Federal Home Loan Mortgage (FMCC) 8-K Freddie Mac Reports Third Quarter 2011 Financial Results

Exhibit 99.2

FREDDIE MAC
THIRD QUARTER 2011 FINANCIAL RESULTS
FINANCIAL STATEMENTS AND CORE TABLES

TABLE OF CONTENTS

	GAAP Financial Statements	Page
	Consolidated Statements of Income and Comprehensive Income		2
	Consolidated Balance Sheets		3
Table	GAAP Financial Results
1A	Net Interest Yield Analysis		4
1B	Net Interest Income		5
2	Non-Interest Income (Loss)		6
3	Non-Interest Expense		7
4	Credit Quality Indicators		8
	Segment Earnings Results
5A	Segment Earnings — Consolidated		9
5B	Segment Earnings — Investments Segment		10
5C	Segment Earnings — Single-Family Guarantee Segment		11
5D	Segment Earnings — Multifamily Segment		12

FREDDIE MAC
CONSOLIDATED STATEMENTS OF INCOME AND COMPREHENSIVE INCOME
(unaudited)

					Three Months Ended															Nine Months Ended
Line:					September 30, 2010			December 31, 2010			March 31, 2011			June 30, 2011			September 30, 2011			September 30, 2010			September 30, 2011
					(dollars in millions, except share-related amounts)
		Interest income
				Mortgage loans:
	1			Held by consolidated trusts	$	21,473		$	20,379		$	20,064		$	19,782		$	19,140		$	66,319		$	58,986
	2			Unsecuritized		2,305			2,282			2,334			2,274			2,282			6,445			6,890
	3			Total mortgage loans		23,778			22,661			22,398			22,056			21,422			72,764			65,876
	4			Investments in securities		3,557			3,345			3,283			3,275			3,150			11,030			9,708
	5			Other		48			41			34			18			8			115			60
	6			Total interest income		27,383			26,047			25,715			25,349			24,580			83,909			75,644
		Interest expense
	7			Debt securities of consolidated trusts		(18,721	)		(17,804	)		(17,403	)		(17,261	)		(16,715	)		(57,412	)		(51,379	)
	8			Other debt		(4,145	)		(3,703	)		(3,565	)		(3,333	)		(3,072	)		(13,212	)		(9,970	)
				Total interest expense		(22,866	)		(21,507	)		(20,968	)		(20,594	)		(19,787	)		(70,624	)		(61,349	)
	10			Expense related to derivatives		(238	)		(224	)		(207	)		(194	)		(180	)		(745	)		(581	)
	11	Net interest income				4,279			4,316			4,540			4,561			4,613			12,540			13,714
	12	Provision for credit losses				(3,727	)		(3,066	)		(1,989	)		(2,529	)		(3,606	)		(14,152	)		(8,124	)
	13	Net interest income (loss) after provision for credit losses				552			1,250			2,551			2,032			1,007			(1,612	)		5,590
		Non-interest income (loss)
	14			Gains (losses) on extinguishment of debt securities of consolidated trusts		(66	)		(4	)		223			(125	)		(310	)		(160	)		(212	)
	15			Gains (losses) on retirement of other debt		(50	)		10			12			3			19			(229	)		34
	16			Gains (losses) on debt recorded at fair value		(366	)		55			(81	)		(37	)		133			525			15
	17			Derivative gains (losses)		(1,130	)		1,568			(427	)		(3,807	)		(4,752	)		(9,653	)		(8,986	)
		��		Impairment of available-for-sale securities:
	18			Total other-than-temporary impairment   of available-for-sale securities		(523	)		(724	)		(1,054	)		(230	)		(459	)		(1,054	)		(1,743	)
	19			Portion of other-than-temporary   impairment recognized in AOCI		(577	)		(1,546	)		(139	)		(122	)		298			(984	)		37
	20			Net impairment of available-for-sale      securities recognized in earnings		(1,100	)		(2,270	)		(1,193	)		(352	)		(161	)		(2,038	)		(1,706	)
