Exhibit 99.2
FREDDIE MAC 2008 FINANCIAL RESULTS FINANCIAL STATEMENTS AND CORE TABLES |
TABLE OF CONTENTS
Table | GAAP Financial Statements | Page | ||||||
Consolidated Statements of Operations | 2 | |||||||
Consolidated Balance Sheets | 3 | |||||||
Consolidated Statements of Stockholders’ Equity (Deficit) | 4 | |||||||
GAAP Financial Results | ||||||||
1A | Net Interest Yield Analysis | 5 | ||||||
1B | Net Interest Income | 6 | ||||||
2 | Non-Interest Income (Loss) | 7 | ||||||
3 | Management and Guarantee Income & Related Information | 8 | ||||||
4 | Derivatives Not in Hedge Accounting Relationships | 9 | ||||||
5 | Non-Interest Expense | 10 | ||||||
6 | Credit Quality Indicators | 11 | ||||||
7 | Single-Family Non-Credit-Enhanced Delinquency and Foreclosure Activity by Region | 12 | ||||||
8 | Real Estate Owned (REO) Activity | 13 |
FREDDIE MAC
CONSOLIDATED STATEMENTS OF OPERATIONS
CONSOLIDATED STATEMENTS OF OPERATIONS
Year Ended December 31, | ||||||||||||||||||||
Line: | 2008 | 2007 | 2006 | |||||||||||||||||
(dollars in millions, except | ||||||||||||||||||||
share-related amounts) | ||||||||||||||||||||
Interest income | ||||||||||||||||||||
1 | Investments in securities | $ | 35,067 | $ | 36,587 | $ | 36,021 | |||||||||||||
2 | Mortgage loans | 5,369 | 4,449 | 4,152 | ||||||||||||||||
Other: | ||||||||||||||||||||
3 | Cash and cash equivalents | 618 | 594 | 622 | ||||||||||||||||
4 | Federal funds sold and securities purchased under agreements to resell | 423 | 1,280 | 1,469 | ||||||||||||||||
5 | Total other | 1,041 | 1,874 | 2,091 | ||||||||||||||||
6 | Total interest income | 41,477 | 42,910 | 42,264 | ||||||||||||||||
Interest expense | ||||||||||||||||||||
7 | Short-term debt | (6,800 | ) | (8,916 | ) | (8,665 | ) | |||||||||||||
8 | Long-term debt | (26,532 | ) | (29,148 | ) | (28,218 | ) | |||||||||||||
9 | Total interest expense on debt | (33,332 | ) | (38,064 | ) | (36,883 | ) | |||||||||||||
10 | Due to Participation Certificate investors | — | (418 | ) | (387 | ) | ||||||||||||||
11 | Total interest expense | (33,332 | ) | (38,482 | ) | (37,270 | ) | |||||||||||||
12 | Expense related to derivatives | (1,349 | ) | (1,329 | ) | (1,582 | ) | |||||||||||||
13 | Net interest income | 6,796 | 3,099 | 3,412 | ||||||||||||||||
Non-interest income (loss) | ||||||||||||||||||||
14 | Management and guarantee income (includes interest on guarantee asset of $1,121, $549 and $580, respectively) | 3,370 | 2,635 | 2,393 | ||||||||||||||||
15 | Gains (losses) on guarantee asset | (7,091 | ) | (1,484 | ) | (978 | ) | |||||||||||||
16 | Income on guarantee obligation | 4,826 | 1,905 | 1,519 | ||||||||||||||||
17 | Derivative gains (losses) | (14,954 | ) | (1,904 | ) | (1,173 | ) | |||||||||||||
18 | Gains (losses) on investment activity | (16,108 | ) | 294 | (473 | ) | ||||||||||||||
19 | Gains (losses) on foreign-currency denominated debt recorded at fair value | 406 | — | — | ||||||||||||||||
20 | Gains (losses) on debt retirement | 209 | 345 | 466 | ||||||||||||||||
21 | Recoveries on loans impaired upon purchase | 495 | 505 | — | ||||||||||||||||
22 | Foreign-currency gains (losses), net | — | (2,348 | ) | 96 | |||||||||||||||
23 | Low-income housing tax credit partnerships | (453 | ) | (469 | ) | (407 | ) | |||||||||||||
24 | Other income | 125 | 246 | 236 | ||||||||||||||||
25 | Non-interest income (loss) | (29,175 | ) | (275 | ) | 1,679 | ||||||||||||||
Non-interest expense | ||||||||||||||||||||
26 | Salaries and employee benefits | (828 | ) | (828 | ) | (784 | ) | |||||||||||||
27 | Professional services | (262 | ) | (392 | ) | (399 | ) | |||||||||||||
28 | Occupancy expense | (67 | ) | (64 | ) | (61 | ) | |||||||||||||
29 | Other administrative expenses | (348 | ) | (390 | ) | (397 | ) | |||||||||||||
30 | Total administrative expenses | (1,505 | ) | (1,674 | ) | (1,641 | ) | |||||||||||||
31 | Provision for credit losses | (16,432 | ) | (2,854 | ) | (296 | ) | |||||||||||||
32 | Real estate owned operations expense | (1,097 | ) | (206 | ) | (60 | ) | |||||||||||||
33 | Losses on certain credit guarantees | (17 | ) | (1,988 | ) | (406 | ) | |||||||||||||
34 | Losses on loans purchased | (1,634 | ) | (1,865 | ) | (148 | ) | |||||||||||||
35 | Securities administrator loss on investment activity | (1,082 | ) | — | — | |||||||||||||||
36 | Minority interest in earnings (loss) of consolidated subsidiaries | (8 | ) | 8 | (58 | ) | ||||||||||||||
37 | Other expenses | (415 | ) | (222 | ) | (200 | ) | |||||||||||||
38 | Non-interest expense | (22,190 | ) | (8,801 | ) | (2,809 | ) | |||||||||||||
39 | Income (loss) before income tax (expense) benefit | (44,569 | ) | (5,977 | ) | 2,282 | ||||||||||||||
40 | Income tax (expense) benefit | (5,550 | ) | 2,883 | 45 | |||||||||||||||
41 | Net income (loss) | $ | (50,119 | ) | $ | (3,094 | ) | $ | 2,327 | |||||||||||
42 | Preferred stock dividends and issuance costs on redeemed preferred stock (including $—, $6 and $— of issuance costs on redeemed preferred stock, respectively) | (675 | ) | (404 | ) | (270 | ) | |||||||||||||
43 | Amount allocated to participating security option holders | (1 | ) | (5 | ) | (6 | ) | |||||||||||||
44 | Net income (loss) available to common stockholders | $ | (50,795 | ) | $ | (3,503 | ) | $ | 2,051 | |||||||||||
Earnings (loss) per common share: | ||||||||||||||||||||
45 | Basic | $ | (34.60 | ) | $ | (5.37 | ) | $ | 3.01 | |||||||||||
46 | Diluted | $ | (34.60 | ) | $ | (5.37 | ) | $ | 3.00 | |||||||||||
Weighted average common shares outstanding (in thousands): | ||||||||||||||||||||
47 | Basic | 1,468,062 | 651,881 | 680,856 | ||||||||||||||||
48 | Diluted | 1,468,062 | 651,881 | 682,664 | ||||||||||||||||
49 | Dividends per common share | $ | 0.50 | $ | 1.75 | $ | 1.91 |
2
FREDDIE MAC
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS
December 31, | ||||||||||||||||
Line: | 2008 | 2007 | ||||||||||||||
(dollars in millions, except | ||||||||||||||||
share-related amounts) | ||||||||||||||||
Assets | ||||||||||||||||
1 | Cash and cash equivalents | $ | 45,326 | $ | 8,574 | |||||||||||
2 | Restricted cash | 953 | 96 | |||||||||||||
3 | Federal funds sold and securities purchased under agreements to resell | 10,150 | 6,562 | |||||||||||||
Investments in securities: | ||||||||||||||||
4 | Available-for-sale, at fair value (includes $21,302 and $17,010, respectively, pledged as collateral that may be repledged) | 458,898 | 650,766 | |||||||||||||
5 | Trading, at fair value | 190,361 | 14,089 | |||||||||||||
6 | Total investments in securities | 649,259 | 664,855 | |||||||||||||
Mortgage loans: | ||||||||||||||||
7 | Held-for-sale, at lower-of-cost-or-fair-value (except $401 at fair value at December 31, 2008) | 16,247 | 3,685 | |||||||||||||
8 | Held-for-investment, at amortized cost (net of allowances for loan losses of $690 and $256, respectively) | 91,344 | 76,347 | |||||||||||||
9 | Total mortgage loans, net | 107,591 | 80,032 | |||||||||||||
10 | Accounts and other receivables, net | 6,337 | 4,927 | |||||||||||||
11 | Derivative assets, net | 955 | 827 | |||||||||||||
12 | Guarantee asset, at fair value | 4,847 | 9,591 | |||||||||||||
13 | Real estate owned, net | 3,255 | 1,736 | |||||||||||||
14 | Deferred tax assets, net | 15,351 | 10,304 | |||||||||||||
15 | Low-income housing tax credit partnerships equity investments | 4,145 | 4,568 | |||||||||||||
16 | Other assets | 2,794 | 2,296 | |||||||||||||
17 | Total assets | $ | 850,963 | $ | 794,368 | |||||||||||
Liabilities and stockholders’ equity (deficit) | ||||||||||||||||
18 | Accrued interest payable | $ | 6,504 | $ | 7,864 | |||||||||||
Debt, net: | ||||||||||||||||
19 | Short-term debt (includes $1,638 at fair value at December 31, 2008) | 435,114 | 295,921 | |||||||||||||
20 | Long-term debt (includes $11,740 at fair value at December 31, 2008) | 407,907 | 442,636 | |||||||||||||
21 | Total debt, net | 843,021 | 738,557 | |||||||||||||
22 | Guarantee obligation | 12,098 | 13,712 | |||||||||||||
23 | Derivative liabilities, net | 2,277 | 582 | |||||||||||||
24 | Reserve for guarantee losses on Participation Certificates | 14,928 | 2,566 | |||||||||||||
25 | Other liabilities | 2,772 | 4,187 | |||||||||||||
