Federal Home Loan Mortgage (FMCC) 8-K Freddie Mac Reports Fourth Quarter and Full-year 2010 Financial Results

Exhibit 99.2

FREDDIE MAC
2010 FINANCIAL RESULTS
FINANCIAL STATEMENTS AND CORE TABLES

TABLE OF CONTENTS

	GAAP Financial Statements	Page
	Consolidated Statements of Operations		2
	Consolidated Balance Sheets		3
	Consolidated Statements of Equity (Deficit)		4
Table	GAAP Financial Results
1A	Net Interest Yield Analysis		5
1B	Net Interest Income		6
2	Non-Interest Income (Loss)		7
3	Non-Interest Expense		8
4	Credit Quality Indicators		9
5	Single-Family Non-Credit-Enhanced Serious Delinquency and Foreclosure Activity by Region		10
6	Real Estate Owned (REO) Activity		11
	Segment Earnings Results
7A	Segment Earnings — Consolidated		12
7B	Segment Earnings — Investments Segment		13
7C	Segment Earnings — Single-Family Guarantee Segment		14
7D	Segment Earnings — Multifamily Segment		15

FREDDIE MAC
CONSOLIDATED STATEMENTS OF OPERATIONS⁽¹⁾

					Year Ended December 31,
Line:					2010			2009			2008
					(dollars in millions,
					except share-related amounts)
		Interest income
			Mortgage loans:
	1			Held by consolidated trusts	$	86,698		$	—		$	—
	2			Unsecuritized		8,727			6,815			5,369
	3			Total mortgage loans		95,425			6,815			5,369
	4		Investments in securities			14,375			33,290			35,067
	5		Other			156			241			1,041
	6			Total interest income		109,956			40,346			41,477
		Interest expense
	7		Debt securities of consolidated trusts			(75,216	)		—			—
	8		Other debt			(16,915	)		(22,150	)		(33,332	)
	9			Total interest expense		(92,131	)		(22,150	)		(33,332	)
	10		Expense related to derivatives			(969	)		(1,123	)		(1,349	)
	11	Net interest income				16,856			17,073			6,796
	12	Provision for credit losses				(17,218	)		(29,530	)		(16,432	)
	13	Net interest income (loss) after provision for credit losses				(362	)		(12,457	)		(9,636	)
		Non-interest income (loss)
	14		Gains (losses) on extinguishment of debt securities of consolidated trusts			(164	)		—			—
	15		Gains (losses) on retirement of other debt			(219	)		(568	)		209
	16		Gains (losses) on debt recorded at fair value			580			(404	)		406
	17		Derivative gains (losses)			(8,085	)		(1,900	)		(14,954	)
			Impairment of available-for-sale securities:
	18		Total other-than-temporary impairment of available-for-sale securities			(1,778	)		(23,125	)		(17,682	)
	19		Portion of other-than-temporary impairment recognized in AOCI			(2,530	)		11,928			—
	20		Net impairment of available-for-sale securities recognized in earnings			(4,308	)		(11,197	)		(17,682	)
	21		Other gains (losses) on investment securities recognized in earnings			(1,252	)		5,965			1,501
	22		Other income			1,860			5,372			1,345
	23	Non-interest income (loss)				(11,588	)		(2,732	)		(29,175	)
		Non-interest expense
	24		Salaries and employee benefits			(895	)		(912	)		(828	)
	25		Professional services			(246	)		(310	)		(262	)
	26		Occupancy expense			(64	)		(68	)		(67	)
	27		Other administrative expenses			(341	)		(361	)		(348	)
	28			Total administrative expenses		(1,546	)		(1,651	)		(1,505	)
	29		Real estate owned operations expense			(673	)		(307	)		(1,097	)
	30		Other expenses			(713	)		(5,237	)		(3,151	)
	31	Non-interest expense				(2,932	)		(7,195	)		(5,753	)
	32	Loss before income tax benefit (expense)				(14,882	)		(22,384	)		(44,564	)
	33	Income tax benefit (expense)				856			830			(5,552	)
	34	Net loss				(14,026	)		(21,554	)		(50,116	)
	35		Less: Net (income) loss attributable to noncontrolling interest			1			1			(3	)
	36	Net loss attributable to Freddie Mac				(14,025	)		(21,553	)		(50,119	)
	37		Preferred stock dividends			(5,749	)		(4,105	)		(675	)
	38		Amount allocated to participating security option holders			—			—			(1	)
	39	Net loss attributable to common stockholders			$	(19,774	)	$	(25,658	)	$	(50,795	)
		Loss per common share:
	40		Basic		$	(6.09	)	$	(7.89	)	$	(34.60	)
	41		Diluted		$	(6.09	)	$	(7.89	)	$	(34.60	)
		Weighted average common shares outstanding (in thousands):
	42		Basic			3,249,369			3,253,836			1,468,062
	43		Diluted			3,249,369			3,253,836			1,468,062
	44	Dividends per common share			$	—		$	—		$	0.50

(1)  Our prospective adoption of the changes in the accounting standards related to transfers of financial assets and consolidation of VIEs significantly impacted the presentation of our financial statements. Consequently, our financial results for 2010 are not directly comparable to our financial results for 2009. See “NOTE 2: CHANGE IN ACCOUNTING PRINCIPLES” in ourForm 10-K for the year ended December 31, 2010 for further information.

2

FREDDIE MAC
CONSOLIDATED BALANCE SHEETS⁽¹⁾

				December 31,
Line:				2010			2009
				(dollars in millions,
				except share-related amounts)
	Assets
1	Cash and cash equivalents (includes $1 at December 31, 2010 related to our consolidated VIEs)			$	37,012		$	64,683
2	Restricted cash and cash equivalents (includes $7,514 at December 31, 2010 related to our consolidated VIEs)				8,111			527
3	Federal funds sold and securities purchased under agreements to resell (includes $29,350 at December 31, 2010 related to our consolidated VIEs)				46,524			7,000
	Investments in securities:
4			Available-for-sale, at fair value (includes $817 and $10,879, respectively, pledged as collateral that may be repledged)		232,634			384,684
5			Trading, at fair value		60,262			222,250
6			Total investments in securities		292,896			606,934
	Mortgage loans:
		Held-for-investment, at amortized cost:
7			By consolidated trusts (net of allowances for loan losses of $11,644 at December 31, 2010)		1,646,172			—
8			Unsecuritized (net of allowances for loan losses of $28,047 and $1,441, respectively)		192,310			111,565
9			Total held-for-investment mortgage loans, net		1,838,482			111,565
10			Held-for-sale, at lower-of-cost-or-fair-value (includes $6,413 and $2,799 at fair value, respectively)		6,413			16,305
11			Total mortgage loans, net		1,844,895			127,870
12	Accrued interest receivable (includes $6,895 at December 31, 2010 related to our consolidated VIEs)				8,713			3,376
13	Derivative assets, net				143			215
14	Real estate owned, net (includes $118 at December 31, 2010 related to our consolidated VIEs)				7,068			4,692
15	Deferred tax assets, net				5,543			11,101
16	Other assets (includes $6,001 at December 31, 2010 related to our consolidated VIEs)				10,875			15,386
17		Total assets		$	2,261,780		$	841,784
	Liabilities and equity (deficit)
	Liabilities
18	Accrued interest payable (includes $6,502 at December 31, 2010 related to our consolidated VIEs)			$	10,286		$	5,047
	Debt, net:
19		Debt securities of consolidated trusts held by third parties			1,528,648			—
20		Other debt (includes $4,443 and $8,918 at fair value, respectively)			713,940			780,604
21		Total debt, net			2,242,588			780,604
22	Derivative liabilities, net				1,209			589
23	Other liabilities (includes $3,851 at December 31, 2010 related to our consolidated VIEs)				8,098			51,172
24		Total liabilities			2,262,181			837,412
25	Commitments and contingencies
	Equity (deficit)
	Freddie Mac stockholders’ equity (deficit)
26		Senior preferred stock, at redemption value			64,200			51,700
27		Preferred stock, at redemption value			14,109			14,109
28		Common stock, $0.00 par value, 4,000,000,000 shares authorized, 725,863,886 shares issued and 649,179,789 shares and 648,369,668 shares outstanding, respectively			—			—
29		Additional paid-in capital			7			57
30		Retained earnings (accumulated deficit)			(62,733	)		(33,921	)
		Accumulated other comprehensive income (loss), or AOCI, net of taxes, related to:
31			Available-for-sale securities (includes $10,740 and $15,947, respectively, net of taxes, of other-than-temporary impairments)		(9,678	)		(20,616	)
32			Cash flow hedge relationships		(2,239	)		(2,905	)
33			Defined benefit plans		(114	)		(127	)
34			Total AOCI, net of taxes		(12,031	)		(23,648	)
35		Treasury stock, at cost, 76,684,097 shares and 77,494,218 shares, respectively			(3,953	)		(4,019	)
36			Total Freddie Mac stockholders’ equity (deficit)		(401	)		4,278
37	Noncontrolling interest				—			94
38		Total equity (deficit)			(401	)		4,372
39		Total liabilities and equity (deficit)		$	2,261,780		$	841,784

