, 2018. As~~Debt 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, 2024					December 31, 2023
(Dollars in millions)	Contractual Maturity	UPB	Carrying Amount(1)	Weighted Average Coupon(2)		Contractual Maturity	UPB	Carrying Amount(1)	Weighted Average Coupon(2)
Single-Family:
20-and 30-year or more, fixed-rate	2024 - 2061	$2,616,819	$2,653,655	3.12	%	2024 - 2061	$2,603,100	$2,640,550	3.06	%
15-year or less, fixed-rate	2024 - 2039	317,001	321,732	2.22		2024 - 2039	326,242	331,291	2.20
Adjustable-rate and other	2024 - 2054	23,490	23,973	4.10		2024 - 2054	23,251	23,749	3.93
Total Single-Family		2,957,310	2,999,360				2,952,593	2,995,590
Multifamily	2024 - 2053	51,767	50,678	3.46		2024 - 2053	47,300	46,337	3.35
Total debt of consolidated trusts		$3,009,077	$3,050,038				$2,999,893	$3,041,927

(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-rate 2017 - 2037 74,560
76,772
3.44
2017 - 2037 74,033
76,331
3.49
15-year fixed-rate 2017 - 2032 262,508
268,335
2.87
2017 - 2032 267,739
273,978
2.90
Adjustable-rate 2017 - 2047 48,867
49,965
2.81
2017 - 2047 52,991
54,205
2.69
Interest-only 2026 - 2041 7,819
7,892
3.71
2026 - 2041 10,007
10,057
3.47
FHA/VA 2017 - 2046 886
906
4.87
2017 - 2046 1,015
1,038
4.92
Total single-family 1,641,017
1,688,580
1,599,114
1,645,458

Multifamily⁽²⁾
2019 - 2045 2,895
2,944
3.20
2019 - 2033 3,048
3,225
4.63
Total debt securities of consolidated trusts held by third parties
$1,643,912

$1,691,524

$1,602,162

$1,648,683

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-Q~~		~~106~~



~~Financial Statements~~	~~Notes to the Condensed Consolidated Financial Statements \| Note 6~~

~~Other Debt~~

The table below summarizes the balances and effective interest rates for ~~other~~short-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, 2024				December 31, 2023
(Dollars in millions)	Par Value	Carrying Amount	Weighted Average Effective Rate		Par Value	Carrying Amount	Weighted Average Effective Rate

Discount notes and Reference Bills®	$8,931	$8,887	5.37	%	$6,032	$5,976	5.39	%



Freddie Mac 1Q 2024 Form 10-Q				~~107~~66


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, 2024					December 31, 2023
(Dollars in millions)	Contractual Maturity	Par Value	Carrying Amount(1)	Weighted Average Effective Rate(2)		Contractual Maturity	Par Value	Carrying Amount(1)	Weighted Average Effective Rate(2)
Long-term debt:
Fixed-rate:
Medium-term notes — callable	2024 - 2050	$132,076	$131,981	3.04	%	2024 - 2050	$139,344	$139,257	3.13	%
Medium-term notes — non-callable	2024 - 2028	1,573	1,574	0.98		2024 - 2028	1,573	1,574	0.98
Reference Notes securities — non-callable	2025 - 2032	18,162	18,209	3.19		2025 - 2032	18,162	18,209	3.19
SCR debt notes	2031 - 2032	80	82	13.00		2031 - 2032	82	83	13.00
Variable-rate:
Medium-term notes — callable	2024 - 2029	1,729	1,727	4.60		2024 - 2028	1,869	1,867	4.81
Medium-term notes — non-callable	2026	47	47	8.10		2026	47	47	8.10
STACR	2024 - 2042	1,969	1,885	11.60		2024 - 2042	2,095	2,006	11.45
Zero-coupon:
Medium-term notes — non-callable	2024 - 2039	4,835	3,148	6.19		2024 - 2039	4,836	3,100	6.17
Other	2047 - 2053	—	122	0.83		2047 - 2053	—	121	0.84
Hedging-related basis adjustments		N/A	(5,958)				N/A	(5,821)
Total long-term debt		$160,471	$152,817	3.23	%		$168,008	$160,443	3.30	%

(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
2025						57,582
2026						17,711
2027						13,738
2028						10,248
Thereafter						31,618
Debt of consolidated trusts, STACR, and SCR debt notes(1)						3,011,126
Total						3,169,548
Net discounts, premiums, debt issuance costs, hedge-related, and other basis adjustments(2)						33,307
Total debt of consolidated trusts, STACR, SCR, and long-term debt						$3,202,855

(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-Q						67


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

NOTE ~~7: DERIVATIVES~~8

~~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 applying~~apply fair value hedge accounting to certain single-family mortgage loans and certain issuances of debt where we hedge the changes in fair value of these ~~loans~~items 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-Q~~		~~108~~



~~Financial Statements~~	~~Notes 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-Q~~		~~109~~



~~Financial Statements~~	~~Notes 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-fixed 215,069
1,370
(5,595 ) 271,477
2,586
(9,684 )
Basis (floating to floating) 100
—
—
1,450
1
—
Total interest-rate swaps 541,466
3,712
(7,082 ) 586,033
6,924
(12,387 )
Option-based:
Call swaptions
Purchased 60,335
3,147
—
60,730
2,817
—
Written 7,400
—
(99 ) 1,350
—
(78 )
Put swaptions
Purchased⁽¹⁾
51,635
1,260
—
48,080
1,442
—
Written 2,750
—
(18 ) 3,200
—
(28 )
Other option-based derivatives⁽²⁾
10,767
808
—
11,032
795
—
Total option-based 132,887
5,215
(117 ) 124,392
5,054
(106 )
Futures 277,940
—
—
138,294
—
—
Commitments 85,992
133
(77 ) 45,353
289
(151 )
Credit derivatives 3,100
1
(47 ) 2,951
1
(27 )
Other 2,879
1
(19 ) 2,879
—
(21 )
Total derivatives not designated as hedges 1,044,264
9,062
(7,342 ) 899,902
12,268
(12,692 )
Designated as fair value hedges
Interest-rate swaps:
Pay-fixed 45,481
159
(924 ) —
—
—
Total derivatives designated as fair value hedges 45,481
159
(924 ) —
—
—
Derivative interest receivable (payable) 1,393
(1,654 ) 1,442
(1,770 )
Netting adjustments⁽³⁾
(9,909 ) 9,708
(12,963 ) 13,667
Total derivative portfolio, net
$1,089,745

$705

($212 )
$899,902

$747

($795 )


	March 31, 2024			December 31, 2023
	Notional or Contractual Amount	Derivative Assets	Derivative Liabilities	Notional or Contractual Amount	Derivative Assets	Derivative Liabilities
(In millions)
Not designated as hedges
Interest-rate risk management derivatives:
Swaps	$308,358	$1,896	($394)	$351,193	$1,638	($462)
Written options	45,423	—	(1,690)	48,227	—	(1,746)
Purchased options(1)	82,160	4,107	—	89,790	4,251	—
Futures	90,146	—	—	132,982	—	—
Total interest-rate risk management derivatives	526,087	6,003	(2,084)	622,192	5,889	(2,208)
Mortgage commitment derivatives	45,803	15	(8)	26,911	43	(10)
CRT-related derivatives(2)	30,535	—	(300)	30,578	—	(228)
Other	15,777	33	(656)	14,572	3	(567)
Total derivatives not designated as hedges	618,202	6,051	(3,048)	694,253	5,935	(3,013)
Designated as fair value hedges
Interest-rate risk management derivatives:
Swaps	169,942	187	(5,797)	172,202	276	(5,658)
Total derivatives designated as fair value hedges	169,942	187	(5,797)	172,202	276	(5,658)
Receivables (payables)		6	(17)		17	(36)
Netting adjustments(3)		(5,952)	7,810		(5,742)	7,834
Total derivative portfolio, net	$788,144	$292	($1,052)	$866,455	$486	($873)

(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 counterparties~~CRT transactions that are considered freestanding credit enhancements.

(3)Represents counterparty netting and cash collateral ~~held and posted.~~

netting.



Freddie Mac 1Q 2024 Form 10-Q				~~110~~68



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, 2024		December 31, 2023
	Derivative Assets	Derivative Liabilities	Derivative Assets	Derivative Liabilities
(In millions)
OTC derivatives	$6,191	($7,877)	$6,165	($7,866)
Cleared and exchange-traded derivatives	2	(21)	13	(36)
Mortgage commitment derivatives	18	(8)	47	(10)
Other	33	(956)	3	(795)
Total derivatives	6,244	(8,862)	6,228	(8,707)
Counterparty netting	(4,141)	4,141	(4,210)	4,210
Cash collateral netting(1)	(1,811)	3,669	(1,532)	3,624
Net amount presented in the consolidated balance sheets	292	(1,052)	486	(873)
Gross amount not offset in the consolidated balance sheets(2)	(159)	42	(366)	47
Net amount	$133	($1,010)	$120	($826)

(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 value~~qualifying 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 2024	1Q 2023
Not designated as hedges
Interest-rate risk management derivatives:
Swaps	$262	$29
Written options	37	195
Purchased options	56	(504)
Futures	374	(307)
Total interest-rate risk management derivatives fair value gains (losses)	729	(587)
Mortgage commitment derivatives	40	(80)
CRT-related derivatives(1)	(43)	(76)
Other	(108)	61
Total derivatives not designated as hedges fair value gains (losses)	$618	($682)

(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-fixed 352
1,717
(78 ) (11,221 )
Basis (floating to floating) —
—
(1 ) 1
Total interest-rate swaps 23
541
116
(7,513 )
Option based:
Call swaptions
Purchased (67 ) (116 ) (106 ) 3,283
Written 5
1
6
(88 )
Put swaptions
Purchased (145 ) (98 ) (481 ) (612 )
Written 7
2
49
49
Other option-based derivatives⁽¹⁾
2
(24 ) 13
209
Total option-based (198 ) (235 ) (519 ) 2,841
Other:
Futures 18
103
(212 ) (365 )
Commitments (121 ) 8
(128 ) (222 )
Credit derivatives (2 ) (35 ) (33 ) (66 )
Other —
(2 ) (6 ) (4 )
Total other (105 ) 74
(379 )
(657 )
Accrual of periodic cash settlements:
Receive-fixed interest-rate swaps 343
586
1,198
1,825
Pay-fixed interest-rate swaps (741 ) (1,003 ) (2,492 ) (3,152 )
Other —
1
—
1
Total accrual of periodic cash settlements (398 ) (416 ) (1,294 ) (1,326 )
Total
($678 )
($36 )
($2,076 )

($6,655 )


~~(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-Q				~~111~~69



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

Fair Value Hedges

The ~~tables~~table below ~~present~~presents the effects of fair value hedge accounting by condensed consolidated statements of income line item, including the gains and losses on derivatives ~~while~~and hedged items designated in qualifying ~~fair value~~ hedge ~~relationships. During 2016, there were no derivatives designated in qualifying fair value~~relationships and other components due to the application of hedge ~~relationships.~~accounting.

Table 8.4 - Gains and Losses on Fair Value Hedges


	1Q 2024		1Q 2023
(In millions)	Interest Income	Interest Expense	Interest Income	Interest Expense
Total amounts of income and expense line items presented in our condensed consolidated statements of income in which the effects of fair value hedges are recorded:	$28,385	($23,626)	$24,987	($20,486)

Interest contracts on mortgage loans held-for-investment:
Gain (loss) on fair value hedging relationships:
Hedged items	(995)	—	1,123	—
Derivatives designated as hedging instruments	953	—	(1,073)	—
Interest accruals on hedging instruments	234	—	211	—
Discontinued hedge related basis adjustments amortization	43	—	31	—
Interest contracts on debt:
Gain (loss) on fair value hedging relationships:
Hedged items	—	134	—	(1,535)
Derivatives designated as hedging instruments	—	(127)	—	1,534
Interest accruals on hedging instruments	—	(929)	—	(1,051)
Discontinued hedge related basis adjustment amortization	—	(2)	—	(38)

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 Amount			Closed Portfolio Under the Portfolio Layer Method
(In millions)		Total	Under the Portfolio Layer Method	Discontinued - Hedge Related	Total Amount by Amortized Cost Basis	Designated Amount by UPB
Mortgage loans held-for-investment	$1,107,342	($3,205)	($546)	($2,659)	$59,281	$11,845
Mortgage loans held-for-sale	131	1	—	1	—	—
Debt	(132,323)	5,958	—	26	—	—

	December 31, 2023
	Carrying Amount Assets / (Liabilities)	Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount			Closed Portfolio Under the Portfolio Layer Method
(In millions)		Total	Under the Portfolio Layer Method	Discontinued - Hedge Related	Total Amount by Amortized Cost Basis	Designated Amount by UPB
Mortgage loans held-for-investment	$1,115,454	($2,253)	($220)	($2,033)	$59,786	$11,670
Mortgage loans held-for-sale	128	1	—	1	—	—
Debt	(143,407)	5,821	—	29	—	—

YTD 2017
Gains (Losses) Recorded in Net Income
(In millions)
Derivative⁽¹⁾
Hedged Item⁽¹⁾
Hedge Ineffectiveness⁽²⁾
Interest rate risk on mortgage loans held-for-investment
($215 )
$351

$136


~~(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-Q				~~112~~70



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

NOTE ~~8: COLLATERALIZED AGREEMENTS AND OFFSETTING ARRANGEMENTS~~9

~~DERIVATIVE PORTFOLIO~~

~~Derivative Counterparties~~

Collateralized Agreements

~~Our use of cleared derivatives, exchange-traded derivatives,~~Securities Purchased Under Agreements to Resell and ~~OTC derivatives exposes us~~Securities 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-Q~~		~~113~~



