Federal Home Loan Mortgage (FMCC) 8-K Freddie Mac Reports Fourth Quarter and Full-year 2011 Financial Results

Exhibit 99.3

FREDDIE MAC
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	Credit Quality Indicators		7
	Segment Earnings Results
4A	Segment Earnings — Consolidated		8
4B	Segment Earnings — Investments Segment		9
4C	Segment Earnings — Single-Family Guarantee Segment		10
4D	Segment Earnings — Multifamily Segment		11

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

				Three Months Ended															Year Ended
Line:				December 31, 2010			March 31, 2011			June 30, 2011			September 30, 2011			December 31, 2011			December 31, 2010			December 31, 2011
				(dollars in millions, except share-related amounts)
		Interest income
			Mortgage loans:
	1		Held by consolidated trusts	$	20,379		$	20,064		$	19,782		$	19,140		$	18,172		$	86,698		$	77,158
	2		Unsecuritized		2,282			2,334			2,274			2,282			2,234			8,727			9,124
	3		Total mortgage loans		22,661			22,398			22,056			21,422			20,406			95,425			86,282
	4		Investments in securities		3,345			3,283			3,275			3,150			3,083			14,375			12,791
	5		Other		41			34			18			8			7			156			67
	6		Total interest income		26,047			25,715			25,349			24,580			23,496			109,956			99,140
		Interest expense
	7		Debt securities of consolidated trusts		(17,804	)		(17,403	)		(17,261	)		(16,715	)		(15,740	)		(75,216	)		(67,119	)
	8		Other debt		(3,703	)		(3,565	)		(3,333	)		(3,072	)		(2,899	)		(16,915	)		(12,869	)
	9		Total interest expense		(21,507	)		(20,968	)		(20,594	)		(19,787	)		(18,639	)		(92,131	)		(79,988	)
	10		Expense related to derivatives		(224	)		(207	)		(194	)		(180	)		(174	)		(969	)		(755	)
	11	Net interest income			4,316			4,540			4,561			4,613			4,683			16,856			18,397
	12	Provision for credit losses			(3,066	)		(1,989	)		(2,529	)		(3,606	)		(2,578	)		(17,218	)		(10,702	)
	13	Net interest income (loss) after provision for credit losses			1,250			2,551			2,032			1,007			2,105			(362	)		7,695
		Non-interest income (loss)
	14		Gains (losses) on extinguishment of debt securities of consolidated trusts		(4	)		223			(125	)		(310	)		(7	)		(164	)		(219	)
	15		Gains (losses) on retirement of other debt		10			12			3			19			10			(219	)		44
	16		Gains (losses) on debt recorded at fair value		55			(81	)		(37	)		133			76			580			91
	17		Derivative gains (losses)		1,568			(427	)		(3,807	)		(4,752	)		(766	)		(8,085	)		(9,752	)
			Impairment of available-for-sale securities:
	18		Total other-than-temporary impairment   of available-for-sale securities		(724	)		(1,054	)		(230	)		(459	)		(358	)		(1,778	)		(2,101	)
	19		Portion of other-than-temporary   impairment recognized in AOCI		(1,546	)		(139	)		(122	)		298			(237	)		(2,530	)		(200	)
	20		Net impairment of available-for-sale      securities recognized in earnings		(2,270	)		(1,193	)		(352	)		(161	)		(595	)		(4,308	)		(2,301	)
	21		Other gains (losses) on investment securities recognized in earnings		(76	)		(120	)		209			(541	)		(444	)		(1,252	)		(896	)