(1)  Our prospective adoption of the changes in the accounting standards related to transfers of financial assets and consolidation of VIEs significantly impacted the presentation of our financial statements. Consequently, our financial results for 2010 are not directly comparable to our financial results for 2009. See “NOTE 2: CHANGE IN ACCOUNTING PRINCIPLES” in our Form 10-K for the year ended December 31, 2010 for further information.

3

FREDDIE MAC
CONSOLIDATED STATEMENTS OF EQUITY (DEFICIT)

			Year Ended December 31,
			2010					2009						2008
Line:			Shares		Amount			Shares			Amount			Shares			Amount
			(in millions)
		Senior preferred stock, at redemption value
	1	Balance, beginning of year		1	$	51,700			1		$	14,800			—		$	—
	2	Senior preferred stock issuance		—		—			—			—			1			1,000
	3	Increase in liquidation preference		—		12,500			—			36,900			—			13,800
	4	Senior preferred stock, end of year		1		64,200			1			51,700			1			14,800
		Preferred stock, at redemption value
	5	Balance, beginning of year		464		14,109			464			14,109			464			14,109
	6	Preferred stock, end of year		464		14,109			464			14,109			464			14,109
		Common stock, par value
	7	Balance, beginning of year		726		—			726			—			726			152
	8	Adjustment to par value		—		—			—			—			—			(152	)
	9	Common stock, end of year		726		—			726			—			726			—
		Additional paid-in capital
	10	Balance, beginning of year				57						19						871
	11	Stock-based compensation				24						58						74
	12	Income tax benefit from stock-based compensation				1						7						(16	)
	13	Common stock issuances				(67	)					(90	)					(66	)
	14	Noncontrolling interest purchase				(31	)					—						4
	15	Adjustment to common stock par value				—						—						152
	16	Common stock warrant issuance				—						—						2,304
	17	Commitment from the U.S. Department of the Treasury				—						—						(3,304	)
	18	Transfer from retained earnings (accumulated deficit)				23						63						—
	19	Additional paid-in capital, end of year				7						57						19
		Retained earnings (accumulated deficit)
	20	Balance, beginning of year				(33,921	)					(23,191	)					26,909
	21	Cumulative effect of change in accounting principle				(9,011	)					—						1,023
	22	Balance, beginning of year, as adjusted				(42,932	)					(23,191	)					27,932
	23	Cumulative effect of change in accounting principle				—						14,996						—
	24	Net loss attributable to Freddie Mac				(14,025	)					(21,553	)					(50,119	)
	25	Senior preferred stock dividends declared				(5,749	)					(4,105	)					(172	)
	26	Preferred stock dividends declared				—						—						(503	)
	27	Common stock dividends declared				—						—						(323	)
	28	Dividend equivalent payments on expired stock options				(4	)					(5	)					(6	)
	29	Transfer to additional paid-in capital				(23	)					(63	)					—
	30	Retained earnings (accumulated deficit), end of year				(62,733	)					(33,921	)					(23,191	)
		AOCI, net of taxes
	31	Balance, beginning of year				(23,648	)					(32,357	)					(11,143	)
	32	Cumulative effect of change in accounting principle				(2,690	)					—						(850	)
	33	Balance, beginning of year, as adjusted				(26,338	)					(32,357	)					(11,993	)
	34	Cumulative effect of change in accounting principle				—						(9,931	)					—
	35	Changes in unrealized gains (losses) related toavailable-for-sale securities, net of reclassification adjustments				13,621						17,825						(20,616	)
	36	Changes in unrealized gains (losses) related to cash flow hedge relationships, net of reclassification adjustments				673						773						377
	37	Changes in defined benefit plans				13						42						(125	)
	38	AOCI, net of taxes, end of year				(12,031	)					(23,648	)					(32,357	)
		Treasury stock, at cost
	39	Balance, beginning of year		77		(4,019	)		79			(4,111	)		80			(4,174	)
	40	Common stock issuances		—		66			(2	)		92			(1	)		63
	41	Treasury stock, end of year		77		(3,953	)		77			(4,019	)		79			(4,111	)
		Noncontrolling interest
	42	Balance, beginning of year				94						97						181
	43	Cumulative effect of change in accounting principle				(2	)					—						—
	44	Balance, beginning of year, as adjusted				92						97						181
	45	Net income (loss) attributable to noncontrolling interest				(1	)					(1	)					3
	46	Noncontrolling interest purchase				(89	)					—						(82	)
	47	Dividends and other				(2	)					(2	)					(5	)
	48	Noncontrolling interest, end of year				—						94						97
	49	Total equity (deficit)			$	(401	)				$	4,372					$	(30,634	)
		Comprehensive income (loss)
	50	Net loss			$	(14,026	)				$	(21,554	)				$	(50,116	)
	51	Changes in other comprehensive income (loss), net of taxes, net of reclassification adjustments				14,307						18,640						(20,364	)
	52	Comprehensive income (loss)				281						(2,914	)					(70,480	)
	53	Less: Comprehensive (income) loss attributable to noncontrolling interest				1						1						(3	)
	54	Total comprehensive income (loss) attributable to Freddie Mac			$	282					$	(2,913	)				$	(70,483	)

4

FREDDIE MAC
TABLE 1A — NET INTEREST YIELD ANALYSIS⁽¹⁾ (unaudited) (dollars in millions)