~~Financial Statements~~	~~Notes 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-Q~~		~~114~~



~~Financial Statements~~	~~Notes to the Condensed Consolidated Financial Statements \| Note 8~~

~~do not expect any changes would materially affect our 2017 financial statements and accompanying notes.~~

~~The tables~~table below ~~display~~presents offsetting and collateral information related to ~~derivatives,~~ securities purchased under agreements to resell, and securities sold under agreements to repurchase, which are subject to enforceable master netting agreements or similar arrangements. ~~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 characterization~~resell, 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-Q~~		~~115~~



~~Financial Statements~~	~~Notes 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 derivatives 2,012
(1,924 ) 190
278
—
278
Other 135
—
—
135
—
135
Total derivatives 10,614
(7,912 ) (1,997 ) 705
(260 ) 445
Securities purchased under agreements to resell⁽³⁾
47,202
—
—
47,202
(47,202 ) —
Total
$57,816

($7,912 )
($1,997 )
$47,907

($47,462 )
$445
Liabilities:
Derivatives:
OTC derivatives
($6,783 )
$5,989

$728

($66 )
$—

($66 )
Cleared and exchange-traded derivatives (2,994 ) 1,924
1,067
(3 ) —
(3 )
Other (143 ) —
—
(143 ) —
(143 )
Total derivatives (9,920 ) 7,913
1,795
(212 ) —
(212 )
Securities sold under agreements to repurchase (8,173 ) —
—
(8,173 ) 8,173
—
Total
($18,093 )
$7,913

$1,795

($8,385 )
$8,173

($212 )

December 31, 2016

Gross
Amount
Recognized
Amount
Offset in the
Consolidated
Balance Sheets
Net Amount
Presented in
the Consolidated
Balance Sheets

Gross Amount
Not Offset in
the Consolidated
Balance
Sheets⁽²⁾

Net
Amount
(In millions) Counterparty Netting
Cash Collateral Netting⁽¹⁾

Assets:
Derivatives:
OTC derivatives
$8,531

($6,367 )
($1,760 )
$404

($353 )
$51
Cleared and exchange-traded derivatives 4,889
(4,674 ) (162 ) 53
—
53
Other 290
—
—
290
—
290
Total derivatives 13,710
(11,041 )
(1,922 ) 747
(353 ) 394
Securities purchased under agreements to resell⁽³⁾
51,548
—
—
51,548
(51,548 ) —
Total
$65,258

($11,041 )

($1,922 )
$52,295

($51,901 )
$394
Liabilities:
Derivatives:
OTC derivatives
($7,298 )
$6,367

$469

($462 )
$274

($188 )
Cleared and exchange-traded derivatives (6,965 ) 4,705
2,126
(134 ) —
(134 )
Other (199 ) —
—
(199 ) —
(199 )
Total derivatives (14,462 ) 11,072

2,595
(795 ) 274
(521 )
Securities sold under agreements to repurchase (3,040 ) —
—
(3,040 ) 3,040
—
Total
($17,502 )
$11,072

$2,595

($3,835 )
$3,314

($521 )



~~Freddie Mac Form 10-Q~~		~~116~~



~~Financial Statements~~	~~Notes 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 ~~$2.5~~the right to repledge as of March 31, 2024 and December 31, 2023, respectively. We repledged $0.5 billion ~~pledged to us~~and $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-Q~~		~~117~~



~~Financial Statements~~	~~Notes to the Condensed Consolidated Financial Statements \| Note 8~~

The table below ~~summarizes the underlying collateral pledged and~~presents the remaining contractual maturity of our gross obligations ~~under~~for 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 Continuous

30 Days or Less

After 30 Days Through 90 Days

Greater Than 90 Days

Total

Securities sold under agreements to repurchase

$10,434

$3,366

$—

$13,800

September 30, 2017

December 31, 2023

(In millions)

Overnight and continuous

30 days or less

After 30 days through 90 days

Greater than 90 days

Total

(In millions)

Overnight and Continuous

30 Days or Less

After 30 Days Through 90 Days

Greater Than 90 Days

Total

U.S. Treasury securities

$—

$8,240

$—

$8,240

Securities sold under agreements to repurchase



Freddie Mac 1Q 2024 Form 10-Q				~~118~~71



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

Collateral Pledged

~~NOTE 9: STOCKHOLDERS’ EQUITY AND EARNINGS PER SHARE~~The 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)	Derivatives	Securities Sold Under Agreements to Repurchase	Other(1)	Total
Cash equivalents(2)	$—	$75	$—	$75


Trading securities	1,903	5,500	2,330	9,733
Other assets	—	4,002	—	4,002
Total securities pledged	$1,903	$9,577	$2,330	$13,810

~~The tables below present changes in AOCI after the effects of our 35%federal statutory tax rate~~


	December 31, 2023
(In millions)	Derivatives	Securities Sold Under Agreements to Repurchase	Other(1)	Total
Trading securities	$1,866	$3,666	$2,370	$7,902
Other assets	—	4,555	—	4,555
Total securities pledged	$1,866	$8,221	$2,370	$12,457

(1)Includes other collateralized borrowings and collateral related to ~~available-for-sale~~transactions with certain clearinghouses.

(2)Represents U.S. Treasury securities ~~closed~~accounted 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-Q				~~119~~72



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 to~~the components of net interest income ~~including the affected line item in~~per 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 to~~Table 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 2024	1Q 2023
Interest income:
Mortgage loans	$26,229	$23,304
Investment securities	470	316
Securities purchased under agreements to resell	1,532	1,220
Other	154	147
Total interest income	28,385	24,987
Interest expense:
Debt of consolidated trusts	(21,122)	(18,261)
Debt of Freddie Mac:
Short-term debt	(256)	(154)
Long-term debt	(2,248)	(2,071)
Total interest expense	(23,626)	(20,486)
Net interest income	4,759	4,501
(Provision) benefit for credit losses	(181)	(395)
Net interest income after (provision) benefit for credit losses	$4,578	$4,106



Freddie Mac 1Q 2024 Form 10-Q				~~120~~73



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 under~~As shown in the ~~Purchase Agreement. Based on our Net Worth Amount of $5.3 billion as of September 30, 2017~~table 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.


Segment	Description
Single-Family
		~~Freddie Mac Form 10-Q~~	~~121~~



~~Financial Statements~~	~~Notes 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-Q~~		~~122~~



~~Financial Statements~~	~~Notes 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-Q~~		~~123~~



~~Financial Statements~~	~~Notes to the Condensed Consolidated Financial Statements \| Note 11~~

~~NOTE 11: SEGMENT REPORTING~~

~~We have three~~reportable segments, which are based on the type of business activities each performs - Single-family Guarantee, Multifamily, and Capital Markets (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/Category~~

~~Description~~

~~Financial Performance Measurement Basis~~

~~Single-family Guarantee~~

~~The Single-family Guarantee segment reflects~~Reflects results from our purchase, securitization, and guarantee of single-family loans, our investments in single-family loans and mortgage-related securities, the management of ~~single-family~~Single-Family mortgage credit ~~risk.~~

~~Contribution~~risk and market risk, and any results of our treasury function that are not allocated to ~~GAAP net income (loss)~~each segment.

Multifamily

~~The Multifamily segment reflects~~

Reflects results from our purchase, ~~sale,~~ securitization, and guarantee of multifamily loans, ~~and securities,~~ our investments in ~~those~~multifamily loans and mortgage-related securities, and the management of ~~multifamily~~Multifamily mortgage credit risk and market ~~spread~~ risk.

~~Contribution to GAAP comprehensive income (loss)~~

~~Capital Markets~~

The 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 Other~~

~~The 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 activities~~Financial Results


	1Q 2024			1Q 2023

(In millions)	Single-Family	Multifamily	Total		Single-Family	Multifamily	Total
Net interest income	$4,488	$271	$4,759		$4,296	$205	$4,501
Non-interest income
Guarantee income	19	477	496		32	434	466
Investment gains, net	(86)	491	405		(179)	(46)	(225)
Other income	53	44	97		54	31	85
Non-interest income	(14)	1,012	998		(93)	419	326
Net revenues	4,474	1,283	5,757		4,203	624	4,827
(Provision) benefit for credit losses	(120)	(61)	(181)		(318)	(77)	(395)
Non-interest expense	(1,925)	(197)	(2,122)		(1,783)	(149)	(1,932)
Income before income tax expense	2,429	1,025	3,454		2,102	398	2,500
Income tax expense	(484)	(204)	(688)		(425)	(80)	(505)
Net income	1,945	821	2,766		1,677	318	1,995
Other comprehensive income (loss), net of taxes and reclassification adjustments	(5)	(20)	(25)		(1)	55	54
Comprehensive income	$1,940	$801	$2,741		$1,676	$373	$2,049

The table below presents total assets for our Single-Family and ~~investment-related activities between various line~~Multifamily segments.

Table 11.2 - Segment Assets


(In millions)	March 31, 2024	December 31, 2023
Single-Family	$3,042,952	$3,038,910
Multifamily	443,087	440,797
Total segment assets	3,486,039	3,479,707
Reconciling items(1)	(198,666)	(198,731)
Total assets per condensed consolidated balance sheets	$3,287,373	$3,280,976

(1)Reconciling items include assets in our mortgage portfolio that are not recognized on our ~~GAAP~~condensed consolidated ~~statements of comprehensive income~~balance sheets and ~~allocating certain revenues and expenses, including funding costs and administrative expenses, to~~assets recognized on our ~~three reportable segments.~~

~~We do~~condensed 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, subject~~allocated 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-Q				~~124~~74


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 Portfolio		SDQ Rate
Region:(2)
West	$909,769	30	%	0.41	%
Northeast	704,001	23		0.61
Southeast	532,815	17		0.54
Southwest	453,381	15		0.51
North Central	442,742	15		0.52
Total	$3,042,708	100	%	0.52
State:
California	$513,997	17	%	0.41
Texas	214,630	7		0.54
Florida	201,175	7		0.61
New York	132,747	4		0.89
Illinois	113,777	4		0.69
All other	1,866,382	61		0.49
Total	$3,042,708	100	%	0.52

(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-Q						75


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
Multifamily 374
744
1,212
1,156
Capital Markets 4,042
1,088
5,591
(78 )
All Other —
—
—
—
Total Segment Earnings, net of taxes 4,671
2,329
8,546
2,968
Net income
$4,671

$2,329

$8,546

$2,968
Comprehensive income (loss) of segments:
Single-family Guarantee
$255

$496

$1,741

$1,889
Multifamily 370
790
1,277
1,212
Capital Markets 4,025
1,024
5,852
142
All Other —
—
—
—
Comprehensive income of segments 4,650
2,310
8,870
3,243
Comprehensive income
$4,650

$2,310

$8,870

$3,243

Multifamily Mortgage Portfolio



~~Freddie Mac Form 10-Q~~		~~125~~



~~Financial Statements~~	~~Notes 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 income 255
374
4,042
—
4,671
—
4,671
Changes in unrealized gains (losses) related to available-for-sale securities —
(4 ) (43 ) —
(47 ) —
(47 )
Changes in unrealized gains (losses) related to cash flow hedge relationships —
—
26
—
26
—
26
Changes in defined benefit plans —
—
—
—
—
—
—
Total other comprehensive income (loss), net of taxes —
(4 ) (17 ) —
(21 ) —
(21 )
Comprehensive income
$255

$370

$4,025

$—

$4,650

$—

$4,650

YTD 2017

Total Segment
Earnings (Loss)
Total per Condensed
Consolidated
Statements of
Comprehensive
Income
(In millions)
Single-family
Guarantee
Multifamily Capital Markets
All
Other
Reclassifications
Net interest income
$—

$905

$2,608

$—

$3,513

$7,150

$10,663
Guarantee fee income⁽¹⁾
4,505
483
—
—
4,988
(4,512 ) 476
Benefit (provision) for credit losses (775 ) (10 ) —
—
(785 ) 607
(178 )
Net impairment of available-for-sale securities recognized in earnings —
(4 ) 194
—
190
(207 ) (17 )
Derivative gains (losses) (34 ) (31 ) (757 ) —
(822 ) (1,254 ) (2,076 )
Gains (losses) on trading securities —
(62 ) (207 ) —
(269 ) —
(269 )
Gains (losses) on loans —
(75 ) —
—
(75 ) 485
410
Other non-interest income (loss) 1,115
972
6,924
—
9,011
(1,981 ) 7,030
Administrative expense (1,018 ) (288 ) (242 ) —
(1,548 ) —
(1,548 )
REO operations expense (138 ) —
—
—
(138 ) 10
(128 )
Other non-interest expense (1,001 ) (44 ) (8 ) —
(1,053 ) (298 ) (1,351 )
Income tax expense (911 ) (634 ) (2,921 ) —
(4,466 ) —
(4,466 )
Net income 1,743

1,212

5,591

—
8,546
—
8,546
Changes in unrealized gains (losses) related to available-for-sale securities —
65
181
—
246
—
246
Changes in unrealized gains (losses) related to cash flow hedge relationships —
—
81
—
81
—
81
Changes in defined benefit plans (2 ) —
(1 ) —
(3 ) —
(3 )
Total other comprehensive income (loss), net of taxes (2 )
65

261

—

324

—

324
Comprehensive income
$1,741

$1,277

$5,852

$—

$8,870

$—

$8,870



~~Freddie Mac Form 10-Q~~		~~126~~



~~Financial Statements~~	~~Notes 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 income 497