	22		Other income		256			334			252			814			755			1,860			2,155
	23	Non-interest income (loss)			(461	)		(1,252	)		(3,857	)		(4,798	)		(971	)		(11,588	)		(10,878	)
		Non-interest expense
	24		Salaries and employee benefits		(207	)		(207	)		(219	)		(212	)		(194	)		(895	)		(832	)
	25		Professional services		(77	)		(56	)		(64	)		(73	)		(77	)		(297	)		(270	)
	26		Occupancy expense		(17	)		(15	)		(15	)		(14	)		(18	)		(64	)		(62	)
	27		Other administrative expenses		(99	)		(83	)		(86	)		(82	)		(91	)		(341	)		(342	)
	28		Total administrative expenses		(400	)		(361	)		(384	)		(381	)		(380	)		(1,597	)		(1,506	)
	29		Real estate owned operations expense		(217	)		(257	)		(27	)		(221	)		(80	)		(673	)		(585	)
	30		Other expenses		(341	)		(79	)		(135	)		(85	)		(93	)		(662	)		(392	)
	31	Non-interest expense			(958	)		(697	)		(546	)		(687	)		(553	)		(2,932	)		(2,483	)
	32	Income (loss) before income tax benefit			(169	)		602			(2,371	)		(4,478	)		581			(14,882	)		(5,666	)
	33	Income tax benefit			56			74			232			56			38			856			400
	34	Net income (loss)			(113	)		676			(2,139	)		(4,422	)		619			(14,026	)		(5,266	)
		Other comprehensive income, net of taxes and reclassification adjustments:
	35		Changes in unrealized gains (losses) related to available-for-sale securities		1,097			1,941			903			(80	)		701			13,621			3,465
	36		Changes in unrealized gains (losses) related to cash flow hedge relationships		153			132			135			124			118			673			509
	37		Changes in defined benefit plans		19			(9	)		1			2			68			13			62
	38		Total other comprehensive income, net of taxes and reclassification adjustments		1,269			2,064			1,039			46			887			14,307			4,036
	39	Comprehensive income (loss)			1,156			2,740			(1,100	)		(4,376	)		1,506			281			(1,230	)
	40		Less: Comprehensive loss attributable to noncontrolling interest		—			—			—			—			—			1			—
	41	Total comprehensive income (loss) attributable to Freddie Mac		$	1,156		$	2,740		$	(1,100	)	$	(4,376	)	$	1,506		$	282		$	(1,230	)
	42	Net income (loss)		$	(113	)	$	676		$	(2,139	)	$	(4,422	)	$	619		$	(14,026	)	$	(5,266	)
	43		Less: Net loss attributable to noncontrolling interest		—			—			—			—			—			1			—
	44	Net income (loss) attributable to Freddie Mac			(113	)		676			(2,139	)		(4,422	)		619			(14,025	)		(5,266	)
	45		Preferred stock dividends		(1,603	)		(1,605	)		(1,617	)		(1,618	)		(1,658	)		(5,749	)		(6,498	)
	46	Net loss attributable to common stockholders		$	(1,716	)	$	(929	)	$	(3,756	)	$	(6,040	)	$	(1,039	)	$	(19,774	)	$	(11,764	)
		Net loss per common share:
	47		Basic	$	(0.53	)	$	(0.29	)	$	(1.16	)	$	(1.86	)	$	(0.32	)	$	(6.09	)	$	(3.63	)
	48		Diluted	$	(0.53	)	$	(0.29	)	$	(1.16	)	$	(1.86	)	$	(0.32	)	$	(6.09	)	$	(3.63	)
		Weighted average common shares outstanding (in thousands):
	49		Basic		3,248,227			3,246,985			3,244,967			3,244,496			3,243,183			3,249,369			3,244,896
	50		Diluted		3,248,227			3,246,985			3,244,967			3,244,496			3,243,183			3,249,369			3,244,896