	21			Other gains (losses) on investment securities recognized in earnings		(503	)		(76	)		(120	)		209			(541	)		(1,176	)		(452	)
	22			Other income		569			256			334			252			814			1,604			1,400
	23	Non-interest income (loss)				(2,646	)		(461	)		(1,252	)		(3,857	)		(4,798	)		(11,127	)		(9,907	)
		Non-interest expense
	24			Salaries and employee benefits		(224	)		(207	)		(207	)		(219	)		(212	)		(688	)		(638	)
	25			Professional services		(72	)		(77	)		(56	)		(64	)		(73	)		(220	)		(193	)
	26			Occupancy expense		(16	)		(17	)		(15	)		(15	)		(14	)		(47	)		(44	)
	27			Other administrative expenses		(76	)		(99	)		(83	)		(86	)		(82	)		(242	)		(251	)
	28			Total administrative expenses		(388	)		(400	)		(361	)		(384	)		(381	)		(1,197	)		(1,126	)
	29			Real estate owned operations expense		(337	)		(217	)		(257	)		(27	)		(221	)		(456	)		(505	)
	30			Other expenses		(103	)		(341	)		(79	)		(135	)		(85	)		(321	)		(299	)
	31	Non-interest expense				(828	)		(958	)		(697	)		(546	)		(687	)		(1,974	)		(1,930	)
	32	Income (loss) before income tax benefit				(2,922	)		(169	)		602			(2,371	)		(4,478	)		(14,713	)		(6,247	)
	33	Income tax benefit				411			56			74			232			56			800			362
	34	Net income (loss)				(2,511	)		(113	)		676			(2,139	)		(4,422	)		(13,913	)		(5,885	)
		Other comprehensive income, net of taxes and reclassification adjustments:
	35			Changes in unrealized gains (losses) related to available-for-sale securities		3,781			1,097			1,941			903			(80	)		12,524			2,764
	36			Changes in unrealized gains (losses) related to cash flow hedge relationships		164			153			132			135			124			520			391
	37			Changes in defined benefit plans		2			19			(9	)		1			2			(6	)		(6	)
	38			Total other comprehensive income, net of taxes and reclassification adjustments		3,947			1,269			2,064			1,039			46			13,038			3,149
	39	Comprehensive income (loss)				1,436			1,156			2,740			(1,100	)		(4,376	)		(875	)		(2,736	)
	40			Less: Comprehensive loss attributable to noncontrolling interest		—			—			—			—			—			1			—
	41	Total comprehensive income (loss) attributable to Freddie Mac			$	1,436		$	1,156		$	2,740		$	(1,100	)	$	(4,376	)	$	(874	)	$	(2,736	)
	42	Net income (loss)			$	(2,511	)	$	(113	)	$	676		$	(2,139	)	$	(4,422	)	$	(13,913	)	$	(5,885	)
	43			Less: Net loss attributable to noncontrolling interest		—			—			—			—			—			1			—
	44	Net income (loss) attributable to Freddie Mac				(2,511	)		(113	)		676			(2,139	)		(4,422	)		(13,912	)		(5,885	)
	45		Preferred stock dividends			(1,558	)		(1,603	)		(1,605	)		(1,617	)		(1,618	)		(4,146	)		(4,840	)
	46	Net loss attributable to common stockholders			$	(4,069	)	$	(1,716	)	$	(929	)	$	(3,756	)	$	(6,040	)	$	(18,058	)	$	(10,725	)
		Loss per common share:
	47			Basic	$	(1.25	)	$	(0.53	)	$	(0.29	)	$	(1.16	)	$	(1.86	)	$	(5.56	)	$	(3.30	)
	48			Diluted	$	(1.25	)	$	(0.53	)	$	(0.29	)	$	(1.16	)	$	(1.86	)	$	(5.56	)	$	(3.30	)
		Weighted average common shares outstanding (in thousands):
	49			Basic		3,248,794			3,248,227			3,246,985			3,244,967			3,244,496			3,249,753			3,245,473
	50			Diluted		3,248,794			3,248,227			3,246,985			3,244,967			3,244,496			3,249,753			3,245,473