744

1,088

—
2,329
—
2,329
Changes in unrealized gains (losses) related to available-for-sale securities —
46
(93 ) —
(47 ) —
(47 )
Changes in unrealized gains (losses) related to cash flow hedge relationships —
—
29
—
29
—
29
Changes in defined benefit plans (1 ) —
—
—
(1 ) —
(1 )
Total other comprehensive income (loss), net of taxes (1 )
46

(64 )
—
(19 ) —
(19 )
Comprehensive income
$496

$790

$1,024

$—

$2,310

$—

$2,310

YTD 2016

Total Segment
Earnings (Loss)
Total per Condensed
Consolidated
Statements of
Comprehensive
Income
(In millions)
Single-family
Guarantee
Multifamily Capital Markets
All
Other
Reclassifications
Net interest income
$—

$791

$2,887

$—

$3,678

$6,816

$10,494
Guarantee fee income⁽¹⁾
4,427
366
—
—
4,793
(4,426 ) 367
Benefit (provision) for credit losses 113
19
—
—
132
997
1,129
Net impairment of available-for-sale securities recognized in earnings —
—
224
—
224
(362 ) (138 )
Derivative gains (losses) (64 ) (878 ) (4,386 ) —
(5,328 ) (1,327 ) (6,655 )
Gains (losses) on trading securities —
119
(12 ) —
107
—
107
Gains (losses) on loans —
747
—
—
747
(611 ) 136
Other non-interest income (loss) 195
800
1,404
—
2,399
(686 ) 1,713
Administrative expense (939 ) (255 ) (227 ) —
(1,421 ) —
(1,421 )
REO operations expense (177 ) —
—
—
(177 ) 8
(169 )
Other non-interest expense (832 ) (43 ) (3 ) —
(878 ) (409 ) (1,287 )
Income tax (expense) benefit (833 ) (510 ) 35
—
(1,308 ) —
(1,308 )
Net income (loss) 1,890

1,156

(78 )
—
2,968
—
2,968
Changes in unrealized gains (losses) related to available-for-sale securities —
56
125
—
181
—
181
Changes in unrealized gains (losses) related to cash flow hedge relationships —
—
95
—
95
—
95
Changes in defined benefit plans (1 ) —
—
—
(1 ) —
(1 )
Total other comprehensive income (loss), net of taxes (1 )
56

220

—
275
—
275
Comprehensive income
$1,889

$1,212

$142

$—

$3,243

$—

$3,243


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



~~Freddie Mac Form 10-Q~~		~~127~~



~~Financial Statements~~	~~Notes 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 ~~more~~additional 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	%
Northeast	107,670	24		0.72
Southwest	91,795	21		0.32
Southeast	89,530	20		0.16
North Central	43,771	10		0.41
Total	$443,087	100	%	0.34
State(3):
California	$58,752	13	%	0.03
Texas	56,448	13		0.34
Florida	39,019	9		0.12
New York	33,941	8		1.87
Georgia	18,316	4		0.11
All other	236,611	53		0.25
Total	$443,087	100	%	0.34

September 30, 2017 December 31, 2016 Percent of Credit Losses

Percentage of
Portfolio

Serious
Delinquency
Rate

Percentage of
Portfolio

Serious
Delinquency
Rate
YTD 2017 YTD 2016
Loan Portfolio

Core single-family loan portfolio 77 % 0.19 % 73 % 0.20 % 3 % 6 %
Legacy and relief refinance single-family loan portfolio 23
2.14 % 27
2.28 % 97
94
Total 100 % 0.86 % 100 % 1.00 % 100 % 100 %
Region⁽¹⁾⁽³⁾

West 30 % 0.47 % 30 % 0.57 % 27 % 10 %
Northeast 25
1.24 % 25
1.45 % 34
40
North Central 16
0.81 % 16
0.93 % 16
25
Southeast 16
1.02 % 16
1.19 % 19
19
Southwest 13
0.67 % 13
0.78 % 4
6
Total 100 % 0.86 % 100 % 1.00 % 100 % 100 %
State⁽²⁾⁽³⁾

California 18 % 0.40 % 18 % 0.46 % 18 % 4 %
Florida 6
1.17 % 6
1.42 % 12
9
Illinois 5
1.14 % 5
1.34 % 9
10
New Jersey 3
1.82 % 3
2.26 % 9
11
New York 5
1.75 % 5
2.05 % 8
9
All other 63
0.78 % 63
0.90 % 44
57
Total 100 % 0.86 % 100 % 1.00 % 100 % 100 %
(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-Q				~~128~~76



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-only 1 % 1 % 4.68 % 4.34 %
Alt-A 2 % 2 % 5.00 % 5.21 %
Original LTV ratio greater than 90%⁽²⁾
17 % 16 % 1.32 % 1.58 %
Lower credit scores at origination (less than 620) 2 % 2 % 5.22 % 5.73 %


~~(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-Q~~		~~129~~



~~Financial Statements~~	~~Notes 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-Q~~		~~130~~



~~Financial Statements~~	~~Notes 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-Q~~		~~131~~



~~Financial Statements~~	~~Notes 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-Q~~		~~132~~



~~Financial Statements~~	~~Notes 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-Q~~		~~133~~



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

NOTE ~~13: FAIR VALUE DISCLOSURE~~13

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-Q~~		~~134~~



~~Financial Statements~~	~~Notes 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 present~~table below presents our assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments where we have elected the fair value option.

Table 13.1 - Assets and Liabilities Measured at Fair Value on a Recurring Basis


	March 31, 2024
(In millions)	Level 1	Level 2	Level 3	Netting Adjustments(1)	Total
Assets:
Investment securities:
Available-for-sale	$—	$4,092	$637	$—	$4,729
Trading:
Mortgage-related securities	—	5,116	3,002	—	8,118
Non-mortgage-related securities	28,136	417	—	—	28,553
Total trading securities	28,136	5,533	3,002	—	36,671
Total investment securities	28,136	9,625	3,639	—	41,400
Mortgage loans held-for-sale	—	7,139	787	—	7,926
Mortgage loans held-for-investment	—	1,236	695	—	1,931
Other assets:
Guarantee assets	—	—	5,341	—	5,341
Derivative assets, net	—	6,206	32	(5,946)	292
Other assets	—	49	167	—	216
Total other assets	—	6,255	5,540	(5,946)	5,849
Total assets carried at fair value on a recurring basis	$28,136	$24,255	$10,661	($5,946)	$57,106
Liabilities:
Debt:
Debt of consolidated trusts	$—	$1,951	$360	$—	$2,311
Debt of Freddie Mac	—	295	90	—	385
Total debt	—	2,246	450	—	2,696
Other liabilities:
Derivative liabilities, net	4	8,763	78	(7,793)	1,052
Other liabilities	—	—	1	—	1
Total other liabilities	4	8,763	79	(7,793)	1,053
Total liabilities carried at fair value on a recurring basis	$4	$11,009	$529	($7,793)	$3,749

Referenced footnote is included after the prior period table.



Freddie Mac 1Q 2024 Form 10-Q				~~135~~77



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


	December 31, 2023
(In millions)	Level 1	Level 2	Level 3	Netting Adjustments(1)	Total
Assets:
Investment securities:
Available-for-sale	$—	$4,212	$678	$—	$4,890
Trading:
Mortgage-related securities	—	5,342	2,771	—	8,113
Non-mortgage-related securities	29,854	418	—	—	30,272
Total trading securities	29,854	5,760	2,771	—	38,385
Total investment securities	29,854	9,972	3,449	—	43,275
Mortgage loans held-for-sale	—	6,460	896	—	7,356
Mortgage loans held-for-investment	—	1,333	473	—	1,806
Other assets:
Guarantee assets	—	—	5,351	—	5,351
Derivative assets, net	—	6,209	2	(5,725)	486
Other assets	—	92	166	—	258
Total other assets	—	6,301	5,519	(5,725)	6,095
Total assets carried at fair value on a recurring basis	$29,854	$24,066	$10,337	($5,725)	$58,532
Liabilities:
Debt:
Debt of consolidated trusts	$—	$1,707	$343	$—	$2,050
Debt of Freddie Mac	—	336	90	—	426
Total debt	—	2,043	433	—	2,476
Other liabilities:
Derivative liabilities, net	—	8,608	63	(7,798)	873
Other liabilities	—	—	—	—	—
Total other liabilities	—	8,608	63	(7,798)	873
Total liabilities carried at fair value on a recurring basis	$—	$10,651	$496	($7,798)	$3,349

(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 securities 14,648
2,859
—
—
17,507
Total trading securities, at fair value 14,648
19,509
1,569
—
35,726
Total investments in securities 14,648
56,297
16,203
—
87,148
Mortgage loans:

Held-for-sale, at fair value —
18,995
—
—
18,995
Derivative assets, net:
Interest-rate swaps —
3,871
—
—
3,871
Option-based derivatives —
5,215
—
—
5,215
Other —
132
3
—
135
Subtotal, before netting adjustments —
9,218
3
—
9,221
Netting adjustments⁽¹⁾
—
—
—
(8,516 ) (8,516 )
Total derivative assets, net —
9,218
3
(8,516 ) 705
Other assets:

Guarantee asset, at fair value —
—
2,621
—
2,621
Non-derivative held-for-sale purchase commitments, at fair value —
140
—
—
140
All other, at fair value —
—
—
—
—
Total other assets —
140
2,621
—
2,761
Total assets carried at fair value on a recurring basis
$14,648

$84,650

$18,827

($8,516 )
$109,609
Liabilities:
Debt securities of consolidated trusts held by third parties, at fair value
$—

$15

$531

$—

$546
Other debt, at fair value

5,173
89
—
5,262
Derivative liabilities, net:

Interest-rate swaps —
8,006
—
—
8,006
Option-based derivatives —
117
—
—
117
Other

76
67
—
143
Subtotal, before netting adjustments —
8,199
67
—
8,266
Netting adjustments⁽¹⁾
—
—
—
(8,054 ) (8,054 )
Total derivative liabilities, net —
8,199
67
(8,054 ) 212
Other liabilities:
Non-derivative held-for-sale purchase commitments, at fair value —
36
—
—
36
All other, at fair value —
—
23
—
23
Total liabilities carried at fair value on a recurring basis
$—

$13,423

$710

($8,054 )
$6,079

Level 3 Fair Value Measurements



~~Freddie Mac Form 10-Q~~		~~136~~



~~Financial Statements~~	~~Notes 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 securities 19,402
1,735
—
—
21,137
Total trading securities, at fair value 19,402
24,168
1,220
—
44,790
Total investments in securities 19,402
65,184
26,961
—
111,547
Mortgage loans:
Held-for-sale, at fair value —
16,255
—
—
16,255
Derivative assets, net:
Interest-rate swaps —
6,924
—
—
6,924
Option-based derivatives —
5,054
—
—
5,054
Other —
287
3
—
290
Subtotal, before netting adjustments —
12,265

3

—
12,268
Netting adjustments⁽¹⁾
—
—
—
(11,521 ) (11,521 )
Total derivative assets, net —
12,265

3

(11,521 ) 747
Other assets:
Guarantee asset, at fair value —
—
2,298
—
2,298
Non-derivative held-for-sale purchase commitments, at fair value —
108
—
—
108
All other, at fair value —
—
2
—
2
Total other assets —
108
2,300
—
2,408
Total assets carried at fair value on a recurring basis
$19,402

$93,812

$29,264

($11,521 )
$130,957
Liabilities:
Debt securities of consolidated trusts held by third parties, at fair value
$—

$144

$—

$—

$144
Other debt, at fair value —
5,771
95
—
5,866
Derivative liabilities, net:
Interest-rate swaps —
12,387
—
—
12,387
Option-based derivatives —
106
—
—
106
Other —
147
52
—
199
Subtotal, before netting adjustments —
12,640

52

—
12,692
Netting adjustments⁽¹⁾
—
—
—
(11,897 ) (11,897 )
Total derivative liabilities, net —
12,640

52

(11,897 ) 795
Other liabilities:
Non-derivative held-for-sale purchase commitments, at fair value —
37
—
—
37
Total liabilities carried at fair value on a recurring basis
$—

$18,592

$147

($11,897 )
$6,842


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



~~Freddie Mac Form 10-Q~~		~~137~~



~~Financial Statements~~	~~Notes 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 ~~tables~~table also ~~present~~presents 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-Q				~~138~~78



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)		Purchases	Issues	Sales	Settlements, Net	Transfers into Level 3	Transfers out of Level 3	Balance, March 31, 2024	Change in Unrealized Gains/Losses(1) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2024(2)	Change in Unrealized Gains/Losses(1), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2024
(In millions)		Included in Earnings	Included in Other Comprehensive Income

Assets
Investment securities:
Available-for-sale	$678	$—	($5)	$—	$—	$—	($36)	$—	$—	$637	$—	($4)
Trading	2,771	(112)	—	359	—	—	(16)	—	—	3,002	19	—
Total investment securities	3,449	(112)	(5)	359	—	—	(52)	—	—	3,639	19	(4)
Mortgage loans held-for-sale	896	(6)	—	294	—	(273)	—	35	(159)	787	(7)	—
Mortgage loans held-for-investment	473	(24)	—	—	—	—	(47)	298	(5)	695	(29)	—
Other assets:
Guarantee assets	5,351	111	—	—	105	—	(226)	—	—	5,341	111	—
Other assets	168	20	—	(10)	1	(5)	25	—	—	199	19	—
Total other assets	5,519	131	—	(10)	106	(5)	(201)	—	—	5,540	130	—
Total assets	10,337	(11)	(5)	643	106	(278)	(300)	333	(164)	10,661	113	(4)