2

FREDDIE MAC
CONSOLIDATED BALANCE SHEETS
(unaudited)

Line:				December 31, 2010			March 31, 2011			June 30, 2011			September 30, 2011			December 31, 2011
				(dollars in millions, except share-related amounts)
	Assets
1	Cash and cash equivalents (includes $1, $1, $1, $1, and $2, respectively, related to our consolidated VIEs)			$	37,012		$	34,298		$	17,488		$	18,174		$	28,442
2	Restricted cash and cash equivalents (includes $7,514, $5,497, $1,850, $25,180, and $27,675, respectively, related to our consolidated VIEs)				8,111			6,184			2,333			25,695			28,063
3	Federal funds sold and securities purchased under agreements to resell (includes $29,350, $11,500, $13,950, $—, and $—, respectively, related to our consolidated VIEs)				46,524			37,792			33,609			10,596			12,044
	Investments in securities:
4			Available-for-sale, at fair value (includes $817, $298, $244, $224, and $204, respectively, pledged as collateral that may be repledged)		232,634			229,838			222,849			216,584			210,659
5			Trading, at fair value		60,262			61,353			54,764			55,298			58,830
6			Total investments in securities		292,896			291,191			277,613			271,882			269,489
	Mortgage loans:
		Held-for-investment, at amortized cost:
7			By consolidated trusts (net of allowances for loan losses of $11,644, $9,517, $8,948, $8,696, and $8,351, respectively)		1,646,172			1,644,609			1,634,773			1,611,580			1,564,131
8			Unsecuritized (net of allowances for loan losses of $28,047, $29,571, $29,919, $30,848, and $30,912, respectively)		192,310			197,883			198,568			199,382			207,418
9			Total held-for-investment mortgage loans, net		1,838,482			1,842,492			1,833,341			1,810,962			1,771,549
10			Held-for-sale, at lower-of-cost-or-fair-value (includes $6,413, $5,304, $4,463, $6,275 and $9,710 at fair value, respectively)		6,413			5,304			4,463			6,275			9,710
11			Total mortgage loans, net		1,844,895			1,847,796			1,837,804			1,817,237			1,781,259
12	Accrued interest receivable (includes $6,895, $6,801, $6,704, $6,535, and $6,242, respectively, related to our consolidated VIEs)				8,713			8,660			8,523			8,327			8,062
13	Derivative assets, net				143			58			246			295			118
14	Real estate owned, net (includes $118, $112, $83, $64, and $60, respectively, related to our consolidated VIEs)				7,068			6,376			5,932			5,630			5,680
15	Deferred tax assets, net				5,543			4,498			3,866			3,909			3,546
16	Other assets (includes $6,001, $2,675, $3,252, $6,158, and $6,083, respectively, related to our consolidated VIEs)				10,875			8,063			8,381			10,591			10,513
17		Total assets		$	2,261,780		$	2,244,916		$	2,195,795		$	2,172,336		$	2,147,216
	Liabilities and equity (deficit)
	Liabilities
18	Accrued interest payable (includes $6,502, $6,345, $6,241, $6,120, and $5,943, respectively, related to our consolidated VIEs)			$	10,286		$	9,392		$	9,542		$	8,603		$	8,898
	Debt, net:
19		Debt securities of consolidated trusts held by third parties			1,528,648			1,510,426			1,499,036			1,488,036			1,471,437
20		Other debt (includes $4,443, $3,960, $3,998, $3,291, and $3,015 at fair value, respectively)			713,940			715,572			681,087			674,421			660,546
21		Total debt, net			2,242,588			2,225,998			2,180,123			2,162,457			2,131,983
22	Derivative liabilities, net				1,209			750			408			329			435
23	Other liabilities (includes $172, $204, $400, $293, and $3, respectively, related to our consolidated VIEs)				8,098			7,539			7,200			6,938			6,046
24		Total liabilities			2,262,181			2,243,679			2,197,273			2,178,327			2,147,362
25	Commitments and contingencies
	Equity (deficit)
	Freddie Mac stockholders’ equity (deficit)
26		Senior preferred stock, at redemption value			64,200			64,700			64,700			66,179			72,171
27		Preferred stock, at redemption value			14,109			14,109			14,109			14,109			14,109
28		Common stock			—			—			—			—			—
29		Additional paid-in capital			7			—			1			2			3
30		Retained earnings (accumulated deficit)			(62,733	)		(63,693	)		(67,449	)		(73,489	)		(74,525	)
		Accumulated other comprehensive income (loss), or AOCI, net of taxes, related to:
31			Available-for-sale securities		(9,678	)		(7,737	)		(6,834	)		(6,914	)		(6,213	)
32			Cash flow hedge relationships		(2,239	)		(2,107	)		(1,972	)		(1,848	)		(1,730	)
33			Defined benefit plans		(114	)		(123	)		(122	)		(120	)		(52	)
34			Total AOCI, net of taxes		(12,031	)		(9,967	)		(8,928	)		(8,882	)		(7,995	)
35		Treasury stock, at cost			(3,953	)		(3,912	)		(3,911	)		(3,910	)		(3,909	)
36		Total equity (deficit)			(401	)		1,237			(1,478	)		(5,991	)		(146	)
37		Total liabilities and equity (deficit)		$	2,261,780		$	2,244,916		$	2,195,795		$	2,172,336		$	2,147,216