2

FREDDIE MAC
CONSOLIDATED BALANCE SHEETS
(unaudited)

Line:				September 30, 2010			December 31, 2010			March 31, 2011			June 30, 2011			September 30, 2011
				(dollars in millions, except share-related amounts)
	Assets
1	Cash and cash equivalents (includes $1, $1, $1, $1, and $1, respectively, related to our consolidated VIEs)			$	27,920		$	37,012		$	34,298		$	17,488		$	18,174
2	Restricted cash and cash equivalents (includes $5,817, $7,514, $5,497, $1,850, and $25,180, respectively, related to our consolidated VIEs)				6,280			8,111			6,184			2,333			25,695
3	Federal funds sold and securities purchased under agreements to resell (includes $25,700, $29,350, $11,500, $13,950, and $—, respectively, related to our consolidated VIEs)				44,945			46,524			37,792			33,609			10,596
	Investments in securities:
4			Available-for-sale, at fair value (includes $541, $817, $298, $244, and $224, respectively, pledged as collateral that may be repledged)		239,585			232,634			229,838			222,849			216,584
5			Trading, at fair value		63,208			60,262			61,353			54,764			55,298
6			Total investments in securities		302,793			292,896			291,191			277,613			271,882
	Mortgage loans:
		Held-for-investment, at amortized cost:
7			By consolidated trusts (net of allowances for loan losses of $13,228, $11,644, $9,517, $8,948, and $8,696, respectively)		1,681,736			1,646,172			1,644,609			1,634,773			1,611,580
8			Unsecuritized (net of allowances for loan losses of $25,173, $28,047, $29,571, $29,919, and $30,848, respectively)		186,974			192,310			197,883			198,568			199,382
9			Total held-for-investment mortgage loans, net		1,868,710			1,838,482			1,842,492			1,833,341			1,810,962
10			Held-for-sale, at lower-of-cost-or-fair-value (includes $2,864, $6,413, $5,304, $4,463, and $6,275 at fair value, respectively)		2,864			6,413			5,304			4,463			6,275
11			Total mortgage loans, net		1,871,574			1,844,895			1,847,796			1,837,804			1,817,237
12	Accrued interest receivable (includes $7,203, $6,895, $6,801, $6,704, and $6,535, respectively, related to our consolidated VIEs)				9,009			8,713			8,660			8,523			8,327
13	Derivative assets, net				100			143			58			246			295
14	Real estate owned, net (includes $138, $118, $112, $83, and $64, respectively, related to our consolidated VIEs)				7,511			7,068			6,376			5,932			5,630
15	Deferred tax assets, net				6,134			5,543			4,498			3,866			3,909
16	Other assets (includes $7,057, $6,001, $2,675, $3,252, and $6,158, respectively, related to our consolidated VIEs)				12,464			10,875			8,063			8,381			10,591
17		Total assets		$	2,288,730		$	2,261,780		$	2,244,916		$	2,195,795		$	2,172,336
	Liabilities and equity (deficit)
	Liabilities
18	Accrued interest payable (includes $6,710, $6,502, $6,345, $6,241, and $6,120, respectively, related to our consolidated VIEs)			$	10,097		$	10,286		$	9,392		$	9,542		$	8,603
	Debt, net:
19		Debt securities of consolidated trusts held by third parties			1,542,503			1,528,648			1,510,426			1,499,036			1,488,036
20		Other debt (includes $4,998, $4,443, $3,960, $3,998, and $3,291 at fair value, respectively)			727,391			713,940			715,572			681,087			674,421
21		Total debt, net			2,269,894			2,242,588			2,225,998			2,180,123			2,162,457
22	Derivative liabilities, net				1,071			1,209			750			408			329
23	Other liabilities (includes $3,808, $3,851, $3,757, $3,821, and $3,636, respectively, related to our consolidated VIEs)				7,726			8,098			7,539			7,200			6,938
24		Total liabilities			2,288,788			2,262,181			2,243,679			2,197,273			2,178,327
25	Commitments and contingencies
	Equity (deficit)
	Freddie Mac stockholders’ equity (deficit)
26		Senior preferred stock, at redemption value			64,100			64,200			64,700			64,700			66,179
27		Preferred stock, at redemption value			14,109			14,109			14,109			14,109			14,109
28		Common stock			—			—			—			—			—
29		Additional paid-in capital			4			7			—			1			2
30		Retained earnings (accumulated deficit)			(61,017	)		(62,733	)		(63,693	)		(67,449	)		(73,489	)
		Accumulated other comprehensive income (loss), or AOCI, net of taxes, related to:
31			Available-for-sale securities		(10,775	)		(9,678	)		(7,737	)		(6,834	)		(6,914	)
32			Cash flow hedge relationships		(2,392	)		(2,239	)		(2,107	)		(1,972	)		(1,848	)
33			Defined benefit plans		(133	)		(114	)		(123	)		(122	)		(120	)
34			Total AOCI, net of taxes		(13,300	)		(12,031	)		(9,967	)		(8,928	)		(8,882	)
35		Treasury stock, at cost			(3,954	)		(3,953	)		(3,912	)		(3,911	)		(3,910	)
36		Total equity (deficit)			(58	)		(401	)		1,237			(1,478	)		(5,991	)
37		Total liabilities and equity (deficit)		$	2,288,730		$	2,261,780		$	2,244,916		$	2,195,795		$	2,172,336