Liabilities
Debt	$433	$5	$—	($4)	$19	$—	($3)	$—	$—	$450	$10	$—
Other liabilities	63	15	—	2	—	—	(1)	—	—	79	16	—
Total liabilities	$496	$20	$—	($2)	$19	$—	($4)	$—	$—	$529	$26	$—


	1Q 2023
	Balance, January 1, 2023	Total Realized/Unrealized Gains/Losses(1)		Purchases	Issues	Sales	Settlements, Net	Transfers into Level 3	Transfers out of Level 3	Balance, March 31, 2023	Change in Unrealized Gains/Losses(1) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2023(2)	Change in Unrealized Gains/Losses(1), Net of Tax, Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2023
(In millions)		Included in Earnings	Included in Other Comprehensive Income

Assets
Investment securities:
Available-for-sale	$894	$1	($3)	$—	$—	$—	($39)	$—	$—	$853	$—	($3)
Trading	2,731	(139)	—	324	—	—	(11)	—	—	2,905	33	—
Total investment securities	3,625	(138)	(3)	324	—	—	(50)	—	—	3,758	33	(3)
Mortgage loans held-for-sale	310	1	—	26	—	—	(1)	11	—	347	—	—
Mortgage loans held-for-investment	110	2	—	—	—	—	—	—	(48)	64	2	—
Other assets:
Guarantee assets	5,442	85	—	—	127	—	(222)	—	—	5,432	85	—
Other assets	131	16	—	(10)	—	—	(9)	—	—	128	16	—
Total other assets	5,573	101	—	(10)	127	—	(231)	—	—	5,560	101	—
Total assets	$9,618	($34)	($3)	$340	$127	$—	($282)	$11	($48)	$9,729	$136	($3)

Liabilities
Debt	$388	($12)	$—	$—	$12	$—	($4)	$—	$—	$384	($8)	$—
Other liabilities	97	(18)	—	—	—	—	(2)	—	—	77	(19)	—
Total liabilities	$485	($30)	$—	$—	$12	$—	($6)	$—	$—	$461	($27)	$—

3Q 2017
Realized and unrealized gains (losses)

Balance,
July 1,
2017 Included in
earnings Included in
other
comprehensive
income
Total
Purchases
Issues
Sales
Settlements,
net

Transfers
into
Level 3⁽¹⁾

Transfers
out of
Level 3⁽¹⁾

Balance,
September 30,
2017
Unrealized
gains (losses)
still held⁽³⁾
(In millions)
Assets

Investments in securities:

Available-for-sale, at fair value:

Mortgage-related securities:

Freddie Mac
$5,686

($4 )
$82

$78

$141

$—

$—

($325 )
$—

$—

$5,580

($4 )
Other agency 51
—
—
—
—
—
—
(3 ) —
—
48
—
Non-agency RMBS 8,639
854
(128 ) 726
—
—
(3,953 ) (277 ) —
—
5,135
38
Non-agency CMBS 3,470
1
5
6
—
—
—
(7 ) —
—
3,469
1
Obligations of states and political subdivisions 481
—
(1 ) (1 ) —
—
—
(78 ) —
—
402
—
Total available-for-sale mortgage-related securities 18,327

851

(42 ) 809
141
—
(3,953 )
(690 )
—

—

14,634

35
Trading, at fair value:

Mortgage-related securities:

Freddie Mac 888
(45 ) —
(45 ) 587
—
—
(4 ) —
(396 ) 1,030
(43 )
Other agency 10
(1 ) —
(1 ) 259
—
—
—
—
—
268
(1 )
All other 108
(2 ) —
(2 ) 176
—
—
(11 ) —
—
271
(2 )
Total trading mortgage-related securities 1,006

(48 )
—

(48 )
1,022

—

—

(15 )
—

(396 )
1,569

(46 )
Other assets:
Guarantee asset 2,480
(1 ) —
(1 ) —
265
—
(123 ) —
—
2,621
(1 )

Realized and unrealized (gains) losses

Balance,
July 1,
2017 Included in
earnings Included in
other
comprehensive
income
Total
Purchases
Issues
Sales
Settlements,
net

Transfers
into
Level 3⁽¹⁾

Transfers
out of
Level 3⁽¹⁾

Balance,
September 30,
2017
Unrealized
(gains)
losses
still held⁽³⁾
(In millions)
Liabilities

Debt securities of consolidated trusts held by third parties, at fair value
$531

$—

$—

$—

$—

$—

$—

$—

$—

$—

$531

$—
Other debt, at fair value 89
—
—
—
—
—
—
—
—
—
89
—
Net derivatives⁽²⁾
68
2
—
2
—
(1 ) —
(2 ) —
—
67
(2 )
Other liabilities:
All other, at fair value 17
(12 ) —
(12 ) 5
—
13
—
—
—
23
(12 )
(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-Q				~~139~~79



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

YTD 2017
Realized and unrealized gains (losses)

Balance,
January 1,
2017

Included in
earnings

Included in
other
comprehensive
income
Total Purchases Issues Sales
Settlements,
net

Transfers
into
Level 3⁽¹⁾

Transfers
out of
Level 3⁽¹⁾

Balance,
September 30,
2017

Unrealized
gains (losses)
still held⁽³⁾
(in millions)
Assets
Investments in securities:
Available-for-sale, at fair value:
Mortgage-related securities:
Freddie Mac
$9,847

($6 )
$117

$111

$635

$—

($907 )
($1,027 )
$17

($3,096 )
$5,580

($15 )
Other agency 66
—
(1 ) (1 ) —
—
—
(9 ) —
(8 ) 48
—
Non-agency RMBS 11,797
1,285
(68 ) 1,217
—
—
(6,649 ) (1,230 ) —
—
5,135
111
Non-agency CMBS 3,366
4
128
132
—
—
—
(29 ) —
—
3,469
4
Obligations of states and political subdivisions 665
1
(2 ) (1 ) —
—
—
(262 ) —
—
402
—
Total available-for-sale mortgage-related securities 25,741
1,284

174
1,458
635

—

(7,556 )
(2,557 )
17

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

Freddie Mac 1,095
(121 ) —
(121 ) 889
—
(592 ) (9 ) 14
(246 ) 1,030
(92 )
Other agency 12
(3 ) —
(3 ) 259
—
—
—
—
—
268
(3 )
All other 113
—
—
—
176
—
—
(18 ) —
—
271
—
Total trading mortgage-related securities 1,220
(124 ) —
(124 ) 1,324

—

(592 )
(27 )
14

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

Guarantee asset 2,299
(2 ) —
(2 ) —
677
—
(353 ) —
—
2,621
(2 )

Realized and unrealized (gains) losses
Balance,
January 1,
2017
Included in
earnings

Included in
other
comprehensive
income
Total Purchases Issues Sales
Settlements,
net

Transfers
into
Level 3⁽¹⁾

Transfers
out of
Level 3⁽¹⁾
Balance,
September 30,
2017
Unrealized
(gains)
losses
still held⁽³⁾
(in millions)
Liabilities
Debt securities of consolidated trusts held by third parties, at fair value
$—

$1

$—

$1

$—

$530

$—

$—

$—

$—

$531

$1
Other debt, at fair value 95
—
—
—
—
—
—
(6 ) —
—
89
—
Net derivatives⁽²⁾
50
36
—
36
—
—
—
(19 ) —
—
67
19
Other liabilities:
All other, at fair value (2 ) (5 ) —
(5 ) 17
—
13
—
—
—
23
(5 )



~~Freddie Mac Form 10-Q~~		~~140~~



~~Financial Statements~~	~~Notes 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 agency 73
—
—
—
—
—
—
(4 ) —
—
69
—
Non-agency RMBS 15,497
437
214
651
—
—
(2,869 ) (672 ) —
—
12,607
87
Non-agency CMBS 3,611
1
125
126
—
—
—
(8 ) —
—
3,729
1
Obligations of states and political subdivisions 890
—
(2 ) (2 ) —
—
—
(92 ) —
—
796
—
Total available-for-sale mortgage-related securities 31,533
438
299
737
462
—
(3,235 ) (1,022 ) —
(4,134 ) 24,341
87
Trading, at fair value:
Mortgage-related securities:
Freddie Mac 315
11
—
11
753
—
(5 ) (5 ) 99
(234 ) 934
3
Other agency 615
4
—
4
—
—
(112 ) (20 ) —
(474 ) 13
—
All other 1
—
—
—
—
—
—
—
—
—
1
—
Total trading mortgage-related securities 931
15
—
15
753
—
(117 ) (25 ) 99
(708 ) 948
3
Other assets:
Guarantee asset 2,057
—
—
—
—
204
—
(96 ) —
—
2,165
—

Realized and unrealized (gains) losses
Balance,
July 1,
2016
Included in
earnings

Included in
other
comprehensive
income
Total Purchases Issues Sales
Settlements,
net

Transfers
into
Level 3

Transfers
out of
Level 3
Balance,
September 30,
2016
Unrealized
(gains) losses
still held⁽³⁾
(In millions)
Liabilities
Other debt, at fair value
$52

$—

$—

$—

$—

$—

$—

$—

$—

$—

$52

$—
Net derivatives⁽²⁾
27
39
—
39
—
—
—
(9 ) —
—
57
33
Other Liabilities:
All other, at fair value 15
10
—
10
(25 ) —
—
—
—
—
—
10



~~Freddie Mac Form 10-Q~~		~~141~~



~~Financial Statements~~	~~Notes 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 agency 91
—
(1 ) (1 ) —
—
—
(15 ) —
(6 ) 69
—
Non-agency RMBS 20,333
810
(73 ) 737
—
—
(5,887 ) (2,576 ) —
—
12,607
201
Non-agency CMBS 3,530
2
224
226
—
—
—
(27 ) —
—
3,729
2
Obligations of states and political subdivisions 1,205
1
(4 ) (3 ) —
—
—
(406 ) —
—
796
—
Total available-for-sale mortgage-related securities 27,767
833

174

1,007

5,618

—

(6,378 )
(3,352 )
—

(321 )
24,341

202
Trading, at fair value:
Mortgage-related securities:
Freddie Mac 331
(4 ) —
(4 ) 800
—
(142 ) (3 ) 74
(122 ) 934
(4 )
Other agency 41
(1 ) —
(1 ) —
—
(20 ) (7 ) —
—
13
(2 )
All other 2
—
—
—
—
—
—
(1 ) —
—
1
—
Total trading mortgage-related securities 374
(5 )
—

(5 )
800

—

(162 )
(11 )
74

(122 )
948

(6 )
Other assets:
Guarantee asset 1,753
68
—
68
—
602
—
(258 ) —
—
2,165
68

Realized and unrealized (gains) losses
Balance,
January 1,
2016
Included in
earnings

Included in
other
comprehensive
income
Total Purchases Issues Sales
Settlements,
net

Transfers
into
Level 3

Transfers
out of
Level 3
Balance,
September 30,
2016
Unrealized
(gains) losses
still held⁽³⁾
(in millions)
Liabilities
Other debt, at fair value
$—

$—

$—

$—

$—

$52

$—

$—

$—

$—

$52

$—
Net derivatives⁽²⁾
8
67
—
67
—
1
—
(19 ) —
—
57
48
Other Liabilities:
All other, at fair value 10
7
—
7
(17 ) —
—
—
—
—
—
7

~~(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-Q~~		~~142~~



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

The ~~tables~~table below ~~provide~~provides valuation techniques, the range, and the weighted average of significant unobservable inputs for Level 3 assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis.