3

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

																	Full Year
		4Q 2010			1Q 2011			2Q 2011			3Q 2011			4Q 2011			2010			2011
	Net Interest Income:
1	Net interest income	$	4,316		$	4,540		$	4,561		$	4,613		$	4,683		$	16,856		$	18,397
	Average Balances:(1)
2	Cash and cash equivalents	$	39,190		$	37,561		$	33,660		$	51,225		$	59,077		$	48,803		$	45,381
3	Federal funds sold and securities purchased under agreements to resell		46,633			47,861			32,227			16,434			13,703			46,739			27,557
	Mortgage-related securities:
4	Mortgage-related securities(2)		472,598			456,972			450,575			443,135			418,454			526,748			442,284
5	Extinguishment of PCs held by Freddie Mac		(180,452	)		(167,528	)		(166,318	)		(166,356	)		(150,197	)		(213,411	)		(162,600	)
6	Total mortgage-related securities, net		292,146			289,444			284,257			276,779			268,257			313,337			279,684
7	Non-mortgage-related securities		30,590			29,309			26,078			18,175			24,788			27,995			24,587
8	Mortgage loans held by consolidated trusts(2)(3)		1,666,274			1,650,567			1,643,680			1,626,583			1,590,993			1,722,387			1,627,956
9	Unsecuritized mortgage loans(3)		230,324			240,557			242,471			243,162			250,346			206,116			244,134
10	Total interest-earning assets		2,305,157			2,295,299			2,262,373			2,232,358			2,207,164			2,365,377			2,249,299
	Debt securities of consolidated trusts:
11	Debt securities of consolidated trusts including PCs held by Freddie Mac(2)		1,689,180			1,665,608			1,656,150			1,641,905			1,612,091			1,738,330			1,643,939
12	Extinguishment of PCs held by Freddie Mac		(180,452	)		(167,528	)		(166,318	)		(166,356	)		(150,197	)		(213,411	)		(162,600	)
13	Total debt securities of consolidated trusts held by third parties		1,508,728			1,498,080			1,489,832			1,475,549			1,461,894			1,524,919			1,481,339
	Other debt:(2)
14	Short-term debt		201,381			194,822			194,153			188,004			168,238			219,654			186,304
15	Long-term debt		512,123			518,034			500,587			495,188			501,559			543,306			503,842
16	Total other debt		713,504			712,856			694,740			683,192			669,797			762,960			690,146
17	Total interest-bearing liabilities		2,222,232			2,210,936			2,184,572			2,158,741			2,131,691			2,287,879			2,171,485
18	Net non-interest-bearing funding		82,925			84,363			77,801			73,617			75,473			77,498			77,814
19	Total funding of interest-earning assets	$	2,305,157		$	2,295,299		$	2,262,373		$	2,232,358		$	2,207,164		$	2,365,377		$	2,249,299
	Yield/Cost:
20	Cash and cash equivalents		0.18	%		0.17	%		0.12	%		0.03	%		0.02	%		0.16	%		0.07	%
21	Federal funds sold and securities purchased under agreements to resell		0.19			0.15			0.09			0.08			0.10			0.17			0.12
	Mortgage-related securities:
22	Mortgage-related securities		4.74			4.65			4.63			4.56			4.57			4.82			4.60
23	Extinguishment of PCs held by Freddie Mac		(5.06	)		(4.93	)		(4.73	)		(4.61	)		(4.58	)		(5.24	)		(4.71	)
24	Total mortgage-related securities, net		4.54			4.50			4.57			4.53			4.56			4.53			4.54
25	Non-mortgage-related securities		0.43			0.41			0.39			0.40			0.41			0.68			0.40
26	Mortgage loans held by consolidated trusts		4.89			4.86			4.81			4.71			4.57			5.03			4.74
27	Unsecuritized mortgage loans		3.96			3.88			3.75			3.75			3.57			4.23			3.74
28	Yield on total interest-earning assets		4.52			4.48			4.48			4.41			4.26			4.65			4.41
	Debt securities of consolidated trusts:
29	Debt securities of consolidated trusts including PCs held by Freddie Mac		(4.76	)		(4.67	)		(4.64	)		(4.54	)		(4.33	)		(4.97	)		(4.55	)
30	Extinguishment of PCs held by Freddie Mac		5.06			4.93			4.73			4.61			4.58			5.24			4.71
31	Total debt securities of consolidated trusts held by third parties		(4.72	)		(4.65	)		(4.63	)		(4.53	)		(4.31	)		(4.93	)		(4.53	)
	Other debt:
32	Short-term debt		(0.25	)		(0.24	)		(0.19	)		(0.14	)		(0.12	)		(0.25	)		(0.18	)
33	Long-term debt		(2.78	)		(2.66	)		(2.59	)		(2.42	)		(2.27	)		(3.01	)		(2.49	)
34	Total other debt		(2.07	)		(2.00	)		(1.92	)		(1.79	)		(1.73	)		(2.22	)		(1.86	)
35	Cost of interest-bearing liabilities		(3.87	)		(3.79	)		(3.77	)		(3.67	)		(3.50	)		(4.03	)		(3.68	)
36	Expense related to derivatives		(0.04	)		(0.04	)		(0.03	)		(0.03	)		(0.03	)		(0.04	)		(0.04	)
37	Impact of net non-interest-bearing funding		0.14			0.14			0.13			0.12			0.12			0.13			0.13
38	Total funding of interest-earning assets		(3.77	)		(3.69	)		(3.67	)		(3.58	)		(3.41	)		(3.94	)		(3.59	)
39	Net interest yield (annualized)		0.75			0.79			0.81			0.83			0.85			0.71			0.82

(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)

																				Full Year
					4Q 2010			1Q 2011			2Q 2011			3Q 2011			4Q 2011			2010			2011
	Net Interest Income:
1	Contractual amounts of net interest income(1)				$	4,353		$	4,479		$	4,675		$	4,758		$	4,536		$	17,743		$	18,448
	Amortization income (expense), net:(2)
2		Accretion of impairments on available-for-sale securities(3)				69			29			31			18			37			392			115
		Asset-related amortization income (expense), net:
3			Mortgage loans held by consolidated trusts			(452	)		(272	)		(297	)		(539	)		(834	)		(712	)		(1,942	)
4			Unsecuritized mortgage loans			67			56			48			45			33			311			182
5			Mortgage-related securities			(31	)		(41	)		(83	)		(83	)		(32	)		(272	)		(239	)
6			Other assets			(13	)		(14	)		(27	)		(31	)		(50	)		(23	)		(122	)
7				Asset-related amortization expense, net		(429	)		(271	)		(359	)		(608	)		(883	)		(696	)		(2,121	)
		Debt-related amortization income (expense), net:
8			Debt securities of consolidated trusts			711			667			573			801			1,342			1,152			3,383
9			Other long-term debt securities			(164	)		(157	)		(165	)		(176	)		(175	)		(766	)		(673	)
10				Debt-related amortization income, net		547			510			408			625			1,167			386			2,710
11				Total amortization income, net		187			268			80			35			321			82			704
12	Expense related to derivatives(4)					(224	)		(207	)		(194	)		(180	)		(174	)		(969	)		(755	)
13	Net interest income				$	4,316		$	4,540		$	4,561		$	4,613		$	4,683		$	16,856		$	18,397