3

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

																	Nine Months Ended
																	September 30,
		3Q 2010			4Q 2010			1Q 2011			2Q 2011			3Q 2011			2010			2011
	Net Interest Income:
1	Net interest income	$	4,279		$	4,316		$	4,540		$	4,561		$	4,613		$	12,540		$	13,714
	Average Balances:(1)
2	Cash and cash equivalents	$	43,171		$	39,190		$	37,561		$	33,660		$	51,225		$	52,008		$	40,817
3	Federal funds sold and securities purchased under agreements to resell		51,439			46,633			47,861			32,227			16,434			46,774			32,174
	Mortgage-related securities:
4	Mortgage-related securities(2)		500,500			472,598			456,972			450,575			443,135			544,797			450,227
5	Extinguishment of PCs held by Freddie Mac		(195,890	)		(180,452	)		(167,528	)		(166,318	)		(166,356	)		(224,397	)		(166,734	)
6	Total mortgage-related securities, net		304,610			292,146			289,444			284,257			276,779			320,400			283,493
7	Non-mortgage-related securities		28,631			30,590			29,309			26,078			18,175			27,130			24,520
8	Mortgage loans held by consolidated trusts(2)(3)		1,706,329			1,666,274			1,650,567			1,643,680			1,626,583			1,741,092			1,640,276
9	Unsecuritized mortgage loans(3)		221,442			230,324			240,557			242,471			243,162			198,047			242,063
10	Total interest-earning assets		2,355,622			2,305,157			2,295,299			2,262,373			2,232,358			2,385,451			2,263,343
	Debt securities of consolidated trusts:
11	Debt securities of consolidated trusts including PCs held by Freddie Mac(2)		1,723,095			1,689,180			1,665,608			1,656,150			1,641,905			1,754,713			1,654,554
12	Extinguishment of PCs held by Freddie Mac		(195,890	)		(180,452	)		(167,528	)		(166,318	)		(166,356	)		(224,397	)		(166,734	)
13	Total debt securities of consolidated trusts held by third parties		1,527,205			1,508,728			1,498,080			1,489,832			1,475,549			1,530,316			1,487,820
	Other debt:(2)
14	Short-term debt		207,673			201,381			194,822			194,153			188,004			225,745			192,326
15	Long-term debt		542,842			512,123			518,034			500,587			495,188			553,701			504,603
16	Total other debt		750,515			713,504			712,856			694,740			683,192			779,446			696,929
17	Total interest-bearing liabilities		2,277,720			2,222,232			2,210,936			2,184,572			2,158,741			2,309,762			2,184,749
18	Net non-interest-bearing funding		77,902			82,925			84,363			77,801			73,617			75,689			78,594
19	Total funding of interest-earning assets	$	2,355,622		$	2,305,157		$	2,295,299		$	2,262,373		$	2,232,358		$	2,385,451		$	2,263,343
	Yield/Cost:
20	Cash and cash equivalents		0.21	%		0.18	%		0.17	%		0.12	%		0.03	%		0.15	%		0.10	%
21	Federal funds sold and securities purchased under agreements to resell		0.19			0.19			0.15			0.09			0.08			0.16			0.12
	Mortgage-related securities:
22	Mortgage-related securities		4.84			4.74			4.65			4.63			4.56			4.84			4.61
23	Extinguishment of PCs held by Freddie Mac		(5.19	)		(5.06	)		(4.93	)		(4.73	)		(4.61	)		(5.29	)		(4.76	)
24	Total mortgage-related securities, net		4.62			4.54			4.50			4.57			4.53			4.52			4.53
25	Non-mortgage-related securities		0.59			0.43			0.41			0.39			0.40			0.78			0.40
26	Mortgage loans held by consolidated trusts		5.03			4.89			4.86			4.81			4.71			5.08			4.79
27	Unsecuritized mortgage loans		4.16			3.96			3.88			3.75			3.75			4.34			3.80
28	Yield on total interest-earning assets		4.65			4.52			4.48			4.48			4.41			4.69			4.46
	Debt securities of consolidated trusts:
29	Debt securities of consolidated trusts including PCs held by Freddie Mac		(4.94	)		(4.76	)		(4.67	)		(4.64	)		(4.54	)		(5.04	)		(4.62	)
30	Extinguishment of PCs held by Freddie Mac		5.19			5.06			4.93			4.73			4.61			5.29			4.76
31	Total debt securities of consolidated trusts held by third parties		(4.90	)		(4.72	)		(4.65	)		(4.63	)		(4.53	)		(5.00	)		(4.60	)
	Other debt:
32	Short-term debt		(0.27	)		(0.25	)		(0.24	)		(0.19	)		(0.14	)		(0.25	)		(0.19	)
33	Long-term debt		(2.94	)		(2.78	)		(2.66	)		(2.59	)		(2.42	)		(3.08	)		(2.56	)
34	Total other debt		(2.20	)		(2.07	)		(2.00	)		(1.92	)		(1.79	)		(2.26	)		(1.91	)
35	Cost of interest-bearing liabilities		(4.01	)		(3.87	)		(3.79	)		(3.77	)		(3.67	)		(4.08	)		(3.74	)
36	Income (expense) related to derivatives		(0.04	)		(0.04	)		(0.04	)		(0.03	)		(0.03	)		(0.04	)		(0.04	)
37	Impact of net non-interest-bearing funding		0.13			0.14			0.14			0.13			0.12			0.13			0.13
38	Total funding of interest-earning assets		(3.92	)		(3.77	)		(3.69	)		(3.67	)		(3.58	)		(3.99	)		(3.65	)
39	Net interest yield (annualized)		0.73			0.75			0.79			0.81			0.83			0.70			0.81

(1)	We calculate average balances based on amortized cost. For most components of the average balances, a daily weighted average balance was calculated for the periods. When daily weighted average balance information was not available, a simple monthly average balance was calculated.
(2)	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.
(3)	Non-performing loans, where interest income is generally recognized when collected, are included in average balances.

4

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

																				Nine Months Ended
																				September 30,
					3Q 2010			4Q 2010			1Q 2011			2Q 2011			3Q 2011			2010			2011
	Net Interest Income:
1	Contractual amounts of net interest income(1)				$	4,370		$	4,353		$	4,479		$	4,675		$	4,758		$	13,390		$	13,912
	Amortization income (expense), net:(2)
2		Accretion of impairments on available-for-sale securities(3)				161			69			29			31			18			323			78
		Asset-related amortization income (expense), net:
3			Mortgage loans held by consolidated trusts			(202	)		(452	)		(272	)		(297	)		(539	)		(260	)		(1,108	)
4			Unsecured mortgage loans			84			67			56			48			45			244			149
5			Mortgage-related securities			(50	)		(31	)		(41	)		(83	)		(83	)		(241	)		(207	)
6			Other assets			(3	)		(13	)		(14	)		(27	)		(31	)		(10	)		(72	)
7				Asset-related amortization expense, net		(171	)		(429	)		(271	)		(359	)		(608	)		(267	)		(1,238	)
		Debt-related amortization income (expense), net:
8			Debt securities of consolidated trusts			331			711			667			573			801			441			2,041
9			Other long-term debt securities			(174	)		(164	)		(157	)		(165	)		(176	)		(602	)		(498	)
10				Debt-related amortization income (expense), net		157			547			510			408			625			(161	)		1,543
11				Total amortization income (expense), net		147			187			268			80			35			(105	)		383
12	Expense related to derivatives(4)					(238	)		(224	)		(207	)		(194	)		(180	)		(745	)		(581	)
13	Net interest income				$	4,279		$	4,316		$	4,540		$	4,561		$	4,613		$	12,540		$	13,714

(1)	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.
(2)	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.
(3)	The portion of the impairment charges recognized in earnings where we expect a significant improvement in cash flows.
(4)	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.