26 | Total liabilities | 881,600 | 767,468 | |||||||||||||
27 | Commitments and contingencies | |||||||||||||||
28 | Minority interests in consolidated subsidiaries | 94 | 176 | |||||||||||||
Stockholders’ equity (deficit) | ||||||||||||||||
29 | Senior preferred stock, at redemption value | 14,800 | — | |||||||||||||
30 | Preferred stock, at redemption value | 14,109 | 14,109 | |||||||||||||
31 | Common stock, $0.00 and $0.21 par value, 4,000,000,000 and 806,000,000 shares authorized, 725,863,886 shares issued and 647,260,293 shares and 646,266,701 shares outstanding, respectively | — | 152 | |||||||||||||
32 | Additional paid-in capital | 19 | 871 | |||||||||||||
33 | Retained earnings (accumulated deficit) | (23,191 | ) | 26,909 | ||||||||||||
Accumulated other comprehensive income (loss), or AOCI, net of taxes, related to: | ||||||||||||||||
34 | Available-for-sale securities | (28,510 | ) | (7,040 | ) | |||||||||||
35 | Cash flow hedge relationships | (3,678 | ) | (4,059 | ) | |||||||||||
36 | Defined benefit plans | (169 | ) | (44 | ) | |||||||||||
37 | Total AOCI, net of taxes | (32,357 | ) | (11,143 | ) | |||||||||||
38 | Treasury stock, at cost, 78,603,593 shares and 79,597,185 shares, respectively | (4,111 | ) | (4,174 | ) | |||||||||||
39 | Total stockholders’ equity (deficit) | (30,731 | ) | 26,724 | ||||||||||||
40 | Total liabilities and stockholders’ equity (deficit) | $ | 850,963 | $ | 794,368 | |||||||||||
3
FREDDIE MAC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS’ EQUITY (DEFICIT)
CONSOLIDATED STATEMENTS OF STOCKHOLDERS’ EQUITY (DEFICIT)
Year Ended December 31, | ||||||||||||||||||||||||||||
2008 | 2007 | 2006 | ||||||||||||||||||||||||||
Line: | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||||||||||
Senior preferred stock, at redemption value | ||||||||||||||||||||||||||||
1 | Balance, beginning of year | — | $ | — | — | $ | — | — | $ | — | ||||||||||||||||||
2 | Senior preferred stock issuance | 1 | 1,000 | — | — | — | — | |||||||||||||||||||||
3 | Increase in liquidation preference | — | 13,800 | — | — | — | — | |||||||||||||||||||||
4 | Senior preferred stock, end of year | 1 | 14,800 | — | — | — | — | |||||||||||||||||||||
Preferred stock, at redemption value | ||||||||||||||||||||||||||||
5 | Balance, beginning of year | 464 | 14,109 | 132 | 6,109 | 92 | 4,609 | |||||||||||||||||||||
6 | Preferred stock issuances | — | — | 344 | 8,600 | 40 | 1,500 | |||||||||||||||||||||
7 | Preferred stock redemptions | — | — | (12 | ) | (600 | ) | — | — | |||||||||||||||||||
8 | Preferred stock, end of year | 464 | 14,109 | 464 | 14,109 | 132 | 6,109 | |||||||||||||||||||||
Common stock, par value | ||||||||||||||||||||||||||||
9 | Balance, beginning of year | 726 | 152 | 726 | 152 | 726 | 152 | |||||||||||||||||||||
10 | Adjustment to par value | — | (152 | ) | — | — | — | — | ||||||||||||||||||||
11 | Common stock, end of year | 726 | — | 726 | 152 | 726 | 152 | |||||||||||||||||||||
Additional paid-in capital | ||||||||||||||||||||||||||||
12 | Balance, beginning of year | 871 | 962 | 924 | ||||||||||||||||||||||||
13 | Stock-based compensation | 74 | 81 | 60 | ||||||||||||||||||||||||
14 | Income tax benefit from stock-based compensation | (16 | ) | — | 9 | |||||||||||||||||||||||
15 | Preferred stock issuance costs | — | (116 | ) | (15 | ) | ||||||||||||||||||||||
16 | Common stock issuances | (66 | ) | (42 | ) | (15 | ) | |||||||||||||||||||||
17 | Real Estate Investment Trust preferred stock repurchase | 4 | (14 | ) | (1 | ) | ||||||||||||||||||||||
18 | Adjustment to common stock par value | 152 | — | — | ||||||||||||||||||||||||
19 | Common stock warrant issuance | 2,304 | — | — | ||||||||||||||||||||||||
20 | Commitment from the U.S. Department of the Treasury | (3,304 | ) | — | — | |||||||||||||||||||||||
21 | Additional paid-in capital, end of year | 19 | 871 | 962 | ||||||||||||||||||||||||
Retained earnings (accumulated deficit) | ||||||||||||||||||||||||||||
22 | Balance, beginning of year | 26,909 | 31,372 | 30,638 | ||||||||||||||||||||||||
23 | Cumulative effect of change in accounting principle, net of taxes | 1,023 | 181 | (13 | ) | |||||||||||||||||||||||
24 | Balance, beginning of year, as adjusted | 27,932 | 31,553 | 30,625 | ||||||||||||||||||||||||
25 | Net income (loss) | (50,119 | ) | (3,094 | ) | 2,327 | ||||||||||||||||||||||
26 | Senior preferred stock dividends declared | (172 | ) | — | — | |||||||||||||||||||||||
27 | Preferred stock dividends declared | (503 | ) | (398 | ) | (270 | ) | |||||||||||||||||||||
28 | Common stock dividends declared | (329 | ) | (1,152 | ) | (1,310 | ) | |||||||||||||||||||||
29 | Retained earnings (accumulated deficit), end of year | (23,191 | ) | 26,909 | 31,372 | |||||||||||||||||||||||
AOCI, net of taxes | ||||||||||||||||||||||||||||
30 | Balance, beginning of year | (11,143 | ) | (8,451 | ) | (9,352 | ) | |||||||||||||||||||||
31 | Cumulative effect of change in accounting principle, net of taxes | (850 | ) | — | — | |||||||||||||||||||||||
32 | Balance, beginning of year, as adjusted | (11,993 | ) | (8,451 | ) | (9,352 | ) | |||||||||||||||||||||
33 | Changes in unrealized gains (losses) related toavailable-for-sale securities, net of reclassification adjustments | (20,616 | ) | (3,708 | ) | (267 | ) | |||||||||||||||||||||
34 | Changes in unrealized gains (losses) related to cash flow hedge relationships, net of reclassification adjustments | 377 | 973 | 1,254 | ||||||||||||||||||||||||
35 | Changes in defined benefit plans | (125 | ) | 43 | (2 | ) | ||||||||||||||||||||||
36 | Change in other comprehensive income (loss), net of taxes, net of reclassification adjustments | (20,364 | ) | (2,692 | ) | 985 | ||||||||||||||||||||||
37 | Adjustment to initially apply Statement of Financial Accounting Standard No. 158, net of tax | — | — | (84 | ) | |||||||||||||||||||||||
38 | AOCI, net of taxes, end of year | (32,357 | ) | (11,143 | ) | (8,451 | ) | |||||||||||||||||||||
Treasury stock, at cost | ||||||||||||||||||||||||||||
39 | Balance, beginning of year | 80 | (4,174 | ) | 65 | (3,230 | ) | 33 | (1,280 | ) | ||||||||||||||||||
40 | Common stock issuances | (1 | ) | 63 | (1 | ) | 56 | (1 | ) | 50 | ||||||||||||||||||
41 | Common stock repurchases | — | — | 16 | (1,000 | ) | 33 | (2,000 | ) | |||||||||||||||||||
42 | Treasury stock, end of year | 79 | (4,111 | ) | 80 | (4,174 | ) | 65 | (3,230 | ) | ||||||||||||||||||
43 | Total stockholders’ equity (deficit) | $ | (30,731 | ) | $ | 26,724 | $ | 26,914 | ||||||||||||||||||||
Comprehensive income (loss) | ||||||||||||||||||||||||||||
44 | Net income (loss) | $ | (50,119 | ) | $ | (3,094 | ) | $ | 2,327 | |||||||||||||||||||
45 | Changes in other comprehensive income (loss), net of taxes, net of reclassification adjustments | (20,364 | ) | (2,692 | ) | 985 | ||||||||||||||||||||||
46 | Total comprehensive income (loss) | $ | (70,483 | ) | $ | (5,786 | ) | $ | 3,312 | |||||||||||||||||||
4
FREDDIE MAC
NET INTEREST YIELD ANALYSIS
TABLE 1A
(unaudited)
(dollars in millions)
NET INTEREST YIELD ANALYSIS
TABLE 1A
(unaudited)
(dollars in millions)
Full Year | ||||||||||||||||||||||||||||||||||||||||||||
Line: | 1Q 2007 | 2Q 2007 | 3Q 2007 | 4Q 2007 | 1Q 2008 | 2Q 2008 | 3Q 2008 | 4Q 2008 | 2007 | 2008 | ||||||||||||||||||||||||||||||||||
Net Interest Income: | ||||||||||||||||||||||||||||||||||||||||||||
1 | Net interest income | $ | 771 | $ | 793 | $ | 761 | $ | 774 | $ | 798 | $ | 1,529 | $ | 1,844 | $ | 2,625 | $ | 3,099 | $ | 6,796 | |||||||||||||||||||||||
2 | Fully taxable-equivalent adjustments(1) | 95 | 99 | 98 | 100 | 107 | 105 | 98 | 94 | 392 | 404 | |||||||||||||||||||||||||||||||||
3 | Net interest income (fully taxable-equivalent basis) | $ | 866 | $ | 892 | $ | 859 | $ | 874 | $ | 905 | $ | 1,634 | $ | 1,942 | $ | 2,719 | $ | 3,491 | $ | 7,200 | |||||||||||||||||||||||
Average Balances: | ||||||||||||||||||||||||||||||||||||||||||||
4 | Mortgage loans(2) | $ | 66,583 | $ | 67,994 | $ | 71,163 | $ | 77,821 | $ | 84,291 | $ | 89,813 | $ | 95,174 | $ | 105,316 | $ | 70,890 | $ | 93,649 | |||||||||||||||||||||||
5 | Mortgage-related securities(3) | 643,853 | 648,023 | 655,215 | 636,283 | 628,721 | 664,727 | 676,197 | 677,379 | 645,844 | 661,756 | |||||||||||||||||||||||||||||||||