Table 13.3 - Quantitative Information about Recurring Level 3 Fair Value Measurements

March 31, 2024

Level 3

Fair

Value

Predominant

Valuation

Technique(s)

Unobservable Inputs

(Dollars in millions, except for certain unobservable inputs as shown)

Type

Range

Weighted

Average(1)

Assets

Investment securities:

Available-for-sale

$469

Median of external sources

External pricing sources

$59.7 - $70.6

$65.5

169

Other

Trading

2,235

Single external source

External pricing source

$0.0 - $4,251.3

$129.4

767

Other

Mortgage loans held-for-sale

787

Single external source

External pricing source

$64.9 - $108.3

$100.3

Mortgage loans held-for-investment

695

Single external source

External pricing source

$29.5 - $100.0

$80.8

Guarantee assets

5,012

Discounted cash flows

OAS

17 - 233 bps

47 bps

329

Other

Insignificant Level 3 assets(2)

198

Total level 3 assets

$10,661

Liabilities

Insignificant Level 3 liabilities(2)

529

Total level 3 liabilities

$529

December 31, 2023

Level 3
Fair
Value

Predominant
Valuation
Technique(s)

Unobservable Inputs

(Dollars in millions, except for certain unobservable inputs as shown)

Type

Range

Weighted

Average(1)

Assets

Investment securities:

Available-for-sale

$489

Median of external sources

External pricing sources

$61.2 - $71.6

$66.7

189

Other

Trading

2,085

Single external source

External pricing source

$0.0 - $4,471.7

$147.3

686

Other

Mortgage loans held-for-sale

896

Single external source

External pricing source

$59.3 - $110.4

$100.3

Mortgage loans held-for-investment

473

Single external source

External pricing source

$24.7 - $99.2

$74.7

Guarantee assets

5,014

Discounted cash flows

OAS

17 - 233 bps

47 bps

337

Other

Insignificant Level 3 assets(2)

168

Total level 3 assets

$10,337

Liabilities

Insignificant Level 3 liabilities(2)

496

Total level 3 liabilities

$496

(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 Mac 5,580
Other agency 29 Median of external sources
19 Single external source
Total other agency 48
Non-agency RMBS 4,511 Median of external sources External pricing sources $74.7 - $79.3 $76.4
624 Other
Total non-agency RMBS 5,135
Non-agency CMBS 3,468 Single external source External pricing sources $6.3 - $107.8 $95.7
1 Other
Total non-agency CMBS 3,469
Obligations of states and political subdivisions 366 Median of external sources External pricing sources $101.3 - $101.7 $101.5
36 Other
Total obligations of states and political subdivisions 402
Total available-for-sale mortgage-related securities 14,634
Trading, at fair value
Mortgage-related securities
Freddie Mac 664 Discounted cash flows OAS (7,125) - 27,202 bps 144 bps
99 Risk metrics
98 Single external source
169 Other
Total Freddie Mac 1,030
Other agency 208 Discounted cash flows OAS (562) - 424 bps (60) bps
60 Risk metrics
Total other agency 268

All other 171 Risk metrics Effective duration 0.00 - 7.32 years 7.32 years
99 Single external source
1 Other
Total all other 271
Total trading mortgage-related securities 1,569
Total investments in securities $16,203
Other assets:
Guarantee asset, at fair value $2,621 Discounted cash flow OAS 17 - 198 bps 42 bps
Liabilities
Debt securities of consolidated trusts held by third parties, at fair value 531 Single External Source External Pricing Sources $100.0 - $100.5 $100.1
Other debt, at fair value 89 Other
Net derivatives 67 Other
Other liabilities
All other, at fair value 23 Other



Freddie Mac 1Q 2024 Form 10-Q				~~143~~80



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

December 31, 2016

Level 3
Fair
Value

Predominant
Valuation
Technique(s)

Unobservable Inputs⁽¹⁾
(Dollars in millions, except for certain unobservable inputs as shown) Type
Range
Weighted
Average
Recurring fair value measurements

Assets

Investments in securities

Available-for-sale, at fair value

Mortgage-related securities

Freddie Mac $7,619 Discounted cash flows OAS (146) - 500 bps 91 bps
129 Median of external sources External pricing sources $100.8 - $103.3
$101.8
66 Single external source
60 Risk Metrics

1,973
Other

Total Freddie Mac 9,847

Other agency 32 Median of external sources

23 Single external source

11
Other

Total other agency 66

Non-agency RMBS 9,974
Median of external sources
External pricing sources
$74.0 - $78.8

$76.0

1,823
Other

Total non-agency RMBS 11,797

Non-agency CMBS 3,365
Risk Metrics
Effective duration
2.15 - 10.02 years
8.57 years

1
Other

Total non-agency CMBS 3,366

Obligations of states and political subdivisions 619
Median of external sources
External pricing sources
$100.9 - $101.5

$101.2

46
Other

Total obligations of states and political subdivisions 665

Total available-for-sale mortgage-related securities 25,741

Trading, at fair value

Mortgage-related securities

Freddie Mac 452
Risk metrics
Effective duration
(5.07) - 46.37 years
6.94 years
311 Discounted cash flows OAS (3,346) - 2,460 bps (224) bps
5 Single external source
4 Median of external sources

323
Other

Total Freddie Mac 1,095

Other agency 12
Discounted cash flows

All other 113
Risk metrics
Effective duration
0.14 - 4.08 years
2.52 years
Total trading mortgage-related securities 1,220

Total investments in securities $26,961

Other assets:

Guarantee asset, at fair value $2,091
Discounted cash flows
OAS
17 - 198 bps
50 bps

207
Other

Total guarantee asset, at fair value 2,298

All other at fair value 2 Other
Total other assets 2,300 ��
Liabilities

Other debt, at fair value 95 Other
Net derivatives 49
Other

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-Q~~		~~144~~



~~Financial Statements~~	~~Notes 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 ~~tables~~table below ~~provide~~presents assets measured on our condensed consolidated balance sheets at fair value on a non-recurring basis.

Table 13.4 - Assets Measured at Fair Value on a Non-Recurring Basis


	March 31, 2024				December 31, 2023
(In millions)	Level 1	Level 2	Level 3	Total	Level 1	Level 2	Level 3	Total
Mortgage loans(1)	$—	$407	$1,280	$1,687	$—	$640	$1,578	$2,218

(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 unobservable~~basis.

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)

Type

Range

Weighted

Average(1)

Mortgage loans

$1,076

Median of external sources

External pricing sources

$74.8 - $98.6

$83.2

204

Other

Total

$1,280

December 31, 2023

Level 3

Fair

Value

Predominant

Valuation

Technique(s)

Unobservable Inputs

(Dollars in millions, except for certain unobservable inputs as shown)

Type

Range

Weighted

Average(1)

Mortgage loans

$1,394

Median of external sources

External pricing sources

$72.9 - $98.8

$82.4

184

Other

Total

$1,578

(1) Unobservable inputs ~~(Level 3). Certain~~were 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)~~

~~Type~~

~~Range~~

~~Weighted~~

~~Average~~

~~Non-recurring fair value measurements~~

~~Mortgage loans~~

~~$5,715~~

~~Internal model~~

~~Historical sales~~
~~proceeds~~

~~$3,000 - $808,500~~

~~$175,116~~

~~Internal model~~

~~Housing sales index~~

~~39 - 354 bps~~

~~99 bps~~

~~Income capitalization~~⁽¹⁾

~~Capitalization rates~~

~~7% - 8%~~

~~Median of external sources~~

~~External 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)~~

~~Type~~

~~Range~~

~~Weighted~~

~~Average~~

~~Non-recurring fair value measurements~~

~~Mortgage loans~~

~~$2,483~~

~~Internal model~~

~~Historical sales~~
~~proceeds~~

~~$3,000 - $770,000~~

~~$167,137~~

~~Internal model~~

~~Housing sales index~~

~~42 - 374 bps~~

~~96 bps~~

~~Income capitalization~~⁽¹⁾

~~Capitalization rates~~

~~7% - 10%~~

~~Median of external sources~~

~~External pricing sources~~

~~$37.0 - $94.3~~

~~$75.0~~81


~~(1)~~Financial Statements			~~The 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 ~~tables~~table below ~~present~~presents 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 ~~GAAP~~condensed consolidated balance sheets approximates fair value, as these assets and liabilities are short-term in nature and have limited ~~market~~fair value volatility.

Table 13.6 - Fair Value of Financial Instruments


		March 31, 2024
	GAAP Measurement Category(1)	Carrying Amount	Fair Value
(In millions)			Level 1	Level 2	Level 3	Netting Adjustments(2)	Total
Financial Assets
Cash and cash equivalents	Amortized cost	$3,531	$3,531	$—	$—	$—	$3,531
Securities purchased under agreements to resell	Amortized cost	102,257	—	116,057	—	(13,800)	102,257
Investment securities:
Available-for-sale	FV - OCI	4,729	—	4,092	637	—	4,729
Trading	FV - NI	36,671	28,136	5,533	3,002	—	36,671
Total investment securities		41,400	28,136	9,625	3,639	—	41,400
Mortgage loans:
Mortgage loans held-for-sale		12,034	—	8,826	3,383	—	12,209
Mortgage loans held-for-investment, net of allowance for credit losses		3,088,687	—	2,412,334	267,683	—	2,680,017
Total mortgage loans	Various(3)	3,100,721	—	2,421,160	271,066	—	2,692,226
Other assets:
Guarantee assets	FV - NI	5,341	—	—	5,343	—	5,343
Derivative assets, net	FV - NI	292	—	6,206	32	(5,946)	292
Other assets(4)	Various	2,910	—	434	2,482	—	2,916
Total other assets		8,543	—	6,640	7,857	(5,946)	8,551
Total financial assets		$3,256,452	$31,667	$2,553,482	$282,562	($19,746)	$2,847,965
Financial Liabilities
Debt:
Debt of consolidated trusts		$3,050,038	$—	$2,632,804	$737	$—	$2,633,541
Debt of Freddie Mac		161,704	—	172,726	3,361	(13,800)	162,287
Total debt	Various(5)	3,211,742	—	2,805,530	4,098	(13,800)	2,795,828
Other liabilities:
Guarantee obligations	Amortized cost	5,302	—	102	6,348	—	6,450
Derivative liabilities, net	FV - NI	1,052	4	8,763	78	(7,793)	1,052
Other liabilities(4)	FV - NI	14	—	423	169	—	592
Total other liabilities		6,368	4	9,288	6,595	(7,793)	8,094
Total financial liabilities		$3,218,110	$4	$2,814,818	$10,693	($21,593)	$2,803,922

Referenced footnotes are included after the prior period table.



Freddie Mac 1Q 2024 Form 10-Q				~~145~~82



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


		December 31, 2023
	GAAP Measurement Category(1)	Carrying Amount	Fair Value
(In millions)			Level 1	Level 2	Level 3	Netting Adjustments(2)	Total
Financial Assets
Cash and cash equivalents	Amortized cost	$6,019	$6,019	$—	$—	$—	$6,019
Securities purchased under agreements to resell	Amortized cost	95,148	—	105,393	—	(10,245)	95,148
Investment securities:
Available-for-sale	FV - OCI	4,890	—	4,212	678	—	4,890
Trading	FV - NI	38,385	29,854	5,760	2,771	—	38,385
Total investment securities		43,275	29,854	9,972	3,449	—	43,275
Mortgage loans:
Mortgage loans held-for-sale		12,941	—	9,276	3,868	—	13,144
Mortgage loans held-for-investment, net of allowance for credit losses		3,083,665	—	2,466,127	254,877	—	2,721,004
Total mortgage loans	Various(3)	3,096,606	—	2,475,403	258,745	—	2,734,148
Other assets:
Guarantee assets	FV - NI	5,351	—	—	5,353	—	5,353
Derivative assets, net	FV - NI	486	—	6,209	2	(5,725)	486
Other assets(4)	Various	2,107	—	946	1,165	—	2,111
Total other assets		7,944	—	7,155	6,520	(5,725)	7,950
Total financial assets		$3,248,992	$35,873	$2,597,923	$268,714	($15,970)	$2,886,540
Financial Liabilities
Debt:
Debt of consolidated trusts		$3,041,927	$—	$2,673,019	$727	$—	$2,673,746
Debt of Freddie Mac		166,419	—	173,877	3,391	(10,245)	167,023
Total debt	Various(5)	3,208,346	—	2,846,896	4,118	(10,245)	2,840,769
Other liabilities:
Guarantee obligations	Amortized cost	5,451	—	103	6,023	—	6,126
Derivative liabilities, net	FV - NI	873	—	8,608	63	(7,798)	873
Other liabilities(4)	FV - NI	14	—	465	194	—	659
Total other liabilities		6,338	—	9,176	6,280	(7,798)	7,658
Total financial liabilities		$3,214,684	$—	$2,856,072	$10,398	($18,043)	$2,848,427

(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 equivalents 7,684
7,684
—
—
—
7,684
Securities purchased under agreements to resell 47,202
—
47,202
—
—
47,202
Investments in securities:

Available-for-sale, at fair value 51,422
—
36,788
14,634
—
51,422
Trading, at fair value 35,726
14,648
19,509
1,569
—
35,726
Total investments in securities 87,148
14,648
56,297
16,203
—
87,148
Mortgage loans:
Loans held by consolidated trusts 1,738,858
—
1,613,122
141,914
—
1,755,036
Loans held by Freddie Mac 106,034
—
34,015
75,050
—
109,065
Total mortgage loans 1,844,892
—
1,647,137
216,964
—
1,864,101
Derivative assets, net 705
—
9,218
3
(8,516 ) 705
Guarantee asset 2,621
—
—
2,789
—
2,789
Non-derivative purchase commitments, at fair value 140
—
140
45
—
185
Advances to lenders and other secured lending 1,649
—
303
1,346
—
1,649
Total financial assets
$2,000,224

$30,515

$1,760,297

$237,350

($8,516 )
$2,019,646
Financial Liabilities
Debt, net:
Debt securities of consolidated trusts held by third parties
$1,691,524

$—

$1,700,555

$3,419

$—

$1,703,974
Other debt 318,054
—
318,649
4,166
—
322,815
Total debt, net 2,009,578
—
2,019,204
7,585
—
2,026,789
Derivative liabilities, net 212
—
8,199
67
(8,054 ) 212
Guarantee obligation 2,503
—
—
3,217
—
3,217
Non-derivative purchase commitments, at fair value 36
—
36
32
—
68
Total financial liabilities
$2,012,329

$—

$2,027,439

$10,901

($8,054 )
$2,030,286



Freddie Mac 1Q 2024 Form 10-Q				~~146~~83



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

December 31, 2016
Fair Value
(In millions) GAAP Carrying Amount Level 1 Level 2 Level 3
Netting Adjustments⁽¹⁾
Total
Financial Assets
Cash and cash
equivalents

$12,369

$12,369

$—

$—

$—

$12,369
Restricted cash and cash equivalents 9,851
9,851
—
—
—
9,851
Securities purchased under agreements to resell 51,548
—
51,548
—
—
51,548
Investments in securities:

Available-for-sale, at fair value 66,757
—
41,016
25,741
—
66,757
Trading, at fair value 44,790
19,402
24,168
1,220
—
44,790
Total investments in securities 111,547
19,402

65,184

26,961

—
111,547
Mortgage loans:

Loans held by consolidated trusts 1,690,218
—
1,554,143
142,121
—
1,696,264
Loans held by Freddie Mac 112,785
—
31,004
84,227
—
115,231
Total mortgage loans 1,803,003
—

1,585,147

226,348

—
1,811,495
Derivative assets, net 747
—
12,265
3
(11,521 ) 747
Guarantee asset 2,298
—
—
2,490
—
2,490
Non-derivative purchase commitments, at fair value 108
—
108
18
—
126
Advances to lenders and other secured lending 1,278
—
—
1,278
—
1,278
Total financial assets
$1,992,749

$41,622

$1,714,252

$257,098

($11,521 )
$2,001,451
Financial Liabilities

Debt, net:

Debt securities of consolidated trusts held by third parties
$1,648,683

$—

$1,651,313

$605

$—

$1,651,918
Other debt 353,321
—
352,837
4,809
—
357,646
Total debt, net 2,002,004
—

2,004,150

5,414

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

$—

$2,016,827

$8,910

($11,897 )
$2,013,840

Fair Value Option


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



~~Freddie Mac Form 10-Q~~		~~147~~



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

~~FAIR VALUE OPTION~~

We elected the fair value option for certain ~~multifamily held-for-sale~~mortgage loans ~~multifamily held-for-sale~~and 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, 2024			December 31, 2023
(In millions)	Fair value	UPB	Difference	Fair value	UPB	Difference
Mortgage loans held-for-sale	$7,926	$7,793	$133	$7,356	$7,080	$276
Mortgage loans held-for-investment	1,931	2,227	(296)	1,806	2,095	(289)
Debt of Freddie Mac	200	194	6	240	234	6
Debt of consolidated trusts	1,950	2,070	(120)	1,705	1,799	(94)
Other assets (other liabilities)	48	N/A	N/A	95	N/A	N/A

(1) ~~Does not include~~Excludes 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, 2017~~both March 31, 2024 and December 31, ~~2016, respectively.~~2023.