5

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

																			Nine Months Ended
																			September 30,
				3Q 2010			4Q 2010			1Q 2011			2Q 2011			3Q 2011			2010			2011
	Non-Interest Income (Loss):
1	Gains (losses) on extinguishment of debt securities of consolidated trusts			$	(66	)	$	(4	)	$	223		$	(125	)	$	(310	)	$	(160	)	$	(212	)
2	Gains (losses) on retirement of other debt				(50	)		10			12			3			19			(229	)		34
	Gains (losses) on debt recorded at fair value:
3		Translation gains (losses)			(386	)		35			(117	)		(46	)		146			426			(17	)
4		Market value adjustments			20			20			36			9			(13	)		99			32
5			Total gains (losses) on debt recorded at fair value		(366	)		55			(81	)		(37	)		133			525			15
	Derivative gains (losses):
		Foreign-currency denominated derivatives gains (losses):
6			Foreign-currency swaps gains (losses)		382			(35	)		109			47			(141	)		(433	)		15
7			Receive-fixed swaps — foreign-currency denominated gains (losses)		(31	)		(23	)		(37	)		(3	)		3			(96	)		(37	)
8		U.S. dollar denominated derivative gains (losses)			(536	)		2,615			750			(2,499	)		(3,345	)		(5,619	)		(5,094	)
9		Accrual of periodic settlements			(945	)		(989	)		(1,249	)		(1,352	)		(1,269	)		(3,505	)		(3,870	)
10			Total derivative gains (losses)		(1,130	)		1,568			(427	)		(3,807	)		(4,752	)		(9,653	)		(8,986	)
	Impairment of available-for-sale securities:
11		Total other-than-temporary impairment of available-for-sale securities			(523	)		(724	)		(1,054	)		(230	)		(459	)		(1,054	)		(1,743	)
12		Portion of other-than-temporary impairment recognized in AOCI			(577	)		(1,546	)		(139	)		(122	)		298			(984	)		37
13			Net impairment of available-for-sale securities recognized in earnings		(1,100	)		(2,270	)		(1,193	)		(352	)		(161	)		(2,038	)		(1,706	)
	Other gains (losses) on investment securities recognized in earnings:
14		Gains (losses) on trading securities			(561	)		(84	)		(200	)		274			(547	)		(1,255	)		(473	)
15		Gains (losses) on sale of available-for-sale securities			58			8			80			(65	)		6			79			21
16			Total other gains (losses) on investment securities recognized in earnings		(503	)		(76	)		(120	)		209			(541	)		(1,176	)		(452	)
	Other income:
17		Guarantee-related income			58			40			54			81			40			177			175
18		Gains (losses) on sale of mortgage loans			28			23			95			161			46			244			302
19		Gains (losses) on mortgage loans recorded at fair value			128			(403	)		(33	)		136			216			154			319
20		Recoveries on loans impaired upon purchase			247			163			125			132			119			643			376
21		All other			108			433			93			(258	)		393			386			228
22			Total other income		569			256			334			252			814			1,604			1,400
23			Total non-interest income (loss)	$	(2,646	)	$	(461	)	$	(1,252	)	$	(3,857	)	$	(4,798	)	$	(11,127	)	$	(9,907	)

6

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

												Nine Months Ended
												September 30,
		3Q 2010		4Q 2010		1Q 2011		2Q 2011		3Q 2011		2010		2011
	Non-Interest Expense:
	Administrative expenses:
1	Salaries and employee benefits	$	224	$	207	$	207	$	219	$	212	$	688	$	638
2	Professional services		72		77		56		64		73		220		193
3	Occupancy expense		16		17		15		15		14		47		44
4	Other administrative expenses		76		99		83		86		82		242		251
5	Total administrative expenses		388		400		361		384		381		1,197		1,126
6	Real estate owned, or REO, operations expense		337		217		257		27		221		456		505
7	Other expenses		103		341		79		135		85		321		299
8	Total non-interest expense	$	828	$	958	$	697	$	546	$	687	$	1,974	$	1,930

(1) In the first quarter of 2011, we reclassified certain expenses from Other expenses (Line 7) to Professional services (Line 2). Prior period amounts have been reclassified to conform to the current presentation.