(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 closed 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 closed 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)

																			Full Year
				4Q 2010			1Q 2011			2Q 2011			3Q 2011			4Q 2011			2010			2011
	Non-Interest Income (Loss):
1	Gains (losses) on extinguishment of debt securities of consolidated trusts			$	(4	)	$	223		$	(125	)	$	(310	)	$	(7	)	$	(164	)	$	(219	)
2	Gains (losses) on retirement of other debt				10			12			3			19			10			(219	)		44
	Gains (losses) on debt recorded at fair value:
3		Translation gains (losses)			35			(117	)		(46	)		146			57			461			40
4		Market value adjustments			20			36			9			(13	)		19			119			51
5			Total gains (losses) on debt recorded at fair value		55			(81	)		(37	)		133			76			580			91
	Derivative gains (losses):
		Foreign-currency denominated derivatives gains (losses):
6			Foreign-currency swaps gains (losses)		(35	)		109			47			(141	)		(56	)		(468	)		(41	)
7			Receive-fixed swaps — foreign-currency denominated gains (losses)		(23	)		(37	)		(3	)		3			(12	)		(119	)		(49	)
8		U.S. dollar denominated derivative gains (losses)			2,615			750			(2,499	)		(3,345	)		464			(3,004	)		(4,630	)
9		Accrual of periodic settlements			(989	)		(1,249	)		(1,352	)		(1,269	)		(1,162	)		(4,494	)		(5,032	)
10			Total derivative gains (losses)		1,568			(427	)		(3,807	)		(4,752	)		(766	)		(8,085	)		(9,752	)
	Impairment of available-for-sale securities:
11		Total other-than-temporary impairment of available-for-sale securities			(724	)		(1,054	)		(230	)		(459	)		(358	)		(1,778	)		(2,101	)
12		Portion of other-than-temporary impairment recognized in AOCI			(1,546	)		(139	)		(122	)		298			(237	)		(2,530	)		(200	)
13			Net impairment of available-for-sale securities recognized in earnings		(2,270	)		(1,193	)		(352	)		(161	)		(595	)		(4,308	)		(2,301	)
	Other gains (losses) on investment securities recognized in earnings:
14		Gains (losses) on trading securities			(84	)		(200	)		274			(547	)		(481	)		(1,339	)		(954	)
15		Gains (losses) on sale of available-for-sale securities			8			80			(65	)		6			37			87			58
16			Total other gains (losses) on investment securities recognized in earnings		(76	)		(120	)		209			(541	)		(444	)		(1,252	)		(896	)
	Other income:
17		Guarantee-related income			40			54			81			40			70			217			245
18		Gains (losses) on sale of mortgage loans			23			95			161			46			109			267			411
19		Gains (losses) on mortgage loans recorded at fair value			(403	)		(33	)		136			216			99			(249	)		418
20		Recoveries on loans impaired upon purchase			163			125			132			119			97			806			473
21		All other			433			93			(258	)		393			380			819			608
22			Total other income		256			334			252			814			755			1,860			2,155
23			Total non-interest income (loss)	$	(461	)	$	(1,252	)	$	(3,857	)	$	(4,798	)	$	(971	)	$	(11,588	)	$	(10,878	)

6

FREDDIE MAC
TABLE 3 — CREDIT QUALITY INDICATORS (unaudited) (dollars in millions)