6 | Total mortgage-related investments portfolio | 710,436 | 716,017 | 726,378 | 714,104 | 713,012 | 754,540 | 771,371 | 782,695 | 716,734 | 755,405 | |||||||||||||||||||||||||||||||||
7 | Non-mortgage-related securities(3)(4) | 38,874 | 38,135 | 31,249 | 22,637 | 30,565 | 26,935 | 11,658 | 9,869 | 32,724 | 19,757 | |||||||||||||||||||||||||||||||||
8 | Cash and cash equivalents(4) | 9,867 | 10,971 | 12,886 | 11,020 | 8,891 | 27,126 | 35,735 | 40,799 | 11,186 | 28,137 | |||||||||||||||||||||||||||||||||
9 | Federal funds sold and securities purchased under agreements to resell(4) | 26,482 | 24,887 | 27,046 | 19,463 | 14,435 | 20,660 | 29,379 | 27,599 | 24,469 | 23,018 | |||||||||||||||||||||||||||||||||
10 | Total interest-earning assets | 785,659 | 790,010 | 797,559 | 767,224 | 766,903 | 829,261 | 848,143 | 860,962 | 785,113 | 826,317 | |||||||||||||||||||||||||||||||||
11 | Short-term debt | 171,249 | 172,592 | 175,407 | 178,426 | 204,650 | 240,119 | 241,150 | 292,357 | 174,418 | 244,569 | |||||||||||||||||||||||||||||||||
12 | Long-term debt | 580,146 | 581,482 | 588,936 | 557,328 | 538,295 | 569,443 | 589,377 | 547,931 | 576,973 | 561,261 | |||||||||||||||||||||||||||||||||
13 | Total debt | 751,395 | 754,074 | 764,343 | 735,754 | 742,945 | 809,562 | 830,527 | 840,288 | 751,391 | 805,830 | |||||||||||||||||||||||||||||||||
14 | Due to Participation Certificate investors(5) | 7,667 | 9,061 | 7,401 | 7,149 | — | — | — | — | 7,820 | — | |||||||||||||||||||||||||||||||||
15 | Total interest-bearing liabilities | 759,062 | 763,135 | 771,744 | 742,903 | 742,945 | 809,562 | 830,527 | 840,288 | 759,211 | 805,830 | |||||||||||||||||||||||||||||||||
16 | Net non-interest-bearing funding | 26,597 | 26,875 | 25,815 | 24,321 | 23,958 | 19,699 | 17,616 | 20,674 | 25,902 | 20,487 | |||||||||||||||||||||||||||||||||
17 | Total funding of interest-earning assets | $ | 785,659 | $ | 790,010 | $ | 797,559 | $ | 767,224 | $ | 766,903 | $ | 829,261 | $ | 848,143 | $ | 860,962 | $ | 785,113 | $ | 826,317 | |||||||||||||||||||||||
Yield/Cost: | ||||||||||||||||||||||||||||||||||||||||||||
18 | Mortgage loans | 6.40 | % | 6.32 | % | 6.20 | % | 6.19 | % | 5.90 | % | 5.88 | % | 5.72 | % | 5.49 | % | 6.28 | % | 5.73 | % | |||||||||||||||||||||||
19 | Mortgage-related securities | 5.31 | 5.42 | 5.46 | 5.42 | 5.17 | 5.04 | 5.08 | 5.41 | 5.40 | 5.18 | |||||||||||||||||||||||||||||||||
20 | Total mortgage-related investments portfolio | 5.41 | 5.51 | 5.53 | 5.50 | 5.26 | 5.14 | 5.16 | 5.42 | 5.49 | 5.25 | |||||||||||||||||||||||||||||||||
21 | Non-mortgage-related securities | 5.07 | 5.13 | 5.32 | 5.25 | 4.10 | 3.31 | 4.40 | 5.67 | 5.18 | 4.07 | |||||||||||||||||||||||||||||||||
22 | Cash and cash equivalents | 5.33 | 5.28 | 5.39 | 4.92 | 3.90 | 2.60 | 2.51 | 1.17 | 5.31 | 2.19 | |||||||||||||||||||||||||||||||||
23 | Federal funds sold and securities purchased under agreements to resell | 5.26 | 5.31 | 5.41 | 4.83 | 3.31 | 2.29 | 2.18 | 0.36 | 5.23 | 1.84 | |||||||||||||||||||||||||||||||||
24 | Yield on total interest-earning assets | 5.39 | 5.47 | 5.51 | 5.46 | 5.16 | 4.93 | 4.93 | 5.06 | 5.46 | 5.02 | |||||||||||||||||||||||||||||||||
25 | Short-term debt | (5.16 | ) | (5.16 | ) | (5.12 | ) | (4.75 | ) | (3.95 | ) | (2.70 | ) | (2.38 | ) | (2.21 | ) | (5.11 | ) | (2.78 | ) | |||||||||||||||||||||||
26 | Long-term debt | (4.95 | ) | (5.04 | ) | (5.10 | ) | (5.10 | ) | (4.99 | ) | (4.71 | ) | (4.60 | ) | (4.59 | ) | (5.05 | ) | (4.73 | ) | |||||||||||||||||||||||
27 | Total debt | (5.00 | ) | (5.07 | ) | (5.10 | ) | (5.02 | ) | (4.70 | ) | (4.11 | ) | (3.96 | ) | (3.76 | ) | (5.07 | ) | (4.14 | ) | |||||||||||||||||||||||
28 | Due to Participation Certificate investors(5) | (5.37 | ) | (5.32 | ) | (5.31 | ) | (5.41 | ) | — | — | — | — | (5.35 | ) | — | ||||||||||||||||||||||||||||
29 | Cost of interest-bearing liabilities | (5.00 | ) | (5.07 | ) | (5.10 | ) | (5.02 | ) | (4.70 | ) | (4.11 | ) | (3.96 | ) | (3.76 | ) | (5.07 | ) | (4.14 | ) | |||||||||||||||||||||||
30 | Expense related to derivatives | (0.17 | ) | (0.17 | ) | (0.17 | ) | (0.18 | ) | (0.18 | ) | (0.17 | ) | (0.18 | ) | (0.15 | ) | (0.17 | ) | (0.17 | ) | |||||||||||||||||||||||
31 | Impact of net non-interest-bearing funding | 0.17 | 0.18 | 0.17 | 0.17 | 0.15 | 0.10 | 0.09 | 0.09 | 0.17 | 0.11 | |||||||||||||||||||||||||||||||||
32 | Total funding of interest-earning assets | (5.00 | ) | (5.06 | ) | (5.10 | ) | (5.03 | ) | (4.73 | ) | (4.18 | ) | (4.05 | ) | (3.82 | ) | (5.07 | ) | (4.20 | ) | |||||||||||||||||||||||
33 | Net interest yield | 0.39 | 0.41 | 0.41 | 0.43 | 0.43 | 0.75 | 0.88 | 1.24 | 0.39 | 0.82 | |||||||||||||||||||||||||||||||||
34 | Fully taxable-equivalent adjustments(1) | 0.05 | 0.05 | 0.05 | 0.05 | 0.05 | 0.05 | 0.05 | 0.04 | 0.05 | 0.05 | |||||||||||||||||||||||||||||||||
35 | Net interest yield (fully taxable-equivalent basis) | 0.44 | % | 0.46 | % | 0.46 | % | 0.48 | % | 0.48 | % | 0.80 | % | 0.93 | % | 1.28 | % | 0.44 | % | 0.87 | % | |||||||||||||||||||||||
(1) | The determination of net interest income/yield (fully taxable-equivalent basis), which reflects fully taxable-equivalent adjustments to interest income, involves the conversion of tax-exempt sources of interest income to the equivalent amounts of interest income that would be necessary to derive the same net return if the investments had been subject to income taxes using our federal statutory tax rate of 35%. | |
(2) | Non-performing loans, where interest income is recognized when collected, are included in average balances. | |
(3) | For securities, we calculate average balances based on their unpaid principal balance plus their associated deferred fees and costs (e.g., premiums and discounts), but exclude the effects of mark-to-fair-value changes. | |
(4) | Certain prior period amounts have been adjusted to conform to the current year presentation. | |
(5) | As a result of the creation of the securitization trusts in December of 2007, due to Participation Certificate investors interest expense is now recorded in trust management fees within other income on our consolidated statements of operations. |
5
FREDDIE MAC
NET INTEREST INCOME
TABLE 1B
(unaudited)
(dollars in millions)
NET INTEREST INCOME
TABLE 1B
(unaudited)
(dollars in millions)
Full Year | ||||||||||||||||||||||||||||||||||||||||||||||||||
Line: | 1Q 2007 | 2Q 2007 | 3Q 2007 | 4Q 2007 | 1Q 2008 | 2Q 2008 | 3Q 2008 | 4Q 2008 | 2007 | 2008 | ||||||||||||||||||||||||||||||||||||||||
Net Interest Income: | ||||||||||||||||||||||||||||||||||||||||||||||||||
1 | Contractual amounts of net interest income | $ | 1,575 | $ | 1,483 | $ | 1,526 | $ | 1,454 | $ | 1,511 | $ | 2,267 | $ | 2,529 | $ | 2,694 | $ | 6,038 | $ | 9,001 | |||||||||||||||||||||||||||||
Amortization income (expense), net:(1) | ||||||||||||||||||||||||||||||||||||||||||||||||||
2 | Accretion of impairments on available-for-sale securities(2) | — | 1 | 3 | — | — | — | 81 | 470 | 4 | 551 | |||||||||||||||||||||||||||||||||||||||
3 | Asset-related amortization | (150 | ) | (18 | ) | (84 | ) | (20 | ) | (58 | ) | (90 | ) | (135 | ) | 24 | (272 | ) | (259 | ) | ||||||||||||||||||||||||||||||
4 | Long-term debt-related amortization | (323 | ) | (342 | ) | (351 | ) | (326 | ) | (326 | ) | (305 | ) | (269 | ) | (248 | ) | (1,342 | ) | (1,148 | ) | |||||||||||||||||||||||||||||
5 | Total amortization income (expense), net | (473 | ) | (359 | ) | (432 | ) | (346 | ) | (384 | ) | (395 | ) | (323 | ) | 246 | (1,610 | ) | (856 | ) | ||||||||||||||||||||||||||||||
Expense related to derivatives: | ||||||||||||||||||||||||||||||||||||||||||||||||||
6 | Amortization of deferred balances in AOCI(3) | (331 | ) | (331 | ) | (333 | ) | (334 | ) | (327 | ) | (307 | ) | (308 | ) | (315 | ) | (1,329 | ) | (1,257 | ) | |||||||||||||||||||||||||||||
Accrual of periodic settlements of derivatives:(4) | ||||||||||||||||||||||||||||||||||||||||||||||||||
7 | Pay-fixed swaps | — | — | — | — | (2 | ) | (36 | ) | (54 | ) | — | — | (92 | ) | |||||||||||||||||||||||||||||||||||
8 | Total accrual of periodic settlements of derivatives | — | — | — | — | (2 | ) | (36 | ) | (54 | ) | — | — | (92 | ) | |||||||||||||||||||||||||||||||||||