Changes in Fair Value ~~under~~Under 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, from~~The table below presents the ~~change~~changes in fair value ~~on multifamily held-for-sale loans recorded at~~related to items for which we have elected the fair value option. These amounts are included in ~~other income (loss) in~~investment 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, from~~Table 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 2024	1Q 2023
(In millions)	Gains (Losses)
Mortgage loans held-for-sale	($159)	$4
Mortgage loans held-for-investment	(31)	26
Debt of Freddie Mac	1	14
Debt of consolidated trusts	9	(35)
Other assets/other liabilities	143	55

Changes in fair value attributable to instrument-specific credit risk were not material for ~~3Q 2017 and YTD 2017 and~~the 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-Q				~~148~~84



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

NOTE ~~14: LEGAL CONTINGENCIES~~14

Legal Contingencies

We are involved, ~~as a party~~directly 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’s~~seller'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 resolution~~proceedings of all types are subject to many uncertainties (including appeals and ~~are not susceptible~~procedural 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 dismissed~~denied the ~~case in its entirety against all defendants, with prejudice. In November 2014, plaintiff filed a notice of appeal in the U.S. Court of Appeals~~plaintiff's motion for class certification. On April 6, 2023, the Sixth ~~Circuit. On July 20, 2016, the Court of Appeals~~Circuit reversed the District Court's ~~dismissal~~September 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-Q~~		~~149~~



~~Financial Statements~~	~~Notes 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 of~~scheduled the ~~antitrust laws, but dismissed~~trial 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 to~~Litigation 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-Q~~		~~150~~



~~Financial Statements~~	~~Notes 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 result~~a consolidated class action lawsuit filed by private individual and institutional investors (collectively, "Class Plaintiffs") against FHFA, Fannie Mae, and Freddie Mac.

Fairholme Funds, Inc., et al. v. FHFA, et al. This is an individual plaintiffs’ lawsuit by certain institutional investors (“Individual Plaintiffs”) against FHFA, Fannie Mae, and Freddie Mac.

Plaintiffs in each of the ~~consolidation~~District of ~~three putative class action lawsuits:~~ ~~Cacciapelle~~Columbia lawsuits filed an amended complaint on November 1, 2017 alleging claims for breach of contract, breach of the implied covenant of good faith and ~~Bareiss vs. Federal National Mortgage Association, Federal Home Loan Mortgage Corporation~~fair 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-Q						85


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 Corporation~~24, 2023. On August 14, 2023, the jury returned a verdict against FHFA, Fannie Mae, and ~~FHFA, filed~~Freddie 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-Q						86


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 Association~~Capital Requirements


(In billions)			March 31, 2024			December 31, 2023
Adjusted total assets			$3,786			$3,775
Risk-weighted assets (standardized approach)			1,018			1,009

	March 31, 2024
	Amounts			Ratios
(Dollars in billions)	Available Capital (Deficit)	Minimum Capital Requirement	Capital Requirement (Including Buffer(1))	Available Capital (Deficit) Ratio(2)		Minimum Capital Requirement Ratio(2)		Capital Requirement Ratio(2) (Including Buffer(1))
Risk-based capital:
Total capital	($16)	$81	$81	(1.5)	%	8.0	%	8.0	%
CET1 capital	(41)	46	103	(4.0)		4.5		10.1
Tier 1 capital	(27)	61	118	(2.6)		6.0		11.6
Adjusted total capital	(27)	81	138	(2.6)		8.0		13.6
Leverage capital:
Core capital	($23)	$95	$95	(0.6)	%	2.5	%	2.5	%
Tier 1 capital	(27)	95	109	(0.7)		2.5		2.9

	December 31, 2023
	Amounts			Ratios
(Dollars in billions)	Available Capital (Deficit)	Minimum Capital Requirement	Capital Requirement (Including Buffer(1))	Available Capital (Deficit) Ratio(2)		Minimum Capital Requirement Ratio(2)		Capital Requirement Ratio(2) (Including Buffer(1))
Risk-based capital:
Total capital	($18)	$81	$81	(1.8)	%	8.0	%	8.0	%
CET1 capital	(43)	45	96	(4.3)		4.5		9.5
Tier 1 capital	(29)	60	111	(2.9)		6.0		11.0
Adjusted total capital	(29)	81	132	(2.9)		8.0		13.0
Leverage capital:
Core capital	($25)	$95	$95	(0.7)	%	2.5	%	2.5	%
Tier 1 capital	(29)	95	106	(0.8)		2.5		2.8

(1)PCCBA for risk-based capital and ~~Federal Home Loan Mortgage Corporation, filed on September 18, 2013. (The Marneucase was also filed~~PLBA 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-Q						87


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 was~~party 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. In~~some cases, the ~~consolidated amended complaint, plaintiffs allege, among other items, that~~Secretary 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's~~Agreement. 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 filed~~Federal 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-Q~~		~~151~~



~~Financial Statements~~	~~Notes 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’s~~government'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, Rattien~~Pursuant 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 behalf~~any 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-Q~~		~~152~~



~~Financial Statements~~	~~Notes 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-Q~~		~~153~~



~~Financial Statements~~	~~Notes 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 commitments 271
391
826
635
(Losses) gains on debt recorded at fair value 62
(174 ) (129 ) (268 )
All other 545
388
1,290
1,160
Total other income (loss)
$5,403

$605

$6,512

$1,527

~~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 asset 2,621
2,298
All other 2,677
3,779
Total other assets
$13,998

$12,358
Other liabilities:
Guarantee obligation
$2,503

$2,208
Payables related to securities 3,190
4,510
Income taxes payable 1,602
—
All other 2,331
2,769
Total other liabilities
$9,626

$9,487


~~(1)~~	~~Primarily consists of servicer receivables and other non-interest receivables.~~

~~END OF CONDENSED CONSOLIDATED FINANCIAL STATEMENTS AND ACCOMPANYING NOTES~~



~~Freddie Mac Form 10-Q~~		~~154~~



~~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 ~~2016~~2023 Annual Report, which ~~describe~~describes 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 SECURITIES~~Recent 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’s~~Treasury'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-Q				~~155~~88



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 for~~We 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’s~~Mac's global debt facility, including pricing supplements for individual issuances of debt securities. Similar information about our STACR ~~debt notes, Whole Loan Securities~~transactions and SCR ~~debt notes~~transactions is available at ~~www.freddiemac.com/creditriskofferings~~crt.freddiemac.com and ~~www.freddiemac.com/multifamily/investors/structured-credit-risk,~~mf.freddiemac.com/investors, respectively.

~~Disclosure~~We provide disclosure about ~~the~~our mortgage-related securities, ~~we issue,~~ some of which are off-balance sheet obligations (e.g., K Certificates and SB Certificates), ~~can be found~~on 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-Q				~~156~~89



Controls and Procedures

~~CONTROLS AND PROCEDURES~~Controls 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’s~~SEC's rules and forms and that such information is accumulated and communicated to management of the company, including the ~~company’s Chief Executive Officer~~company'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 Officer~~company'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’s~~management's evaluation, our ~~Chief Executive Officer~~Interim CEO and ~~Chief Financial Officer~~CFO 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’s~~Mac'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 2017~~1Q 2024

We evaluated the changes in our internal control over financial reporting that occurred during ~~3Q 2017~~1Q 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-Q~~		~~157~~



~~Controls and Procedures~~

MITIGATING ACTIONS RELATED TO THE MATERIAL WEAKNESS IN INTERNAL CONTROL OVER FINANCIAL REPORTING

As described above under ~~“Evaluation~~Evaluation of Disclosure Controls and Procedures”, we have one material weakness in internal control over financial reporting as of ~~September 30, 2017~~March 31, 2024 that we have not remediated.

~~Based on discussions with FHFA and given~~Given 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 ~~speeches~~statements 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 of~~nOur 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’s~~FHFA's accounting group meet frequently with our senior financial executives regarding our accounting policies, practices, and procedures.

~~In view~~Although 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 2017~~1Q 2024 have been prepared in conformity with GAAP.



Freddie Mac 1Q 2024 Form 10-Q				~~158~~90


Exhibit Index

Exhibit Index

~~EXHIBIT INDEX~~



~~Exhibit No.~~		Description*
~~12.1~~	4.1	~~Statement re: computation of ratio of earnings to fixed charges and computation of ratio of earnings to combined fixed charges and preferred stock dividends~~Federal Home Loan Mortgage Corporation Debt Facility Agreement, dated February 14, 2024


10.1				First Amendment to the Fourth Amended and Restated Limited Liability Company Agreement of Common Securitization Solutions, LLC


31.1			Certification of President and Interim Chief Executive Officer pursuant to Securities Exchange Act Rule 13a-14(a)


31.2			Certification of Executive Vice President ~~—Chief~~and Chief Financial Officer pursuant to Securities Exchange Act Rule 13a-14(a)


32.1			Certification of President and Interim Chief Executive Officer pursuant to 18 U.S.C. Section 1350


32.2			Certification of Executive Vice President ~~—Chief~~and Chief Financial Officer pursuant to 18 U.S.C. Section 1350






















101.INS						XBRL Instance Document - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document


101.SCH						XBRL Taxonomy Extension Schema

~~101.CAL~~
101. CAL						XBRL Taxonomy Extension Calculation

~~101.LAB~~
101.DEF						XBRL Taxonomy Extension ~~Labels~~Definition


101.LAB						XBRL Taxonomy Label
~~101.PRE~~

101. PRE						XBRL Taxonomy Extension Presentation


104						Cover Page Interactive Data File - the cover page interactive data file does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document
~~101.DEF~~						~~XBRL Taxonomy Extension Definition~~



*	The SEC file numbers for the ~~Registrant’s~~Registrant'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-Q				~~159~~



~~Signatures~~		91


Signatures

~~SIGNATURES~~Signatures

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. Layton~~Michael T. Hutchins
		~~Donald H. Layton~~
	President and Interim Chief Executive Officer
		(Principal Executive Officer)

Date: ~~October 31, 2017~~May 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, 2017~~May 1, 2024



Freddie Mac 1Q 2024 Form 10-Q				~~160~~92


Form 10-Q Index

Form 10-Q Index


Item Number		Page(s)
PART I	FINANCIAL INFORMATION
~~Index~~

~~FORM 10-Q INDEX~~



~~Item Number~~		~~Page(s)~~
~~PART I~~	~~FINANCIAL INFORMATION~~
Item 1.	Financial Statements			7643 - ~~154~~87
Item 2.			Management's Discussion and Analysis of Financial Condition and Results of Operations		1 - 7542
Item 3.			Quantitative and Qualitative Disclosures About Market Risk		5829 - 6231
Item 4.			Controls and Procedures		~~157~~90 - ~~158~~
PART II			OTHER INFORMATION
Item 1.			Legal Proceedings		~~155~~88
Item 1A1A.			Risk Factors		~~155~~88
Item 2.			Unregistered Sales of Equity Securities and Use of Proceeds		~~155~~88 - ~~156~~89
Item 6.5.			~~Exhibits~~Other Information		~~156~~89
Item 6.			~~EXHIBIT INDEX~~Exhibits		~~159~~89
Exhibit Index			~~SIGNATURES~~		91
Signatures					~~160~~92



Freddie Mac 1Q 2024 Form 10-Q				~~161~~93


Title of each class	Trading Symbol(s)	Name of each exchange on which registered
None	N/A	N/A


		Page

	~~Page~~
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS	1
~~INTRODUCTION~~ n Introduction		1
~~KEY ECONOMIC INDICATORS~~ n Housing and Mortgage Market Conditions		54
~~CONSOLIDATED RESULTS OF OPERATIONS~~ n Consolidated Results of Operations		96
~~CONSOLIDATED BALANCE SHEETS ANALYSIS~~ n Consolidated Balance Sheets Analysis		209
~~OUR BUSINESS SEGMENTS~~ n Our Portfolios		2110
~~RISK MANAGEMENT~~ n Our Business Segments		5612
~~LIQUIDITY AND CAPITAL RESOURCES~~ n Risk Management		6221
~~CONSERVATORSHIP AND RELATED MATTERS~~ l Credit Risk		6921
~~REGULATION AND SUPERVISION~~ l Market Risk		7129
~~OFF-BALANCE SHEET ARRANGEMENTS~~ n Liquidity and Capital Resources		7332
~~FORWARD-LOOKING STATEMENTS~~ n Critical Accounting Estimates		7439
~~FINANCIAL STATEMENTS~~
n Regulation and Supervision		7640
~~OTHER INFORMATION~~ n Forward-Looking Statements		~~155~~41
FINANCIAL STATEMENTS		43
OTHER INFORMATION		88
CONTROLS AND PROCEDURES		~~157~~90
EXHIBIT INDEX		~~159~~91
SIGNATURES		~~160~~92
FORM 10-Q INDEX		~~161~~93


☒
ý	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.