																	Full Year
		4Q 2010			1Q 2011			2Q 2011			3Q 2011			4Q 2011			2010			2011
	Credit Enhancements:
1	Credit-enhanced percentage of mortgage loan portfolio purchases		6	%		7	%		9	%		10	%		7	%		9	%		8	%
2	Credit-enhanced percentage of mortgage loan portfolio(1) (period end)		15	%		15	%		15	%		14	%		14	%		15	%		14	%
	Delinquencies Rates: at period end(2)(3)
	Single-family:
3	Non-credit-enhanced		3.01	%		2.85	%		2.75	%		2.77	%		2.84	%		3.01	%		2.84	%
4	Credit-enhanced		8.27	%		7.87	%		7.67	%		7.70	%		8.03	%		8.27	%		8.03	%
5	Total Single-family		3.84	%		3.63	%		3.50	%		3.51	%		3.58	%		3.84	%		3.58	%
	Multifamily:
6	Non-credit-enhanced		0.12	%		0.25	%		0.19	%		0.18	%		0.11	%		0.12	%		0.11	%
7	Credit enhanced		0.85	%		0.75	%		0.70	%		0.77	%		0.52	%		0.85	%		0.52	%
8	Total Multifamily		0.26	%		0.36	%		0.31	%		0.33	%		0.22	%		0.26	%		0.22	%
	Single-family loan workouts(4) (number of units):
9	Loan modifications		37,203			35,158			31,049			23,919			19,048			170,277			109,174
10	Repayment plans		7,964			9,099			7,981			8,333			8,008			31,210			33,421
11	Forbearance agreements		5,945			7,678			3,709			4,262			3,867			34,594			19,516
12	Short sales and deed-in-lieu transactions		12,097			10,706			11,038			11,744			12,675			39,175			46,163
13	Total single-family loan workouts		63,209			62,641			53,777			48,258			43,598			275,256			208,274
	Non-performing assets(3) (at period end):
14	Non-performing mortgage loans	$	118,337		$	118,062		$	117,929		$	122,273		$	123,472		$	118,337		$	123,472
15	REO assets, net		7,068			6,376			5,932			5,630			5,680			7,068			5,680
16	Total non-performing assets	$	125,405		$	124,438		$	123,861		$	127,903		$	129,152		$	125,405		$	129,152
	REO Operations Income (Expense):
17	Single-family	$	(224	)	$	(257	)	$	(35	)	$	(226	)	$	(78	)	$	(676	)	$	(596	)
18	Multifamily		7			—			8			5			(2	)		3			11
19	Total	$	(217	)	$	(257	)	$	(27	)	$	(221	)	$	(80	)	$	(673	)	$	(585	)
	Loan Loss Reserves:(5)
20	Beginning balance	$	38,596		$	39,926		$	39,305		$	39,095		$	39,744		$	33,857		$	39,926
21	Adjustments to beginning balance(6)		—			—			—			—			—			(186	)		—
22	Provision for credit losses(7)		3,066			1,989			2,529			3,606			2,578			17,218			10,702
23	Charge-offs — single-family, net		(2,751	)		(2,863	)		(2,968	)		(3,114	)		(3,026	)		(12,856	)		(11,971	)
24	Charge-offs — multifamily, net		(35	)		(12	)		(29	)		(8	)		(25	)		(103	)		(74	)
25	Transfers, net		1,050			265			258			165			190			1,996			878
26	Ending balance	$	39,926		$	39,305		$	39,095		$	39,744		$	39,461		$	39,926		$	39,461
	Credit Losses:(8)
27	Credit losses	$	3,114		$	3,238		$	3,127		$	3,451		$	3,236		$	14,160		$	13,052
28	Annualized credit losses / average mortgage loan portfolio(9)		64.5 bps			67.1 bps			64.9 bps			72.1 bps			68.5 bps			72.2 bps			68.1 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 2011Form 10-K for the year ended December 31, 2011, 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 and the MHA Program” in our 2011Form 10-K for the year ended December 31, 2011.
(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 year ended December 31, 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.

7

FREDDIE MAC
TABLE 4A — SEGMENT EARNINGS — CONSOLIDATED⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)

																	Full Year
		4Q 2010			1Q 2011			2Q 2011			3Q 2011			4Q 2011			2010			2011
	Segment Earnings, net of taxes:
1	Investments	$	2,691		$	2,137		$	10		$	(1,079	)	$	2,298		$	1,251		$	3,366
2	Single-family Guarantee		(3,017	)		(1,820	)		(2,386	)		(3,545	)		(2,249	)		(16,256	)		(10,000	)
3	Multifamily		213			359			200			205			555			965			1,319
4	All Other		—			—			37			(3	)		15			15			49
5	Total Segment Earnings (loss), net of taxes	$	(113	)	$	676		$	(2,139	)	$	(4,422	)	$	619		$	(14,025	)	$	(5,266	)
	Total Comprehensive Income (Loss) of Segments:
6	Investments segment	$	2,866		$	3,263		$	643		$	268		$	2,299		$	11,477		$	6,473
7	Single-family Guarantee segment		(3,009	)		(1,824	)		(2,385	)		(3,545	)		(2,216	)		(16,250	)		(9,970	)
8	Multifamily segment		1,299			1,301			605			(1,096	)		1,408			5,040			2,218
9	All Other		—			—			37			(3	)		15			15			49
10	Total comprehensive income (loss) of segments	$	1,156		$	2,740		$	(1,100	)	$	(4,376	)	$	1,506		$	282		$	(1,230	)
	Net interest yield — Segment Earnings (annualized):
11	Investments segment		113 bps			110 bps			126 bps			134 bps			138 bps			96 bps			127 bps
12	Multifamily segment		86 bps			75 bps			83 bps			87 bps			85 bps			77 bps			83 bps
	Management and guarantee income — Segment Earnings (annualized):
13	Single-family Guarantee segment		21.9 bps			19.1 bps			18.7 bps			20.3 bps			23.0 bps			19.5 bps			20.2 bps
14	Multifamily segment		48.6 bps			46.8 bps			43.0 bps			41.5 bps			39.7 bps			50.1 bps			42.4 bps
	Credit losses — Segment Earnings (annualized):
15	Single-family Guarantee segment		67.7 bps			71.0 bps			68.4 bps			76.3 bps			72.4 bps			75.8 bps			72.0 bps
16	Multifamily segment		10.7 bps			4.2 bps			7.6 bps			4.0 bps			9.1 bps			9.6 bps			6.3 bps

(1)	See “NOTE 14: SEGMENT REPORTING” in our Form10-K for the year ended December 31, 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.