9 | Total expense related to derivatives | (331 | ) | (331 | ) | (333 | ) | (334 | ) | (329 | ) | (343 | ) | (362 | ) | (315 | ) | (1,329 | ) | (1,349 | ) | |||||||||||||||||||||||||||||
10 | Net interest income | 771 | 793 | 761 | 774 | 798 | 1,529 | 1,844 | 2,625 | 3,099 | 6,796 | |||||||||||||||||||||||||||||||||||||||
11 | Fully taxable-equivalent adjustments | 95 | 99 | 98 | 100 | 107 | 105 | 98 | 94 | 392 | 404 | |||||||||||||||||||||||||||||||||||||||
12 | Net interest income (fully taxable-equivalent basis) | $ | 866 | $ | 892 | $ | 859 | $ | 874 | $ | 905 | $ | 1,634 | $ | 1,942 | $ | 2,719 | $ | 3,491 | $ | 7,200 | |||||||||||||||||||||||||||||
(1) | Represents amortization related to premiums, discounts, deferred fees and other adjustments to the carrying value of our financial instruments and the reclassification of previously deferred balances from AOCI for certain derivatives in cash flow hedge relationships related to individual debt issuances and mortgage purchase transactions. |
(2) | We estimate that the future expected principal and interest shortfall on impairedavailable-for-sale securities will be significantly less than the probable impairment loss required to be recorded under GAAP, as we expect these shortfalls to be less than the recent fair value declines. The portion of the impairment charges associated with these expected recoveries is recognized as net interest income in future periods. |
(3) | Represents changes in fair value of derivatives in cash flow hedge relationships that were previously deferred in AOCI and have been reclassified to earnings as the associated hedged forecasted issuance of debt and mortgage purchase transactions affect earnings. |
(4) | Reflects the accrual of periodic cash settlements of all derivatives in qualifying hedge accounting relationships. |
6
FREDDIE MAC
NON-INTEREST INCOME (LOSS)
TABLE 2
(unaudited)
(dollars in millions)
NON-INTEREST INCOME (LOSS)
TABLE 2
(unaudited)
(dollars in millions)
Full-Year | ||||||||||||||||||||||||||||||||||||||||||||||||||
Line: | 1Q 2007 | 2Q 2007 | 3Q 2007 | 4Q 2007 | 1Q 2008 | 2Q 2008 | 3Q 2008 | 4Q 2008 | 2007 | 2008 | ||||||||||||||||||||||||||||||||||||||||
Non-Interest Income (Loss): | ||||||||||||||||||||||||||||||||||||||||||||||||||
1 | Management and guarantee income | $ | 628 | $ | 591 | $ | 718 | $ | 698 | $ | 789 | $ | 757 | $ | 832 | $ | 992 | $ | 2,635 | $ | 3,370 | |||||||||||||||||||||||||||||
2 | Gains (losses) on guarantee asset | (523 | ) | 820 | (465 | ) | (1,316 | ) | (1,394 | ) | 1,114 | (1,722 | ) | (5,089 | ) | (1,484 | ) | (7,091 | ) | |||||||||||||||||||||||||||||||
3 | Income on guarantee obligation | 430 | 474 | 473 | 528 | 1,169 | 769 | 783 | 2,105 | 1,905 | 4,826 | |||||||||||||||||||||||||||||||||||||||
Derivative gains (losses): | ||||||||||||||||||||||||||||||||||||||||||||||||||
Foreign-currency denominated derivatives gains (losses)(1): | ||||||||||||||||||||||||||||||||||||||||||||||||||
4 | Foreign-currency swaps gains (losses) | 198 | 332 | 1,155 | 656 | 1,237 | (48 | ) | (1,578 | ) | (195 | ) | 2,341 | (584 | ) | |||||||||||||||||||||||||||||||||||
5 | Receive-fixed swaps — foreign-currency denominated gains (losses) | (106 | ) | (394 | ) | 157 | 8 | 193 | (490 | ) | 228 | 558 | (335 | ) | 489 | |||||||||||||||||||||||||||||||||||
6 | U.S. dollar denominated derivatives gains (losses) | (655 | ) | 286 | (1,612 | ) | (2,261 | ) | (1,330 | ) | 1,020 | (1,448 | ) | (11,806 | ) | (4,242 | ) | (13,564 | ) | |||||||||||||||||||||||||||||||
7 | Accrual of periodic settlements | 39 | 94 | 112 | 87 | (345 | ) | (367 | ) | (282 | ) | (301 | ) | 332 | (1,295 | ) | ||||||||||||||||||||||||||||||||||
8 | Total derivative gains (losses) | (524 | ) | 318 | (188 | ) | (1,510 | ) | (245 | ) | 115 | (3,080 | ) | (11,744 | ) | (1,904 | ) | (14,954 | ) | |||||||||||||||||||||||||||||||
Gains (losses) on investment activity: | ||||||||||||||||||||||||||||||||||||||||||||||||||
9 | Gains (losses) on trading securities(2) | 26 | 20 | 257 | 203 | 971 | (2,279 | ) | (932 | ) | 3,195 | 506 | 955 | |||||||||||||||||||||||||||||||||||||
10 | Gains (losses) on sale of mortgage loans | 17 | 3 | 19 | (25 | ) | 71 | (5 | ) | 31 | 20 | 14 | 117 | |||||||||||||||||||||||||||||||||||||
11 | Gains (losses) on sale of available-for-sale securities | 34 | (249 | ) | 228 | 219 | 215 | 38 | 287 | 6 | 232 | 546 | ||||||||||||||||||||||||||||||||||||||
12 | Impairments on available-for-sale securities(3) | (57 | ) | (294 | ) | (1 | ) | (13 | ) | (71 | ) | (1,040 | ) | (9,106 | ) | (7,465 | ) | (365 | ) | (17,682 | ) | |||||||||||||||||||||||||||||
13 | Lower-of-cost-or-fair-value adjustments | (2 | ) | (20 | ) | (25 | ) | (46 | ) | 33 | (41 | ) | (20 | ) | (2 | ) | (93 | ) | (30 | ) | ||||||||||||||||||||||||||||||
14 | Gains (losses) on mortgage loans elected at fair value | — | — | — | — | — | — | (7 | ) | (7 | ) | — | (14 | ) | ||||||||||||||||||||||||||||||||||||
15 | Total gains (losses) on investment activity | 18 | (540 | ) | 478 | 338 | 1,219 | (3,327 | ) | (9,747 | ) | (4,253 | ) | 294 | (16,108 | ) | ||||||||||||||||||||||||||||||||||
Gains (losses) on foreign-currency denominated debt recorded at fair value(1): | ||||||||||||||||||||||||||||||||||||||||||||||||||
16 | Translation gains (losses) | — | — | — | — | (1,214 | ) | 88 | 1,665 | 171 | — | 710 | ||||||||||||||||||||||||||||||||||||||
17 | Market value adjustments | — | — | — | — | (171 | ) | 481 | (165 | ) | (449 | ) | — | (304 | ) | |||||||||||||||||||||||||||||||||||
18 | Total gains (losses) on foreign-currency denominated debt recorded at fair value | — | — | — | — | (1,385 | ) | 569 | 1,500 | (278 | ) | — | 406 | |||||||||||||||||||||||||||||||||||||
19 | Gains (losses) on debt retirement | 7 | 89 | 91 | 158 | 305 | (29 | ) | 36 | (103 | ) | 345 | 209 | |||||||||||||||||||||||||||||||||||||
20 | Recoveries on loans impaired upon purchase | 35 | 72 | 125 | 273 | 226 | 121 | 91 | 57 | 505 | 495 | |||||||||||||||||||||||||||||||||||||||
21 | Foreign-currency gains (losses), net(1) | (197 | ) | (333 | ) | (1,162 | ) | (656 | ) | — | — | — | — | (2,348 | ) | — | ||||||||||||||||||||||||||||||||||
22 | Low-income housing tax credit partnerships | (108 | ) | (135 | ) | (111 | ) | (115 | ) | (117 | ) | (108 | ) | (121 | ) | (107 | ) | (469 | ) | (453 | ) | |||||||||||||||||||||||||||||
23 | Other income | 49 | 58 | 47 | 92 | 47 | 75 | 25 | (22 | ) | 246 | 125 | ||||||||||||||||||||||||||||||||||||||
24 | Total non-interest income (loss) | $ | (185 | ) | $ | 1,414 | $ | 6 | $ | (1,510 | ) | $ | 614 | $ | 56 | $ | (11,403 | ) | $ | (18,442 | ) | $ | (275 | ) | $ | (29,175 | ) | |||||||||||||||||||||||
(1) | We adopted Statement of Financial Accounting Standards, or SFAS, No. 159,“The Fair Value Option for Financial Assets and Financial Liabilities, Including an Amendment of FASB Statement No. 115,” on January 1, 2008. We initially elected the fair value option for our foreign-currency denominated debt. Due to this election, foreign currency exposure is now a component of gains (losses) on foreign-currency denominated debt recorded at fair value. Prior to that date, translation gains and losses on our foreign-currency denominated debt were reported in foreign-currency gains (losses), net in our consolidated statements of operations. We use a combination of foreign-currency swaps and foreign-currency denominated receive-fixed swaps to hedge the changes in fair value of our foreign-currency denominated debt related to fluctuations in exchange rates and interest rates. | |
(2) | Includesmark-to-fair value adjustments recorded in accordance with Emerging Issues Task Force, or EITF,99-20,“Recognition of Interest Income and Impairment on Purchased Beneficial Interests and Beneficial Interests That Continue to Be Held by a Transferor in Securitized Financial Assets” on securities classified as trading. Certain prior period amounts have been adjusted to conform to the current year presentation. | |
(3) | Certain prior period amounts have been adjusted to conform to the current year presentation. |
7
FREDDIE MAC
MANAGEMENT AND GUARANTEE INCOME & RELATED INFORMATION
TABLE 3
(unaudited)
(dollars in millions)