														Full-Year
		1Q 2010			2Q 2010			3Q 2010			4Q 2010			2009			2010
	Net Interest Income:
1	Net interest income	$	4,125		$	4,136		$	4,279		$	4,316		$	17,073		$	16,856
	Average Balances(2):
2	Cash and cash equivalents	$	66,973		$	45,879		$	43,171		$	39,190		$	55,764		$	48,803
3	Federal funds sold and securities purchased under agreements to resell		51,645			37,238			51,439			46,633			28,524			46,739
	Mortgage-related securities:
4	Mortgage-related securities(3)		593,512			540,380			500,500			472,598			675,167			526,748
5	Extinguishment of PCs held by Freddie Mac		(256,951	)		(220,350	)		(195,890	)		(180,452	)		—			(213,411	)
6	Total mortgage-related securities, net		336,561			320,030			304,610			292,146			675,167			313,337
7	Non-mortgage-related securities		20,189			32,571			28,631			30,590			16,471			27,995
8	Mortgage loans held by consolidated trusts(3)(4)		1,787,327			1,729,618			1,706,329			1,666,274			—			1,722,387
9	Unsecuritized mortgage loans(4)		159,780			212,919			221,442			230,324			127,429			206,116
10	Total interest-earning assets		2,422,475			2,378,255			2,355,622			2,305,157			903,355			2,365,377
	Debt securities of consolidated trusts:
11	Debt securities of consolidated trusts including PCs held by Freddie Mac(3)		1,801,525			1,739,519			1,723,095			1,689,180			—			1,738,330
12	Extinguishment of PCs held by Freddie Mac		(256,951	)		(220,350	)		(195,890	)		(180,452	)		—			(213,411	)
13	Total debt securities of consolidated trusts held by third parties		1,544,574			1,519,169			1,527,205			1,508,728			—			1,524,919
	Other debt:(3)
14	Short-term debt		242,938			226,624			207,673			201,381			287,259			219,654
15	Long-term debt		556,907			561,353			542,842			512,123			557,184			543,306
16	Total other debt		799,845			787,977			750,515			713,504			844,443			762,960
17	Total interest-bearing liabilities		2,344,419			2,307,146			2,277,720			2,222,232			844,443			2,287,879
18	Net non-interest-bearing funding		78,056			71,109			77,902			82,925			58,912			77,498
19	Total funding of interest-earning assets	$	2,422,475		$	2,378,255		$	2,355,622		$	2,305,157		$	903,355		$	2,365,377
	Yield/Cost:
20	Cash and cash equivalents		0.10	%		0.15	%		0.21	%		0.18	%		0.35	%		0.16	%
21	Federal funds sold and securities purchased under agreements to resell		0.12			0.18			0.19			0.19			0.17			0.17
	Mortgage-related securities:
22	Mortgage-related securities		4.91			4.76			4.84			4.74			4.82			4.82
23	Extinguishment of PCs held by Freddie Mac		(5.36	)		(5.29	)		(5.19	)		(5.06	)		—			(5.24	)
24	Total mortgage-related securities, net		4.56			4.40			4.62			4.54			4.82			4.53
25	Non-mortgage-related securities		1.21			0.67			0.59			0.43			4.42			0.68
26	Mortgage loans held by consolidated trusts		5.09			5.11			5.03			4.89			—			5.03
27	Unsecuritized mortgage loans		4.91			4.09			4.16			3.96			5.35			4.23
28	Yield on total interest-earning assets		4.73			4.69			4.65			4.52			4.47			4.65
	Debt securities of consolidated trusts:
29	Debt securities of consolidated trusts including PCs held by Freddie Mac		(5.13	)		(5.05	)		(4.94	)		(4.76	)		—			(4.97	)
30	Extinguishment of PCs held by Freddie Mac		5.36			5.29			5.19			5.06			—			5.24
31	Total debt securities of consolidated trusts held by third parties		(5.09	)		(5.02	)		(4.90	)		(4.72	)		—			(4.93	)
	Other debt:
32	Short-term debt		(0.23	)		(0.24	)		(0.27	)		(0.25	)		(0.78	)		(0.25	)
33	Long-term debt		(3.20	)		(3.08	)		(2.94	)		(2.78	)		(3.57	)		(3.01	)
34	Total other debt		(2.30	)		(2.27	)		(2.20	)		(2.07	)		(2.62	)		(2.22	)
35	Cost of interest-bearing liabilities		(4.14	)		(4.08	)		(4.01	)		(3.87	)		(2.62	)		(4.03	)
36	Income (expense) related to derivatives		(0.04	)		(0.04	)		(0.04	)		(0.04	)		(0.13	)		(0.04	)
37	Impact of net non-interest-bearing funding		0.13			0.13			0.13			0.14			0.17			0.13
38	Total funding of interest-earning assets		(4.05	)		(3.99	)		(3.92	)		(3.77	)		(2.58	)		(3.94	)
39	Net interest yield		0.68			0.70			0.73			0.75			1.89			0.71

(1)	Our prospective adoption of the changes in the accounting standards related to transfers of financial assets and consolidation of VIEs significantly impacted the presentation of our financial results. Consequently, our financial results for 2010 are not directly comparable to our financial results for 2009. See “NOTE 2: CHANGE IN ACCOUNTING PRINCIPLES” in our Form 10-K for the year ended December 31, 2010 for further information.
(2)	We calculate average balances based on their amortized cost.
(3)	When we purchase multiclass REMICs and Other Structured Securities, we record them as investments in debt securities. Interest income from the investments in debt securities is recognized as well as the interest income from the mortgage loans backing the PCs held by the trusts, which underlie multiclass REMICs and Other Structured Securities. Additionally, the interest expense from the unsecured debt issued to purchase the security is recognized along with the interest expense of the debt issued to third parties of the PC trusts we consolidate which underlie multiclass REMICs and Other Structured Securities.
(4)	Non-performing loans, where interest income is generally recognized when collected, are included in average balances.

5

FREDDIE MAC
TABLE 1B — NET INTEREST INCOME⁽¹⁾ (unaudited) (dollars in millions)

																	Full-Year
					1Q 2010			2Q 2010			3Q 2010			4Q 2010			2009			2010
	Net Interest Income:
1	Contractual amounts of net interest income(2)				$	4,457		$	4,534		$	4,353		$	4,340		$	18,907		$	17,684
	Amortization income (expense), net:(3)
2		Accretion of impairments on available-for-sale securities(4)				79			83			161			69			1,180			392
		Asset-related amortization expense, net:
3			Mortgage loans held by consolidated trusts			(9	)		(49	)		(202	)		(452	)		—			(712	)
4			Unsecured mortgage loans			75			85			84			67			233			311
5			Mortgage-related securities			(31	)		(160	)		(50	)		(31	)		(1,345	)		(272	)
6			Other assets			8			14			14			—			30			36
7				Asset-related amortization expense, net		43			(110	)		(154	)		(416	)		(1,082	)		(637	)
		Debt-related amortization expense, net:
8			Debt securities of consolidated trusts			13			97			331			711			—			1,152
9			Other long-term debt securities			(209	)		(219	)		(174	)		(164	)		(809	)		(766	)
10				Debt-related amortization expense, net		(196	)		(122	)		157			547			(809	)		386
11				Total amortization income (expense), net		(74	)		(149	)		164			200			(711	)		141
12	Expense related to derivatives(5)					(258	)		(249	)		(238	)		(224	)		(1,123	)		(969	)
13	Net interest income					4,125			4,136			4,279			4,316			17,073			16,856
14	Provision for credit losses(6)					(5,396	)		(5,029	)		(3,727	)		(3,066	)		(29,530	)		(17,218	)
15	Net interest income (loss) after provision for credit losses				$	(1,271	)	$	(893	)	$	552		$	1,250		$	(12,457	)	$	(362	)

(1)	Our prospective adoption of the changes in accounting standards related to transfers of financial assets and consolidation of VIEs significantly impacted the presentation of our financial results. Consequently, our financial results for 2010 are not directly comparable to our financial results for 2009. See “NOTE 2: CHANGE IN ACCOUNTING PRINCIPLES” in ourForm 10-K for the year ended December 31, 2010 for further information.
(2)	Includes the reversal of interest income accrued, net of interest received on a cash basis related to mortgage loans that are on non-accrual status.
(3)	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.
(4)	The portion of the impairment charges recognized in earnings expected to be recovered is recognized as net interest income. Upon our adoption of an amendment to the accounting standards for investments in debt and equity securities on April 1, 2009, previously recognized non-credit-related other-than-temporary impairments are no longer accreted into net interest income.
(5)	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 affects earnings.
(6)	Results for the second quarter of 2010 include the correction of an error. The cumulative effect of this error was recorded as a $1.3 billion pre-tax correction in the second quarter of 2010, which included a $1.0 billion pre-tax cumulative effect of this error associated with the year ended December 31, 2009. For further details related to this out-of-period accounting adjustment, see “NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES” in ourForm 10-K for the year ended December 31, 2010.