8

FREDDIE MAC
TABLE 4B — SEGMENT EARNINGS — INVESTMENTS SEGMENT⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)

																	Full Year
		4Q 2010			1Q 2011			2Q 2011			3Q 2011			4Q 2011			2010			2011
	Segment Earnings, net of taxes:
1	Net interest income	$	1,705		$	1,653		$	1,826		$	1,905		$	1,955		$	6,192		$	7,339
	Non-interest income (loss):
2	Net impairment of available-for-sale      securities		(2,182	)		(1,029	)		(139	)		(116	)		(549	)		(3,819	)		(1,833	)
3	Derivative gains (losses)		2,844			1,103			(2,156	)		(3,144	)		600			(1,859	)		(3,597	)
4	Gains (losses) on trading securities		(60	)		(234	)		256			(525	)		(490	)		(1,386	)		(993	)
5	Gains (losses) on sale of mortgage loans		(26	)		12			4			—			12			(76	)		28
6	Gains (losses) on mortgage loans recorded at fair value		(259	)		(83	)		167			358			59			34			501
7	Other non-interest income (loss)		436			541			(184	)		345			564			1,023			1,266
8	Total non-interest income (loss)		753			310			(2,052	)		(3,082	)		196			(6,083	)		(4,628	)
	Non-interest expense:
9	Administrative expenses		(112	)		(95	)		(101	)		(97	)		(105	)		(455	)		(398	)
10	Other non-interest expense		(4	)		—			(1	)		(1	)		—			(18	)		(2	)
11	Total non-interest expense		(116	)		(95	)		(102	)		(98	)		(105	)		(473	)		(400	)
12	Segment adjustments		282			203			126			137			195			1,358			661
13	Segment Earnings (loss) before income tax (expense) benefit		2,624			2,071			(202	)		(1,138	)		2,241			994			2,972
14	Income tax benefit		67			66			212			59			57			259			394
15	Segment Earnings (loss), net of taxes, including noncontrolling interest		2,691			2,137			10			(1,079	)		2,298			1,253			3,366
16	Less: Net income — noncontrolling interest		—			—			—			—			—			(2	)		—
17	Segment Earnings (loss), net of taxes		2,691			2,137			10			(1,079	)		2,298			1,251			3,366
18	Total other comprehensive income (loss), net of taxes		175			1,126			633			1,347			1			10,226			3,107
19	Total comprehensive income — Investments segment	$	2,866		$	3,263		$	643		$	268		$	2,299		$	11,477		$	6,473
20	Net interest yield — Segment Earnings (annualized)		113 bps			110 bps			126 bps			134 bps			138 bps			96 bps			127 bps

(1)	See “NOTE 14: SEGMENT REPORTING” in our Form10-K for the year ended December 31, 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.

9

FREDDIE MAC
TABLE 4C — SEGMENT EARNINGS — SINGLE-FAMILY GUARANTEE SEGMENT⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)