MANAGEMENT AND GUARANTEE INCOME & RELATED INFORMATION
TABLE 3
(unaudited)
(dollars in millions)
Full Year | ||||||||||||||||||||||||||||||||||||||||||||
Line: | 1Q 2007 | 2Q 2007 | 3Q 2007 | 4Q 2007 | 1Q 2008 | 2Q 2008 | 3Q 2008 | 4Q 2008 | 2007 | 2008 | ||||||||||||||||||||||||||||||||||
Management and Guarantee Income: | ||||||||||||||||||||||||||||||||||||||||||||
1 | Contractual management and guarantee fees | $ | 598 | $ | 629 | $ | 657 | $ | 707 | $ | 757 | $ | 778 | $ | 796 | $ | 793 | $ | 2,591 | $ | 3,124 | |||||||||||||||||||||||
2 | Amortization of deferred fees included in other liabilities(1) | 30 | (38 | ) | 61 | (9 | ) | 32 | (21 | ) | 36 | 199 | 44 | 246 | ||||||||||||||||||||||||||||||
3 | Total management and guarantee income | $ | 628 | $ | 591 | $ | 718 | $ | 698 | $ | 789 | $ | 757 | $ | 832 | $ | 992 | $ | 2,635 | $ | 3,370 | |||||||||||||||||||||||
4 | Contractual management and guarantee fees (annualized rate) | 15.9 | bp | 16.1 | bp | 16.2 | bp | 16.8 | bp | 17.4 | bp | 17.5 | bp | 17.6 | bp | 17.5 | bp | 16.3 | bp | 17.5 | bp | |||||||||||||||||||||||
5 | Amortization of deferred fees included in other liabilities (annualized rate) | 0.8 | (1.0 | ) | 1.5 | (0.2 | ) | 0.8 | (0.5 | ) | 0.8 | 4.4 | 0.3 | 1.4 | ||||||||||||||||||||||||||||||
6 | Total management and guarantee income (annualized rate) | 16.7 | bp | 15.1 | bp | 17.7 | bp | 16.6 | bp | 18.2 | bp | 17.0 | bp | 18.4 | bp | 21.9 | bp | 16.6 | bp | 18.9 | bp | |||||||||||||||||||||||
7 | Unamortized balance of deferred fees included in other liabilities, at period end | $ | 412 | $ | 451 | $ | 390 | $ | 410 | $ | 379 | $ | 403 | $ | 371 | $ | 176 | $ | 410 | $ | 176 | |||||||||||||||||||||||
Gains (Losses) on Guarantee Asset: | ||||||||||||||||||||||||||||||||||||||||||||
8 | Contractual management and guarantee fees | $ | (523 | ) | $ | (553 | ) | $ | (585 | ) | $ | (627 | ) | $ | (689 | ) | $ | (720 | ) | $ | (730 | ) | $ | (732 | ) | $ | (2,288 | ) | $ | (2,871 | ) | |||||||||||||
9 | Portion related to imputed interest income | 127 | 130 | 138 | 154 | 215 | 243 | 299 | 364 | 549 | 1,121 | |||||||||||||||||||||||||||||||||
10 | Return of investment on guarantee asset | (396 | ) | (423 | ) | (447 | ) | (473 | ) | (474 | ) | (477 | ) | (431 | ) | (368 | ) | (1,739 | ) | (1,750 | ) | |||||||||||||||||||||||
11 | Change in fair value of management and guarantee fees | (127 | ) | 1,243 | (18 | ) | (843 | ) | (920 | ) | 1,591 | (1,291 | ) | (4,721 | ) | 255 | (5,341 | ) | ||||||||||||||||||||||||||
12 | Gains (losses) on guarantee asset | $ | (523 | ) | $ | 820 | $ | (465 | ) | $ | (1,316 | ) | $ | (1,394 | ) | $ | 1,114 | $ | (1,722 | ) | $ | (5,089 | ) | $ | (1,484 | ) | $ | (7,091 | ) | |||||||||||||||
Changes in Guarantee Asset, at Fair Value: | ||||||||||||||||||||||||||||||||||||||||||||
13 | Beginning balance | $ | 7,389 | $ | 7,602 | $ | 9,299 | $ | 9,867 | $ | 9,591 | $ | 9,134 | $ | 11,019 | $ | 9,679 | $ | 7,389 | $ | 9,591 | |||||||||||||||||||||||
14 | Additions | 736 | 877 | 1,033 | 1,040 | 937 | 858 | 382 | 262 | 3,686 | 2,439 | |||||||||||||||||||||||||||||||||
15 | Other(2) | — | — | — | — | — | (87 | ) | — | (5 | ) | — | (92 | ) | ||||||||||||||||||||||||||||||
16 | Gains (losses) on guarantee asset | (523 | ) | 820 | (465 | ) | (1,316 | ) | (1,394 | ) | 1,114 | (1,722 | ) | (5,089 | ) | (1,484 | ) | (7,091 | ) | |||||||||||||||||||||||||
17 | Ending balance | $ | 7,602 | $ | 9,299 | $ | 9,867 | $ | 9,591 | $ | 9,134 | $ | 11,019 | $ | 9,679 | $ | 4,847 | $ | 9,591 | $ | 4,847 | |||||||||||||||||||||||
Changes in Guarantee Obligation: | ||||||||||||||||||||||||||||||||||||||||||||
18 | Beginning balance | $ | 9,482 | $ | 10,097 | $ | 10,852 | $ | 11,888 | $ | 13,712 | $ | 13,669 | $ | 14,022 | $ | 13,874 | $ | 9,482 | $ | 13,712 | |||||||||||||||||||||||
19 | Transfer-out to the loan loss reserve(3) | — | — | (1 | ) | (6 | ) | (6 | ) | (6 | ) | (3 | ) | (3 | ) | (7 | ) | (18 | ) | |||||||||||||||||||||||||
20 | Deferred guarantee income of newly-issued guarantees(4) | 1,045 | 1,229 | 1,510 | 2,358 | 1,132 | 1,255 | 638 | 341 | 6,142 | 3,366 | |||||||||||||||||||||||||||||||||
21 | Other(2) | — | — | — | — | — | (127 | ) | — | (9 | ) | — | (136 | ) | ||||||||||||||||||||||||||||||
22 | Income on guarantee obligation | (430 | ) | (474 | ) | (473 | ) | (528 | ) | (1,169 | ) | (769 | ) | (783 | ) | (2,105 | ) | (1,905 | ) | (4,826 | ) | |||||||||||||||||||||||
23 | Ending balance | $ | 10,097 | $ | 10,852 | $ | 11,888 | $ | 13,712 | $ | 13,669 | $ | 14,022 | $ | 13,874 | $ | 12,098 | $ | 13,712 | $ | 12,098 | |||||||||||||||||||||||
(1) | Amortization of deferred fees for guarantees issued after 2002 is recorded in income on guarantee obligation. |
(2) | Represents a reduction associated with the extinguishment of our previously issued long-term credit guarantees upon conversion into either PCs or Structured Transactions within the same month. |
(3) | Represents portions of the guarantee obligation that correspond to incurred credit losses reclassified to reserve for guarantee losses on PCs. |
(4) | Beginning January 1, 2008, we adopted SFAS No. 157, “Fair Value Measurements.” This did not result in an immediate impact to our financial statements upon adoption; however, we began estimating the fair value of newly-issued guarantee obligations as an amount equal to the fair value of compensation received in the related securitization transaction as a practical expedient. As a result, we no longer record deferred gains nor immediate “day one” losses on most newly-issued guarantees. |
8
FREDDIE MAC
DERIVATIVES NOT IN HEDGE ACCOUNTING RELATIONSHIPS
TABLE 4
(unaudited)
(dollars in millions)
DERIVATIVES NOT IN HEDGE ACCOUNTING RELATIONSHIPS
TABLE 4
(unaudited)
(dollars in millions)
Full Year | ||||||||||||||||||||||||||||||||||||||||||||
Line: | 1Q 2007 | 2Q 2007 | 3Q 2007 | 4Q 2007 | 1Q 2008 | 2Q 2008 | 3Q 2008 | 4Q 2008 | 2007 | 2008 | ||||||||||||||||||||||||||||||||||
Derivative Gains (Losses): | ||||||||||||||||||||||||||||||||||||||||||||
Call swaptions | ||||||||||||||||||||||||||||||||||||||||||||
1 | Purchased | $ | (553 | ) | $ | (1,168 | ) | $ | 1,657 | $ | 2,536 | $ | 3,240 | $ | (2,542 | ) | $ | 1,824 | $ | 14,720 | $ | 2,472 | $ | 17,242 | ||||||||||||||||||||
2 | Written | 2 | 48 | (16 | ) | (155 | ) | (6 | ) | 27 | (7 | ) | — | (121 | ) | 14 | ||||||||||||||||||||||||||||
Put swaptions | ||||||||||||||||||||||||||||||||||||||||||||
3 | Purchased | (8 | ) | 244 | (70 | ) | (170 | ) | (125 | ) | 72 | 22 | (1,064 | ) | (4 | ) | (1,095 | ) | ||||||||||||||||||||||||||
4 | Written | (2 | ) | (144 | ) | 27 | 47 | 3 | (93 | ) | 154 | 92 | (72 | ) | 156 | |||||||||||||||||||||||||||||
Receive-fixed swaps: | ||||||||||||||||||||||||||||||||||||||||||||
5 | Foreign-currency denominated | (106 | ) | (394 | ) | 157 | 8 | 193 | (490 | ) | 228 | 558 | (335 | ) | 489 | |||||||||||||||||||||||||||||
6 | U.S. dollar denominated | 365 | (3,106 | ) | 3,026 | 3,955 | 9,503 | (7,204 | ) | 2,101 | 25,332 | 4,240 | 29,732 | |||||||||||||||||||||||||||||||
7 | Total receive-fixed swaps | 259 | (3,500 | ) | 3,183 | 3,963 | 9,696 | (7,694 | ) | 2,329 | 25,890 | 3,905 | 30,221 | |||||||||||||||||||||||||||||||
8 | Pay-fixed swaps | (478 | ) | 4,531 | (6,513 | ) | (8,902 | ) | (15,133 | ) | 11,259 | (5,296 | ) | (49,125 | ) | (11,362 | ) | (58,295 | ) | |||||||||||||||||||||||||
9 | Futures | 19 | (70 | ) | 105 | 88 | 647 | (154 | ) | (534 | ) | (2,033 | ) | 142 | (2,074 | ) | ||||||||||||||||||||||||||||
10 | Foreign-currency swaps(1) | 198 | 332 | 1,155 | 656 | 1,237 | (48 | ) | (1,578 | ) | (195 | ) | 2,341 | (584 | ) | |||||||||||||||||||||||||||||
11 | Forward purchase and sale commitments | (5 | ) | (66 | ) | 185 | 331 | 511 | (243 | ) | 280 | (660 | ) | 445 | (112 | ) | ||||||||||||||||||||||||||||
12 | Other(2) | 5 | 17 | (13 | ) | 9 | 30 | (102 | ) | 8 | 932 | 18 | 868 | |||||||||||||||||||||||||||||||
13 | Subtotal | (563 | ) | 224 | (300 | ) | (1,597 | ) | 100 | 482 | (2,798 | ) | (11,443 | ) | (2,236 | ) | (13,659 | ) | ||||||||||||||||||||||||||
Accrual of periodic settlements: | ||||||||||||||||||||||||||||||||||||||||||||
14 | Receive-fixed swaps(3) | (58 | ) | (37 | ) | (66 | ) | (166 | ) | 73 | 648 | 753 | 454 | (327 | ) | 1,928 | ||||||||||||||||||||||||||||