7

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

																	Nine Months Ended
																	September 30,
		3Q 2010			4Q 2010			1Q 2011			2Q 2011			3Q 2011			2010			2011
	Credit Enhancements:
1	Credit-enhanced percentage of mortgage loan portfolio purchases		8	%		6	%		7	%		9	%		10	%		10	%		8	%
2	Credit-enhanced percentage of mortgage loan portfolio(1) (period end)		15	%		15	%		15	%		15	%		14	%		15	%		14	%
	Delinquencies Rates: at period end(2)(3)
	Single-family:
3	Non-credit-enhanced		2.97	%		3.01	%		2.85	%		2.75	%		2.77	%		2.97	%		2.77	%
4	Credit-enhanced		8.13	%		8.27	%		7.87	%		7.67	%		7.70	%		8.13	%		7.70	%
5	Total Single-family		3.80	%		3.84	%		3.63	%		3.50	%		3.51	%		3.80	%		3.51	%
	Multifamily:
6	Non-credit-enhanced		0.18	%		0.12	%		0.25	%		0.19	%		0.18	%		0.18	%		0.18	%
7	Credit enhanced		0.86	%		0.85	%		0.75	%		0.70	%		0.77	%		0.86	%		0.77	%
8	Total Multifamily		0.31	%		0.26	%		0.36	%		0.31	%		0.33	%		0.31	%		0.33	%
	Single-family loan workouts(4) (number of units):
9	Loan modifications		39,284			37,203			35,158			31,049			23,919			133,074			90,126
10	Repayment plans		7,030			7,964			9,099			7,981			8,333			23,246			25,413
11	Forbearance agreements		6,976			5,945			7,678			3,709			4,262			28,649			15,649
12	Short sales and deed-in-lieu transactions		10,472			12,097			10,706			11,038			11,744			27,078			33,488
13	Total single-family loan workouts		63,762			63,209			62,641			53,777			48,258			212,047			164,676
	Non-performing assets(3) (at period end):
14	Non-performing mortgage loans	$	114,846		$	118,337		$	118,062		$	117,929		$	122,273		$	114,846		$	122,273
15	REO assets, net		7,511			7,068			6,376			5,932			5,630			7,511			5,630
16	Total non-performing assets	$	122,357		$	125,405		$	124,438		$	123,861		$	127,903		$	122,357		$	127,903
	REO Operations Income (Expense):
17	Single-family	$	(337	)	$	(224	)	$	(257	)	$	(35	)	$	(226	)	$	(452	)	$	(518	)
18	Multifamily		—			7			—			8			5			(4	)		13
19	Total	$	(337	)	$	(217	)	$	(257	)	$	(27	)	$	(221	)	$	(456	)	$	(505	)
	Loan Loss Reserves:(5)
20	Beginning balance	$	38,319		$	38,596		$	39,926		$	39,305		$	39,095		$	33,857		$	39,926
21	Adjustments to beginning balance(6)		—			—			—			—			—			(186	)		—
22	Provision for credit losses(7)		3,727			3,066			1,989			2,529			3,606			14,152			8,124
23	Charge-offs — single-family, net		(3,723	)		(2,751	)		(2,863	)		(2,968	)		(3,114	)		(10,105	)		(8,945	)
24	Charge-offs — multifamily, net		(23	)		(35	)		(12	)		(29	)		(8	)		(68	)		(49	)
25	Transfers, net		296			1,050			265			258			165			946			688
26	Ending balance	$	38,596		$	39,926		$	39,305		$	39,095		$	39,744		$	38,596		$	39,744
	Credit Losses:(8)
27	Credit losses	$	4,239		$	3,114		$	3,238		$	3,127		$	3,451		$	11,046		$	9,816
28	Annualized credit losses / average mortgage loan portfolio(9)		86.5 bps			64.5 bps			67.1 bps			64.9 bps			72.1 bps			74.8 bps			68.0 bps

(1)	Based on the 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.
(2)	Single-family delinquencies are based on the number of loans three monthly payments or more past due or in foreclosure while multifamily delinquencies are based on UPB of loans two monthly payments or more past due 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. See “MD&A — RISK MANAGEMENT — Credit Risk —Mortgage Credit Risk — Credit Performance — Delinquencies” in our 2010Form 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 sheets 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 —Mortgage Credit Risk — Portfolio Management Activities — Loan Workout Activities” in our 2010Form 10-K for the year ended December 31, 2010.
(5)	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 a component of Other liabilities (Line 23). Results for the nine months ended September 30, 2010 include a correction of a prior period error. The cumulative effect of this error was recorded in the second quarter of 2010, and 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)	Adjustments relate to the adoption of amendments to the accounting guidance for transfers of financial assets and consolidation of VIEs, which we implemented on January 1, 2010.
(7)	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.
(8)	Equal to charge-offs, and REO operations income (expense), net of recoveries.
(9)	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.

8

FREDDIE MAC
TABLE 5A — SEGMENT EARNINGS — CONSOLIDATED⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)

																	Nine Months Ended
																	September 30,
		3Q 2010			4Q 2010			1Q 2011			2Q 2011			3Q 2011			2010			2011
	Segment Earnings, net of taxes:
1	Investments	$	284		$	2,691		$	2,137		$	10		$	(1,079	)	$	(1,440	)	$	1,068
2	Single-family Guarantee		(3,138	)		(3,017	)		(1,820	)		(2,386	)		(3,545	)		(13,239	)		(7,751	)
3	Multifamily		381			213			359			200			205			752			764
4	All Other		(38	)		—			—			37			(3	)		15			34
5	Total Segment Earnings (loss), net of taxes	$	(2,511	)	$	(113	)	$	676		$	(2,139	)	$	(4,422	)	$	(13,912	)	$	(5,885	)
	Total Comprehensive Income (Loss) of Segments:
6	Investments segment	$	3,601		$	2,866		$	3,263		$	643		$	268		$	8,611		$	4,174
7	Single-family Guarantee segment		(3,137	)		(3,009	)		(1,824	)		(2,385	)		(3,545	)		(13,241	)		(7,754	)
8	Multifamily segment		1,010			1,299			1,301			605			(1,096	)		3,741			810
9	All Other		(38	)		—			—			37			(3	)		15			34
10	Total comprehensive income (loss) of segments	$	1,436		$	1,156		$	2,740		$	(1,100	)	$	(4,376	)	$	(874	)	$	(2,736	)
	Net interest yield — Segment Earnings (annualized):
11	Investments segment		106 bps			113 bps			110 bps			126 bps			134 bps			90 bps			123 bps
12	Multifamily segment		80 bps			86 bps			75 bps			83 bps			87 bps			74 bps			82 bps
	Management and guarantee income — Segment Earnings (annualized):
13	Single-family Guarantee segment		19.9 bps			21.9 bps			19.1 bps			18.7 bps			20.3 bps			18.8 bps			19.4 bps
14	Multifamily segment		50.0 bps			48.6 bps			46.8 bps			43.0 bps			41.5 bps			50.7 bps			43.5 bps
	Credit losses — Segment Earnings (annualized):
15	Single-family Guarantee segment		91.0 bps			67.7 bps			71.0 bps			68.4 bps			76.3 bps			78.4 bps			71.9 bps
16	Multifamily segment		9.0 bps			10.7 bps			4.2 bps			7.6 bps			4.0 bps			9.2 bps			5.3 bps