																	Full Year
		4Q 2010			1Q 2011			2Q 2011			3Q 2011			4Q 2011			2010			2011
	Segment Earnings, net of taxes:
1	Net interest income (expense)	$	(34	)	$	100		$	(30	)	$	(98	)	$	5		$	72		$	(23	)
2	Provision for credit losses(3)		(3,470	)		(2,284	)		(2,886	)		(4,008	)		(3,116	)		(18,785	)		(12,294	)
	Non-interest income:
3	Management and guarantee income		1,000			870			848			913			1,016			3,635			3,647
4	Other non-interest income		566			211			208			331			466			1,351			1,216
5	Total non-interest income		1,566			1,081			1,056			1,244			1,482			4,986			4,863
	Non-interest expense:
6	Administrative expenses		(235	)		(215	)		(228	)		(227	)		(218	)		(930	)		(888	)
7	REO operations expense		(224	)		(257	)		(35	)		(226	)		(78	)		(676	)		(596	)
8	Other non-interest expense		(324	)		(66	)		(106	)		(69	)		(80	)		(578	)		(321	)
9	Total non-interest expense		(783	)		(538	)		(369	)		(522	)		(376	)		(2,184	)		(1,805	)
10	Segment adjustments		(287	)		(185	)		(143	)		(161	)		(210	)		(953	)		(699	)
11	Segment Earnings (loss) before income tax (expense) benefit		(3,008	)		(1,826	)		(2,372	)		(3,545	)		(2,215	)		(16,864	)		(9,958	)
12	Income tax (expense) benefit		(9	)		6			(14	)		—			(34	)		608			(42	)
13	Segment Earnings (loss), net of taxes		(3,017	)		(1,820	)		(2,386	)		(3,545	)		(2,249	)		(16,256	)		(10,000	)
14	Total other comprehensive income (loss), net of taxes		8			(4	)		1			—			33			6			30
15	Total comprehensive income (loss) — Single-family Guarantee segment	$	(3,009	)	$	(1,824	)	$	(2,385	)	$	(3,545	)	$	(2,216	)	$	(16,250	)	$	(9,970	)
	Management and guarantee income — Segment Earnings:
16	Contractual management and guarantee fees (annualized rate)		13.7 bps			13.6 bps			13.7 bps			13.8 bps			14.1 bps			13.5 bps			13.7 bps
17	Amortization of delivery fees (annualized rate)		8.2 bps			5.5 bps			5.0 bps			6.5 bps			8.9 bps			6.0 bps			6.5 bps
18	Segment Earnings management and        guarantee income (annualized rate)		21.9 bps			19.1 bps			18.7 bps			20.3 bps			23.0 bps			19.5 bps			20.2 bps
	Credit losses — Segment Earnings:
19	Annualized credit losses/average single-family credit guarantee portfolio and HFA-related guarantees		67.7 bps			71.0 bps			68.4 bps			76.3 bps			72.4 bps			75.8 bps			72.0 bps

(1)	See “NOTE 14: SEGMENT REPORTING” in our Form10-K for the year ended December 31, 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 year ended December 31, 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.

10

FREDDIE MAC
TABLE 4D — SEGMENT EARNINGS — MULTIFAMILY SEGMENT⁽¹⁾⁽²⁾ (unaudited) (dollars in millions)

																	Full Year
		4Q 2010			1Q 2011			2Q 2011			3Q 2011			4Q 2011			2010			2011
	Segment Earnings, net of taxes:
1	Net interest income	$	308		$	279		$	304		$	314		$	303		$	1,114		$	1,200
2	(Provision) benefit for credit losses		68			60			13			37			86			(99	)		196
	Non-interest income (loss):
3	Management and guarantee income		27			28			30			32			37			101			127
4	Net impairment of available-for-sale securities		(19	)		(135	)		(182	)		(27	)		(9	)		(96	)		(353	)
5	Derivative gains (losses)		1			2			2			(1	)		—			6			3
6	Gains (losses) on sale of mortgage loans		49			83			157			46			97			343			383
7	Gains (losses) on Mortgage loans recorded at fair value		(144	)		50			(31	)		(142	)		40			(283	)		(83	)
8	Other non-interest income (loss)		(16	)		54			(15	)		13			73			177			125
9	Total non-interest income (loss)		(102	)		82			(39	)		(79	)		238			248			202
	Non-interest expense:
10	Administrative expenses		(53	)		(51	)		(55	)		(57	)		(57	)		(212	)		(220	)
11	REO operations income (expense)		7			—			8			5			(2	)		3			11
12	Other non-interest expense		(13	)		(13	)		(28	)		(15	)		(13	)		(66	)		(69	)
13	Total non-interest expense		(59	)		(64	)		(75	)		(67	)		(72	)		(275	)		(278	)
14	Segment Earnings before income tax benefit (expense)		215			357			203			205			555			988			1,320
15	Income tax benefit (expense)		(2	)		2			(3	)		—			—			(26	)		(1	)
16	Segment Earnings, net of taxes, including noncontrolling interest		213			359			200			205			555			962			1,319
17	Less: Net (income) loss — noncontrolling interest		—			—			—			—			—			3			—
18	Segment Earnings, net of taxes		213			359			200			205			555			965			1,319
19	Total other comprehensive income, net of taxes		1,086			942			405			(1,301	)		853			4,075			899
20	Total comprehensive income — Multifamily segment	$	1,299		$	1,301		$	605		$	(1,096	)	$	1,408		$	5,040		$	2,218
21	Net interest yield — Segment Earnings (annualized)		86 bps			75 bps			83 bps			87 bps			85 bps			77 bps			83 bps
	Management and guarantee income — Segment Earnings:
22	Average contractual rate (annualized)(3)		48.6 bps			46.8 bps			43.0 bps			41.5 bps			39.7 bps			50.1 bps			42.4 bps
	Credit losses — Segment Earnings:
23	Annualized credit losses/average multifamily mortgage portfolio and HFA-related guarantees		10.7 bps			4.2 bps			7.6 bps			4.0 bps			9.1 bps			9.6 bps			6.3 bps

(1)	See “NOTE 14: SEGMENT REPORTING” in ourForm 10-K for the year ended December 31, 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)	Excludes prepayment and certain other fees.

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