15 | Pay-fixed swaps | 148 | 155 | 182 | 218 | (477 | ) | (1,118 | ) | (1,128 | ) | (759 | ) | 703 | (3,482 | ) | ||||||||||||||||||||||||||||
16 | Foreign-currency swaps | (52 | ) | (25 | ) | (5 | ) | 34 | 57 | 101 | 105 | 56 | (48 | ) | 319 | |||||||||||||||||||||||||||||
17 | Other | 1 | 1 | 1 | 1 | 2 | 2 | (12 | ) | (52 | ) | 4 | (60 | ) | ||||||||||||||||||||||||||||||
18 | Total accrual of periodic settlements | 39 | 94 | 112 | 87 | (345 | ) | (367 | ) | (282 | ) | (301 | ) | 332 | (1,295 | ) | ||||||||||||||||||||||||||||
19 | Total | $ | (524 | ) | $ | 318 | $ | (188 | ) | $ | (1,510 | ) | $ | (245 | ) | $ | 115 | $ | (3,080 | ) | $ | (11,744 | ) | $ | (1,904 | ) | $ | (14,954 | ) | |||||||||||||||
(1) | Foreign-currency swaps are defined as swaps in which the net settlement is based on one leg calculated in a foreign-currency and the other leg calculated in U.S. dollars. | |
(2) | Consists of basis swaps, certain option-based contracts (including written options), interest-rate caps, swap guarantee derivatives and credit derivatives. Includes $27 million loss related to the bankruptcy of Lehman Brothers Holdings, Inc. for both the third quarter and the full year of 2008. | |
(3) | Includes imputed interest on zero-coupon swaps. |
9
FREDDIE MAC
NON-INTEREST EXPENSE
TABLE 5
(unaudited)
(dollars in millions)
NON-INTEREST EXPENSE
TABLE 5
(unaudited)
(dollars in millions)
Full Year | ||||||||||||||||||||||||||||||||||||||||||||
Line: | 1Q 2007 | 2Q 2007 | 3Q 2007 | 4Q 2007 | 1Q 2008 | 2Q 2008 | 3Q 2008 | 4Q 2008 | 2007 | 2008 | ||||||||||||||||||||||||||||||||||
Non-Interest Expense: | ||||||||||||||||||||||||||||||||||||||||||||
Administrative expenses: | ||||||||||||||||||||||||||||||||||||||||||||
1 | Salaries and employee benefits | $ | 213 | $ | 227 | $ | 216 | $ | 172 | $ | 231 | $ | 241 | $ | 133 | $ | 223 | $ | 828 | $ | 828 | |||||||||||||||||||||||
2 | Professional services | 89 | 104 | 103 | 96 | 72 | 55 | 61 | 74 | 392 | 262 | |||||||||||||||||||||||||||||||||
3 | Occupancy expense | 14 | 16 | 16 | 18 | 15 | 18 | 16 | 18 | 64 | 67 | |||||||||||||||||||||||||||||||||
4 | Other administrative expenses | 87 | 95 | 93 | 115 | 79 | 90 | 98 | 81 | 390 | 348 | |||||||||||||||||||||||||||||||||
5 | Total administrative expenses | 403 | 442 | 428 | 401 | 397 | 404 | 308 | 396 | 1,674 | 1,505 | |||||||||||||||||||||||||||||||||
6 | Provision for credit losses | 248 | 447 | 1,372 | 787 | 1,240 | 2,537 | 5,702 | 6,953 | 2,854 | 16,432 | |||||||||||||||||||||||||||||||||
7 | Real estate owned operations expense | 14 | 16 | 51 | 125 | 208 | 265 | 333 | 291 | 206 | 1,097 | |||||||||||||||||||||||||||||||||
8 | Losses on certain credit guarantees(1) | 177 | 150 | 392 | 1,269 | 15 | — | 2 | — | 1,988 | 17 | |||||||||||||||||||||||||||||||||
9 | Losses on loans purchased(2) | 216 | 264 | 649 | 736 | 51 | 120 | 252 | 1,211 | 1,865 | 1,634 | |||||||||||||||||||||||||||||||||
10 | Securities administrator loss on investment activity(3) | — | — | — | — | — | — | 1,082 | — | — | 1,082 | |||||||||||||||||||||||||||||||||
11 | Minority interests in (earnings) loss of consolidated subsidiaries | 9 | 9 | 4 | (30 | ) | 3 | 5 | — | — | (8 | ) | 8 | |||||||||||||||||||||||||||||||
12 | Other expenses | 49 | 56 | 63 | 54 | 72 | 106 | 86 | 151 | 222 | 415 | |||||||||||||||||||||||||||||||||
13 | Total non-interest expense | $ | 1,116 | $ | 1,384 | $ | 2,959 | $ | 3,342 | $ | 1,986 | $ | 3,437 | $ | 7,765 | $ | 9,002 | $ | 8,801 | $ | 22,190 | |||||||||||||||||||||||
(1) | Consist of losses recognized upon issuance of a PC when the fair value of the guarantee obligation exceeds the fair value of the guarantee asset (including upfront fees paid or received). Beginning January 1, 2008, we began estimating the fair value of newly-issued guarantee obligations as an amount equal to the fair value of compensation received in the related securitization transaction. As a result, we no longer record deferred gains nor do we record immediate “day one,” losses on most newly-issued guarantees. | |
(2) | Represent losses on non-performing mortgage loans purchased under our financial guarantees. Effective December 2007, we made certain operational changes for purchasing delinquent loans from PC pools, which reduced the number of these loans we purchase and, consequently, the amount of our losses on loans purchased during the first three quarters of 2008. Increased credit deterioration in the single-family loans we guarantee combined with the effects of higher volumes of loan modifications led to substantial increases in these losses beginning in the fourth quarter of 2008. | |
(3) | In accordance with PC trust agreements, we manage the funds of the securitization trusts created for administration of remittances on our PCs. To the extent there is an investment loss related to these funds, we, as the administrator, make up the shortfall. We recognized losses during 2008 on loans made to Lehman Brothers Holdings, Inc., on the trusts’ behalf. |
10
FREDDIE MAC
CREDIT QUALITY INDICATORS
TABLE 6
(unaudited)
(dollars in millions)
CREDIT QUALITY INDICATORS
TABLE 6
(unaudited)
(dollars in millions)
Full Year | ||||||||||||||||||||||||||||||||||||||||||||
Line: | 1Q 2007 | 2Q 2007 | 3Q 2007 | 4Q 2007 | 1Q 2008 | 2Q 2008 | 3Q 2008 | 4Q 2008 | 2007 | 2008 | ||||||||||||||||||||||||||||||||||
Credit Enhancements: | ||||||||||||||||||||||||||||||||||||||||||||
1 | Credit-enhanced percentage of new business purchases | 14 | % | 18 | % | 22 | % | 28 | % | 25 | % | 19 | % | 23 | % | 16 | % | 21 | % | 21 | % | |||||||||||||||||||||||
2 | Credit-enhanced percentage of total mortgage portfolio(1) (period end) | 16 | % | 16 | % | 16 | % | 17 | % | 17 | % | 18 | % | 18 | % | 18 | % | 17 | % | 18 | % | |||||||||||||||||||||||
Delinquencies (at period end):(2)(3) | ||||||||||||||||||||||||||||||||||||||||||||
Single-family: | ||||||||||||||||||||||||||||||||||||||||||||
Non-credit-enhanced portfolio | ||||||||||||||||||||||||||||||||||||||||||||
3 | Delinquency rate | 0.25 | % | 0.26 | % | 0.34 | % | 0.45 | % | 0.54 | % | 0.67 | % | 0.87 | % | 1.26 | % | 0.45 | % | 1.26 | % | |||||||||||||||||||||||
4 | Total number of delinquent loans | 23,173 | 25,307 | 32,823 | 44,948 | 54,923 | 68,080 | 88,786 | 127,569 | 44,948 | 127,569 | |||||||||||||||||||||||||||||||||
Credit-enhanced portfolio | ||||||||||||||||||||||||||||||||||||||||||||
5 | Delinquency rate | 1.18 | % | 1.17 | % | 1.34 | % | 1.62 | % | 1.81 | % | 2.10 | % | 2.75 | % | 3.79 | % | 1.62 | % | 3.79 | % | |||||||||||||||||||||||
6 | Total number of delinquent loans | 22,285 | 22,602 | 27,123 | 34,621 | 39,942 | 47,216 | 62,729 | 85,719 | 34,621 | 85,719 | |||||||||||||||||||||||||||||||||
Total single-family portfolio | ||||||||||||||||||||||||||||||||||||||||||||
7 | Delinquency rate | 0.40 | % | 0.42 | % | 0.51 | % | 0.65 | % | 0.77 | % | 0.93 | % | 1.22 | % | 1.72 | % | 0.65 | % | 1.72 | % | |||||||||||||||||||||||
8 | Total number of delinquent loans | 45,458 | 47,909 | 59,946 | 79,569 | 94,865 | 115,296 | 151,515 | 213,288 | 79,569 | 213,288 | |||||||||||||||||||||||||||||||||
Multifamily: | ||||||||||||||||||||||||||||||||||||||||||||
9 | Delinquency rate | 0.06 | % | 0.05 | % | 0.06 | % | 0.02 | % | 0.01 | % | 0.04 | % | 0.01 | % | 0.01 | % | 0.02 | % | 0.01 | % | |||||||||||||||||||||||
10 | Net carrying value of delinquent loans | $ | 32 | $ | 30 | $ | 32 | $ | 10 | $ | 7 | $ | 34 | $ | 12 | $ | 12 | $ | 10 | $ | 12 | |||||||||||||||||||||||
Foreclosure alternatives(3)(4) (number of units): | ||||||||||||||||||||||||||||||||||||||||||||
11 | Repayment plans | 11,072 | 9,031 | 8,771 | 9,935 | 12,387 | 10,691 | 10,270 | 8,714 | 38,809 | 42,062 | |||||||||||||||||||||||||||||||||
12 | Loan modifications | 1,902 | 2,179 | 1,752 | 2,272 | 4,246 | 4,687 | 8,456 | 17,695 | 8,105 | 35,084 | |||||||||||||||||||||||||||||||||
13 | Forbearance agreements | 1,063 | 740 | 673 | 632 | 817 | 785 | 828 | 1,762 | 3,108 | 4,192 | |||||||||||||||||||||||||||||||||
14 | Pre-foreclosure sales | 404 | 530 | 504 | 571 | 831 | 1,252 | 1,911 | 2,375 | 2,009 | 6,369 | |||||||||||||||||||||||||||||||||