6

FREDDIE MAC
TABLE 2 — NON-INTEREST INCOME (LOSS)⁽¹⁾ (unaudited) (dollars in millions)

																	Full Year
				1Q 2010			2Q 2010			3Q 2010			4Q 2010				2009			2010
	Non-Interest Income (Loss):
1	Gains (losses) on extinguishment of debt securities of consolidated trusts			$	(98	)	$	4		$	(66	)	$	(4	)		$	—		$	(164	)
2	Gains (losses) on retirement of other debt				(38	)		(141	)		(50	)		10				(568	)		(219	)
	Gains (losses) on debt recorded at fair value:
3		Translation gains (losses)			321			491			(386	)		35				(209	)		461
4		Market value adjustments			26			53			20			20				(195	)		119
																��
5			Total gains (losses) on debt recorded at fair value		347			544			(366	)		55				(404	)		580
	Derivative gains (losses):
		Foreign-currency denominated derivatives gains (losses):
6			Foreign-currency swaps gains (losses)		(331	)		(484	)		382			(35	)			138			(468	)
7			Receive-fixed swaps — foreign-currency denominated gains (losses)		(8	)		(57	)		(31	)		(23	)			64			(119	)
8		U.S. dollar denominated derivative gains (losses)			(2,997	)		(2,086	)		(536	)		2,615				1,841			(3,004	)
9		Accrual of periodic settlements			(1,349	)		(1,211	)		(945	)		(989	)			(3,943	)		(4,494	)
10			Total derivative gains (losses)		(4,685	)		(3,838	)		(1,130	)		1,568				(1,900	)		(8,085	)
11	Total other-than-temporary impairment of available-for-sale securities				(417	)		(114	)		(523	)		(724	)			(23,125	)		(1,778	)
12	Portion of other-than-temporary impairment recognized in AOCI				(93	)		(314	)		(577	)		(1,546	)			11,928			(2,530	)
13		Net impairment of available-for-sale securities recognized in earnings			(510	)		(428	)		(1,100	)		(2,270	)			(11,197	)		(4,308	)
	Other gains (losses) on investment securities recognized in earnings:
14		Gains (losses) on trading securities			(417	)		(277	)		(561	)		(84	)			4,882			(1,339	)
15		Gains (losses) on sale of available-for-sale securities			1			20			58			8				1,083			87
16			Total other gains (losses) on investment securities recognized in earnings		(416	)		(257	)		(503	)		(76	)			5,965			(1,252	)
	Other income (loss):
17		Management and guarantee income			35			37			35			36				3,033			143
18		Gains (losses) on guarantee asset			(12	)		(13	)		(11	)		(25	)			3,299			(61	)
19		Income on guarantee obligation			36			36			34			29				3,479			135
20		Gains (losses) on sale of mortgage loans			95			121			28			23				745			267
21		Fair value adjustments to mortgage loans(2)			21			5			128			(403	)			(869	)		(249	)
22		Recoveries on loans impaired upon purchase			169			227			247			163				379			806
23		Low-income housing tax credit partnerships(3)			—			—			—			—				(4,155	)		—
24		Trust management income (expense)			—			—			—			—				(761	)		—
25		All other			202			76			108			433				222			819
26			Total other income (loss)		546			489			569			256				5,372			1,860
27			Total non-interest income (loss)	$	(4,854	)	$	(3,627	)	$	(2,646	)	$	(461	)		$	(2,732	)	$	(11,588	)

(1)	Our prospective adoption of the changes in the accounting standards related to transfers of financial assets and consolidation of VIEs significantly impacted the presentation of our financial results. Consequently, our financial results for 2010 are not directly comparable to our financial results for 2009. See “NOTE 2: CHANGE IN ACCOUNTING PRINCIPLES” in ourForm 10-K for the year ended December 31, 2010 for further information.
(2)	Includes lower of cost or fair value adjustments on available-for-sale mortgage loans.
(3)	During the fourth quarter of 2009, we determined that we were no longer able to realize any value from our LIHTC investments, and accordingly, wrote down the carrying value of these investments to zero as of December 31, 2009.

7

FREDDIE MAC
TABLE 3 — NON-INTEREST EXPENSE⁽¹⁾ (unaudited) (dollars in millions)

											Full Year
		1Q 2010		2Q 2010			3Q 2010		4Q 2010		2009		2010
	Non-Interest Expense:
	Administrative expenses:
1	Salaries and employee benefits	$	234	$	230		$	224	$	207	$	912	$	895
2	Professional services		71		50			60		65		310		246
3	Occupancy expense		16		15			16		17		68		64
4	Other administrative expenses		74		92			76		99		361		341
5	Total administrative expenses		395		387			376		388		1,651		1,546
6	Real estate owned, or REO, operations (income) expense		159		(40	)		337		217		307		673
	Other expenses:
7	Losses on loans purchased		17		3			3		2		4,754		25
8	All other		96		129			112		351		483		688
9	Total other expenses		113		132			115		353		5,237		713
10	Total non-interest expense	$	667	$	479		$	828	$	958	$	7,195	$	2,932

(1)  Our prospective adoption of the changes in the accounting standards related to transfers of financial assets and consolidation of VIEs significantly impacted the presentation of our financial results. Consequently, our financial results for 2010 are not directly comparable to our financial results for 2009. See “NOTE 2: CHANGE IN ACCOUNTING PRINCIPLES” in ourForm 10-K for the year ended December 31, 2010 for further information.

8

FREDDIE MAC
TABLE 4 — CREDIT QUALITY INDICATORS (unaudited) (dollars in millions)