☐
¨	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.



	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	%



	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		—	%



	September 30, 2017
	CLTV ≤ 80				CLTV > 80 to 100				CLTV > 100				All Loans
(Credit score)	% Portfolio		SDQ Rate⁽¹⁾		% Portfolio		SDQ Rate⁽¹⁾		% Portfolio		SDQ Rate⁽¹⁾		% Portfolio		SDQ Rate⁽¹⁾		% Modified
Core single-family loan portfolio:
< 620	0.3	%	1.89	%	—	%	NM		—	%	NM		0.3	%	2.11	%	3.3	%
620 to 659	1.7		0.98	%	0.4		1.11	%	—		NM		2.1		1.00	%	1.4	%
≥ 660	64.8		0.15	%	9.4		0.21	%	—		NM		74.2		0.16	%	0.2	%
Not available	—		NM		—		NM		—		NM		—		NM		3.7	%
Total	66.8	%	0.18	%	9.8	%	0.25	%	—	%	NM		76.6	%	0.19	%	0.3	%

Legacy and relief refinance single-family loan portfolio:
< 620	1.2	%	4.46	%	0.3	%	8.49	%	0.2	%	14.35	%	1.7	%	5.55	%	24.2	%
620 to 659	2.0		3.32	%	0.5		6.65	%	0.2		12.07	%	2.7		4.18	%	20.8	%
≥ 660	15.5		1.16	%	2.5		3.37	%	0.9		5.87	%	18.9		1.49	%	7.5	%
Not available	0.1		4.85	%	—		NM		—		NM		0.1		5.32	%	17.5	%
Total	18.8	%	1.66	%	3.3	%	4.42	%	1.3	%	7.97	%	23.4	%	2.14	%	10.3	%



	September 30, 2017					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



(UPB in millions)	September 30, 2017			December 31, 2016
Unsecuritized mortgage loans held-for-sale		$19,118			$16,544
Unsecuritized mortgage loans held-for-investment	20,019			25,874
Unsecuritized non-mortgage loans	303			—
Mortgage-related securities	9,172			12,517
Guarantee portfolio	184,200			157,992
Total multifamily portfolio	232,812			212,927
Add: Unguaranteed securities⁽¹⁾	28,376			24,573
Less: Acquired mortgage-related securities⁽²⁾	(5,413		)	(5,793		)
Total multifamily market support		$255,775			$231,707



	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		$—		$—



	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	)



	GAAP Adverse Scenario (Before-Tax)
(Dollars in billions)	Before Hedge Accounting			After Hedge Accounting			% Change
September 30, 2017		($2.8	)		($1.2	)	58	%



~~Table of Contents~~



	3Q 2017
(Dollars in millions)	Short-term			Average Rate⁽¹⁾		Long-term			Average Rate⁽¹⁾
Discount notes and Reference Bills:
Beginning balance		$52,354		0.91	%		$—		—	%
Issuances	89,827			0.99	%	—			—	%
Repurchases	—			—	%	—			—	%
Maturities	(93,716		)	0.92	%	—			—	%
Ending Balance	48,465			1.05	%	—			—	%
Securities sold under agreements to repurchase:
Beginning balance	4,772			1.01	%	—			—	%
Additions	30,803			0.92	%	—			—	%
Repayments	(27,402		)	0.93	%	—			—	%
Ending Balance	8,173			0.75	%	—			—	%
Callable debt:
Beginning balance	—			—	%	120,450			1.53	%
Issuances	—			—	%	9,850			1.90	%
Repurchases	—			—	%	(49		)	2.39	%
Calls	—			—	%	(13,011		)	1.80	%
Maturities	—			—	%	(3,850		)	0.92	%
Ending Balance	—			—	%	113,390			1.51	%
Non-callable debt:⁽²⁾
Beginning balance	10,616			0.82	%	151,279			2.38	%
Issuances	2,300			1.07	%	7,555			1.51	%
Repurchases	—			—	%	(167		)	2.54	%
Maturities	—			—	%	(20,947		)	1.62	%
Ending Balance	12,916			0.86	%	137,720			2.47	%
Total other debt		$69,554		0.98	%		$251,110		2.04	%



	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



	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



	September 30, 2017								December 31, 2016
	Current LTV Ratio								Current LTV Ratio
(In millions)	≤ 80		> 80 to 100		> 100⁽¹⁾		Total		≤ 80		> 80 to 100		> 100⁽¹⁾		Total
20 and 30-year or more, amortizing fixed-rate⁽²⁾		$1,205,240		$216,924		$16,863		$1,439,027		$1,120,722		$236,111		$30,063		$1,386,896
15-year amortizing fixed-rate⁽²⁾	270,755		7,690		485		278,930		274,967		11,016		887		286,870
Adjustable-rate	49,703		3,222		35		52,960		52,319		2,955		85		55,359
Alt-A, interest-only, and option ARM	22,118		5,199		1,921		29,238		26,293		9,392		4,634		40,319
Total single-family loans		$1,547,816		$233,035		$19,304		$1,800,155		$1,474,301		$259,474		$35,669		$1,769,444



	Balance, Net				Interest Expense
(In millions)	September 30, 2017		December 31, 2016		3Q 2017		3Q 2016		YTD 2017		YTD 2016
Debt securities of consolidated trusts held by third parties		$1,691,524		$1,648,683		$11,852		$10,887		$35,567		$33,927
Other debt:
Short-term debt	69,430		71,451		173		83		414		258
Long-term debt	248,624		281,870		1,319		1,384		3,984		4,338
Total other debt	318,054		353,321		1,492		1,467		4,398		4,596
Total debt, net		$2,009,578		$2,002,004		$13,344		$12,354		$39,965		$38,523



	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



	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)	Gross Amount Recognized				Counterparty Netting			Cash Collateral Netting⁽¹⁾			Net Amount Presented in the Consolidated Balance Sheets						Net Amount
Assets:
Derivatives:
OTC derivatives		$8,467				($5,988	)		($2,187	)		$292			($260	)		$32
Cleared and exchange-traded derivatives	2,012				(1,924		)	190			278			—			278
Other	135				—			—			135			—			135
Total derivatives	10,614				(7,912		)	(1,997		)	705			(260		)	445
Securities purchased under agreements to resell⁽³⁾	47,202				—			—			47,202			(47,202		)	—
Total		$57,816				($7,912	)		($1,997	)		$47,907			($47,462	)		$445
Liabilities:
Derivatives:
OTC derivatives		($6,783	)			$5,989			$728			($66	)		$—			($66	)
Cleared and exchange-traded derivatives	(2,994		)		1,924			1,067			(3		)	—			(3		)
Other	(143		)		—			—			(143		)	—			(143		)
Total derivatives	(9,920		)		7,913			1,795			(212		)	—			(212		)
Securities sold under agreements to repurchase	(8,173		)		—			—			(8,173		)	8,173			—
Total		($18,093	)			$7,913			$1,795			($8,385	)		$8,173			($212	)

	December 31, 2016
	Gross Amount Recognized			Amount Offset in the Consolidated Balance Sheets							Net Amount Presented in the Consolidated Balance Sheets			Gross Amount Not Offset in the Consolidated Balance Sheets⁽²⁾			Net Amount
(In millions)	Gross Amount Recognized				Counterparty Netting			Cash Collateral Netting⁽¹⁾			Net Amount Presented in the Consolidated Balance Sheets						Net Amount
Assets:
Derivatives:
OTC derivatives		$8,531				($6,367	)		($1,760	)		$404			($353	)		$51
Cleared and exchange-traded derivatives	4,889				(4,674		)	(162		)	53			—			53
Other	290				—			—			290			—			290
Total derivatives	13,710				(11,041		)	(1,922		)	747			(353		)	394
Securities purchased under agreements to resell⁽³⁾	51,548				—			—			51,548			(51,548		)	—
Total		$65,258				($11,041	)		($1,922	)		$52,295			($51,901	)		$394
Liabilities:
Derivatives:
OTC derivatives		($7,298	)			$6,367			$469			($462	)		$274			($188	)
Cleared and exchange-traded derivatives	(6,965		)		4,705			2,126			(134		)	—			(134		)
Other	(199		)		—			—			(199		)	—			(199		)
Total derivatives	(14,462		)		11,072			2,595			(795		)	274			(521		)
Securities sold under agreements to repurchase	(3,040		)		—			—			(3,040		)	3,040			—
Total		($17,502	)			$11,072			$2,595			($3,835	)		$3,314			($521	)



	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



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



	3Q 2017
												Total Segment Earnings (Loss)						Total per Condensed Consolidated Statements of Comprehensive Income
(In millions)	Single-family Guarantee			Multifamily			Capital Markets			All Other		Total Segment Earnings (Loss)			Reclassifications
Net interest income		$—			$342			$804			$—		$1,146			$2,343			$3,489
Guarantee fee income⁽¹⁾	1,581			170			—			—		1,751			(1,582		)	169
Benefit (provision) for credit losses	(826		)	(22		)	—			—		(848		)	132			(716		)
Net impairment of available-for-sale securities recognized in earnings	—			—			50			—		50			(51		)	(1		)
Derivative gains (losses)	(2		)	22			(324		)	—		(304		)	(374		)	(678		)
Gains (losses) on trading securities	—			(47		)	(26		)	—		(73		)	—			(73		)
Gains (losses) on loans	—			(84		)	—			—		(84		)	287			203
Other non-interest income (loss)	405			314			5,757			—		6,476			(622		)	5,854
Administrative expenses	(353		)	(98		)	(73		)	—		(524		)	—			(524		)
REO operations expense	(38		)	—			—			—		(38		)	3			(35		)
Other non-interest expense	(348		)	(11		)	(3		)	—		(362		)	(136		)	(498		)
Income tax expense	(164		)	(212		)	(2,143		)	—		(2,519		)	—			(2,519		)
Net income	255			374			4,042			—		4,671			—			4,671
Changes in unrealized gains (losses) related to available-for-sale securities	—			(4		)	(43		)	—		(47		)	—			(47		)
Changes in unrealized gains (losses) related to cash flow hedge relationships	—			—			26			—		26			—			26
Changes in defined benefit plans	—			—			—			—		—			—			—
Total other comprehensive income (loss), net of taxes	—			(4		)	(17		)	—		(21		)	—			(21		)
Comprehensive income		$255			$370			$4,025			$—		$4,650			$—			$4,650

	YTD 2017
												Total Segment Earnings (Loss)						Total per Condensed Consolidated Statements of Comprehensive Income
(In millions)	Single-family Guarantee			Multifamily			Capital Markets			All Other		Total Segment Earnings (Loss)			Reclassifications
Net interest income		$—			$905			$2,608			$—		$3,513			$7,150			$10,663
Guarantee fee income⁽¹⁾	4,505			483			—			—		4,988			(4,512		)	476
Benefit (provision) for credit losses	(775		)	(10		)	—			—		(785		)	607			(178		)
Net impairment of available-for-sale securities recognized in earnings	—			(4		)	194			—		190			(207		)	(17		)
Derivative gains (losses)	(34		)	(31		)	(757		)	—		(822		)	(1,254		)	(2,076		)
Gains (losses) on trading securities	—			(62		)	(207		)	—		(269		)	—			(269		)
Gains (losses) on loans	—			(75		)	—			—		(75		)	485			410
Other non-interest income (loss)	1,115			972			6,924			—		9,011			(1,981		)	7,030
Administrative expense	(1,018		)	(288		)	(242		)	—		(1,548		)	—			(1,548		)
REO operations expense	(138		)	—			—			—		(138		)	10			(128		)
Other non-interest expense	(1,001		)	(44		)	(8		)	—		(1,053		)	(298		)	(1,351		)
Income tax expense	(911		)	(634		)	(2,921		)	—		(4,466		)	—			(4,466		)
Net income	1,743			1,212			5,591			—		8,546			—			8,546
Changes in unrealized gains (losses) related to available-for-sale securities	—			65			181			—		246			—			246
Changes in unrealized gains (losses) related to cash flow hedge relationships	—			—			81			—		81			—			81
Changes in defined benefit plans	(2		)	—			(1		)	—		(3		)	—			(3		)
Total other comprehensive income (loss), net of taxes	(2		)	65			261			—		324			—			324
Comprehensive income		$1,741			$1,277			$5,852			$—		$8,870			$—			$8,870