15 | Total foreclosure alternatives | 14,441 | 12,480 | 11,700 | 13,410 | 18,281 | 17,415 | 21,465 | 30,546 | 52,031 | 87,707 | |||||||||||||||||||||||||||||||||
Non-performing assets(3)(5) (at period end): | ||||||||||||||||||||||||||||||||||||||||||||
16 | Non-performing mortgage loans | $ | 9,093 | $ | 9,890 | $ | 12,168 | $ | 16,710 | $ | 20,535 | $ | 25,287 | $ | 32,671 | $ | 45,130 | $ | 16,710 | $ | 45,130 | |||||||||||||||||||||||
17 | REO assets, net | 878 | 1,020 | 1,321 | 1,736 | 2,214 | 2,580 | 3,224 | 3,255 | 1,736 | 3,255 | |||||||||||||||||||||||||||||||||
18 | Total non-performing assets | $ | 9,971 | $ | 10,910 | $ | 13,489 | $ | 18,446 | $ | 22,749 | $ | 27,867 | $ | 35,895 | $ | 48,385 | $ | 18,446 | $ | 48,385 | |||||||||||||||||||||||
REO Operations Expense: | ||||||||||||||||||||||||||||||||||||||||||||
19 | Single-family | $ | (14 | ) | $ | (16 | ) | $ | (50 | ) | $ | (125 | ) | $ | (208 | ) | $ | (265 | ) | $ | (333 | ) | $ | (291 | ) | $ | (205 | ) | $ | (1,097 | ) | |||||||||||||
20 | Multifamily | — | — | (1 | ) | — | — | — | — | — | (1 | ) | — | |||||||||||||||||||||||||||||||
21 | Total | $ | (14 | ) | $ | (16 | ) | $ | (51 | ) | $ | (125 | ) | $ | (208 | ) | $ | (265 | ) | $ | (333 | ) | $ | (291 | ) | $ | (206 | ) | $ | (1,097 | ) | |||||||||||||
Loan Loss Reserves:(6) | ||||||||||||||||||||||||||||||||||||||||||||
22 | Beginning balance | $ | 619 | $ | 803 | $ | 1,138 | $ | 2,312 | $ | 2,822 | $ | 3,872 | $ | 5,813 | $ | 10,220 | $ | 619 | $ | 2,822 | |||||||||||||||||||||||
23 | Provision for credit losses(7) | 248 | 447 | 1,372 | 787 | 1,240 | 2,537 | 5,702 | 6,953 | 2,854 | 16,432 | |||||||||||||||||||||||||||||||||
24 | Charge-offs — single-family, net | (30 | ) | (36 | ) | (32 | ) | (36 | ) | (163 | ) | (451 | ) | (856 | ) | (815 | ) | (134 | ) | (2,285 | ) | |||||||||||||||||||||||
25 | Charge-offs — multifamily, net | — | — | (2 | ) | (1 | ) | — | — | (5 | ) | (3 | ) | (3 | ) | (8 | ) | |||||||||||||||||||||||||||
26 | Transfers, net | (34 | ) | (76 | ) | (164 | ) | (240 | ) | (27 | ) | (145 | ) | (434 | ) | (737 | ) | (514 | ) | (1,343 | ) | |||||||||||||||||||||||
27 | Ending balance | $ | 803 | $ | 1,138 | $ | 2,312 | $ | 2,822 | $ | 3,872 | $ | 5,813 | $ | 10,220 | $ | 15,618 | $ | 2,822 | $ | 15,618 | |||||||||||||||||||||||
Total Credit Losses:(8) | ||||||||||||||||||||||||||||||||||||||||||||
28 | Total credit losses | $ | 58 | $ | 79 | $ | 126 | $ | 236 | $ | 528 | $ | 810 | $ | 1,275 | $ | 1,154 | $ | 499 | $ | 3,767 | |||||||||||||||||||||||
29 | Annualized credit losses / average total mortgage portfolio(9) | 1.5 bp | 2.0 bp | 3.0 bp | 5.4 bp | 11.6 bp | 17.3 bp | 26.8 bp | 24.1 bp | 3.0 bp | 20.1 bp | |||||||||||||||||||||||||||||||||
(1) | Based on the total mortgage portfolio, excluding Freddie Mac Structured Transactions, non-Freddie Mac mortgage-related securities and that portion of Structured Securities that is backed by Ginnie Mae Certificates. | |
(2) | Single-family delinquencies are based on the number of mortgages 90 days or more delinquent or in foreclosure while multifamily delinquencies are based on net carrying value of mortgages 90 days or more delinquent or in foreclosure. Includes delinquencies on mortgage loans where the lender or third party retains the largest portion of the default risk. Delinquencies exclude mortgage loans whose original contractual terms have been modified under an agreement with the borrower as long as the borrower complies with the modified contractual terms. | |
(3) | Based on loans held by us on our consolidated balance sheet as well as those underlying our PCs, Structured Securities and other mortgage guarantees. Excludes Structured Transactions and that portion of Structured Securities that is backed by Ginnie Mae Certificates. | |
(4) | For more information on our foreclosure alternatives and loss mitigation activities see “Item 7. — CREDIT RISKS — Loss Mitigation Activities” in ourForm 10-K filed March 11, 2009. | |
(5) | For more information on our non-performing assets see “Item 7. — CREDIT RISKS — Non-Performing Assets” in ourForm 10-K filed March 11, 2009. | |
(6) | Loan loss reserves equals the sum of allowance for loan losses (consolidated balance sheets — Line 8) and reserve for guarantee losses on Participation Certificates (consolidated balance sheets — Line 24). | |
(7) | Provision for credit losses includes our provision for losses incurred on our mortgage loans held for investment, which are a component of our mortgage-related investments portfolio, and our provision for guarantee losses incurred on mortgage loans underlying our issued PCs and Structured Securities. | |
(8) | Equal to REO operations income (expense) (Line 21) plus Charge-offs, net (Lines 24 and 25) plus amounts previously transferred to reduce the carrying value of loans purchased under financial guarantees. The previously transferred reserves totaled $156 million and $377 million for the years ended December 31, 2007 and 2008, respectively. Excludes other market-based credit losses recognized on our consolidated statements of operations, including losses on loans purchased, losses on certain credit guarantees, securities administrator loss on investment activity and other than temporary impairments on our mortgage-related investments portfolio. | |
(9) | Calculated using the average total mortgage portfolio, excluding non-Freddie Mac mortgage-related securities and that portion of Structured Securities that is backed by Ginnie Mae Certificates. |
11
FREDDIE MAC
SINGLE-FAMILY NON-CREDIT-ENHANCED DELINQUENCY AND FORECLOSURE ACTIVITY BY REGION(1)
TABLE 7
(unaudited)
SINGLE-FAMILY NON-CREDIT-ENHANCED DELINQUENCY AND FORECLOSURE ACTIVITY BY REGION(1)
TABLE 7
(unaudited)
4Q 2007 | 1Q 2008 | 2Q 2008 | 3Q 2008 | 4Q 2008 | ||||||||||||||||||||||||||||||||||||||||||
Number of Loans | Number of Loans | Number of Loans | Number of Loans | Number of Loans | ||||||||||||||||||||||||||||||||||||||||||
Line: | (in thousands) | Percent(3) | (in thousands) | Percent(3) | (in thousands) | Percent(3) | (in thousands) | Percent(3) | (in thousands) | Percent(3) | ||||||||||||||||||||||||||||||||||||
Northeast(2) | ||||||||||||||||||||||||||||||||||||||||||||||
1 | Total number of loans | 2,310 | 2,340 | 2,339 | 2,341 | 2,332 | ||||||||||||||||||||||||||||||||||||||||
2 | Delinquent three or more payments | 4 | 0.19% | 4 | 0.19% | 6 | 0.24% | 8 | 0.35% | 12 | 0.53% | |||||||||||||||||||||||||||||||||||
3 | Foreclosures approved and in-process | 5 | 0.20% | 6 | 0.26% | 6 | 0.29% | 8 | 0.34% | 10 | 0.43% | |||||||||||||||||||||||||||||||||||
4 | Total delinquent loans | 9 | 0.39% | 10 | 0.45% | 12 | 0.53% | 16 | 0.69% | 22 | 0.96% | |||||||||||||||||||||||||||||||||||
Southeast(2) | ||||||||||||||||||||||||||||||||||||||||||||||
5 | Total number of loans | 1,937 | 1,971 | 1,951 | 1,955 | 1,950 | ||||||||||||||||||||||||||||||||||||||||
6 | Delinquent three or more payments | 6 | 0.28% | 6 | 0.30% | 7 | 0.37% | 10 | 0.50% | 16 | 0.82% | |||||||||||||||||||||||||||||||||||
7 | Foreclosures approved and in-process | 6 | 0.31% | 9 | 0.46% | 12 | 0.61% | 16 | 0.81% | 21 | 1.04% | |||||||||||||||||||||||||||||||||||
8 | Total delinquent loans | 12 | 0.59% | 15 | 0.76% | 19 | 0.98% | 26 | 1.31% | 37 | 1.86% | |||||||||||||||||||||||||||||||||||
North Central(2) | ||||||||||||||||||||||||||||||||||||||||||||||
9 | Total number of loans | 2,312 | 2,313 | 2,323 | 2,305 | 2,289 | ||||||||||||||||||||||||||||||||||||||||
10 | Delinquent three or more payments | 5 | 0.21% | 5 | 0.21% | 6 | 0.24% | 8 | 0.32% | 11 | 0.49% | |||||||||||||||||||||||||||||||||||
11 | Foreclosures approved and in-process | 6 | 0.27% | 7 | 0.31% | 8 | 0.35% | 9 | 0.40% | 11 | 0.49% | |||||||||||||||||||||||||||||||||||
12 | Total delinquent loans | 11 | 0.48% | 12 | 0.52% | 14 | 0.59% | 17 | 0.72% | 22 | 0.98% | |||||||||||||||||||||||||||||||||||
Southwest(2) | ||||||||||||||||||||||||||||||||||||||||||||||
13 | Total number of loans | 1,368 | 1,393 | 1,362 | 1,364 | 1,361 | ||||||||||||||||||||||||||||||||||||||||
14 | Delinquent three or more payments | 2 | 0.17% | 2 | 0.15% | 2 | 0.19% | 3 | 0.24% | 5 | 0.40% | |||||||||||||||||||||||||||||||||||