																										Full Year
		1Q 2009			2Q 2009			3Q 2009			4Q 2009			1Q 2010			2Q 2010			3Q 2010			4Q 2010			2009			2010
	Credit Enhancements:
1	Credit-enhanced percentage of mortgage loan portfolio purchases		8	%		6	%		7	%		11	%		13	%		8	%		8	%		6	%		8	%		9	%
2	Credit-enhanced percentage of mortgage loan portfolio(1) (period end)		17	%		17	%		16	%		16	%		16	%		16	%		15	%		15	%		16	%		15	%
	Delinquencies Rates: at period end(2)(3)
	Single-family:
3	Non-credit-enhanced		1.75	%		2.15	%		2.58	%		3.02	%		3.18	%		3.08	%		2.97	%		3.01	%		3.02	%		3.01	%
4	Credit-enhanced		5.37	%		6.33	%		7.47	%		8.68	%		8.87	%		8.50	%		8.13	%		8.27	%		8.68	%		8.27	%
5	Total Single-family		2.41	%		2.89	%		3.43	%		3.98	%		4.13	%		3.96	%		3.80	%		3.84	%		3.98	%		3.84	%
	Multifamily:
6	Non-credit-enhanced		0.07	%		0.05	%		0.03	%		0.07	%		0.13	%		0.10	%		0.18	%		0.12	%		0.07	%		0.12	%
7	Credit enhanced		0.39	%		0.92	%		0.96	%		1.03	%		0.72	%		0.78	%		0.86	%		0.85	%		1.03	%		0.85	%
8	Total Multifamily		0.11	%		0.16	%		0.15	%		0.20	%		0.22	%		0.22	%		0.31	%		0.26	%		0.20	%		0.26	%
	Single-family loan workouts(3)(4) (number of units):
9	Loan modifications		24,623			15,603			9,013			15,805			44,228			49,562			39,284			37,203			65,044			170,277
10	Repayment plans		10,459			7,409			7,728			8,129			8,761			7,455			7,030			7,964			33,725			31,210
11	Forbearance agreements		1,448			1,421			2,979			8,780			8,858			12,815			6,976			5,945			14,628			34,594
12	Short sales and deed-in-lieu transactions(5)		2,732			4,259			5,695			6,533			7,064			9,542			10,472			12,097			19,219			39,175
13	Total single-family loan workouts		39,262			28,692			25,415			39,247			68,911			79,374			63,762			63,209			132,616			275,256
	Non-performing assets(3) (at period end):
14	Non-performing mortgage loans	$	59,169		$	72,405		$	86,896		$	100,292		$	111,802		$	113,717		$	114,846		$	118,337		$	100,292		$	118,337
15	REO assets, net		2,948			3,416			4,234			4,692			5,468			6,298			7,511			7,068			4,692			7,068
16	Total non-performing assets	$	62,117		$	75,821		$	91,130		$	104,984		$	117,270		$	120,015		$	122,357		$	125,405		$	104,984		$	125,405
	REO Operations Income (Expense):
17	Single-family	$	(306	)	$	(1	)	$	98		$	(78	)	$	(156	)	$	41		$	(337	)	$	(224	)	$	(287	)	$	(676	)
18	Multifamily		—			(8	)		(2	)		(10	)		(3	)		(1	)		—			7			(20	)		3
19	Total	$	(306	)	$	(9	)	$	96		$	(88	)	$	(159	)	$	40		$	(337	)	$	(217	)	$	(307	)	$	(673	)
	Loan Loss Reserves:(6)
20	Beginning balance	$	15,618		$	22,802		$	25,787		$	30,564		$	33,857		$	36,811		$	38,319		$	38,596		$	15,618		$	33,857
21	Adjustments to beginning balance(7)		—			—			—			—			(186	)		—			—			—			—			(186	)
22	Provision for credit losses(8)		8,915			5,665			7,973			6,977			5,396			5,029			3,727			3,066			29,530			17,218
23	Charge-offs — single-family, net		(972	)		(1,840	)		(2,155	)		(2,326	)		(2,634	)		(3,748	)		(3,723	)		(2,751	)		(7,293	)		(12,856	)
24	Charge-offs — multifamily, net		(2	)		(2	)		(15	)		(2	)		(18	)		(27	)		(23	)		(35	)		(21	)		(103	)
25	Transfers, net		(757	)		(838	)		(1,026	)		(1,356	)		396			254			296			1,050			(3,977	)		1,996
26	Ending balance	$	22,802		$	25,787		$	30,564		$	33,857		$	36,811		$	38,319		$	38,596		$	39,926		$	33,857		$	39,926
	Total Credit Losses:(9)
27	Total credit losses	$	1,320		$	1,916		$	2,156		$	2,509		$	2,928		$	3,879		$	4,239		$	3,114		$	7,901		$	14,160
28	Annualized credit losses / average mortgage loan portfolio(10)		27.7 bps			39.8 bps			44.3 bps			51.1 bps			59.5 bps			79.1 bps			87.0 bps			65.1 bps			40.8 bps			72.7 bps

(1)	Based on the total mortgage portfolio, non-Freddie Mac mortgage-related securities and that portion of REMICs and Other Structured Securities that is backed by Ginnie Mae Certificates.
(2)	Single-family delinquencies are based on the number of loans three monthly payments or more delinquent or in foreclosure while multifamily delinquencies are based on UPB of loans two monthly payments or more delinquent or in foreclosure. Delinquencies exclude 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. We revised our delinquency rates during 2010 to: (a) reflect Other Guarantee Transactions and (b) to exclude multifamily borrowers who have entered into a forbearance agreement and are abiding by the terms of the agreement, but had been previously included in our multifamily delinquency rates. Prior periods have been revised to conform with current presentation. See “MD&A — RISK MANAGEMENT — Credit Risk —Mortgage Credit Risk — Credit Performance —Delinquencies” in our 2010 Form 10-K for the year ended December 31, 2010, for further information about our reported delinquency rates.
(3)	Based on loans held by us on our consolidated balance sheet as well as those underlying Freddie Mac issued mortgage-related securities and other guarantee commitments.
(4)	Represents completed activities and excludes those modification, repayment and forbearance activities for which the borrower has started the required process, but the actions have not been made permanent, or effective, such as loans in the trial period under HAMP. These categories are not mutually exclusive and a loan in the category may also be included within another category. Many borrowers complete a short-term forbearance agreement before one of the other alternatives is pursued or completed. We only report activity for a single loan in the forbearance category during each quarterly period; however, a single loan may be reported in the forbearance category in separate periods. For more information on our loan workout activities see “MD&A — CREDIT RISKS — Portfolio Management Activities — Loan Workout Activities” in our 2010Form 10-K for the year ended December 31, 2010.
(5)	In the third quarter of 2010, we began to exclude third-party sales at foreclosure auctions. Prior period amounts have been revised to conform to the current period presentation.
(6)	Loan loss reserves equals the sum of allowance for loan losses (consolidated balance sheets — Lines 7 and 8) and reserve for guarantee losses, which is now a component of Other liabilities (Line 23). See “NOTE 23: SELECTED FINANCIAL STATEMENT LINE ITEMS” in ourForm 10-K for the year ended December 31, 2010 for additional information. Results for the second quarter of 2010 include the correction of an error. The cumulative effect of this error was recorded as a $1.3 billion pre-tax correction in the second quarter of 2010, which included a $1.0 billion pre-tax cumulative effect of this error associated with the year ended December 31, 2009. For further details related to this out-of-period accounting adjustment, see “NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES” in ourForm 10-K for the year ended December 31, 2010.
(7)	Adjustments relate to the adoption of amendments to the accounting standards for transfers of financial assets and consolidation of VIEs, which we implemented on January 1, 2010.
(8)	Provision for credit losses includes our provision for losses incurred on our loans held for investment, and our provision for guarantee losses incurred on loans underlying non-consolidated Freddie Mac issued mortgage-related securities and other guarantee commitments.
(9)	Equal to REO operations income (expense) (Line 19) plus Charge-offs, net (Lines 23 and 24) plus amounts previously transferred to reduce the carrying value of loans purchased under financial guarantees. The previously transferred reserves totaled $528 million and $280 million for the year ended December 31, 2010 and 2009, respectively. Excludes other market-based credit losses recognized on our consolidated statements of operations, including losses on loans purchased and other than temporary impairments on our mortgage-related securities.
(10)	Calculated based on the average total mortgage portfolio, excluding non-Freddie Mac mortgage-related securities and that portion of REMICs and Other Structured Securities that is backed by Ginnie Mae Certificates.