	September 30, 2017				December 31, 2016				Percent of Credit Losses
	Percentage of Portfolio		Serious Delinquency Rate		Percentage of Portfolio		Serious Delinquency Rate		YTD 2017		YTD 2016
Loan Portfolio
Core single-family loan portfolio	77	%	0.19	%	73	%	0.20	%	3	%	6	%
Legacy and relief refinance single-family loan portfolio	23		2.14	%	27		2.28	%	97		94
Total	100	%	0.86	%	100	%	1.00	%	100	%	100	%
Region⁽¹⁾⁽³⁾
West	30	%	0.47	%	30	%	0.57	%	27	%	10	%
Northeast	25		1.24	%	25		1.45	%	34		40
North Central	16		0.81	%	16		0.93	%	16		25
Southeast	16		1.02	%	16		1.19	%	19		19
Southwest	13		0.67	%	13		0.78	%	4		6
Total	100	%	0.86	%	100	%	1.00	%	100	%	100	%
State⁽²⁾⁽³⁾
California	18	%	0.40	%	18	%	0.46	%	18	%	4	%
Florida	6		1.17	%	6		1.42	%	12		9
Illinois	5		1.14	%	5		1.34	%	9		10
New Jersey	3		1.82	%	3		2.26	%	9		11
New York	5		1.75	%	5		2.05	%	8		9
All other	63		0.78	%	63		0.90	%	44		57
Total	100	%	0.86	%	100	%	1.00	%	100	%	100	%



	Percentage of Portfolio⁽¹⁾				Serious Delinquency Rate⁽¹⁾
(Percentage of portfolio based on UPB)	September 30, 2017		December 31, 2016		September 30, 2017		December 31, 2016
Interest-only	1	%	1	%	4.68	%	4.34	%
Alt-A	2	%	2	%	5.00	%	5.21	%
Original LTV ratio greater than 90%⁽²⁾	17	%	16	%	1.32	%	1.58	%
Lower credit scores at origination (less than 620)	2	%	2	%	5.22	%	5.73	%



	YTD 2017		YTD 2016
Single-family Sellers
Wells Fargo Bank, N.A.	16	%	14	%
Other top 10 sellers	37		33
Top 10 single-family sellers	53	%	47	%
Multifamily Sellers
CBRE Capital Markets, Inc.	17	%	17	%
Holliday Fenoglio Fowler, L.P.	10		8
Berkadia Commercial Mortgage LLC	9		19
Walker & Dunlop, LLC	8		12
Other top 10 sellers	34		22
Top 10 multifamily sellers	78	%	78	%



	September 30, 2017		December 31, 2016
Single-family Servicers
Wells Fargo Bank, N.A.	18	%	19	%
Other top 10 servicers	41		41
Top 10 single-family servicers	59	%	60	%
Multifamily Servicers
Wells Fargo Bank, N.A.	15	%	15	%
CBRE Capital Markets, Inc.	13		14
Berkadia Commercial Mortgage LLC	9		11
Other top 10 servicers	40		39
Top 10 multifamily servicers	77	%	79	%



		Mortgage Insurance Coverage
	Credit Rating⁽¹⁾	September 30, 2017		December 31, 2016
Arch Mortgage Insurance Company	A-	24	%	25	%
Radian Guaranty Inc.	BBB-	21		21
Mortgage Guaranty Insurance Corporation	BBB	20		20
Genworth Mortgage Insurance Corporation	BB+	15		15
Essent Guaranty, Inc.	BBB+	11		10	%
Total		91	%	91	%



	3Q 2017
			Realized and unrealized gains (losses)
	Balance, July 1, 2017		Included in earnings			Included in other comprehensive income			Total			Purchases		Issues			Sales			Settlements, net			Transfers into Level 3⁽¹⁾		Transfers out of Level 3⁽¹⁾			Balance, September 30, 2017		Unrealized gains (losses) still held⁽³⁾
	(In millions)
Assets
Investments in securities:
Available-for-sale, at fair value:
Mortgage-related securities:
Freddie Mac		$5,686		($4	)		$82			$78			$141		$—			$—			($325	)		$—		$—			$5,580		($4	)
Other agency	51		—			—			—			—		—			—			(3		)	—		—			48		—
Non-agency RMBS	8,639		854			(128		)	726			—		—			(3,953		)	(277		)	—		—			5,135		38
Non-agency CMBS	3,470		1			5			6			—		—			—			(7		)	—		—			3,469		1
Obligations of states and political subdivisions	481		—			(1		)	(1		)	—		—			—			(78		)	—		—			402		—
Total available-for-sale mortgage-related securities	18,327		851			(42		)	809			141		—			(3,953		)	(690		)	—		—			14,634		35
Trading, at fair value:
Mortgage-related securities:
Freddie Mac	888		(45		)	—			(45		)	587		—			—			(4		)	—		(396		)	1,030		(43		)
Other agency	10		(1		)	—			(1		)	259		—			—			—			—		—			268		(1		)
All other	108		(2		)	—			(2		)	176		—			—			(11		)	—		—			271		(2		)
Total trading mortgage-related securities	1,006		(48		)	—			(48		)	1,022		—			—			(15		)	—		(396		)	1,569		(46		)
Other assets:
Guarantee asset	2,480		(1		)	—			(1		)	—		265			—			(123		)	—		—			2,621		(1		)

			Realized and unrealized (gains) losses
	Balance, July 1, 2017		Included in earnings			Included in other comprehensive income			Total			Purchases		Issues			Sales			Settlements, net			Transfers into Level 3⁽¹⁾		Transfers out of Level 3⁽¹⁾			Balance, September 30, 2017		Unrealized (gains) losses still held⁽³⁾
	(In millions)
Liabilities
Debt securities of consolidated trusts held by third parties, at fair value		$531		$—			$—			$—			$—		$—			$—			$—			$—		$—			$531		$—
Other debt, at fair value	89		—			—			—			—		—			—			—			—		—			89		—
Net derivatives⁽²⁾	68		2			—			2			—		(1		)	—			(2		)	—		—			67		(2		)
Other liabilities:
All other, at fair value	17		(12		)	—			(12		)	5		—			13			—			—		—			23		(12		)




	YTD 2017
				Realized and unrealized gains (losses)
	Balance, January 1, 2017			Included in earnings			Included in other comprehensive income			Total			Purchases		Issues		Sales			Settlements, net			Transfers into Level 3⁽¹⁾		Transfers out of Level 3⁽¹⁾			Balance, September 30, 2017		Unrealized gains (losses) still held⁽³⁾
	(in millions)
Assets
Investments in securities:
Available-for-sale, at fair value:
Mortgage-related securities:
Freddie Mac		$9,847			($6	)		$117			$111			$635		$—		($907	)		($1,027	)		$17		($3,096	)		$5,580		($15	)
Other agency	66			—			(1		)	(1		)	—		—		—			(9		)	—		(8		)	48		—
Non-agency RMBS	11,797			1,285			(68		)	1,217			—		—		(6,649		)	(1,230		)	—		—			5,135		111
Non-agency CMBS	3,366			4			128			132			—		—		—			(29		)	—		—			3,469		4
Obligations of states and political subdivisions	665			1			(2		)	(1		)	—		—		—			(262		)	—		—			402		—
Total available-for-sale mortgage-related securities	25,741			1,284			174			1,458			635		—		(7,556		)	(2,557		)	17		(3,104		)	14,634		100
Trading, at fair value:
Mortgage-related securities:
Freddie Mac	1,095			(121		)	—			(121		)	889		—		(592		)	(9		)	14		(246		)	1,030		(92		)
Other agency	12			(3		)	—			(3		)	259		—		—			—			—		—			268		(3		)
All other	113			—			—			—			176		—		—			(18		)	—		—			271		—
Total trading mortgage-related securities	1,220			(124		)	—			(124		)	1,324		—		(592		)	(27		)	14		(246		)	1,569		(95		)
Other assets:
Guarantee asset	2,299			(2		)	—			(2		)	—		677		—			(353		)	—		—			2,621		(2		)

				Realized and unrealized (gains) losses
	Balance, January 1, 2017			Included in earnings			Included in other comprehensive income			Total			Purchases		Issues		Sales			Settlements, net			Transfers into Level 3⁽¹⁾		Transfers out of Level 3⁽¹⁾			Balance, September 30, 2017		Unrealized (gains) losses still held⁽³⁾
	(in millions)
Liabilities
Debt securities of consolidated trusts held by third parties, at fair value		$—			$1			$—			$1			$—		$530		$—			$—			$—		$—			$531		$1
Other debt, at fair value	95			—			—			—			—		—		—			(6		)	—		—			89		—
Net derivatives⁽²⁾	50			36			—			36			—		—		—			(19		)	—		—			67		19
Other liabilities:
All other, at fair value	(2		)	(5		)	—			(5		)	17		—		13			—			—		—			23		(5		)



	3Q 2016
			Realized and unrealized gains (losses)
	Balance, July 1, 2016		Included in earnings		Included in other comprehensive income			Total			Purchases			Issues		Sales			Settlements, net			Transfers into Level 3		Transfers out of Level 3			Balance, September 30, 2016		Unrealized gains (losses) still held⁽³⁾
	(In millions)
Assets
Investments in securities:
Available-for-sale, at fair value:
Mortgage-related securities:
Freddie Mac		$11,462		$—		($38	)		($38	)		$462			$—		($366	)		($246	)		$—		($4,134	)		$7,140		($1	)
Other agency	73		—		—			—			—			—		—			(4		)	—		—			69		—
Non-agency RMBS	15,497		437		214			651			—			—		(2,869		)	(672		)	—		—			12,607		87
Non-agency CMBS	3,611		1		125			126			—			—		—			(8		)	—		—			3,729		1
Obligations of states and political subdivisions	890		—		(2		)	(2		)	—			—		—			(92		)	—		—			796		—
Total available-for-sale mortgage-related securities	31,533		438		299			737			462			—		(3,235		)	(1,022		)	—		(4,134		)	24,341		87
Trading, at fair value:
Mortgage-related securities:
Freddie Mac	315		11		—			11			753			—		(5		)	(5		)	99		(234		)	934		3
Other agency	615		4		—			4			—			—		(112		)	(20		)	—		(474		)	13		—
All other	1		—		—			—			—			—		—			—			—		—			1		—
Total trading mortgage-related securities	931		15		—			15			753			—		(117		)	(25		)	99		(708		)	948		3
Other assets:
Guarantee asset	2,057		—		—			—			—			204		—			(96		)	—		—			2,165		—

			Realized and unrealized (gains) losses
	Balance, July 1, 2016		Included in earnings		Included in other comprehensive income			Total			Purchases			Issues		Sales			Settlements, net			Transfers into Level 3		Transfers out of Level 3			Balance, September 30, 2016		Unrealized (gains) losses still held⁽³⁾
	(In millions)
Liabilities
Other debt, at fair value		$52		$—		$—			$—			$—			$—		$—			$—			$—		$—			$52		$—
Net derivatives⁽²⁾	27		39		—			39			—			—		—			(9		)	—		—			57		33
Other Liabilities:
All other, at fair value	15		10		—			10			(25		)	—		—			—			—		—			—		10



	YTD 2016
			Realized and unrealized gains (losses)
	Balance, January 1, 2016		Included in earnings			Included in other comprehensive income			Total			Purchases			Issues		Sales			Settlements, net			Transfers into Level 3		Transfers out of Level 3			Balance, September 30, 2016		Unrealized gains (losses) still held⁽³⁾
	(in millions)
Assets
Investments in securities:
Available-for-sale, at fair value:
Mortgage-related securities:
Freddie Mac		$2,608		$20			$28			$48			$5,618			$—		($491	)		($328	)		$—		($315	)		$7,140		($1	)
Other agency	91		—			(1		)	(1		)	—			—		—			(15		)	—		(6		)	69		—
Non-agency RMBS	20,333		810			(73		)	737			—			—		(5,887		)	(2,576		)	—		—			12,607		201
Non-agency CMBS	3,530		2			224			226			—			—		—			(27		)	—		—			3,729		2
Obligations of states and political subdivisions	1,205		1			(4		)	(3		)	—			—		—			(406		)	—		—			796		—
Total available-for-sale mortgage-related securities	27,767		833			174			1,007			5,618			—		(6,378		)	(3,352		)	—		(321		)	24,341		202
Trading, at fair value:
Mortgage-related securities:
Freddie Mac	331		(4		)	—			(4		)	800			—		(142		)	(3		)	74		(122		)	934		(4		)
Other agency	41		(1		)	—			(1		)	—			—		(20		)	(7		)	—		—			13		(2		)
All other	2		—			—			—			—			—		—			(1		)	—		—			1		—
Total trading mortgage-related securities	374		(5		)	—			(5		)	800			—		(162		)	(11		)	74		(122		)	948		(6		)
Other assets:
Guarantee asset	1,753		68			—			68			—			602		—			(258		)	—		—			2,165		68

			Realized and unrealized (gains) losses
	Balance, January 1, 2016		Included in earnings			Included in other comprehensive income			Total			Purchases			Issues		Sales			Settlements, net			Transfers into Level 3		Transfers out of Level 3			Balance, September 30, 2016		Unrealized (gains) losses still held⁽³⁾
	(in millions)
Liabilities
Other debt, at fair value		$—		$—			$—			$—			$—			$52		$—			$—			$—		$—			$52		$—
Net derivatives⁽²⁾	8		67			—			67			—			1		—			(19		)	—		—			57		48
Other Liabilities:
All other, at fair value	10		7			—			7			(17		)	—		—			—			—		—			—		7

Description*

~~Exhibit Index~~