15 | Foreclosures approved and in-process | 2 | 0.15% | 3 | 0.18% | 3 | 0.19% | 3 | 0.22% | 4 | 0.28% | |||||||||||||||||||||||||||||||||||
16 | Total delinquent loans | 4 | 0.32% | 5 | 0.33% | 5 | 0.38% | 6 | 0.46% | 9 | 0.68% | |||||||||||||||||||||||||||||||||||
West(2) | ||||||||||||||||||||||||||||||||||||||||||||||
17 | Total number of loans | 2,121 | 2,169 | 2,192 | 2,212 | 2,218 | ||||||||||||||||||||||||||||||||||||||||
18 | Delinquent three or more payments | 4 | 0.19% | 5 | 0.23% | 7 | 0.30% | 11 | 0.50% | 19 | 0.86% | |||||||||||||||||||||||||||||||||||
19 | Foreclosures approved and in-process | 5 | 0.23% | 8 | 0.36% | 11 | 0.50% | 13 | 0.58% | 18 | 0.81% | |||||||||||||||||||||||||||||||||||
20 | Total delinquent loans | 9 | 0.42% | 13 | 0.59% | 18 | 0.80% | 24 | 1.08% | 37 | 1.67% | |||||||||||||||||||||||||||||||||||
Total | ||||||||||||||||||||||||||||||||||||||||||||||
21 | Total number of loans | 10,048 | 10,186 | 10,168 | 10,177 | 10,150 | ||||||||||||||||||||||||||||||||||||||||
22 | Delinquent three or more payments | 21 | 0.21% | 22 | 0.22% | 28 | 0.27% | 40 | 0.39% | 64 | 0.64% | |||||||||||||||||||||||||||||||||||
23 | Foreclosures approved and in-process | 24 | 0.24% | 33 | 0.32% | 40 | 0.40% | 49 | 0.48% | 64 | 0.62% | |||||||||||||||||||||||||||||||||||
24 | Total delinquent loans | 45 | 0.45% | 55 | 0.54% | 68 | 0.67% | 89 | 0.87% | 128 | 1.26% | |||||||||||||||||||||||||||||||||||
25 | 90-day or more delinquency to REO, transition rate(4) | 15.9% | 17.6% | 22.8% | 25.4% | 25.5% | ||||||||||||||||||||||||||||||||||||||||
(1) | Includes single-family non-credit-enhanced mortgage loans in our mortgage-related investments portfolio and those underlying our guaranteed PCs and Structured Securities issued, but excluding Structured Transactions and that portion of Structured Securities backed by Ginnie Mae Certificates. | |
(2) | Region Designation: 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); North Central (IL, IN, IA, MI, MN, ND, OH, SD, WI); Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY); West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA). | |
(3) | Percentages are calculated based on loan counts. | |
(4) | Calculated based on all loans that have been reported as 90 days or more delinquent or in foreclosure in the preceding year, which have transitioned to REO. The rate excludes other dispositions that can result in a loss, such as short-sales anddeed-in-lieu transactions. |
12
FREDDIE MAC
REAL ESTATE OWNED (REO) ACTIVITY
TABLE 8
(unaudited)
REAL ESTATE OWNED (REO) ACTIVITY
TABLE 8
(unaudited)
Full Year | ||||||||||||||||||||||||||||||||||||||||||||
Line: | 1Q 2007 | 2Q 2007 | 3Q 2007 | 4Q 2007 | 1Q 2008 | 2Q 2008 | 3Q 2008 | 4Q 2008 | 2007 | 2008 | ||||||||||||||||||||||||||||||||||
Property Units, by Region:(1) | ||||||||||||||||||||||||||||||||||||||||||||
Northeast | ||||||||||||||||||||||||||||||||||||||||||||
1 | Beginning Balance | 622 | 702 | 828 | 1,118 | 1,474 | 2,119 | 2,429 | 2,793 | 622 | 1,474 | |||||||||||||||||||||||||||||||||
2 | Properties Acquired | 396 | 492 | 644 | 804 | 1,267 | 1,310 | 1,485 | 1,063 | 2,336 | 5,125 | |||||||||||||||||||||||||||||||||
3 | Properties Disposed | (316 | ) | (366 | ) | (354 | ) | (448 | ) | (622 | ) | (1,000 | ) | (1,121 | ) | (1,103 | ) | (1,484 | ) | (3,846 | ) | |||||||||||||||||||||||
4 | Ending Property Inventory | 702 | 828 | 1,118 | 1,474 | 2,119 | 2,429 | 2,793 | 2,753 | 1,474 | 2,753 | |||||||||||||||||||||||||||||||||
Southeast | ||||||||||||||||||||||||||||||||||||||||||||
5 | Beginning Balance | 1,753 | 1,896 | 1,960 | 2,243 | 2,686 | 3,259 | 3,924 | 4,851 | 1,753 | 2,686 | |||||||||||||||||||||||||||||||||
6 | Properties Acquired | 987 | 1,123 | 1,276 | 1,556 | 1,983 | 2,614 | 3,231 | 2,897 | 4,942 | 10,725 | |||||||||||||||||||||||||||||||||
7 | Properties Disposed | (844 | ) | (1,059 | ) | (993 | ) | (1,113 | ) | (1,410 | ) | (1,949 | ) | (2,304 | ) | (2,576 | ) | (4,009 | ) | (8,239 | ) | |||||||||||||||||||||||
8 | Ending Property Inventory | 1,896 | 1,960 | 2,243 | 2,686 | 3,259 | 3,924 | 4,851 | 5,172 | 2,686 | 5,172 | |||||||||||||||||||||||||||||||||
North Central | ||||||||||||||||||||||||||||||||||||||||||||
9 | Beginning Balance | 4,466 | 4,871 | 5,065 | 5,540 | 6,121 | 7,113 | 7,763 | 9,050 | 4,466 | 6,121 | |||||||||||||||||||||||||||||||||
10 | Properties Acquired | 2,078 | 2,137 | 2,376 | 2,584 | 3,137 | 3,445 | 3,995 | 3,101 | 9,175 | 13,678 | |||||||||||||||||||||||||||||||||
11 | Properties Disposed | (1,673 | ) | (1,943 | ) | (1,901 | ) | (2,003 | ) | (2,145 | ) | (2,795 | ) | (2,708 | ) | (2,900 | ) | (7,520 | ) | (10,548 | ) | |||||||||||||||||||||||
12 | Ending Property Inventory | 4,871 | 5,065 | 5,540 | 6,121 | 7,113 | 7,763 | 9,050 | 9,251 | 6,121 | 9,251 | |||||||||||||||||||||||||||||||||
Southwest | ||||||||||||||||||||||||||||||||||||||||||||
13 | Beginning Balance | 1,741 | 1,833 | 1,867 | 1,987 | 2,230 | 2,545 | 2,651 | 2,924 | 1,741 | 2,230 | |||||||||||||||||||||||||||||||||
14 | Properties Acquired | 957 | 940 | 951 | 1,129 | 1,370 | 1,465 | 1,616 | 1,235 | 3,977 | 5,686 | |||||||||||||||||||||||||||||||||
15 | Properties Disposed | (865 | ) | (906 | ) | (831 | ) | (886 | ) | (1,055 | ) | (1,359 | ) | (1,343 | ) | (1,398 | ) | (3,488 | ) | (5,155 | ) | |||||||||||||||||||||||
16 | Ending Property Inventory | 1,833 | 1,867 | 1,987 | 2,230 | 2,545 | 2,651 | 2,924 | 2,761 | 2,230 | 2,761 | |||||||||||||||||||||||||||||||||
West | ||||||||||||||||||||||||||||||||||||||||||||
17 | Beginning Balance | 203 | 348 | 540 | 1,028 | 1,883 | 3,383 | 5,262 | 8,474 | 203 | 1,883 | |||||||||||||||||||||||||||||||||
18 | Properties Acquired | 220 | 321 | 658 | 1,211 | 2,182 | 3,576 | 5,556 | 4,003 | 2,410 | 15,317 | |||||||||||||||||||||||||||||||||
19 | Properties Disposed | (75 | ) | (129 | ) | (170 | ) | (356 | ) | (682 | ) | (1,697 | ) | (2,344 | ) | (3,068 | ) | (730 | ) | (7,791 | ) | |||||||||||||||||||||||
20 | Ending Property Inventory | 348 | 540 | 1,028 | 1,883 | 3,383 | 5,262 | 8,474 | 9,409 | 1,883 | 9,409 | |||||||||||||||||||||||||||||||||
Total | ||||||||||||||||||||||||||||||||||||||||||||
21 | Beginning Balance | 8,785 | 9,650 | 10,260 | 11,916 | 14,394 | 18,419 | 22,029 | 28,092 | 8,785 | 14,394 | |||||||||||||||||||||||||||||||||
22 | Properties Acquired | 4,638 | 5,013 | 5,905 | 7,284 | 9,939 | 12,410 | 15,883 | 12,299 | 22,840 | 50,531 | |||||||||||||||||||||||||||||||||
23 | Properties Disposed | (3,773 | ) | (4,403 | ) | (4,249 | ) | (4,806 | ) | (5,914 | ) | (8,800 | ) | (9,820 | ) | (11,045 | ) | (17,231 | ) | (35,579 | ) | |||||||||||||||||||||||
24 | Ending Property Inventory | 9,650 | 10,260 | 11,916 | 14,394 | 18,419 | 22,029 | 28,092 | 29,346 | 14,394 | 29,346 | |||||||||||||||||||||||||||||||||
REO Balance, Net (dollars in millions) | ||||||||||||||||||||||||||||||||||||||||||||
Single-family property, by region(1): | ||||||||||||||||||||||||||||||||||||||||||||
25 | Northeast | $ | 84 | $ | 114 | $ | 170 | $ | 247 | $ | 358 | $ | 381 | $ | 402 | $ | 374 | $ | 247 | $ | 374 | |||||||||||||||||||||||
26 | Southeast | 148 | 174 | 226 | 293 | 330 | 373 | 451 | 460 | 293 | 460 | |||||||||||||||||||||||||||||||||
27 | North Central | 405 | 436 | 490 | 542 | 619 | 636 | 715 | 720 | 542 | 720 | |||||||||||||||||||||||||||||||||
28 | Southwest | 169 | 173 | 198 | 233 | 253 | 253 | 266 | 255 | 233 | 255 | |||||||||||||||||||||||||||||||||
29 | West | 65 | 117 | 237 | 421 | 654 | 937 | 1,365 | 1,399 | 421 | 1,399 | |||||||||||||||||||||||||||||||||
30 | Total single-family property | 871 | 1,014 | 1,321 | 1,736 | 2,214 | 2,580 | 3,199 | 3,208 | 1,736 | 3,208 | |||||||||||||||||||||||||||||||||
31 | Total multifamily property | 7 | 6 | — | — | — | — | 24 | 47 | — | 47 | |||||||||||||||||||||||||||||||||
32 | Total REO Balance, Net | $ | 878 | $ | 1,020 | $ | 1,321 | $ | 1,736 | $ | 2,214 | $ | 2,580 | $ | 3,223 | $ | 3,255 | $ | 1,736 | $ | 3,255 | |||||||||||||||||||||||
(1) | Region Designation: 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); North Central (IL, IN, IA, MI, MN, ND, OH, SD, WI); Southwest (AR, CO, KS, LA, MO, NE, NM, OK, TX, WY); West (AK, AZ, CA, GU, HI, ID, MT, NV, OR, UT, WA). |
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