9

FREDDIE MAC
TABLE 5 — SINGLE-FAMILY NON-CREDIT-ENHANCED SERIOUS DELINQUENCY AND FORECLOSURE ACTIVITY BY REGION⁽¹⁾ (unaudited)

			4Q 2009				1Q 2010				2Q 2010					3Q 2010				4Q 2010
			Number of Loans				Number of Loans				Number of Loans					Number of Loans				Number of Loans
			(in thousands)		Percentage(3)		(in thousands)		Percentage(3)		(in thousands)			Percentage(3)		(in thousands)		Percentage(3)		(in thousands)		Percentage(3)
	Northeast(2)
1		Total number of loans		2,397				2,408				2,404					2,372				2,341
2		Delinquent three or more payments		31		1.30%		34		1.39%		31			1.27%		27		1.16%		26		1.10%
3		Foreclosures approved and in-process		25		1.04%		27		1.13%		28			1.18%		31		1.29%		34		1.45%
4		Total seriously delinquent loans		56		2.34%		61		2.52%		59			2.45%		58		2.45%		60		2.55%
	Southeast(2)
5		Total number of loans		2,001				2,001				1,991					1,960				1,941
6		Delinquent three or more payments		35		1.75%		35		1.73%		33			1.67%		28		1.43%		26		1.34%
7		Foreclosures approved and in-process		49		2.42%		53		2.67%		54			2.71%		55		2.83%		59		3.04%
8		Total seriously delinquent loans		84		4.17%		88		4.40%		87			4.38%		83		4.26%		85		4.38%
	North Central(2)
9		Total number of loans		2,280				2,284				2,271					2,235				2,218
10		Delinquent three or more payments		26		1.13%		26		1.14%		24			1.03%		20		0.88%		18		0.79%
11		Foreclosures approved and in-process		25		1.11%		27		1.18%		27			1.21%		29		1.28%		31		1.41%
12		Total seriously delinquent loans		51		2.24%		53		2.32%		51			2.24%		49		2.16%		49		2.20%
	Southwest(2)
13		Total number of loans		1,401				1,407				1,400					1,375				1,359
14		Delinquent three or more payments		11		0.76%		11		0.76%		9			0.69%		9		0.62%		8		0.56%
15		Foreclosures approved and in-process		8		0.56%		9		0.63%		9	��		0.62%		9		0.65%		10		0.73%
16		Total seriously delinquent loans		19		1.32%		20		1.39%		18			1.31%		18		1.27%		18		1.29%
	West(2)
17		Total number of loans		2,307				2,329				2,332					2,301				2,276
18		Delinquent three or more payments		56		2.45%		60		2.60%		56			2.39%		47		2.04%		41		1.80%
19		Foreclosures approved and in-process		47		2.06%		50		2.13%		49			2.10%		50		2.18%		53		2.32%
20		Total seriously delinquent loans		103		4.51%		110		4.73%		105			4.49%		97		4.22%		94		4.12%
	Total(1)
21		Total number of loans		10,386				10,429				10,398					10,246				10,139
22		Delinquent three or more payments		159		1.53%		166		1.59%		153			1.47%		131		1.28%		119		1.16%
23		Foreclosures approved and in-process		154		1.49%		166		1.59%		167			1.61%		174		1.70%		187		1.85%
24		Total seriously delinquent loans		313		3.02%		332		3.18%		320			3.08%		305		2.97%		306		3.01%

(1)	Includes single-family non-credit-enhanced mortgage loans in our single-family credit guarantee portfolio, but regional data excludes certain Other Guarantee Transactions for which the regional data is not available.
(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; however, these may not recalculate since the number of loans presented on this table have been rounded, in thousands.

10

FREDDIE MAC
TABLE 6 — REAL ESTATE OWNED (REO) ACTIVITY (unaudited)

		1Q 2010			2Q 2010			3Q 2010			4Q 2010			Full Year 2010
	Property Units, by Region:(1)
	Northeast
1	Beginning Balance		4,619			5,460			6,316			7,726			4,619
2	Adjustment to beginning balance(2)		109			—			—			—			109
3	Properties Acquired		2,644			3,086			3,673			1,619			11,022
4	Properties Disposed		(1,912	)		(2,230	)		(2,263	)		(2,085	)		(8,490	)
5	Ending Property Inventory		5,460			6,316			7,726			7,260			7,260
	Southeast
6	Beginning Balance		8,749			11,763			14,483			18,334			8,749
7	Adjustment to beginning balance(2)		242			—			—			—			242
8	Properties Acquired		8,034			9,594			11,301			6,480			35,409
9	Properties Disposed		(5,262	)		(6,874	)		(7,450	)		(6,496	)		(26,082	)
10	Ending Property Inventory		11,763			14,483			18,334			18,318			18,318
	North Central
11	Beginning Balance		13,648			16,212			18,393			21,369			13,648
12	Adjustment to beginning balance(2)		262			—			—			—			262
13	Properties Acquired		7,199			8,119			8,759			5,473			29,550
14	Properties Disposed		(4,897	)		(5,938	)		(5,783	)		(5,731	)		(22,349	)
15	Ending Property Inventory		16,212			18,393			21,369			21,111			21,111
	Southwest
16	Beginning Balance		4,561			5,367			6,156			7,910			4,561
17	Adjustment to beginning balance(2)		48			—			—			—			48
18	Properties Acquired		3,090			3,601			4,442			2,959			14,092
19	Properties Disposed		(2,332	)		(2,812	)		(2,688	)		(3,212	)		(11,044	)
20	Ending Property Inventory		5,367			6,156			7,910			7,657			7,657
	West
21	Beginning Balance		13,475			15,037			16,842			19,571			13,475
22	Adjustment to beginning balance(2)		679			—			—			—			679
23	Properties Acquired		8,449			10,267			10,881			7,246			36,843
24	Properties Disposed		(7,566	)		(8,462	)		(8,152	)		(9,070	)		(33,250	)
25	Ending Property Inventory		15,037			16,842			19,571			17,747			17,747
	Total
26	Beginning Balance		45,052			53,839			62,190			74,910			45,052
27	Adjustment to beginning balance(2)		1,340			—			—			—			1,340
28	Properties Acquired		29,416			34,667			39,056			23,777			126,916
29	Properties Disposed		(21,969	)		(26,316	)		(26,336	)		(26,594	)		(101,215	)
30	Ending Property Inventory		53,839			62,190			74,910			72,093			72,093
	REO Balance, Net (dollars in millions)
	Single-family property, by region(1):
31	Northeast	$	688		$	794		$	956		$	894		$	894
32	Southeast		1,002			1,234			1,538			1,500			1,500
33	North Central		1,217			1,406			1,628			1,574			1,574
34	Southwest		520			609			778			724			724
35	West		1,984			2,185			2,520			2,269			2,269
36	Total single-family property		5,411			6,228			7,420			6,961			6,961
37	Total multifamily property		57			70			91			107			107
38	Total REO Balance, Net	$	5,468		$	6,298		$	7,511		$	7,068		$	7,068

(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).
(2)	Represents REO assets associated with previously non-consolidated trusts recognized upon the adoption of the amendment to the accounting standards for transfers of financial assets and consolidation of VIEs, which we implemented on January 1, 2010.

11

FREDDIE MAC
TABLE 7A — SEGMENT EARNINGS — CONSOLIDATED⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)