(1)	See “NOTE 15: SEGMENT REPORTING” in our Form10-Q for the quarter ended September 30, 2011 for more information regarding Segment Earnings.
(2)	The sum of Segment Earnings for each segment and the All Other category equals GAAP net income (loss) attributable to Freddie Mac. Likewise, the sum of total comprehensive income (loss) for each segment and the All Other category equals GAAP total comprehensive income (loss) attributable to Freddie Mac.

9

FREDDIE MAC
TABLE 5B — SEGMENT EARNINGS — INVESTMENTS SEGMENT⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)

																	Nine Months Ended
																	September 30,
		3Q 2010			4Q 2010			1Q 2011			2Q 2011			3Q 2011			2010			2011
	Segment Earnings, net of taxes:
1	Net interest income	$	1,667		$	1,705		$	1,653		$	1,826		$	1,905		$	4,487		$	5,384
	Non-interest income (loss):
2	Net impairment of available-for-sale      securities		(934	)		(2,182	)		(1,029	)		(139	)		(116	)		(1,637	)		(1,284	)
3	Derivative gains (losses)		192			2,844			1,103			(2,156	)		(3,144	)		(4,703	)		(4,197	)
4	Other non-interest income (loss)		(768	)		91			236			243			178			(496	)		657
5	Total non-interest income (loss)		(1,510	)		753			310			(2,052	)		(3,082	)		(6,836	)		(4,824	)
	Non-interest expense:
6	Administrative expenses		(110	)		(112	)		(95	)		(101	)		(97	)		(343	)		(293	)
7	Other non-interest expense		(1	)		(4	)		—			(1	)		(1	)		(14	)		(2	)
8	Total non-interest expense		(111	)		(116	)		(95	)		(102	)		(98	)		(357	)		(295	)
9	Segment adjustments		272			282			203			126			137			1,076			466
10	Segment Earnings (loss) before income tax (expense) benefit		318			2,624			2,071			(202	)		(1,138	)		(1,630	)		731
11	Income tax (expense) benefit		(34	)		67			66			212			59			192			337
12	Segment Earnings (loss), net of taxes, including noncontrolling interest		284			2,691			2,137			10			(1,079	)		(1,438	)		1,068
13	Less: Net (income) loss — noncontrolling interest		—			—			—			—			—			(2	)		—
14	Segment Earnings (loss), net of taxes		284			2,691			2,137			10			(1,079	)		(1,440	)		1,068
15	Total other comprehensive income, net of taxes		3,317			175			1,126			633			1,347			10,051			3,106
16	Total comprehensive income — Investments segment	$	3,601		$	2,866		$	3,263		$	643		$	268		$	8,611		$	4,174
17	Net interest yield — Segment Earnings (annualized)		106 bps			113 bps			110 bps			126 bps			134 bps			90 bps			123 bps

(1)	See “NOTE 15: SEGMENT REPORTING” in our Form10-Q for the quarter ended September 30, 2011 for more information regarding Segment Earnings.
(2)	Segment Earnings for the Investments segment equals GAAP net income (loss) attributable to Freddie Mac for the Investments segment.

10

FREDDIE MAC
TABLE 5C — SEGMENT EARNINGS — SINGLE-FAMILY GUARANTEE SEGMENT⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)