																										Full-Year
		1Q 2009			2Q 2009			3Q 2009			4Q 2009			1Q 2010			2Q 2010			3Q 2010			4Q 2010			2009			2010
	Segment Earnings, net of taxes:
1	Investments	$	518		$	3,108		$	958		$	1,892		$	(1,313	)	$	(411	)	$	284		$	2,691		$	6,476		$	1,251
2	Single-family Guarantee		(10,291	)		(4,494	)		(6,494	)		(5,864	)		(5,596	)		(4,505	)		(3,138	)		(3,017	)		(27,143	)		(16,256	)
3	Multifamily		8			(12	)		(83	)		(424	)		221			150			381			213			(511	)		965
4	All Other		(567	)		106			(627	)		(3,152	)		—			53			(38	)		—			(4,240	)		15
5	Total Segment Earnings (loss), net of taxes		(10,332	)		(1,292	)		(6,246	)		(7,548	)		(6,688	)		(4,713	)		(2,511	)		(113	)		(25,418	)		(14,025	)
	Reconciliation to GAAP net income (loss):
6	Credit guarantee-related adjustments(3)		551			2,452			1,289			1,656			—			—			—			—			5,948			—
7	Tax-related adjustments		(194	)		(858	)		(451	)		(580	)		—			—			—			—			(2,083	)		—
8	Total reconciling items, net of taxes		357			1,594			838			1,076			—			—			—			—			3,865			—
9	Total net income (loss) attributable to Freddie Mac	$	(9,975	)	$	302		$	(5,408	)	$	(6,472	)	$	(6,688	)	$	(4,713	)	$	(2,511	)	$	(113	)	$	(21,553	)	$	(14,025	)
	Net interest yield — Segment Earnings (annualized):
10	Investments segment		104 bps			129 bps			86 bps			113 bps			74 bps			93 bps			106 bps			113 bps			108 bps			96 bps
11	Multifamily segment		56 bps			56 bps			63 bps			66 bps			65 bps			77 bps			80 bps			86 bps			60 bps			77 bps
	Management and guarantee income — Segment Earnings (annualized):
12	Single-family Guarantee segment		19.1 bps			19.3 bps			18.1 bps			18.1 bps			18.1 bps			18.5 bps			19.9 bps			22.0 bps			18.7 bps			19.6 bps
13	Multifamily segment		52.7 bps			53.0 bps			53.7 bps			53.8 bps			52.8 bps			49.6 bps			49.8 bps			48.6 bps			53.3 bps			50.1 bps
	Credit losses — Segment Earnings (annualized):
14	Single-family Guarantee segment		28.9 bps			41.7 bps			46.2 bps			53.6 bps			62.3 bps			82.8 bps			91.4 bps			68.0 bps			42.7 bps			76.2 bps
15	Multifamily segment		0.9 bps			4.3 bps			7.4 bps			4.6 bps			8.2 bps			10.4 bps			9.0 bps			10.7 bps			4.4 bps			9.6 bps

(1)	See “NOTE 17: SEGMENT REPORTING” in our Form10-K for the year ended December 31, 2010 for more information regarding Segment Earnings.
(2)	Beginning January 1, 2010, under our revised method, the sum of Segment Earnings for each segment and All Other category equals GAAP net income (loss) attributable to Freddie Mac.
(3)	Consists primarily of amortization and valuation adjustments related to the guarantee asset and guarantee obligation which are excluded from Segment Earnings and cash compensation exchanged at the time of securitization, excluding buy-up and buy-down fees, which is amortized into earnings. These reconciling items exist in periods prior to 2010 as the amendment to the accounting standards for transfers of financial assets and consolidation of VIEs was applied prospectively on January 1, 2010.

12

FREDDIE MAC
TABLE 7B — SEGMENT EARNINGS — INVESTMENTS SEGMENT⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)

																										Full-Year
		1Q 2009			2Q 2009			3Q 2009			4Q 2009			1Q 2010			2Q 2010			3Q 2010			4Q 2010			2009			2010
	Segment Earnings, net of taxes:
1	Net interest income	$	1,999		$	2,529		$	1,574		$	1,988		$	1,311		$	1,509		$	1,667		$	1,705		$	8,090		$	6,192
	Non-interest income (loss):
2	Net impairments of available-for-sale      securities		(6,414	)		(1,958	)		(1,004	)		(494	)		(376	)		(327	)		(934	)		(2,182	)		(9,870	)		(3,819	)
3	Derivative gains (losses)		1,164			3,522			(1,374	)		1,383			(2,702	)		(2,193	)		192			2,844			4,695			(1,859	)
4	Other non-interest income (loss)		2,452			(260	)		2,168			322			(22	)		294			(768	)		91			4,682			(405	)
5	Total non-interest income (loss)		(2,798	)		1,304			(210	)		1,211			(3,100	)		(2,226	)		(1,510	)		753			(493	)		(6,083	)
	Non-interest expense:
6	Administrative expenses		(121	)		(120	)		(130	)		(144	)		(122	)		(111	)		(110	)		(112	)		(515	)		(455	)
7	Other non-interest expense		(7	)		(8	)		(11	)		(7	)		(7	)		(6	)		(1	)		(4	)		(33	)		(18	)
8	Total non-interest expense		(128	)		(128	)		(141	)		(151	)		(129	)		(117	)		(111	)		(116	)		(548	)		(473	)
9	Segment adjustments		—			—			—			—			510			294			272			282			—			1,358
10	Segment Earnings (loss) before income tax (expense) benefit		(927	)		3,705			1,223			3,048			(1,408	)		(540	)		318			2,624			7,049			994
11	Income tax (expense) benefit		1,445			(597	)		(265	)		(1,155	)		97			129			(34	)		67			(572	)		259
12	Less: Net (income) loss — noncontrolling interest		—			—			—			(1	)		(2	)		—			—			—			(1	)		(2	)
13	Segment Earnings (loss), net of taxes	$	518		$	3,108		$	958		$	1,892		$	(1,313	)	$	(411	)	$	284		$	2,691		$	6,476		$	1,251
14	Net interest yield — Segment Earnings (annualized)		104 bps			129 bps			86 bps			113 bps			74 bps			93 bps			106 bps			113 bps			108 bps			96 bps

(1)	See “NOTE 17: SEGMENT REPORTING” in our Form10-K for the year ended December 31, 2010 for more information regarding Segment Earnings.
(2)	Under our revised method, Segment Earnings for the Investments segment equals GAAP net income (loss) attributable to Freddie Mac for the Investments segment.

13

FREDDIE MAC
TABLE 7C — SEGMENT EARNINGS — SINGLE-FAMILY GUARANTEE SEGMENT⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)

																										Full Year
		1Q 2009			2Q 2009			3Q 2009			4Q 2009			1Q 2010			2Q 2010			3Q 2010			4Q 2010			2009			2010
	Segment Earnings, net of taxes:
1	Net interest income	$	54		$	74		$	86		$	93		$	59		$	51		$	(4	)	$	(34	)	$	307		$	72
2	Provision for credit losses(3)		(8,963	)		(5,626	)		(7,922	)		(6,591	)		(6,041	)		(5,294	)		(3,980	)		(3,470	)		(29,102	)		(18,785	)
	Non-interest income:
3	Management and guarantee income		873			888			840			847			848			865			922			1,000			3,448			3,635
4	Other non-interest income		134			161			198			228			210			268			307			566			721			1,351
5	Total non-interest income		1,007			1,049			1,038			1,075			1,058			1,133			1,229			1,566			4,169			4,986
	Non-interest expense:
6	Administrative expenses		(201	)		(211	)		(246	)		(257	)		(219	)		(225	)		(212	)		(223	)		(915	)		(879	)
7	REO operations income (expense)		(306	)		(1	)		98			(78	)		(156	)		41			(337	)		(224	)		(287	)		(676	)
8	Other non-interest expense		(2,033	)		(1,228	)		(566	)		(1,061	)		(89	)		(107	)		(97	)		(336	)		(4,888	)		(629	)
9	Total non-interest expense		(2,540	)		(1,440	)		(714	)		(1,396	)		(464	)		(291	)		(646	)		(783	)		(6,090	)		(2,184	)
10	Segment adjustments		—			—			—			—			(213	)		(208	)		(245	)		(287	)		—			(953	)
11	Segment Earnings (loss) before income tax (expense) benefit		(10,442	)		(5,943	)		(7,512	)		(6,819	)		(5,601	)		(4,609	)		(3,646	)		(3,008	)		(30,716	)		(16,864	)
12	Income tax (expense) benefit		151			1,449			1,018			955			5			104			508			(9	)		3,573			608
13	Segment Earnings (loss), net of taxes	$	(10,291	)	$	(4,494	)	$	(6,494	)	$	(5,864	)	$	(5,596	)	$	(4,505	)	$	(3,138	)	$	(3,017	)	$	(27,143	)	$	(16,256	)
	Reconciliation to GAAP net income (loss):
14	Credit guarantee-related adjustments(4)	$	546		$	2,455		$	1,280		$	1,660		$	—		$	—		$	—		$	—		$	5,941		$	—
15	Tax-related adjustments		(192	)		(859	)		(448	)		(581	)		—			—			—			—			(2,080	)		—
16	Total reconciling items, net of taxes		354			1,596			832			1,079			—			—			—			—			3,861			—
17	Net income (loss) attributable to Freddie Mac	$	(9,937	)	$	(2,898	)	$	(5,662	)	$	(4,785	)	$	(5,596	)	$	(4,505	)	$	(3,138	)	$	(3,017	)	$	(23,282	)	$	(16,256	)
	Management and guarantee income — Segment Earnings:
18	Contractual management and guarantee fees (annualized rate)		14.4 bps			14.0 bps			13.6 bps			13.3 bps			13.3 bps			13.6 bps			13.5 bps			13.8 bps			13.9 bps			13.5 bps
19	Amortization of delivery fees (annualized rate)		4.7 bps			5.3 bps			4.5 bps			4.8 bps			4.8 bps			4.9 bps			6.4 bps			8.2 bps			4.8 bps			6.1 bps
20	Segment Earnings management and        guarantee income (annualized rate)		19.1 bps			19.3 bps			18.1 bps			18.1 bps			18.1 bps			18.5 bps			19.9 bps			22.0 bps			18.7 bps			19.6 bps
	Credit losses — Segment Earnings:
21	Annualized credit losses/average single-family credit guarantee portfolio		28.9 bps			41.7 bps			46.2 bps			53.6 bps			62.3 bps			82.8 bps			91.4 bps			68.0 bps			42.7 bps			76.2 bps

(1)	See “NOTE 17: SEGMENT REPORTING” in our Form10-K for the year ended December 31, 2010 for more information regarding Segment Earnings.
(2)	Beginning January 1, 2010, under our revised method, Segment Earnings for the Single-family Guarantee segment equals GAAP net income (loss) attributable to Freddie Mac for the Single-family Guarantee segment.
(3)	Results for the second quarter of 2010 include the correction of an error. The cumulative effect of this error was recorded as a $1.3 billion pre-tax correction in the second quarter of 2010, which included a $1.0 billion pre-tax cumulative effect of this error associated with the year ended December 31, 2009. For further details related to this out-of-period accounting adjustment, see “NOTE 1: SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES” in ourForm 10-K for the year ended December 31, 2010.
(4)	Consists primarily of amortization and valuation adjustments related to the guarantee asset and guarantee obligation which are excluded from Segment Earnings and cash compensation exchanged at the time of securitization, excluding buy-up and buy-down fees, which is amortized into earnings. These reconciling items exist in periods prior to 2010 as the amendment to the accounting standards for transfers of financial assets and consolidation of VIEs was applied prospectively on January 1, 2010.

14

FREDDIE MAC
TABLE 7D — SEGMENT EARNINGS — MULTIFAMILY SEGMENT⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)

																										Full Year
		1Q 2009			2Q 2009			3Q 2009			4Q 2009			1Q 2010			2Q 2010			3Q 2010			4Q 2010			2009			2010
	Segment Earnings, net of taxes:
1	Net interest income	$	195		$	198		$	224		$	239		$	238		$	278		$	290		$	308		$	856		$	1,114
2	Provision for credit losses		—			(57	)		(89	)		(428	)		(29	)		(119	)		(19	)		68			(574	)		(99	)
	Non-interest income (loss):
3	Management and guarantee income		21			23			22			24			24			25			25			27			90			101
4	Security impairments		—			—			(54	)		(83	)		(55	)		(17	)		(5	)		(19	)		(137	)		(96	)
5	Derivative gains (losses)		(31	)		—			—			4			5			(1	)		1			1			(27	)		6
6	Other non-interest income (loss)		(121	)		(94	)		(140	)		(107	)		108			55			185			(111	)		(462	)		237
7	Total non-interest income (loss)		(131	)		(71	)		(172	)		(162	)		82			62			206			(102	)		(536	)		248
	Non-interest expense:
8	Administrative expenses		(50	)		(52	)		(57	)		(62	)		(54	)		(51	)		(54	)		(53	)		(221	)		(212	)
9	REO operations income (expense)		—			(8	)		(2	)		(10	)		(3	)		(1	)		—			7			(20	)		3
10	Other non-interest expense		(5	)		(7	)		(5	)		(1	)		(17	)		(19	)		(17	)		(13	)		(18	)		(66	)
11	Total non-interest expense		(55	)		(67	)		(64	)		(73	)		(74	)		(71	)		(71	)		(59	)		(259	)		(275	)
12	Segment adjustments		—			—			—			—			—			—			—			—			—			—
13	Segment Earnings (loss) before income tax benefit		9			3			(101	)		(424	)		217			150			406			215			(513	)		988
14	LIHTC partnerships tax benefit		151			148			148			147			147			146			146			146			594			585
15	Income tax benefit (expense)		(152	)		(164	)		(131	)		(147	)		(146	)		(146	)		(171	)		(148	)		(594	)		(611	)
16	Less: Net (income) loss — noncontrolling interest		—			1			1			—			3			—			—			—			2			3
17	Segment Earnings, net of taxes	$	8		$	(12	)	$	(83	)	$	(424	)	$	221		$	150		$	381		$	213		$	(511	)	$	965
	Reconciliation to GAAP net income (loss):
18	Credit guarantee-related adjustments		5			(3	)		9			(4	)		—			—			—			—			7			—
19	Fair value-related adjustments(3)		—			—			(362	)		(3,399	)		—			—			—			—			(3,761	)		—
20	Tax-related adjustments		(2	)		1			123			1,191			—			—			—			—			1,313			—
21	Total reconciling items, net of taxes		3			(2	)		(230	)		(2,212	)		—			—			—			—			(2,441	)		—
22	Net income (loss) attributable to Freddie Mac	$	11		$	(14	)	$	(313	)	$	(2,636	)	$	221		$	150		$	381		$	213		$	(2,952	)	$	965
23	Net interest yield — Segment Earnings (annualized)		56 bps			56 bps			63 bps			66 bps			65 bps			77 bps			80 bps			86 bps			60 bps			77 bps
	Management and guarantee income — Segment Earnings:
24	Average contractual rate (annualized)(4)		52.7 bps			53.0 bps			53.7 bps			53.8 bps			52.8 bps			49.6 bps			49.8 bps			48.6 bps			53.3 bps			50.1 bps
	Credit losses — Segment Earnings:
25	Annualized credit losses/average multifamily mortgage portfolio		0.9 bps			4.3 bps			7.4 bps			4.6 bps			8.2 bps			10.4 bps			9.0 bps			10.7 bps			4.4 bps			9.6 bps

(1)	See “NOTE 17: SEGMENT REPORTING” in ourForm 10-K for the year ended December 31, 2010 for more information regarding Segment Earnings.
(2)	Beginning January 1, 2010, under our revised method, Segment Earnings for the Multifamily segment equals GAAP net income (loss) attributable to Freddie Mac for the Multifamily segment.
(3)	We wrote down the carrying value of our LIHTC investments to zero in our GAAP financial statements at December 31, 2009, as we will not be able to realize any value either though reductions to our taxable income and related tax liabilities or through a sale to a third party.
(4)	There are no credit fees associated with our multifamily guarantees; however, this rate excludes prepayment and certain other fees.

15