																	Nine Months Ended
																	September 30,
		3Q 2010			4Q 2010			1Q 2011			2Q 2011			3Q 2011			2010			2011
	Segment Earnings, net of taxes:
1	Net interest income	$	(4	)	$	(34	)	$	100		$	(30	)	$	(98	)	$	106		$	(28	)
2	Provision for credit losses(3)		(3,980	)		(3,470	)		(2,284	)		(2,886	)		(4,008	)		(15,315	)		(9,178	)
	Non-interest income:
3	Management and guarantee income		922			1,000			870			848			913			2,635			2,631
4	Other non-interest income		307			566			211			208			331			785			750
5	Total non-interest income		1,229			1,566			1,081			1,056			1,244			3,420			3,381
	Non-interest expense:
6	Administrative expenses		(224	)		(235	)		(215	)		(228	)		(227	)		(695	)		(670	)
7	REO operations income (expense)		(337	)		(224	)		(257	)		(35	)		(226	)		(452	)		(518	)
8	Other non-interest expense		(85	)		(324	)		(66	)		(106	)		(69	)		(254	)		(241	)
9	Total non-interest expense		(646	)		(783	)		(538	)		(369	)		(522	)		(1,401	)		(1,429	)
10	Segment adjustments		(245	)		(287	)		(185	)		(143	)		(161	)		(666	)		(489	)
11	Segment Earnings (loss) before income tax (expense) benefit		(3,646	)		(3,008	)		(1,826	)		(2,372	)		(3,545	)		(13,856	)		(7,743	)
12	Income tax (expense) benefit		508			(9	)		6			(14	)		—			617			(8	)
13	Segment Earnings (loss), net of taxes		(3,138	)		(3,017	)		(1,820	)		(2,386	)		(3,545	)		(13,239	)		(7,751	)
14	Total other comprehensive income (loss), net of taxes		1			8			(4	)		1			—			(2	)		(3	)
15	Total comprehensive income (loss) — Single-family Guarantee segment	$	(3,137	)	$	(3,009	)	$	(1,824	)	$	(2,385	)	$	(3,545	)	$	(13,241	)	$	(7,754	)
	Management and guarantee income — Segment Earnings:
16	Contractual management and guarantee fees (annualized rate)		13.5 bps			13.7 bps			13.6 bps			13.7 bps			13.8 bps			13.4 bps			13.7 bps
17	Amortization of delivery fees (annualized rate)		6.4 bps			8.2 bps			5.5 bps			5.0 bps			6.5 bps			5.4 bps			5.7 bps
18	Segment Earnings management and        guarantee income (annualized rate)		19.9 bps			21.9 bps			19.1 bps			18.7 bps			20.3 bps			18.8 bps			19.4 bps
	Credit losses — Segment Earnings:
19	Annualized credit losses/average single-family credit guarantee portfolio and HFA-related guarantees		91.0 bps			67.7 bps			71.0 bps			68.4 bps			76.3 bps			78.4 bps			71.9 bps

(1)	See “NOTE 15: SEGMENT REPORTING” in our Form10-Q for the quarter ended September 30, 2011 for more information regarding Segment Earnings.
(2)	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 nine months ended September 30, 2010 include the correction of a prior period error. The cumulative effect of this error was recorded in the second quarter of 2010, and 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.

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FREDDIE MAC
TABLE 5D — SEGMENT EARNINGS — MULTIFAMILY SEGMENT⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)

																	Nine Months Ended
																	September 30,
		3Q 2010			4Q 2010			1Q 2011			2Q 2011			3Q 2011			2010			2011
	Segment Earnings, net of taxes:
1	Net interest income	$	290		$	308		$	279		$	304		$	314		$	806		$	897
2	(Provision) benefit for credit losses		(19	)		68			60			13			37			(167	)		110
	Non-interest income (loss):
3	Management and guarantee income		25			27			28			30			32			74			90
4	Net impairment of available-for-sale securities		(5	)		(19	)		(135	)		(182	)		(27	)		(77	)		(344	)
5	Derivative gains (losses)		1			1			2			2			(1	)		5			3
6	Other non-interest income (loss)		185			(111	)		187			111			(83	)		348			215
7	Total non-interest income (loss)		206			(102	)		82			(39	)		(79	)		350			(36	)
	Non-interest expense:
8	Administrative expenses		(54	)		(53	)		(51	)		(55	)		(57	)		(159	)		(163	)
9	REO operations income (expense)		—			7			—			8			5			(4	)		13
10	Other non-interest expense		(17	)		(13	)		(13	)		(28	)		(15	)		(53	)		(56	)
11	Total non-interest expense		(71	)		(59	)		(64	)		(75	)		(67	)		(216	)		(206	)
12	Segment Earnings before income tax benefit (expense)		406			215			357			203			205			773			765
13	Income tax benefit (expense)		(25	)		(2	)		2			(3	)		—			(24	)		(1	)
14	Segment Earnings, net of taxes, including noncontrolling interest		381			213			359			200			205			749			764
15	Less: Net (income) loss — noncontrolling interest		—			—			—			—			—			3			—
16	Segment Earnings, net of taxes		381			213			359			200			205			752			764
17	Total other comprehensive income, net of taxes		629			1,086			942			405			(1,301	)		2,989			46
18	Total comprehensive income — Multifamily segment	$	1,010		$	1,299		$	1,301		$	605		$	(1,096	)	$	3,741		$	810
19	Net interest yield — Segment Earnings (annualized)		80 bps			86 bps			75 bps			83 bps			87 bps			74 bps			82 bps
	Management and guarantee income — Segment Earnings:
20	Average contractual rate (annualized)(3)		50.0 bps			48.6 bps			46.8 bps			43.0 bps			41.5 bps			50.7 bps			43.5 bps
	Credit losses — Segment Earnings:
21	Annualized credit losses/average multifamily mortgage portfolio and HFA-related guarantees		9.0 bps			10.7 bps			4.2 bps			7.6 bps			4.0 bps			9.2 bps			5.3 bps

(1)	See “NOTE 15: SEGMENT REPORTING” in ourForm 10-Q for the quarter ended September 30, 2011 for more information regarding Segment Earnings.
(2)	Segment Earnings for the Multifamily segment equals GAAP net income (loss) attributable to Freddie Mac for the Multifamily segment.
(3)	There are no credit fees associated with our multifamily guarantees; however, this rate excludes prepayment and certain other fees.

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